siglab-py 0.5.5__py3-none-any.whl → 0.5.6__py3-none-any.whl
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- siglab_py/util/trading_util.py +40 -7
- {siglab_py-0.5.5.dist-info → siglab_py-0.5.6.dist-info}/METADATA +1 -1
- {siglab_py-0.5.5.dist-info → siglab_py-0.5.6.dist-info}/RECORD +5 -5
- {siglab_py-0.5.5.dist-info → siglab_py-0.5.6.dist-info}/WHEEL +0 -0
- {siglab_py-0.5.5.dist-info → siglab_py-0.5.6.dist-info}/top_level.txt +0 -0
siglab_py/util/trading_util.py
CHANGED
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@@ -59,12 +59,45 @@ def calc_eff_trailing_sl(
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tp_max_percent : float,
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sl_percent_trailing : float,
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pnl_percent_notional : float,
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-
default_effective_tp_trailing_percent : float =
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62
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+
default_effective_tp_trailing_percent : float = float('inf'), # inf: essentially saying, don't fire off trailing stop.
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linear : bool = True,
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pow : float = 5 # This is for non-linear trailing stops
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) -> float:
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-
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if linear:
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slope = (0 - sl_percent_trailing) / (tp_max_percent - tp_min_percent)
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68
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effective_tp_trailing_percent = (
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slope * (pnl_percent_notional - tp_min_percent) + sl_percent_trailing
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if pnl_percent_notional>=tp_min_percent
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else default_effective_tp_trailing_percent
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)
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else:
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def y(
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x : float,
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x_shift : float,
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pow : float
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) -> float:
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return -1 * ( (x+x_shift)**pow)
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y_min = y(
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x=tp_min_percent,
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x_shift=tp_min_percent,
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pow=pow
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)
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y_max = y(
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x=tp_max_percent,
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x_shift=tp_min_percent,
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pow=pow
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)
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y_shift = abs(y_max) - abs(y_min)
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y_normalized = y(
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x=pnl_percent_notional,
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x_shift=tp_min_percent,
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pow=pow
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) / y_shift
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effective_tp_trailing_percent = (
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y_normalized * sl_percent_trailing + sl_percent_trailing
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if pnl_percent_notional>=tp_min_percent
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else default_effective_tp_trailing_percent
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)
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return effective_tp_trailing_percent
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@@ -32,8 +32,8 @@ siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLi
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siglab_py/util/notification_util.py,sha256=vySgHjpHgwFDLW0tHSi_AGh9JBbPc25IUgvWxmjAeT8,2658
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siglab_py/util/retry_util.py,sha256=g-UU6pkPouWZZRZEqP99R2Z0lX5xzckYkzjwqqSDpVQ,922
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siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
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-
siglab_py/util/trading_util.py,sha256
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-
siglab_py-0.5.
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siglab_py-0.5.
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siglab_py-0.5.
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-
siglab_py-0.5.
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siglab_py/util/trading_util.py,sha256=-LmjQmYRF9SpscGIajZ3_iVs02U28kKHv-xWkRT6Jwk,4363
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36
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siglab_py-0.5.6.dist-info/METADATA,sha256=KQBKtDwAg_4VANLd-w94rpv5Lv_p3BGnoGSRixHzxAo,979
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siglab_py-0.5.6.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
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38
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siglab_py-0.5.6.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
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siglab_py-0.5.6.dist-info/RECORD,,
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File without changes
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File without changes
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