siglab-py 0.5.5__py3-none-any.whl → 0.5.7__py3-none-any.whl

siglab_py/market_data_providers/tg_monitor.py

@@ -410,10 +410,10 @@ async def main() -> None:
                     log(f"No messages processed in this iteration. last_message_date: {last_message_date}", LogLevel.INFO)
                     last_message_date = last_message_date + timedelta(days=1)
 
-                await asyncio.sleep(int(param['loop_freq_ms'] / 1000))
-
         except Exception as e:
             log(f"Oops {str(e)} {str(sys.exc_info()[0])} {str(sys.exc_info()[1])} {traceback.format_exc()}", LogLevel.ERROR)
+        finally:
+            await asyncio.sleep(int(param['loop_freq_ms'] / 1000))
 
 if __name__ == '__main__':
     try:

siglab_py/util/trading_util.py

@@ -59,12 +59,48 @@ def calc_eff_trailing_sl(
         tp_max_percent : float,
         sl_percent_trailing : float,
         pnl_percent_notional : float,
-        default_effective_tp_trailing_percent : float = 50
+        default_effective_tp_trailing_percent : float = float('inf'), # inf: essentially saying, don't fire off trailing stop.
+        linear : bool = True,
+        pow : float = 5 # This is for non-linear trailing stops
 ) -> float:
-    slope = (0 - sl_percent_trailing) / (tp_max_percent - tp_min_percent)
-    effective_tp_trailing_percent = (
-                                        slope * (pnl_percent_notional - tp_min_percent) + sl_percent_trailing 
-                                        if pnl_percent_notional>=tp_min_percent 
-                                        else default_effective_tp_trailing_percent
-                                    )
+    if pnl_percent_notional>tp_max_percent:
+            return 0
+    
+    if linear:
+        slope = (0 - sl_percent_trailing) / (tp_max_percent - tp_min_percent)
+        effective_tp_trailing_percent = (
+                                            slope * (pnl_percent_notional - tp_min_percent) + sl_percent_trailing 
+                                            if pnl_percent_notional>=tp_min_percent 
+                                            else default_effective_tp_trailing_percent
+                                        )
+    else:    
+        def y(
+				x : float,
+				x_shift : float,
+				pow : float
+				) -> float:
+            return -1 * ( (x+x_shift)**pow)
+        
+        y_min = y(
+												x=tp_min_percent,
+												x_shift=tp_min_percent,
+												pow=pow
+												)
+        y_max = y(
+												x=tp_max_percent,
+												x_shift=tp_min_percent,
+												pow=pow
+												)
+        y_shift = abs(y_max) - abs(y_min)
+        
+        y_normalized = y(
+													x=pnl_percent_notional,
+													x_shift=tp_min_percent,
+													pow=pow
+												) / y_shift
+        effective_tp_trailing_percent = (
+											y_normalized * sl_percent_trailing + sl_percent_trailing
+											if pnl_percent_notional>=tp_min_percent 
+											else default_effective_tp_trailing_percent
+										)
     return effective_tp_trailing_percent

{siglab_py-0.5.5.dist-info → siglab_py-0.5.7.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.5.5
+Version: 0.5.7
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.5.dist-info → siglab_py-0.5.7.dist-info}/RECORD

@@ -12,7 +12,7 @@ siglab_py/market_data_providers/deribit_options_expiry_provider.py,sha256=e9Ee8T
 siglab_py/market_data_providers/futu_candles_ta_to_csv.py,sha256=S4GXaJ7AveEh-Cm9-VhENBdlj_1CfyBTrQO7acTqfUE,10226
 siglab_py/market_data_providers/orderbooks_provider.py,sha256=olt-3LIkoyzQWfNNQRhJtKibLbkTutt_q_rCCTM7i1g,16216
 siglab_py/market_data_providers/test_provider.py,sha256=wBLCgcWjs7FGZJXWsNyn30lkOLa_cgpuvqRakMC0wbA,2221
-siglab_py/market_data_providers/tg_monitor.py,sha256=wy1FqF2_FnkoBgrCUQFKm0aVrKXnwiqU-Z0B6vgjyic,21814
+siglab_py/market_data_providers/tg_monitor.py,sha256=ryS8cK2Yh7BatsnjTTw1z49TVvUZW5yP5-ja-D-SSKc,21826
 siglab_py/ordergateway/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/ordergateway/client.py,sha256=LvtrYirrdFOcKgTkvuqwdEN7r3nurjX320ESnk7tHE0,15095
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
@@ -32,8 +32,8 @@ siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLi
 siglab_py/util/notification_util.py,sha256=vySgHjpHgwFDLW0tHSi_AGh9JBbPc25IUgvWxmjAeT8,2658
 siglab_py/util/retry_util.py,sha256=g-UU6pkPouWZZRZEqP99R2Z0lX5xzckYkzjwqqSDpVQ,922
 siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
-siglab_py/util/trading_util.py,sha256=rXiBLOJGxerK1Uz1D1GBLedunTobtDCC85d42on4TYg,3321
-siglab_py-0.5.5.dist-info/METADATA,sha256=AiiTUyYs_Pd4mAgZexM9fLJ-AMW1uFfBYTDZ-jJzAQw,979
-siglab_py-0.5.5.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.5.5.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.5.dist-info/RECORD,,
+siglab_py/util/trading_util.py,sha256=LGDnI688Dy04G6shVvZzjjPdb7v8lPLCevkWmgm7QEw,4440
+siglab_py-0.5.7.dist-info/METADATA,sha256=BmL4Zsl0sHiV6Pz5g1-ZqN-oSpqe518ydZySpC657Og,979
+siglab_py-0.5.7.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.5.7.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.7.dist-info/RECORD,,