siglab-py 0.5.66__py3-none-any.whl → 0.6.18__py3-none-any.whl

siglab_py/util/market_data_util.py

@@ -9,9 +9,9 @@ import math
 import pandas as pd
 import numpy as np
 import asyncio
+from tabulate import tabulate
 
 from ccxt.base.exchange import Exchange as CcxtExchange
-from ccxt import deribit
 import ccxt
 import ccxt.pro as ccxtpro
 
@@ -24,6 +24,8 @@ import yfinance as yf
 from siglab_py.util.retry_util import retry
 from siglab_py.exchanges.futubull import Futubull
 from siglab_py.exchanges.any_exchange import AnyExchange
+from siglab_py.exchanges.deribit import Deribit, DeribitAsync
+from siglab_py.exchanges.binance import Binance, BinanceAsync
 
 def instantiate_exchange(
     exchange_name : str,
@@ -31,6 +33,7 @@ def instantiate_exchange(
     secret : Union[str, None]  = None,
     passphrase : Union[str, None] = None,
     default_type : Union[str, None] = 'spot',
+    default_sub_type : Union[str, None] = None,
     rate_limit_ms : float = 100
 ) -> Union[AnyExchange, None]:
     exchange_name = exchange_name.lower().strip()
@@ -46,6 +49,10 @@ def instantiate_exchange(
                             'defaultType' : default_type
                         }
                     }
+    
+    if default_sub_type:
+        exchange_params['defaultSubType'] = default_sub_type
+
     if api_key:
         exchange_params['apiKey'] = api_key
     if secret:
@@ -54,13 +61,13 @@ def instantiate_exchange(
         exchange_params['passphrase'] = passphrase
 
     if exchange_name=='binance':
-        exchange = ccxt.binance(exchange_params)  # type: ignore
+        exchange = Binance(exchange_params)  # type: ignore
     elif exchange_name=='bybit':
         exchange = ccxt.bybit(exchange_params) # type: ignore
     elif exchange_name=='okx':
         exchange = ccxt.okx(exchange_params) # type: ignore
     elif exchange_name=='deribit':
-        exchange = ccxt.deribit(exchange_params)  # type: ignore
+        exchange = Deribit(exchange_params)  # type: ignore
     elif exchange_name=='hyperliquid':
         exchange = ccxt.hyperliquid(
             {
@@ -82,8 +89,10 @@ async def async_instantiate_exchange(
     api_key : str,
     secret : str,
     passphrase : str,
-    default_type : str,
-    rate_limit_ms : float = 100
+    default_type : Union[str, None] = 'spot',
+    default_sub_type : Union[str, None] = None,
+    rate_limit_ms : float = 100,
+    verbose : bool = False
 ) -> Union[AnyExchange, None]:
     exchange : Union[AnyExchange, None] = None
     exchange_name : str = gateway_id.split('_')[0]
@@ -98,13 +107,17 @@ async def async_instantiate_exchange(
                         'rateLimit' : rate_limit_ms,
                         'options' : {
                             'defaultType' : default_type
-                        }
+                        },
+                        'verbose': verbose
                     }
+    
+    if default_sub_type:
+        exchange_params['defaultSubType'] = default_sub_type
 
     if exchange_name=='binance':
         # spot, future, margin, delivery, option
         # https://github.com/ccxt/ccxt/blob/master/python/ccxt/binance.py#L1298
-        exchange = ccxtpro.binance(exchange_params)  # type: ignore
+        exchange = BinanceAsync(exchange_params)  # type: ignore
     elif exchange_name=='bybit':
         # spot, linear, inverse, futures
         # https://github.com/ccxt/ccxt/blob/master/python/ccxt/bybit.py#L1041
@@ -117,7 +130,7 @@ async def async_instantiate_exchange(
     elif exchange_name=='deribit':
         # spot, swap, future
         # https://github.com/ccxt/ccxt/blob/master/python/ccxt/deribit.py#L360
-        exchange = ccxtpro.deribit(exchange_params)  # type: ignore
+        exchange = DeribitAsync(exchange_params)  # type: ignore
     elif exchange_name=='kraken':
         exchange = ccxtpro.kraken(exchange_params) # type: ignore
     elif exchange_name=='hyperliquid':
@@ -156,9 +169,10 @@ async def async_instantiate_exchange(
                 "walletAddress" : api_key,
                 "privateKey" : secret,
                 'enableRateLimit'  : True,
-                'rateLimit' : rate_limit_ms
-            }
-        )  # type: ignore
+                'rateLimit' : rate_limit_ms,
+                'verbose': verbose
+            }  # type: ignore
+        )
     else:
         raise ValueError(f"Unsupported exchange {exchange_name}, check gateway_id {gateway_id}.")
 
@@ -192,18 +206,18 @@ def timestamp_to_datetime_cols(pd_candles : pd.DataFrame):
     pd_candles['timestamp_ms'] = pd_candles['timestamp_ms'].apply(_fix_timestamp_ms)
     pd_candles['datetime'] = pd_candles['timestamp_ms'].apply(lambda x: datetime.fromtimestamp(int(x/1000)))
     pd_candles['datetime'] = pd.to_datetime(pd_candles['datetime'])
-    pd_candles['datetime'] = pd_candles['datetime'].dt.tz_localize(None)
+    pd_candles['datetime'] = pd_candles['datetime'].dt.tz_localize(None)  # type: ignore
     pd_candles['datetime_utc'] = pd_candles['timestamp_ms'].apply(
         lambda x: datetime.fromtimestamp(int(x.timestamp()) if isinstance(x, pd.Timestamp) else int(x / 1000), tz=timezone.utc)
     )
     
     # This is to make it easy to do grouping with Excel pivot table
-    pd_candles['year'] = pd_candles['datetime'].dt.year
-    pd_candles['month'] = pd_candles['datetime'].dt.month
-    pd_candles['day'] = pd_candles['datetime'].dt.day
-    pd_candles['hour'] = pd_candles['datetime'].dt.hour
-    pd_candles['minute'] = pd_candles['datetime'].dt.minute
-    pd_candles['dayofweek'] = pd_candles['datetime'].dt.dayofweek  # dayofweek: Monday is 0 and Sunday is 6
+    pd_candles['year'] = pd_candles['datetime'].dt.year  # type: ignore
+    pd_candles['month'] = pd_candles['datetime'].dt.month  # type: ignore
+    pd_candles['day'] = pd_candles['datetime'].dt.day  # type: ignore
+    pd_candles['hour'] = pd_candles['datetime'].dt.hour  # type: ignore
+    pd_candles['minute'] = pd_candles['datetime'].dt.minute  # type: ignore
+    pd_candles['dayofweek'] = pd_candles['datetime'].dt.dayofweek  # type: ignore dayofweek: Monday is 0 and Sunday is 6
 
     pd_candles['week_of_month'] = pd_candles['timestamp_ms'].apply(
         lambda x: timestamp_to_week_of_month(int(x/1000))
@@ -220,42 +234,58 @@ def timestamp_to_datetime_cols(pd_candles : pd.DataFrame):
     )
 
     pd_candles['timestamp_ms_gap'] = pd_candles['timestamp_ms'] - pd_candles['timestamp_ms'].shift(1)
-    timestamp_ms_gap = pd_candles.iloc[-1]['timestamp_ms_gap']
-    assert(pd_candles[~pd_candles.timestamp_ms_gap.isna()][pd_candles.timestamp_ms_gap!=timestamp_ms_gap].shape[0]==0)
+    
+    # Depending on asset, minutes bar may have gaps
+    timestamp_ms_gap_median = pd_candles['timestamp_ms_gap'].median()
+    NUM_MS_IN_1HR = 60*60*1000
+    if timestamp_ms_gap_median>=NUM_MS_IN_1HR:
+        num_rows_with_expected_gap = pd_candles[~pd_candles.timestamp_ms_gap.isna()][pd_candles.timestamp_ms_gap==timestamp_ms_gap_median].shape[0]
+        assert(num_rows_with_expected_gap/pd_candles.shape[0]>0.9)
     pd_candles.drop(columns=['timestamp_ms_gap'], inplace=True)
 
+'''
+APAC (Asia-Pacific) Trading Hours
+    UTC 21:00 - 09:00 (approximate range)
+    Major financial centers: Tokyo, Hong Kong, Singapore, Sydney
+
+EMEA (Europe, Middle East, Africa) Trading Hours
+    UTC 07:00 - 16:00 (approximate range)
+    Major financial centers: London, Frankfurt, Paris, Zurich, Dubai
+
+US Trading Hours
+    UTC 13:00 - 22:00 (approximate range)
+    Major financial centers: New York, Chicago
+    Key markets: NYSE, NASDAQ
+
+utcnow and utcfromtimestamp been deprecated in Python 3.12 
+https://www.pythonmorsels.com/converting-to-utc-time/
+
+Example, UTC 23:00 is 3rd hour in APAC trading session
+    utc_hour = 23
+    i = get_regions_trading_utc_hours()['APAC'].index(utc_hour)
+    assert(i==2)
+'''
+def get_regions_trading_utc_hours():
+    return {
+        'APAC' : [21,22,23,0,1,2,3,4,5,6,7,8,9],
+        'EMEA' : [7,8,9,10,11,12,13,14,15,16],
+        'AMER' : [13,14,15,16,17,18,19,20,21,22]
+    }
+			
 def timestamp_to_active_trading_regions(
         timestamp_ms : int
 ) -> List[str]:
-    
-    '''
-    APAC (Asia-Pacific) Trading Hours
-        UTC 22:00 - 09:00 (approximate range)
-        Major financial centers: Tokyo, Hong Kong, Singapore, Sydney
-
-    EMEA (Europe, Middle East, Africa) Trading Hours
-        UTC 07:00 - 16:00 (approximate range)
-        Major financial centers: London, Frankfurt, Paris, Zurich, Dubai
-
-    US Trading Hours
-        UTC 13:30 - 20:00 (approximate range)
-        Major financial centers: New York, Chicago
-        Key markets: NYSE, NASDAQ
-
-    utcnow and utcfromtimestamp been deprecated in Python 3.12 
-    https://www.pythonmorsels.com/converting-to-utc-time/
-    '''
     active_trading_regions : List[str] = []
 
     dt_utc = datetime.fromtimestamp(int(timestamp_ms / 1000), tz=timezone.utc)
     utc_hour = dt_utc.hour
-    if (utc_hour >= 22) or (utc_hour <= 9):
+    if utc_hour in get_regions_trading_utc_hours()['APAC']:
         active_trading_regions.append("APAC") 
 
-    if 7 <= utc_hour <= 16:
+    if utc_hour in get_regions_trading_utc_hours()['EMEA']:
         active_trading_regions.append("EMEA")
 
-    if 13 <= utc_hour <= 20:
+    if utc_hour in get_regions_trading_utc_hours()['AMER']:
         active_trading_regions.append("AMER")
 
     return active_trading_regions
@@ -288,6 +318,17 @@ def fix_column_types(pd_candles : pd.DataFrame):
     pd_candles.reset_index(drop=True, inplace=True)
     pd_candles.sort_values("datetime", inplace=True)
 
+def interval_to_ms(interval : str) -> int:
+    interval_ms : int = 0
+    if interval=="d":
+        interval_ms = 24*60*60*1000
+    elif interval=="h":
+        interval_ms = 60*60*1000
+    elif interval=="m":
+        interval_ms = 60*1000
+
+    return interval_ms
+
 '''
 https://polygon.io/docs/stocks
 '''
@@ -343,7 +384,7 @@ class NASDAQExchange:
             pd_daily_candles['low'] = pd_daily_candles['low'].astype(str).str.replace('$','')
             pd_daily_candles['close'] = pd_daily_candles['close'].astype(str).str.replace('$','')
             pd_daily_candles['datetime']= pd.to_datetime(pd_daily_candles['datetime'])
-            pd_daily_candles['timestamp_ms'] = pd_daily_candles.datetime.values.astype(np.int64) // 10 ** 6
+            pd_daily_candles['timestamp_ms'] = pd_daily_candles.datetime.values.astype(np.int64) // 10 ** 6  # type: ignore
             pd_daily_candles['symbol'] = symbol
             pd_daily_candles['exchange'] = 'nasdaq'
             fix_column_types(pd_daily_candles)
@@ -362,7 +403,7 @@ class NASDAQExchange:
                 )
 
                 # When you fill foward, a few candles before start date can have null values (open, high, low, close, volume ...)
-                first_candle_dt = pd_hourly_candles[(~pd_hourly_candles.close.isna())  & (pd_hourly_candles['datetime'].dt.time == pd.Timestamp('00:00:00').time())].iloc[0]['datetime']
+                first_candle_dt = pd_hourly_candles[(~pd_hourly_candles.close.isna())  & (pd_hourly_candles['datetime'].dt.time == pd.Timestamp('00:00:00').time())].iloc[0]['datetime']  # type: ignore
                 pd_hourly_candles = pd_hourly_candles[pd_hourly_candles.datetime>=first_candle_dt]
                 exchange_candles[symbol] = pd_hourly_candles
 
@@ -426,6 +467,45 @@ class YahooExchange:
 
         return exchange_candles
 
+def aggregate_candles(
+    interval : str,
+    pd_candles : pd.DataFrame
+) -> pd.DataFrame:
+    if interval[-1]=='m':
+        # 'm' for pandas means months!
+        interval = interval.replace('m','min')
+    pd_candles.set_index('datetime', inplace=True)
+    pd_candles_aggregated = pd_candles.resample(interval).agg({
+        'exchange' : 'first',
+        'symbol' : 'first',
+        'timestamp_ms' : 'first',
+        
+        'open': 'first',
+        'high': 'max',
+        'low': 'min',
+        'close': 'last',
+        'volume': 'sum',
+
+        'datetime_utc' : 'first',
+        'year' : 'first',
+        'month' : 'first',
+        'day' : 'first',
+        'hour' : 'first',
+        'minute' : 'first',
+        'dayofweek' : 'first',
+        'week_of_month' : 'first',
+
+        'apac_trading_hr' : 'first',
+        'emea_trading_hr' : 'first',
+        'amer_trading_hr' : 'first',
+
+        'pct_chg_on_close' : 'sum',
+
+    })
+    pd_candles.reset_index(inplace=True)
+    pd_candles_aggregated.reset_index(inplace=True)
+    return pd_candles_aggregated
+    
 def fetch_historical_price(
     exchange,
     normalized_symbol : str,
@@ -472,19 +552,21 @@ def fetch_candles(
     validation_max_gaps : int = 10,
     validation_max_end_date_intervals : int = 1
 ) -> Dict[str, Union[pd.DataFrame, None]]:
-    
+    exchange_candles = { '' : None }
+    num_intervals = int(candle_size.replace(candle_size[-1],''))
+
     if end_ts>datetime.now().timestamp():
         end_ts = int(datetime.now().timestamp())
 
     if type(exchange) is YahooExchange:
-        return exchange.fetch_candles(
+        exchange_candles = exchange.fetch_candles(
                             start_ts=start_ts,
                             end_ts=end_ts,
                             symbols=normalized_symbols,
                             candle_size=candle_size
                         )
     elif type(exchange) is NASDAQExchange:
-        return exchange.fetch_candles(
+        exchange_candles = exchange.fetch_candles(
                             start_ts=start_ts,
                             end_ts=end_ts,
                             symbols=normalized_symbols,
@@ -501,17 +583,51 @@ def fetch_candles(
             pd_candles = exchange_candles[symbol]
             if not pd_candles is None:
                 fix_column_types(pd_candles) # You don't want to do this from Futubull as you'd need import Futubull from there: Circular references
-        return exchange_candles
+                
     elif issubclass(exchange.__class__, CcxtExchange):
-        return _fetch_candles_ccxt(
+        exchange_candles = _fetch_candles_ccxt(
             start_ts=start_ts,
             end_ts=end_ts,
             exchange=exchange,
             normalized_symbols=normalized_symbols,
             candle_size=candle_size,
-            num_candles_limit=num_candles_limit
+            num_candles_limit=num_candles_limit,
+            logger=logger
         )
-    return { '' : None }
+    if num_intervals!=1:
+        for symbol in exchange_candles:
+            if not exchange_candles[symbol] is None:
+                exchange_candles[symbol] = aggregate_candles(candle_size, exchange_candles[symbol]) #  type: ignore
+
+    # For invalid rows missing timestamps, o/h/l/c/v, fill forward close, set volume to zero.
+    for symbol in exchange_candles:
+        pd_candles = exchange_candles[symbol]
+        
+        if pd_candles is not None:
+            mask_invalid_candles = pd_candles["timestamp_ms"].isna()
+            if mask_invalid_candles.any():
+                pd_invalid_candles = pd_candles[mask_invalid_candles]
+
+                if logger is not None:
+                    logger.warning(f"Dropping {pd_invalid_candles.shape[0]}/{pd_candles.shape[0]} rows from {symbol} candles (null timestamp_ms)") # type: ignore
+                    logger.warning(f"{tabulate(pd_invalid_candles, headers='keys', tablefmt='psql')}") # type: ignore
+                    
+                def _to_timestamp_ms(dt):
+                    if pd.isna(dt):
+                        return pd.NA
+                    if isinstance(dt, str):
+                        dt = pd.to_datetime(dt)
+                    return int(dt.timestamp() * 1000)
+                
+                pd_candles.loc[mask_invalid_candles, "timestamp_ms"] = pd_candles.loc[mask_invalid_candles, "datetime"].apply(_to_timestamp_ms)
+
+                pd_candles["close"] = pd_candles["close"].ffill()
+                pd_candles.loc[mask_invalid_candles, ["open", "high", "low"]] = pd_candles.loc[
+                                                                                    mask_invalid_candles, ["close"]
+                                                                                ]
+                pd_candles.loc[mask_invalid_candles, "volume"] = 0.0
+
+    return exchange_candles # type: ignore
 
 '''
 Find listing date https://gist.github.com/mr-easy/5185b1dcdd5f9f908ff196446f092e9b
@@ -541,10 +657,9 @@ def _fetch_candles_ccxt(
     exchange,
     normalized_symbols : List[str],
     candle_size : str,
-    num_candles_limit : int = 100
+    num_candles_limit : int = 100,
+    logger = None
 ) -> Dict[str, Union[pd.DataFrame, None]]:
-    logger = logging.getLogger()
-
     rsp = {}
 
     exchange.load_markets()
@@ -552,7 +667,7 @@ def _fetch_candles_ccxt(
     num_tickers = len(normalized_symbols)
     i = 0
     for ticker in normalized_symbols:
-        @retry(num_attempts=3, pause_between_retries_ms=1000)
+        @retry(num_attempts=3, pause_between_retries_ms=1000, logger=logger)
         def _fetch_ohlcv(exchange, symbol, timeframe, since, limit, params) -> Union[List, NoReturn]:
                 one_timeframe = f"1{timeframe[-1]}"
                 candles = exchange.fetch_ohlcv(symbol=symbol, timeframe=one_timeframe, since=since, limit=limit, params=params)
@@ -563,7 +678,7 @@ def _fetch_candles_ccxt(
             
         def _calc_increment(candle_size):
             increment = 1
-            num_intervals = int(candle_size[0])
+            num_intervals = int(candle_size.replace(candle_size[-1],''))
             interval_type = candle_size[-1]
             if interval_type == "m":
                 increment = 60
@@ -575,7 +690,8 @@ def _fetch_candles_ccxt(
                 raise ValueError(f"Invalid candle_size {candle_size}")
             return num_intervals * increment
         
-        logger.info(f"{i}/{num_tickers} Fetching {candle_size} candles for {ticker}.")
+        if logger:
+            logger.info(f"{i}/{num_tickers} Fetching {candle_size} candles for {ticker}.")
 
         '''
         It uses a while loop to implement a sliding window to download candles between start_ts and end_ts. 
@@ -584,12 +700,13 @@ def _fetch_candles_ccxt(
         A more efficient way is to find listing date. Start looping from there.
         '''
         market = exchange.markets[ticker]
+        this_ticker_start_ts = start_ts
         if market['created']:
-            start_ts = max(start_ts, int(market['created']/1000))
+            this_ticker_start_ts = max(this_ticker_start_ts, int(market['created']/1000))
 
         all_candles = []
         params = {}
-        this_cutoff = start_ts
+        this_cutoff = this_ticker_start_ts
         while this_cutoff<end_ts:
             candles = _fetch_ohlcv(exchange=exchange, symbol=ticker, timeframe=candle_size, since=int(this_cutoff * 1000), limit=num_candles_limit, params=params)
             if candles and len(candles)>0:
@@ -623,7 +740,7 @@ def fetch_deribit_btc_option_expiries(
         Dict[str, Dict[str, Union[str, float]]]
     ]
 ]:
-    exchange = deribit()
+    exchange = ccxt.deribit()
     instruments = exchange.public_get_get_instruments({
         'currency': market,
         'kind': 'option',
@@ -679,7 +796,9 @@ def fetch_deribit_btc_option_expiries(
 
 def build_pair_candles(
     pd_candles1 : pd.DataFrame,
-    pd_candles2 : pd.DataFrame
+    pd_candles2 : pd.DataFrame,
+    left_columns_postfix : str = "_1",
+    right_columns_postfix : str = "_2"
 ) -> pd.DataFrame:
     min_timestamp_ms1 = int(pd_candles1.iloc[0]['timestamp_ms'])
     max_timestamp_ms1 = int(pd_candles1.iloc[-1]['timestamp_ms'])
@@ -709,16 +828,16 @@ def build_pair_candles(
     assert(max_timestamp_ms1==max_timestamp_ms2)
     assert(pd_candles1.shape[0]==pd_candles2.shape[0])
 
-    if len([ col for col in pd_candles1.columns if col[-2:]=='_1' ]) == 0:
-        pd_candles1.columns = [str(col) + '_1' for col in pd_candles1.columns]
+    if len([ col for col in pd_candles1.columns if col[-2:]==left_columns_postfix ]) == 0:
+        pd_candles1.columns = [str(col) + left_columns_postfix for col in pd_candles1.columns]
 
-    if len([ col for col in pd_candles2.columns if col[-2:]=='_2' ]) == 0:
-        pd_candles2.columns = [str(col) + '_2' for col in pd_candles2.columns]
+    if len([ col for col in pd_candles2.columns if col[-2:]==right_columns_postfix ]) == 0:
+        pd_candles2.columns = [str(col) + right_columns_postfix for col in pd_candles2.columns]
 
     pd_candles1.reset_index(drop=True, inplace=True)
     pd_candles2.reset_index(drop=True, inplace=True)
     pd_candles = pd.concat([pd_candles1, pd_candles2], axis=1)
-    pd_candles['timestamp_ms_gap'] = pd_candles['timestamp_ms_1'] - pd_candles['timestamp_ms_2']
+    pd_candles['timestamp_ms_gap'] = pd_candles[f'timestamp_ms{left_columns_postfix}'] - pd_candles[f'timestamp_ms{right_columns_postfix}']
     assert(pd_candles[pd_candles.timestamp_ms_gap!=0].shape[0]==0)
 
     pd_candles.drop(pd_candles.columns[pd_candles.columns.str.contains('unnamed',case = False)],axis = 1, inplace = True)

siglab_py/util/retry_util.py

@@ -2,7 +2,8 @@ import time
 
 def retry(
         num_attempts : int = 1,
-        pause_between_retries_ms : int = 1000
+        pause_between_retries_ms : int = 1000,
+        logger = None
         ):
     def decorator(method):
         def wrapper(*args, **kw):
@@ -15,6 +16,10 @@ def retry(
                 except Exception as retry_error:
                     if i==(num_attempts-1):
                         err_msg = f"retry_util.retry gave up {method.__name__} after {num_attempts} calls. {args} {kw}. {retry_error}"
+                        if logger:
+                            logger.error(err_msg)
+                        else:
+                            print(err_msg)
                         raise Exception(err_msg) from retry_error
                 finally:
                     time.sleep(int(pause_between_retries_ms/1000))

siglab_py/util/simple_math.py

@@ -32,6 +32,18 @@ def generate_rand_nums(
 
     return result
 
+def compute_level_increment(
+    num : float,
+    level_granularity : float = 0.01
+) -> float:
+    if math.isnan(num):
+        return num
+    level_size = num * level_granularity
+    magnitude = math.floor(math.log10(abs(level_size)))
+    base_increment = 10 ** magnitude
+    rounded_level_size = round(level_size / base_increment) * base_increment
+    return rounded_level_size
+
 # https://norman-lm-fung.medium.com/levels-are-psychological-7176cdefb5f2
 def round_to_level(
             num : float,
@@ -39,13 +51,23 @@ def round_to_level(
         ) -> float:
     if math.isnan(num):
         return num
-    level_size = num * level_granularity
-    magnitude = math.floor(math.log10(abs(level_size)))
-    base_increment = 10 ** magnitude
-    rounded_level_size = round(level_size / base_increment) * base_increment
+    rounded_level_size = compute_level_increment(num, level_granularity)
     rounded_num = round(num / rounded_level_size) * rounded_level_size
     return rounded_num
 
+def compute_adjacent_levels(
+            num : float,
+            level_granularity : float = 0.01,
+            num_levels_per_side : int = 1
+        ) -> Union[None, List[float]]:
+    if math.isnan(num):
+        return None
+    rounded_level_size = compute_level_increment(num, level_granularity)
+    rounded_num = round(num / rounded_level_size) * rounded_level_size
+    levels = [ rounded_num ]
+    levels = list(reversed([ rounded_num - (i+1)*rounded_level_size for i in list(range(num_levels_per_side))])) + levels + [ rounded_num + (i+1)*rounded_level_size for i in list(range(num_levels_per_side))]
+    return levels
+
 def bucket_series(
     values : List[float],
     outlier_threshold_percent : float = 0,

{siglab_py-0.5.66.dist-info → siglab_py-0.6.18.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.66
+Version: 0.6.18
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

siglab_py-0.6.18.dist-info/RECORD

@@ -0,0 +1,50 @@
+siglab_py/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+siglab_py/constants.py,sha256=RlWh0-_sXHanfPIVLgDPLNbn9ljv3aZJYMv92Zd0jZI,701
+siglab_py/backtests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+siglab_py/backtests/backtest_core.py,sha256=LsK2H9bdPgR0Nyjw52Ama7S_jVbfeybKnyDefbBAC7g,162194
+siglab_py/backtests/coinflip_15m_crypto.py,sha256=MKMksVLVER3pMykSaXlSVyR63IvxJuTZmUEp17SDTpk,15247
+siglab_py/backtests/fibonacci_d_mv_crypto.py,sha256=WTAgumotdGd5VmWRWh7P1oXSgZMaV1ew42q2iXAno0s,20513
+siglab_py/backtests/macdrsi_crosses_15m_tc_crypto.py,sha256=2qVBX2hqfW332rpp1_Nd9U5uQDoAXZ9qlPKBYTEL06E,16457
+siglab_py/exchanges/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+siglab_py/exchanges/any_exchange.py,sha256=Y-zue75ZSmu9Ga1fONbjBGLNH5pDHQI01hCSjuLBkAk,889
+siglab_py/exchanges/binance.py,sha256=3hLeU5t4AXVLS2u6V8wlqsvdo3Uh00ebgx4MONy8X6k,1394
+siglab_py/exchanges/deribit.py,sha256=gI5ezORDeu-Z1S8yxJj1Kj43OroK3ga9BckNijkuk8A,3361
+siglab_py/exchanges/futubull.py,sha256=i0jNgl9BGJvgEIDeOkTfD52FaK77vX8axCKNYwJHwSI,21144
+siglab_py/market_data_providers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=FZRobEBNRzcNGlOG3u38OVhmOZYlkNm8dVvR-S7Ii2g,23342
+siglab_py/market_data_providers/candles_provider.py,sha256=FXvciwU7ONC0VdX-fggELIl2yqd7mRB2CjDeUsDzr-A,14145
+siglab_py/market_data_providers/candles_ta_provider.py,sha256=az3tVjR4g0vhOCc8S5kGvjuNIpwxnXarUhMi62Z5Pzc,12013
+siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py,sha256=DHj51QTbkCmEd9RFNVhWWpsSPz1aLd6zTLqkUUbEkK0,11158
+siglab_py/market_data_providers/deribit_options_expiry_provider.py,sha256=e9Ee8TmC8pXaid8-jouSLKIpuW6_JBBgwRTieI665yQ,8684
+siglab_py/market_data_providers/futu_candles_ta_to_csv.py,sha256=SCWlI_mOuErpGP8Kxh5WKEoff9cqqxO19oLFLd04bTs,10964
+siglab_py/market_data_providers/google_monitor.py,sha256=B08Aj1urL4M9hVUfjubVwTsFhfsj5-eFaf36lYqZ8-o,14028
+siglab_py/market_data_providers/orderbooks_provider.py,sha256=b1XgPVSTU3y0Dxm5DOKjeldK-0ZrP15_iG3fzjBBBG8,16376
+siglab_py/market_data_providers/tg_monitor.py,sha256=LY4oRm5qQ_XiuLk0RMVDc0Vdsi6CKE6O9hgeGm3VXBM,21995
+siglab_py/market_data_providers/trigger_provider.py,sha256=b9B1RSBI8bFyGsM4DVXhEY8w08iTy8sPZkTqoy72VJE,2505
+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=U_M-jPrPYOTO_sU0bMVkO5ruNXge5vek8yUGa8jaE-g,1349
+siglab_py/ordergateway/gateway.py,sha256=KAulWLZf8UYFo0esWwb4H8NmGnylkkckx4xBcF6-IZQ,47343
+siglab_py/ordergateway/test_ordergateway.py,sha256=4PE2flp_soGcD3DrI7zJOzZndjkb6I5XaDrFNNq4Huo,4009
+siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+siglab_py/tests/integration/market_data_util_tests.py,sha256=h6KQytMFj3et54sY-r58fYWazfCxCrscjJqkHfgEs5g,8762
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+siglab_py/util/datetime_util.py,sha256=3yijKKhnvC1vJME-NsZxFn6hu2ogLsTlXdt2DoIyQVw,1590
+siglab_py/util/market_data_util.py,sha256=ReutR6IjL7kyNKwftB-RMu5P9DUfVD0UHgzS-qwaHEk,36341
+siglab_py/util/notification_util.py,sha256=tNZMUkkjz4q1CKqcQq62oEmZgHgNIwz2Iw9J22V22Zw,2668
+siglab_py/util/retry_util.py,sha256=Y244NHoN7eJoQWn7MStRz1BtLz6B61MZHAGhJ8gg2b8,1108
+siglab_py/util/simple_math.py,sha256=PmSEwDvbnUIKS-ACY6wpO2vyMFFq5ZMIWmrcI15VoM8,9407
+siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
+siglab_py/util/trading_util.py,sha256=dlIOzoMGnddLSFODcJ61EBH1Aeruq4IT2MsxIdFkV9I,5252
+siglab_py-0.6.18.dist-info/METADATA,sha256=sxecpcSMw1HACVmeVgjuo0SUWhpAcq_hvvLRb5JmUXg,829
+siglab_py-0.6.18.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+siglab_py-0.6.18.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.6.18.dist-info/RECORD,,

{siglab_py-0.5.66.dist-info → siglab_py-0.6.18.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (78.1.1)
+Generator: setuptools (80.9.0)
 Root-Is-Purelib: true
 Tag: py3-none-any
 

siglab_py-0.5.66.dist-info/RECORD

@@ -1,41 +0,0 @@
-siglab_py/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/constants.py,sha256=atSjvM0wv_f1wrzWHE0DcbUn6fqLmg-51BpfMJR1QB4,547
-siglab_py/exchanges/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/exchanges/any_exchange.py,sha256=Y-zue75ZSmu9Ga1fONbjBGLNH5pDHQI01hCSjuLBkAk,889
-siglab_py/exchanges/futubull.py,sha256=i0jNgl9BGJvgEIDeOkTfD52FaK77vX8axCKNYwJHwSI,21144
-siglab_py/market_data_providers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=FZRobEBNRzcNGlOG3u38OVhmOZYlkNm8dVvR-S7Ii2g,23342
-siglab_py/market_data_providers/candles_provider.py,sha256=fqHJjlECsBiBlpgyywrc4gTgxiROPNzZM8KxQBB5cOg,14139
-siglab_py/market_data_providers/candles_ta_provider.py,sha256=uiAhbEZZdTF-YulBHpSLwabos5LHCKU91NTiTmpUc0w,12001
-siglab_py/market_data_providers/ccxt_candles_ta_to_csv.py,sha256=DHj51QTbkCmEd9RFNVhWWpsSPz1aLd6zTLqkUUbEkK0,11158
-siglab_py/market_data_providers/deribit_options_expiry_provider.py,sha256=e9Ee8TmC8pXaid8-jouSLKIpuW6_JBBgwRTieI665yQ,8684
-siglab_py/market_data_providers/futu_candles_ta_to_csv.py,sha256=SCWlI_mOuErpGP8Kxh5WKEoff9cqqxO19oLFLd04bTs,10964
-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=lRqONP0JAP223gyX37R-wCkhyGFKTvKkgmeDNoO3ay4,21813
-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=U_M-jPrPYOTO_sU0bMVkO5ruNXge5vek8yUGa8jaE-g,1349
-siglab_py/ordergateway/gateway.py,sha256=Z-BQ-Z9gXoNrKQHzRIy9R1mnCybf9QwWhHpqkSI7bBM,43901
-siglab_py/ordergateway/test_ordergateway.py,sha256=4PE2flp_soGcD3DrI7zJOzZndjkb6I5XaDrFNNq4Huo,4009
-siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/tests/integration/market_data_util_tests.py,sha256=p-RWIJZLyj0lAdfi4QTIeAttCm_e8mEVWFKh4OWuogU,7189
-siglab_py/tests/unit/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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-siglab_py/util/analytic_util.py,sha256=0PcWMP8ZNYzDBMvFViwGetAbUZIwCQq3iX2iJYKOxyI,61859
-siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
-siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLiQWRlU,31307
-siglab_py/util/notification_util.py,sha256=tNZMUkkjz4q1CKqcQq62oEmZgHgNIwz2Iw9J22V22Zw,2668
-siglab_py/util/retry_util.py,sha256=g-UU6pkPouWZZRZEqP99R2Z0lX5xzckYkzjwqqSDpVQ,922
-siglab_py/util/simple_math.py,sha256=F7vGj0O2Y9EAGcMFR6SN1tTjBWO_a7YZeiTzk3eHaVI,8518
-siglab_py/util/slack_notification_util.py,sha256=G27n-adbT3Q6oaHSMvu_Nom794rrda5PprSF-zvmzkM,1912
-siglab_py/util/trading_util.py,sha256=dlIOzoMGnddLSFODcJ61EBH1Aeruq4IT2MsxIdFkV9I,5252
-siglab_py-0.5.66.dist-info/METADATA,sha256=21-GAJelrVLQfGm_ZugZPVHnFpsFyz3xEtdgbaUyTyY,829
-siglab_py-0.5.66.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-siglab_py-0.5.66.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.66.dist-info/RECORD,,