siglab-py 0.5.68__py3-none-any.whl → 0.5.70__py3-none-any.whl

siglab_py/tests/unit/analytic_util_tests.py

@@ -70,7 +70,7 @@ class AnalyticUtilTests(unittest.TestCase):
             'rsi', 'rsi_bucket', 'ema_rsi', 'rsi_max', 'rsi_idmax', 'rsi_min', 'rsi_idmin', 'rsi_trend', 'rsi_trend_from_highs', 'rsi_trend_from_lows', 'rsi_divergence',
             'typical_price', 
             'money_flow', 'money_flow_positive', 'money_flow_negative', 'positive_flow_sum', 'negative_flow_sum', 'money_flow_ratio', 'mfi', 'mfi_bucket',
-            'macd', 'signal', 'macd_minus_signal', 
+            'macd', 'signal', 'macd_minus_signal', 'macd_cross', 'macd_bullish_cross_last_id', 'macd_bearish_cross_last_id', 'macd_cross_last',
             'fib_0.618_short_periods', 'fib_0.618_long_periods', 
             'gap_close_vs_ema', 'gap_close_vs_ema_percent',
             'close_above_or_below_ema', 

siglab_py/util/analytic_util.py

@@ -548,7 +548,36 @@ def compute_candles_stats(
     # https://www.youtube.com/watch?v=jmPCL3l08ss
     pd_candles['macd'] = pd_candles['ema_short_periods'] - pd_candles['ema_long_periods']
     pd_candles['signal'] = pd_candles['macd'].ewm(span=int(sliding_window_how_many_candles/slow_fast_interval_ratio), adjust=False).mean()
-    pd_candles['macd_minus_signal'] = pd_candles['macd'] - pd_candles['signal']
+    pd_candles['macd_minus_signal'] = pd_candles['macd'] - pd_candles['signal'] # MACD histogram
+    macd_cur = pd_candles['macd_minus_signal']
+    macd_prev = pd_candles['macd_minus_signal'].shift(1)
+    bullish_macd_crosses = (macd_prev < 0) & (macd_cur > 0)
+    bearish_macd_crosses = (macd_prev > 0) & (macd_cur < 0)
+    pd_candles.loc[bullish_macd_crosses, 'macd_cross'] = 1
+    pd_candles.loc[bearish_macd_crosses, 'macd_cross'] = -1
+    bullish_indices = pd.Series(pd_candles.index.where(pd_candles['macd_cross'] == 1), index=pd_candles.index).astype('Int64')
+    bearish_indices = pd.Series(pd_candles.index.where(pd_candles['macd_cross'] == -1), index=pd_candles.index).astype('Int64')
+    pd_candles['macd_bullish_cross_last_id'] = bullish_indices.rolling(window=pd_candles.shape[0], min_periods=1).max().astype('Int64')
+    pd_candles['macd_bearish_cross_last_id'] = bearish_indices.rolling(window=pd_candles.shape[0], min_periods=1).max().astype('Int64')
+    conditions = [
+        (pd_candles['macd_bullish_cross_last_id'].notna() & 
+        pd_candles['macd_bearish_cross_last_id'].notna() &
+        (pd_candles['macd_bullish_cross_last_id'] > pd_candles['macd_bearish_cross_last_id'])),
+        
+        (pd_candles['macd_bullish_cross_last_id'].notna() & 
+        pd_candles['macd_bearish_cross_last_id'].notna() &
+        (pd_candles['macd_bearish_cross_last_id'] > pd_candles['macd_bullish_cross_last_id'])),
+        
+        (pd_candles['macd_bullish_cross_last_id'].notna() & 
+        pd_candles['macd_bearish_cross_last_id'].isna()),
+        
+        (pd_candles['macd_bearish_cross_last_id'].notna() & 
+        pd_candles['macd_bullish_cross_last_id'].isna())
+    ]
+    choices = ['bullish', 'bearish', 'bullish', 'bearish']
+    pd_candles['macd_cross_last'] = np.select(conditions, choices, default=None) # type: ignore
+    pd_candles.loc[bullish_macd_crosses, 'macd_cross'] = 'bullish'
+    pd_candles.loc[bearish_macd_crosses, 'macd_cross'] = 'bearish'
 
     if not pypy_compat:
         calculate_slope(

siglab_py/util/market_data_util.py

@@ -426,6 +426,45 @@ 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,
@@ -472,7 +511,8 @@ def fetch_candles(
     validation_max_gaps : int = 10,
     validation_max_end_date_intervals : int = 1
 ) -> Dict[str, Union[pd.DataFrame, None]]:
-    
+    num_intervals = int(candle_size.replace(candle_size[-1],''))
+
     if end_ts>datetime.now().timestamp():
         end_ts = int(datetime.now().timestamp())
 
@@ -501,6 +541,8 @@ 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
+                if num_intervals!=1:
+                    exchange_candles[symbol] = aggregate_candles(candle_size, pd_candles)
         return exchange_candles
     elif issubclass(exchange.__class__, CcxtExchange):
         return _fetch_candles_ccxt(
@@ -547,6 +589,8 @@ def _fetch_candles_ccxt(
 
     rsp = {}
 
+    num_intervals = int(candle_size.replace(candle_size[-1],''))
+
     exchange.load_markets()
     
     num_tickers = len(normalized_symbols)
@@ -563,7 +607,7 @@ 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
@@ -609,6 +653,9 @@ def _fetch_candles_ccxt(
         fix_column_types(pd_all_candles)
         pd_all_candles['pct_chg_on_close'] = pd_all_candles['close'].pct_change()
 
+        if num_intervals!=1:
+            pd_all_candles = aggregate_candles(candle_size, pd_all_candles)
+
         rsp[ticker] = pd_all_candles
 
         i+=1

{siglab_py-0.5.68.dist-info → siglab_py-0.5.70.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: siglab_py
-Version: 0.5.68
+Version: 0.5.70
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.68.dist-info → siglab_py-0.5.70.dist-info}/RECORD

@@ -22,20 +22,20 @@ 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
-siglab_py/tests/unit/analytic_util_tests.py,sha256=90tC5wjaYtoma3DGwkQF7akAKkZ0R1LGDL8Jwna2TFg,5834
+siglab_py/tests/unit/analytic_util_tests.py,sha256=wbasww0ZN9Kb-6e8V_q4o4hpstzVBvQ6Bop_0HZQUtw,5926
 siglab_py/tests/unit/market_data_util_tests.py,sha256=A1y83itISmMJdn6wLpfwcr4tGola8wTf1D1xbelMvgw,2026
 siglab_py/tests/unit/simple_math_tests.py,sha256=rWqq93W4Vlqmu0UeZCmSOfLirr0gPh2ASVIZ8O77qXY,9653
 siglab_py/tests/unit/trading_util_tests.py,sha256=LiflZrduWXyLMbpSFQCaydA7jdJx3vFR-3KuKRRGhjQ,2927
 siglab_py/util/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/util/analytic_util.py,sha256=0PcWMP8ZNYzDBMvFViwGetAbUZIwCQq3iX2iJYKOxyI,61859
+siglab_py/util/analytic_util.py,sha256=ywp-VI8UlmoYVej2SaJMrOyheFwyh9KVjsnfw55dpMU,63785
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
-siglab_py/util/market_data_util.py,sha256=mUXg4uaiX3b6_klgJWIEgnUQU4IUd6CwTOqKLiQWRlU,31307
+siglab_py/util/market_data_util.py,sha256=o0OAqv5ZLEvtvg2WvkUu7ZIs7Qa-ARc1JNaFJgDuC0o,32800
 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-0.5.68.dist-info/METADATA,sha256=nRNrR6x8eARAQnZjwP2tT9ub_CGicL3pAy1z67FRm64,829
-siglab_py-0.5.68.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
-siglab_py-0.5.68.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.5.68.dist-info/RECORD,,
+siglab_py-0.5.70.dist-info/METADATA,sha256=R2s8me8ZPbvgMENhVN-niWA2JWcXWSzbPXFoaign4X4,829
+siglab_py-0.5.70.dist-info/WHEEL,sha256=lTU6B6eIfYoiQJTZNc-fyaR6BpL6ehTzU3xGYxn2n8k,91
+siglab_py-0.5.70.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.5.70.dist-info/RECORD,,