siglab-py 0.5.9__tar.gz → 0.5.11__tar.gz

{siglab_py-0.5.9 → siglab_py-0.5.11}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab_py
-Version: 0.5.9
+Version: 0.5.11
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.5.9 → siglab_py-0.5.11}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.5.9"
+version = "0.5.11"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.5.9 → siglab_py-0.5.11}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.5.9
+version = 0.5.11
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.5.9 → siglab_py-0.5.11}/siglab_py/tests/unit/trading_util_tests.py

@@ -62,4 +62,25 @@ class TradingUtilTests(unittest.TestCase):
             pnl_percent_notional = pnl_percent_notional,
             default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
         )
-        assert(effective_tp_trailing_percent==0) # Most tight trailing SL
+        assert(effective_tp_trailing_percent==0) # Most tight trailing SL
+
+    def test_round_to_level(self):
+        prices = [ 
+            { 'price' : 15080, 'rounded' : 15000}, 
+            { 'price' : 15180, 'rounded' : 15200}, 
+            { 'price' : 25080, 'rounded' : 25200}, 
+            { 'price' : 25180, 'rounded' : 25200}, 
+            { 'price' : 25380, 'rounded' : 25500}, 
+            { 'price' : 95332, 'rounded' : 95000}, 
+            { 'price' : 95878, 'rounded' : 96000}, 
+            { 'price' : 103499, 'rounded' : 103000}, 
+            { 'price' : 103500, 'rounded' : 104000}, 
+            { 'price' : 150800, 'rounded' : 150000}, 
+            { 'price' : 151800, 'rounded' : 152000}
+        ]
+        for entry in prices:
+            price = entry['price']
+            expected = entry['rounded']
+            rounded_price = round_to_level(price, level_granularity=0.01)
+            print(f"{price} rounded to: {rounded_price}")
+            assert(rounded_price==expected)

{siglab_py-0.5.9 → siglab_py-0.5.11}/siglab_py/util/trading_util.py

@@ -1,3 +1,4 @@
+import math
 
 '''
 pnl_percent_notional = Trade's current pnl in percent.
@@ -95,14 +96,35 @@ def calc_eff_trailing_sl(
 												)
         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
-										)
+        if y_shift!=0:
+            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
+                                            )
+        else:
+            '''
+            y_shift = 0 when tp_max_percent==tp_min_percent.
+            If default_effective_tp_trailing_percent==float('inf'), essentially it means trailing stops won't fire.
+            Client side needs handle this.
+            '''
+            effective_tp_trailing_percent = default_effective_tp_trailing_percent
+
     return effective_tp_trailing_percent
+
+# https://norman-lm-fung.medium.com/levels-are-psychological-7176cdefb5f2
+def round_to_level(
+            price : float,
+            level_granularity : float = 0.01
+        ) -> float:
+    level_size = price * level_granularity
+    magnitude = math.floor(math.log10(level_size))
+    base_increment = 10 ** magnitude
+    rounded_level_size = round(level_size / base_increment) * base_increment
+    rounded_price = round(price / rounded_level_size) * rounded_level_size
+    return rounded_price

{siglab_py-0.5.9 → siglab_py-0.5.11}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.5.9
+Version: 0.5.11
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>