tweaked imbalance and cumulative delta

TexasCoding · TexasCoding · commit 4014f1322dbc · 2025-07-25T14:17:18.000-05:00
diff --git a/README.md b/README.md
@@ -9,7 +9,7 @@ A **high-performance Python client** for the TopStepX ProjectX Gateway API, desi
 
 ## 📊 Project Status
 
-**Current Version**: v1.0.13 (Enhanced with Complete TA-Lib Overlap Indicators)
+**Current Version**: v1.0.14 (Enhanced with Complete TA-Lib Overlap Indicators)
 
 ✅ **Production Ready Features**:
 - Complete futures trading API integration with connection pooling
@@ -594,7 +594,7 @@ We welcome contributions! Please follow these guidelines:
 
 ## 📝 Changelog
 
-### Version 1.0.13 (Latest)
+### Version 1.0.14 (Latest)
 **🔄 Order-Position Synchronization & Enhanced Testing**
 - ✅ **Order-Position Sync**: Automatic synchronization between orders and positions
 - ✅ **Position Order Tracking**: Orders automatically tracked and associated with positions  
diff --git a/docs/conf.py b/docs/conf.py
@@ -24,8 +24,8 @@
 project = "project-x-py"
 copyright = "2025, Jeff West"
 author = "Jeff West"
-release = "1.0.13"
-version = "1.0.13"
+release = "1.0.14"
+version = "1.0.14"
 
 # -- General configuration ---------------------------------------------------
 
diff --git a/pyproject.toml b/pyproject.toml
@@ -1,6 +1,6 @@
 [project]
 name = "project-x-py"
-version = "1.0.13"
+version = "1.0.14"
 description = "Professional Python client for TopStepX ProjectX Gateway API - futures trading, real-time data, and market analysis"
 readme = "README.md"
 license = { text = "MIT" }
diff --git a/scripts/build.py b/scripts/build.py
@@ -5,7 +5,7 @@
 Usage:
     python scripts/build.py
     # Or with uv
-    uv run scripts/build.py
+    uv run scripts/build.pys
 """
 
 import subprocess
@@ -17,7 +17,9 @@ def run_command(cmd: str, description: str) -> bool:
     """Run a command and return success status."""
     print(f"🔄 {description}...")
     try:
-        result = subprocess.run(cmd, shell=True, check=True, capture_output=True, text=True)
+        result = subprocess.run(
+            cmd, shell=True, check=True, capture_output=True, text=True
+        )
         if result.stdout.strip():
             print(result.stdout)
         return True
@@ -31,32 +33,35 @@ def run_command(cmd: str, description: str) -> bool:
 def main():
     """Main build process with version synchronization."""
     print("🚀 Building project-x-py with version synchronization...")
-    
+
     # Ensure we're in the project root
     project_root = Path(__file__).parent.parent
     original_cwd = Path.cwd()
     try:
         import os
+
         os.chdir(project_root)
-        
+
         # Step 1: Sync versions
         if not run_command("python scripts/version_sync.py", "Synchronizing versions"):
             return 1
-        
+
         # Step 2: Clean previous builds
-        if not run_command("rm -rf dist/ build/ *.egg-info/", "Cleaning build artifacts"):
+        if not run_command(
+            "rm -rf dist/ build/ *.egg-info/", "Cleaning build artifacts"
+        ):
             print("⚠️  Clean failed, continuing...")
-        
+
         # Step 3: Build package
         if not run_command("uv build", "Building package"):
             return 1
-        
+
         print("✅ Build complete! Package ready in dist/")
         return 0
-        
+
     finally:
         os.chdir(original_cwd)
 
 
 if __name__ == "__main__":
-    sys.exit(main()) 
+    sys.exit(main())
diff --git a/scripts/version_sync.py b/scripts/version_sync.py
@@ -2,7 +2,7 @@
 """
 Version Synchronization Script for project-x-py
 
-This script ensures all version references are synchronized with the single 
+This script ensures all version references are synchronized with the single
 source of truth in src/project_x_py/__init__.py before building.
 
 Usage:
@@ -21,12 +21,12 @@ def get_version_from_init():
     init_file = Path("src/project_x_py/__init__.py")
     if not init_file.exists():
         raise FileNotFoundError(f"Cannot find {init_file}")
-    
+
     content = init_file.read_text()
     match = re.search(r'__version__ = ["\']([^"\']+)["\']', content)
     if not match:
         raise ValueError("Cannot find __version__ in __init__.py")
-    
+
     return match.group(1)
 
 
@@ -36,15 +36,15 @@ def update_pyproject_toml(version):
     if not pyproject_file.exists():
         print("⚠️  pyproject.toml not found, skipping")
         return False
-    
+
     content = pyproject_file.read_text()
     new_content = re.sub(
         r'^version = ["\'][^"\']+["\']',
         f'version = "{version}"',
         content,
-        flags=re.MULTILINE
+        flags=re.MULTILINE,
     )
-    
+
     if content != new_content:
         pyproject_file.write_text(new_content)
         print(f"✅ Updated pyproject.toml to version {version}")
@@ -60,14 +60,12 @@ def update_indicators_init(version):
     if not indicators_file.exists():
         print("⚠️  indicators/__init__.py not found, skipping")
         return False
-    
+
     content = indicators_file.read_text()
     new_content = re.sub(
-        r'__version__ = ["\'][^"\']+["\']',
-        f'__version__ = "{version}"',
-        content
+        r'__version__ = ["\'][^"\']+["\']', f'__version__ = "{version}"', content
     )
-    
+
     if content != new_content:
         indicators_file.write_text(new_content)
         print(f"✅ Updated indicators/__init__.py to version {version}")
@@ -83,31 +81,27 @@ def update_readme(version):
     if not readme_file.exists():
         print("⚠️  README.md not found, skipping")
         return False
-    
+
     content = readme_file.read_text()
     changes_made = False
-    
+
     # Update "Current Version" section
     new_content = re.sub(
-        r'\*\*Current Version\*\*: v[\d.]+',
-        f'**Current Version**: v{version}',
-        content
+        r"\*\*Current Version\*\*: v[\d.]+", f"**Current Version**: v{version}", content
     )
-    
+
     # Update changelog section
     new_content = re.sub(
-        r'### Version [\d.]+ \(Latest\)',
-        f'### Version {version} (Latest)',
-        new_content
+        r"### Version [\d.]+ \(Latest\)", f"### Version {version} (Latest)", new_content
     )
-    
+
     if content != new_content:
         readme_file.write_text(new_content)
         print(f"✅ Updated README.md to version {version}")
         changes_made = True
     else:
         print(f"✓  README.md already at version {version}")
-    
+
     return changes_made
 
 
@@ -117,19 +111,15 @@ def update_docs_conf(version):
     if not conf_file.exists():
         print("⚠️  docs/conf.py not found, skipping")
         return False
-    
+
     content = conf_file.read_text()
     new_content = re.sub(
-        r'release = ["\'][^"\']+["\']',
-        f'release = "{version}"',
-        content
+        r'release = ["\'][^"\']+["\']', f'release = "{version}"', content
     )
     new_content = re.sub(
-        r'version = ["\'][^"\']+["\']',
-        f'version = "{version}"',
-        new_content
+        r'version = ["\'][^"\']+["\']', f'version = "{version}"', new_content
     )
-    
+
     if content != new_content:
         conf_file.write_text(new_content)
         print(f"✅ Updated docs/conf.py to version {version}")
@@ -142,32 +132,32 @@ def update_docs_conf(version):
 def main():
     """Main synchronization process."""
     print("🔄 Synchronizing version numbers...")
-    
+
     try:
         # Get the authoritative version
         version = get_version_from_init()
         print(f"📋 Source version: {version}")
-        
+
         # Update all files
         changes = []
         changes.append(update_pyproject_toml(version))
         changes.append(update_indicators_init(version))
         changes.append(update_readme(version))
         changes.append(update_docs_conf(version))
-        
+
         # Summary
         if any(changes):
             print(f"\n✅ Version synchronization complete! All files now at v{version}")
             print("   Ready for: uv build")
         else:
             print(f"\n✓  All files already synchronized at v{version}")
-        
+
         return 0
-        
+
     except Exception as e:
         print(f"\n❌ Error during version sync: {e}")
         return 1
 
 
 if __name__ == "__main__":
-    sys.exit(main()) 
+    sys.exit(main())
diff --git a/src/project_x_py/__init__.py b/src/project_x_py/__init__.py
@@ -15,7 +15,7 @@
 
 from typing import Any, Optional
 
-__version__ = "1.0.13"
+__version__ = "1.0.14"
 __author__ = "TexasCoding"
 
 # Core client classes
diff --git a/src/project_x_py/indicators/__init__.py b/src/project_x_py/indicators/__init__.py
@@ -132,7 +132,7 @@
 )
 
 # Version info
-__version__ = "1.0.13"
+__version__ = "1.0.14"
 __author__ = "TexasCoding"
 
 
diff --git a/src/project_x_py/orderbook.py b/src/project_x_py/orderbook.py
@@ -1655,14 +1655,14 @@ def get_cumulative_delta(self, time_window_minutes: int = 30) -> dict[str, Any]:
                         }
                     )
 
-                # Determine trend
-                if cumulative_delta > 500:
+                # Determine trend with wider, less sensitive thresholds
+                if cumulative_delta > 5000:
                     trend = "strongly_bullish"
-                elif cumulative_delta > 100:
+                elif cumulative_delta > 1000:
                     trend = "bullish"
-                elif cumulative_delta < -500:
+                elif cumulative_delta < -5000:
                     trend = "strongly_bearish"
-                elif cumulative_delta < -100:
+                elif cumulative_delta < -1000:
                     trend = "bearish"
                 else:
                     trend = "neutral"
@@ -1687,7 +1687,7 @@ def get_cumulative_delta(self, time_window_minutes: int = 30) -> dict[str, Any]:
             self.logger.error(f"Error calculating cumulative delta: {e}")
             return {"cumulative_delta": 0, "error": str(e)}
 
-    def get_market_imbalance(self) -> dict[str, Any]:
+    def get_market_imbalance(self, levels: int = 10) -> dict[str, Any]:
         """
         Calculate market imbalance metrics from orderbook and trade flow.
 
@@ -1697,8 +1697,8 @@ def get_market_imbalance(self) -> dict[str, Any]:
         try:
             with self.orderbook_lock:
                 # Get top 10 levels for analysis
-                bids = self.get_orderbook_bids(10)
-                asks = self.get_orderbook_asks(10)
+                bids = self.get_orderbook_bids(levels)
+                asks = self.get_orderbook_asks(levels)
 
                 if len(bids) == 0 or len(asks) == 0:
                     return {
@@ -1742,17 +1742,32 @@ def get_market_imbalance(self) -> dict[str, Any]:
                     ) / trade_flow["total_volume"]
 
                 # Determine direction and confidence
-                # 🧪 TEMPORARY: Lower thresholds for low-volatility debugging
-                # Normal: 0.3, Debug: 0.05 (much more sensitive)
-                bullish_threshold = 0.05  # Was 0.3
-                bearish_threshold = -0.05  # Was -0.3
+                # Production thresholds for better signal quality
+                bullish_threshold = (
+                    0.15  # Moderate threshold (was 0.05 debug, 0.3 original)
+                )
+                bearish_threshold = (
+                    -0.15
+                )  # Moderate threshold (was -0.05 debug, -0.3 original)
 
                 if imbalance_ratio > bullish_threshold:
                     direction = "bullish"
-                    confidence = "high" if trade_imbalance > 0.2 else "medium"
+                    # Enhanced confidence logic
+                    if imbalance_ratio > 0.25 and trade_imbalance > 0.2:
+                        confidence = "high"
+                    elif imbalance_ratio > 0.2 or trade_imbalance > 0.15:
+                        confidence = "medium"
+                    else:
+                        confidence = "low"
                 elif imbalance_ratio < bearish_threshold:
                     direction = "bearish"
-                    confidence = "high" if trade_imbalance < -0.2 else "medium"
+                    # Enhanced confidence logic
+                    if imbalance_ratio < -0.25 and trade_imbalance < -0.2:
+                        confidence = "high"
+                    elif imbalance_ratio < -0.2 or trade_imbalance < -0.15:
+                        confidence = "medium"
+                    else:
+                        confidence = "low"
                 else:
                     direction = "neutral"
                     confidence = "low"
@@ -1767,12 +1782,27 @@ def get_market_imbalance(self) -> dict[str, Any]:
                         "bid_ask_ratio": top_bid_volume / top_ask_volume
                         if top_ask_volume > 0
                         else float("inf"),
+                        "volume_concentration": (top_bid_volume + top_ask_volume)
+                        / (
+                            bids.select(pl.col("volume").sum()).item()
+                            + asks.select(pl.col("volume").sum()).item()
+                        )
+                        if (
+                            bids.select(pl.col("volume").sum()).item()
+                            + asks.select(pl.col("volume").sum()).item()
+                        )
+                        > 0
+                        else 0,
                     },
                     "trade_flow_metrics": {
                         "trade_imbalance": trade_imbalance,
                         "recent_buy_volume": trade_flow["buy_volume"],
                         "recent_sell_volume": trade_flow["sell_volume"],
+                        "buy_sell_ratio": trade_flow.get("buy_sell_ratio", 0),
+                        "trade_count": trade_flow.get("trade_count", 0),
                     },
+                    "signal_strength": abs(imbalance_ratio),
+                    "timestamp": datetime.now(self.timezone),
                 }
 
         except Exception as e:

Original file line number	Diff line number	Diff line change
`@@ -132,7 +132,7 @@`
`132`	`132`	`)`
`133`	`133`
`134`	`134`	`# Version info`
`135`		`-__version__ = "1.0.13"`
	`135`	`+__version__ = "1.0.14"`
`136`	`136`	`__author__ = "TexasCoding"`
`137`	`137`
`138`	`138`