piker/piker/fsp/__init__.py

# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship of piker0)

# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.

# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU Affero General Public License for more details.

# You should have received a copy of the GNU Affero General Public License
# along with this program.  If not, see <https://www.gnu.org/licenses/>.

'''
Fin-sig-proc for the peeps!

'''
from typing import AsyncIterator

import numpy as np

from ._engine import cascade

__all__ = ['cascade']


async def latency(
    source: 'TickStream[Dict[str, float]]',  # noqa
    ohlcv: np.ndarray
) -> AsyncIterator[np.ndarray]:
    """Latency measurements, broker to piker.
    """
    # TODO: do we want to offer yielding this async
    # before the rt data connection comes up?

    # deliver zeros for all prior history
    yield np.zeros(len(ohlcv))

    async for quote in source:
        ts = quote.get('broker_ts')
        if ts:
            # This is codified in the per-broker normalization layer
            # TODO: Add more measure points and diffs for full system
            # stack tracing.
            value = quote['brokerd_ts'] - quote['broker_ts']
            yield value