Put fsp plotting into a couple tasks, startup speedups.
Break the chart update code for fsps into a new task (add a nursery) in new `spawn_fsps` (was `chart_from_fsps`) that async requests actor spawning and initial historical data (all CPU bound work). For multiple fsp subcharts this allows processing initial output in parallel (multi-core). We might want to wrap this in a "feed" like api eventually. Basically the fsp startup sequence is now: - start all requested fsp actors in an async loop and wait for historical data to arrive - loop through them all again to start update tasks which do chart graphics rendering Add separate x-axis objects for each new subchart (required by pyqtgraph); still need to fix hiding unnecessary ones. Add a `ChartPlotWidget._arrays: dict` for holding overlay data distinct from ohlc. Drop the sizing yrange to label heights for now since it's pretty much all gone to hell since adding L1 labels. Fix y-stickies to look up correct overly arrays.vwap_backup
Tyler Goodlet
parent
e76eb790f1
commit
0ab0957c6e
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@ -184,11 +184,6 @@ class LinkedSplitCharts(QtGui.QWidget):
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orientation='bottom',
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linked_charts=self
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)
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self.xaxis_ind = DynamicDateAxis(
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orientation='bottom',
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linked_charts=self
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)
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# if _xaxis_at == 'bottom':
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# self.xaxis.setStyle(showValues=False)
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# self.xaxis.hide()
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@ -274,7 +269,12 @@ class LinkedSplitCharts(QtGui.QWidget):
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cv.linked_charts = self
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# use "indicator axis" by default
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xaxis = self.xaxis_ind if xaxis is None else xaxis
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if xaxis is None:
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xaxis = DynamicDateAxis(
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orientation='bottom',
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linked_charts=self
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)
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cpw = ChartPlotWidget(
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array=array,
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parent=self.splitter,
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@ -286,6 +286,8 @@ class LinkedSplitCharts(QtGui.QWidget):
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cursor=self._ch,
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**cpw_kwargs,
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)
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cv.chart = cpw
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# this name will be used to register the primary
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# graphics curve managed by the subchart
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cpw.name = name
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@ -357,6 +359,7 @@ class ChartPlotWidget(pg.PlotWidget):
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)
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# self.setViewportMargins(0, 0, 0, 0)
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self._array = array # readonly view of data
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self._arrays = {} # readonly view of overlays
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self._graphics = {} # registry of underlying graphics
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self._overlays = {} # registry of overlay curves
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self._labels = {} # registry of underlying graphics
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@ -389,11 +392,19 @@ class ChartPlotWidget(pg.PlotWidget):
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def last_bar_in_view(self) -> bool:
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self._array[-1]['index']
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def update_contents_labels(self, index: int) -> None:
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def update_contents_labels(
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self,
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index: int,
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# array_name: str,
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) -> None:
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if index >= 0 and index < len(self._array):
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array = self._array
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for name, (label, update) in self._labels.items():
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if name is self.name :
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array = self._array
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else:
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array = self._arrays[name]
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update(index, array)
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def _set_xlimits(
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@ -477,7 +488,7 @@ class ChartPlotWidget(pg.PlotWidget):
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label = ContentsLabel(chart=self, anchor_at=('top', 'left'))
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self._labels[name] = (label, partial(label.update_from_ohlc, name))
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label.show()
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self.update_contents_labels(len(data) - 1)
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self.update_contents_labels(len(data) - 1) #, name)
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self._add_sticky(name)
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@ -512,6 +523,7 @@ class ChartPlotWidget(pg.PlotWidget):
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if overlay:
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anchor_at = ('bottom', 'right')
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self._overlays[name] = curve
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self._arrays[name] = data
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else:
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anchor_at = ('top', 'right')
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@ -523,7 +535,7 @@ class ChartPlotWidget(pg.PlotWidget):
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label = ContentsLabel(chart=self, anchor_at=anchor_at)
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self._labels[name] = (label, partial(label.update_from_value, name))
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label.show()
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self.update_contents_labels(len(data) - 1)
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self.update_contents_labels(len(data) - 1) #, name)
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if self._cursor:
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self._cursor.add_curve_cursor(self, curve)
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@ -556,9 +568,7 @@ class ChartPlotWidget(pg.PlotWidget):
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"""Update the named internal graphics from ``array``.
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"""
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if name not in self._overlays:
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self._array = array
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graphics = self._graphics[name]
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graphics.update_from_array(array, **kwargs)
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return graphics
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@ -574,6 +584,8 @@ class ChartPlotWidget(pg.PlotWidget):
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"""
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if name not in self._overlays:
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self._array = array
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else:
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self._arrays[name] = array
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curve = self._graphics[name]
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# TODO: we should instead implement a diff based
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@ -644,39 +656,42 @@ class ChartPlotWidget(pg.PlotWidget):
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ylow = np.nanmin(bars['low'])
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yhigh = np.nanmax(bars['high'])
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except (IndexError, ValueError):
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# must be non-ohlc array?
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# likely non-ohlc array?
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bars = bars[self.name]
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ylow = np.nanmin(bars)
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yhigh = np.nanmax(bars)
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# view margins: stay within a % of the "true range"
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diff = yhigh - ylow
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ylow = ylow - (diff * 0.04)
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# yhigh = yhigh + (diff * 0.01)
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yhigh = yhigh + (diff * 0.04)
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# compute contents label "height" in view terms
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# to avoid having data "contents" overlap with them
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if self._labels:
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label = self._labels[self.name][0]
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# # compute contents label "height" in view terms
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# # to avoid having data "contents" overlap with them
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# if self._labels:
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# label = self._labels[self.name][0]
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rect = label.itemRect()
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tl, br = rect.topLeft(), rect.bottomRight()
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vb = self.plotItem.vb
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# rect = label.itemRect()
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# tl, br = rect.topLeft(), rect.bottomRight()
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# vb = self.plotItem.vb
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try:
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# on startup labels might not yet be rendered
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top, bottom = (vb.mapToView(tl).y(), vb.mapToView(br).y())
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# try:
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# # on startup labels might not yet be rendered
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# top, bottom = (vb.mapToView(tl).y(), vb.mapToView(br).y())
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# XXX: magic hack, how do we compute exactly?
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label_h = (top - bottom) * 0.42
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# # XXX: magic hack, how do we compute exactly?
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# label_h = (top - bottom) * 0.42
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except np.linalg.LinAlgError:
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label_h = 0
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else:
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label_h = 0
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# except np.linalg.LinAlgError:
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# label_h = 0
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# else:
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# label_h = 0
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# print(f'label height {self.name}: {label_h}')
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# # print(f'label height {self.name}: {label_h}')
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if label_h > yhigh - ylow:
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# if label_h > yhigh - ylow:
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# label_h = 0
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# print(f"bounds (ylow, yhigh): {(ylow, yhigh)}")
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label_h = 0
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self.setLimits(
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@ -715,9 +730,6 @@ async def _async_main(
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# chart_app.init_search()
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# from ._exec import get_screen
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# screen = get_screen(chart_app.geometry().bottomRight())
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# XXX: bug zone if you try to ctl-c after this we get hangs again?
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# wtf...
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# await tractor.breakpoint()
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@ -749,13 +761,28 @@ async def _async_main(
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chart._set_yrange()
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# eventually we'll support some kind of n-compose syntax
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fsp_conf = {
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'vwap': {
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'overlay': True,
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'anchor': 'session',
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},
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'rsi': {
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'period': 14,
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'chart_kwargs': {
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'static_yrange': (0, 100),
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},
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},
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}
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async with trio.open_nursery() as n:
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# load initial fsp chain (otherwise known as "indicators")
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n.start_soon(
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chart_from_fsp,
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spawn_fsps,
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linked_charts,
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'rsi', # eventually will be n-compose syntax
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fsp_conf,
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sym,
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ohlcv,
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brokermod,
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@ -800,6 +827,7 @@ async def chart_from_quotes(
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vwap_in_history: bool = False,
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) -> None:
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"""The 'main' (price) chart real-time update loop.
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"""
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# TODO: bunch of stuff:
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# - I'm starting to think all this logic should be
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@ -836,6 +864,14 @@ async def chart_from_quotes(
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size_digits=min(float_digits(volume), 3)
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)
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# TODO:
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# - in theory we should be able to read buffer data faster
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# then msgs arrive.. needs some tinkering and testing
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# - if trade volume jumps above / below prior L1 price
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# levels this might be dark volume we need to
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# present differently?
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async for quotes in stream:
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for sym, quote in quotes.items():
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# print(f'CHART: {quote}')
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@ -862,19 +898,9 @@ async def chart_from_quotes(
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array,
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)
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if vwap_in_history:
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# update vwap overlay line
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chart.update_curve_from_array('vwap', ohlcv.array)
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# TODO:
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# - eventually we'll want to update bid/ask labels
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# and other data as subscribed by underlying UI
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# consumers.
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# - in theory we should be able to read buffer data faster
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# then msgs arrive.. needs some tinkering and testing
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# if trade volume jumps above / below prior L1 price
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# levels adjust bid / ask lines to match
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# if vwap_in_history:
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# # update vwap overlay line
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# chart.update_curve_from_array('vwap', ohlcv.array)
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# compute max and min trade values to display in view
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# TODO: we need a streaming minmax algorithm here, see
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@ -910,7 +936,7 @@ async def chart_from_quotes(
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l1.bid_label.update_from_data(0, price)
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# update min price in view to keep bid on screen
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mn_in_view = max(price, mn_in_view)
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mn_in_view = min(price, mn_in_view)
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if mx_in_view > last_mx or mn_in_view < last_mn:
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chart._set_yrange(yrange=(mn_in_view, mx_in_view))
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@ -923,9 +949,10 @@ async def chart_from_quotes(
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last_bars_range = brange
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async def chart_from_fsp(
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linked_charts,
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fsp_func_name,
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async def spawn_fsps(
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linked_charts: LinkedSplitCharts,
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# fsp_func_name,
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fsps: Dict[str, str],
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sym,
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src_shm,
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brokermod,
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@ -934,8 +961,21 @@ async def chart_from_fsp(
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"""Start financial signal processing in subactor.
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Pass target entrypoint and historical data.
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"""
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name = f'fsp.{fsp_func_name}'
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# spawns sub-processes which execute cpu bound FSP code
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async with tractor.open_nursery() as n:
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# spawns local task that consume and chart data streams from
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# sub-procs
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async with trio.open_nursery() as ln:
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# Currently we spawn an actor per fsp chain but
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# likely we'll want to pool them eventually to
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# scale horizonatlly once cores are used up.
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for fsp_func_name, conf in fsps.items():
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display_name = f'fsp.{fsp_func_name}'
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# TODO: load function here and introspect
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# return stream type(s)
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@ -943,9 +983,9 @@ async def chart_from_fsp(
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# TODO: should `index` be a required internal field?
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fsp_dtype = np.dtype([('index', int), (fsp_func_name, float)])
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async with tractor.open_nursery() as n:
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key = f'{sym}.' + name
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key = f'{sym}.' + display_name
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# this is all sync currently
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shm, opened = maybe_open_shm_array(
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key,
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# TODO: create entry for each time frame
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@ -957,19 +997,28 @@ async def chart_from_fsp(
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# now until we figure out how to wrap fsps as "feeds".
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assert opened, f"A chart for {key} likely already exists?"
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# start fsp sub-actor
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conf['shm'] = shm
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# spawn closure, can probably define elsewhere
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async def spawn_fsp_daemon(
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fsp_name,
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conf,
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):
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"""Start an fsp subactor async.
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"""
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portal = await n.run_in_actor(
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# name as title of sub-chart
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name,
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display_name,
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# subactor entrypoint
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fsp.cascade,
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brokername=brokermod.name,
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src_shm_token=src_shm.token,
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dst_shm_token=shm.token,
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dst_shm_token=conf['shm'].token,
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symbol=sym,
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fsp_func_name=fsp_func_name,
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fsp_func_name=fsp_name,
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# tractor config
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loglevel=loglevel,
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@ -981,6 +1030,50 @@ async def chart_from_fsp(
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# data-array as first msg
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_ = await stream.receive()
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conf['stream'] = stream
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conf['portal'] = portal
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# new local task
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ln.start_soon(
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spawn_fsp_daemon,
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fsp_func_name,
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conf,
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)
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# blocks here until all daemons up
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# start and block on update loops
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async with trio.open_nursery() as ln:
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for fsp_func_name, conf in fsps.items():
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ln.start_soon(
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update_signals,
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linked_charts,
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fsp_func_name,
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conf,
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)
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async def update_signals(
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linked_charts: LinkedSplitCharts,
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fsp_func_name: str,
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conf: Dict[str, Any],
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) -> None:
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"""FSP stream chart update loop.
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"""
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shm = conf['shm']
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if conf.get('overlay'):
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chart = linked_charts.chart
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chart.draw_curve(
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name='vwap',
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data=shm.array,
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overlay=True,
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)
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last_val_sticky = None
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else:
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chart = linked_charts.add_plot(
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name=fsp_func_name,
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array=shm.array,
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@ -989,11 +1082,15 @@ async def chart_from_fsp(
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ohlc=False,
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# settings passed down to ``ChartPlotWidget``
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static_yrange=(0, 100),
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**conf.get('chart_kwargs', {})
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# static_yrange=(0, 100),
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)
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# display contents labels asap
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chart.update_contents_labels(len(shm.array) - 1)
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chart.update_contents_labels(
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len(shm.array) - 1,
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# fsp_func_name
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)
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array = shm.array
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value = array[fsp_func_name][-1]
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@ -1021,11 +1118,14 @@ async def chart_from_fsp(
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chart._shm = shm
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chart._set_yrange()
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stream = conf['stream']
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# update chart graphics
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async for value in stream:
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# p = pg.debug.Profiler(disabled=False, delayed=False)
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array = shm.array
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value = array[-1][fsp_func_name]
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if last_val_sticky:
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last_val_sticky.update_from_data(-1, value)
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chart.update_curve_from_array(fsp_func_name, array)
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# p('rendered rsi datum')
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@ -1081,11 +1181,16 @@ async def check_for_new_bars(feed, ohlcv, linked_charts):
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for name, curve in price_chart._overlays.items():
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# TODO: standard api for signal lookups per plot
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if name in price_chart._array.dtype.fields:
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price_chart.update_curve_from_array(
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name,
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price_chart._arrays[name]
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)
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# should have already been incremented above
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price_chart.update_curve_from_array(name, price_chart._array)
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# # TODO: standard api for signal lookups per plot
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# if name in price_chart._array.dtype.fields:
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# # should have already been incremented above
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# price_chart.update_curve_from_array(name, price_chart._array)
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for name, chart in linked_charts.subplots.items():
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chart.update_curve_from_array(chart.name, chart._shm.array)
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|
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Loading…
Reference in New Issue