goodboy
GitHub
commit
14faf2d245
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@ -1042,6 +1042,7 @@ tick_types = {
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# https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume
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48: 'dark_trade',
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# standard L1 ticks
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0: 'bsize',
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1: 'bid',
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2: 'ask',
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@ -1049,6 +1050,12 @@ tick_types = {
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4: 'last',
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5: 'size',
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8: 'volume',
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# ``ib_insync`` already packs these into
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# quotes under the following fields.
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# 55: 'trades_per_min', # `'tradeRate'`
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# 56: 'vlm_per_min', # `'volumeRate'`
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# 89: 'shortable', # `'shortableShares'`
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}
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@ -1069,6 +1076,10 @@ def normalize(
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new_ticks.append(td)
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tbt = ticker.tickByTicks
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if tbt:
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print(f'tickbyticks:\n {ticker.tickByTicks}')
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ticker.ticks = new_ticks
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# some contracts don't have volume so we may want to calculate
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@ -1081,6 +1092,11 @@ def normalize(
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# serialize for transport
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data = asdict(ticker)
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# convert named tuples to dicts for transport
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tbts = data.get('tickByTicks')
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if tbts:
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data['tickByTicks'] = [tbt._asdict() for tbt in tbts]
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# add time stamps for downstream latency measurements
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data['brokerd_ts'] = time.time()
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@ -1263,7 +1279,18 @@ async def _setup_quote_stream(
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to_trio: trio.abc.SendChannel,
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symbol: str,
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opts: tuple[int] = ('375', '233', '236'),
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opts: tuple[int] = (
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'375', # RT trade volume (excludes utrades)
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'233', # RT trade volume (includes utrades)
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'236', # Shortable shares
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# these all appear to only be updated every 25s thus
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# making them mostly useless and explains why the scanner
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# is always slow XD
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# '293', # Trade count for day
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'294', # Trade rate / minute
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'295', # Vlm rate / minute
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),
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contract: Optional[Contract] = None,
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) -> trio.abc.ReceiveChannel:
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@ -1281,6 +1308,12 @@ async def _setup_quote_stream(
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contract = contract or (await client.find_contract(symbol))
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ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
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# NOTE: it's batch-wise and slow af but I guess could
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# be good for backchecking? Seems to be every 5s maybe?
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# ticker: Ticker = client.ib.reqTickByTickData(
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# contract, 'Last',
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# )
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# # define a simple queue push routine that streams quote packets
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# # to trio over the ``to_trio`` memory channel.
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# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
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@ -14,27 +14,67 @@
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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'''
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Stream format enforcement.
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"""
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from typing import AsyncIterator, Optional, Tuple
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import numpy as np
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'''
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from itertools import chain
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from typing import AsyncIterator
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def iterticks(
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quote: dict,
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types: Tuple[str] = ('trade', 'dark_trade'),
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types: tuple[str] = (
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'trade',
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'dark_trade',
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),
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deduplicate_darks: bool = False,
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) -> AsyncIterator:
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'''
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Iterate through ticks delivered per quote cycle.
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'''
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if deduplicate_darks:
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assert 'dark_trade' in types
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# print(f"{quote}\n\n")
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ticks = quote.get('ticks', ())
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trades = {}
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darks = {}
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if ticks:
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# do a first pass and attempt to remove duplicate dark
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# trades with the same tick signature.
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if deduplicate_darks:
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for tick in ticks:
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ttype = tick.get('type')
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time = tick.get('time', None)
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if time:
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sig = (
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time,
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tick['price'],
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tick['size']
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)
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if ttype == 'dark_trade':
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darks[sig] = tick
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elif ttype == 'trade':
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trades[sig] = tick
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# filter duplicates
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for sig, tick in trades.items():
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tick = darks.pop(sig, None)
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if tick:
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ticks.remove(tick)
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# print(f'DUPLICATE {tick}')
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# re-insert ticks
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ticks.extend(list(chain(trades.values(), darks.values())))
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for tick in ticks:
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# print(f"{quote['symbol']}: {tick}")
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ttype = tick.get('type')
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@ -252,7 +252,7 @@ async def sample_and_broadcast(
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try:
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stream.send_nowait((sym, quote))
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except trio.WouldBlock:
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ctx = getattr(sream, '_ctx', None)
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ctx = getattr(stream, '_ctx', None)
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if ctx:
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log.warning(
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f'Feed overrun {bus.brokername} ->'
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@ -371,7 +371,7 @@ async def uniform_rate_send(
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# we have a quote already so send it now.
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measured_rate = 1 / (time.time() - last_send)
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# measured_rate = 1 / (time.time() - last_send)
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# log.info(
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# f'`{sym}` throttled send hz: {round(measured_rate, ndigits=1)}'
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# )
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@ -18,9 +18,10 @@
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NumPy compatible shared memory buffers for real-time IPC streaming.
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"""
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from __future__ import annotations
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from dataclasses import dataclass, asdict
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from sys import byteorder
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from typing import List, Tuple, Optional
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from typing import Optional
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from multiprocessing.shared_memory import SharedMemory, _USE_POSIX
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from multiprocessing import resource_tracker as mantracker
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@ -29,6 +30,7 @@ if _USE_POSIX:
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import tractor
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import numpy as np
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from pydantic import BaseModel, validator
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from ..log import get_logger
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from ._source import base_iohlc_dtype
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@ -85,26 +87,34 @@ class SharedInt:
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shm_unlink(self._shm.name)
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@dataclass
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class _Token:
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"""Internal represenation of a shared memory "token"
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class _Token(BaseModel):
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'''
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Internal represenation of a shared memory "token"
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which can be used to key a system wide post shm entry.
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"""
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'''
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class Config:
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frozen = True
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shm_name: str # this servers as a "key" value
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shm_first_index_name: str
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shm_last_index_name: str
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dtype_descr: List[Tuple[str]]
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dtype_descr: tuple
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def __post_init__(self):
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# np.array requires a list for dtype
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self.dtype_descr = np.dtype(list(map(tuple, self.dtype_descr))).descr
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@property
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def dtype(self) -> np.dtype:
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return np.dtype(list(map(tuple, self.dtype_descr))).descr
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def as_msg(self):
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return asdict(self)
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return self.dict()
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@classmethod
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def from_msg(self, msg: dict) -> '_Token':
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return msg if isinstance(msg, _Token) else _Token(**msg)
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def from_msg(cls, msg: dict) -> _Token:
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if isinstance(msg, _Token):
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return msg
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msg['dtype_descr'] = tuple(map(tuple, msg['dtype_descr']))
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return _Token(**msg)
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# TODO: this api?
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@ -127,15 +137,17 @@ def _make_token(
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key: str,
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dtype: Optional[np.dtype] = None,
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) -> _Token:
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"""Create a serializable token that can be used
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'''
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Create a serializable token that can be used
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to access a shared array.
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"""
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'''
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dtype = base_iohlc_dtype if dtype is None else dtype
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return _Token(
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key,
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key + "_first",
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key + "_last",
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np.dtype(dtype).descr
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shm_name=key,
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shm_first_index_name=key + "_first",
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shm_last_index_name=key + "_last",
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dtype_descr=np.dtype(dtype).descr
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)
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@ -178,10 +190,10 @@ class ShmArray:
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@property
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def _token(self) -> _Token:
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return _Token(
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self._shm.name,
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self._first._shm.name,
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self._last._shm.name,
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self._array.dtype.descr,
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shm_name=self._shm.name,
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shm_first_index_name=self._first._shm.name,
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shm_last_index_name=self._last._shm.name,
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dtype_descr=tuple(self._array.dtype.descr),
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)
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@property
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@ -402,16 +414,19 @@ def open_shm_array(
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def attach_shm_array(
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token: Tuple[str, str, Tuple[str, str]],
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token: tuple[str, str, tuple[str, str]],
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size: int = _default_size,
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readonly: bool = True,
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) -> ShmArray:
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"""Attach to an existing shared memory array previously
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'''
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Attach to an existing shared memory array previously
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created by another process using ``open_shared_array``.
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No new shared mem is allocated but wrapper types for read/write
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access are constructed.
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"""
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'''
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token = _Token.from_msg(token)
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key = token.shm_name
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@ -422,7 +437,7 @@ def attach_shm_array(
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shm = SharedMemory(name=key)
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shmarr = np.ndarray(
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(size,),
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dtype=token.dtype_descr,
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dtype=token.dtype,
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buffer=shm.buf
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)
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shmarr.setflags(write=int(not readonly))
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@ -470,8 +485,10 @@ def maybe_open_shm_array(
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key: str,
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dtype: Optional[np.dtype] = None,
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**kwargs,
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) -> Tuple[ShmArray, bool]:
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"""Attempt to attach to a shared memory block using a "key" lookup
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) -> tuple[ShmArray, bool]:
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'''
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Attempt to attach to a shared memory block using a "key" lookup
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to registered blocks in the users overall "system" registry
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(presumes you don't have the block's explicit token).
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@ -485,7 +502,8 @@ def maybe_open_shm_array(
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If you know the explicit ``_Token`` for your memory segment instead
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use ``attach_shm_array``.
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"""
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'''
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try:
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# see if we already know this key
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token = _known_tokens[key]
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@ -567,7 +567,7 @@ async def open_feed(
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shm_token = data['shm_token']
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# XXX: msgspec won't relay through the tuples XD
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shm_token['dtype_descr'] = list(
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shm_token['dtype_descr'] = tuple(
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map(tuple, shm_token['dtype_descr']))
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assert shm_token == shm.token # sanity
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@ -40,6 +40,8 @@ from tractor.msg import NamespacePath
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from ..data._sharedmem import (
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ShmArray,
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maybe_open_shm_array,
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attach_shm_array,
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_Token,
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)
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from ..log import get_logger
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@ -72,6 +74,13 @@ class Fsp:
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# - custom function wrappers,
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# https://wrapt.readthedocs.io/en/latest/wrappers.html#custom-function-wrappers
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# actor-local map of source flow shm tokens
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# + the consuming fsp *to* the consumers output
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# shm flow.
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_flow_registry: dict[
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tuple[_Token, str], _Token,
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] = {}
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def __init__(
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self,
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func: Callable[..., Awaitable],
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@ -93,7 +102,7 @@ class Fsp:
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self.config: dict[str, Any] = config
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# register with declared set.
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_fsp_registry[self.ns_path] = func
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_fsp_registry[self.ns_path] = self
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@property
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def name(self) -> str:
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@ -111,6 +120,24 @@ class Fsp:
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):
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return self.func(*args, **kwargs)
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# TODO: lru_cache this? prettty sure it'll work?
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def get_shm(
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self,
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src_shm: ShmArray,
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) -> ShmArray:
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'''
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Provide access to allocated shared mem array
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for this "instance" of a signal processor for
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the given ``key``.
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'''
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dst_token = self._flow_registry[
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(src_shm._token, self.name)
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]
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shm = attach_shm_array(dst_token)
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return shm
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def fsp(
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wrapped=None,
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@ -132,18 +159,27 @@ def fsp(
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return Fsp(wrapped, outputs=(wrapped.__name__,))
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def mk_fsp_shm_key(
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sym: str,
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target: Fsp
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) -> str:
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uid = tractor.current_actor().uid
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return f'{sym}.fsp.{target.name}.{".".join(uid)}'
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def maybe_mk_fsp_shm(
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sym: str,
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target: fsp,
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target: Fsp,
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readonly: bool = True,
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|
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) -> (ShmArray, bool):
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) -> (str, ShmArray, bool):
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'''
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Allocate a single row shm array for an symbol-fsp pair if none
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exists, otherwise load the shm already existing for that token.
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'''
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uid = tractor.current_actor().uid
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assert isinstance(sym, str), '`sym` should be file-name-friendly `str`'
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# TODO: load output types from `Fsp`
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# - should `index` be a required internal field?
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|
|
@ -152,7 +188,7 @@ def maybe_mk_fsp_shm(
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[(field_name, float) for field_name in target.outputs]
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)
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key = f'{sym}.fsp.{target.name}.{".".join(uid)}'
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key = mk_fsp_shm_key(sym, target)
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shm, opened = maybe_open_shm_array(
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key,
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|
|
@ -160,4 +196,4 @@ def maybe_mk_fsp_shm(
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dtype=fsp_dtype,
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readonly=True,
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)
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return shm, opened
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return key, shm, opened
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||||
|
|
|
|||
|
|
@ -20,7 +20,10 @@ core task logic for processing chains
|
|||
'''
|
||||
from dataclasses import dataclass
|
||||
from functools import partial
|
||||
from typing import AsyncIterator, Callable, Optional
|
||||
from typing import (
|
||||
AsyncIterator, Callable, Optional,
|
||||
Union,
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||||
)
|
||||
|
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import numpy as np
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import pyqtgraph as pg
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||||
|
|
@ -34,8 +37,11 @@ from .. import data
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from ..data import attach_shm_array
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from ..data.feed import Feed
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from ..data._sharedmem import ShmArray
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from ._api import Fsp
|
||||
from ._api import _load_builtins
|
||||
from ._api import (
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||||
Fsp,
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||||
_load_builtins,
|
||||
_Token,
|
||||
)
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
|
@ -96,33 +102,74 @@ async def fsp_compute(
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|||
# to the async iterable? it's that or we do some kinda
|
||||
# async itertools style?
|
||||
filter_quotes_by_sym(symbol, quote_stream),
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||||
|
||||
# XXX: currently the ``ohlcv`` arg
|
||||
feed.shm,
|
||||
)
|
||||
|
||||
# Conduct a single iteration of fsp with historical bars input
|
||||
# and get historical output
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||||
history_output: Union[
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||||
dict[str, np.ndarray], # multi-output case
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||||
np.ndarray, # single output case
|
||||
]
|
||||
history_output = await out_stream.__anext__()
|
||||
|
||||
func_name = func.__name__
|
||||
profiler(f'{func_name} generated history')
|
||||
|
||||
# build struct array with an 'index' field to push as history
|
||||
history = np.zeros(
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||||
len(history_output),
|
||||
dtype=dst.array.dtype
|
||||
)
|
||||
|
||||
# TODO: push using a[['f0', 'f1', .., 'fn']] = .. syntax no?
|
||||
# if the output array is multi-field then push
|
||||
# each respective field.
|
||||
fields = getattr(history.dtype, 'fields', None)
|
||||
if fields:
|
||||
# await tractor.breakpoint()
|
||||
fields = getattr(dst.array.dtype, 'fields', None).copy()
|
||||
fields.pop('index')
|
||||
# TODO: nptyping here!
|
||||
history: Optional[np.ndarray] = None
|
||||
if fields and len(fields) > 1 and fields:
|
||||
if not isinstance(history_output, dict):
|
||||
raise ValueError(
|
||||
f'`{func_name}` is a multi-output FSP and should yield a '
|
||||
'`dict[str, np.ndarray]` for history'
|
||||
)
|
||||
|
||||
for key in fields.keys():
|
||||
if key in history.dtype.fields:
|
||||
history[func_name] = history_output
|
||||
if key in history_output:
|
||||
output = history_output[key]
|
||||
|
||||
if history is None:
|
||||
|
||||
if output is None:
|
||||
length = len(src.array)
|
||||
else:
|
||||
length = len(output)
|
||||
|
||||
# using the first output, determine
|
||||
# the length of the struct-array that
|
||||
# will be pushed to shm.
|
||||
history = np.zeros(
|
||||
length,
|
||||
dtype=dst.array.dtype
|
||||
)
|
||||
|
||||
if output is None:
|
||||
continue
|
||||
|
||||
history[key] = output
|
||||
|
||||
# single-key output stream
|
||||
else:
|
||||
if not isinstance(history_output, np.ndarray):
|
||||
raise ValueError(
|
||||
f'`{func_name}` is a single output FSP and should yield an '
|
||||
'`np.ndarray` for history'
|
||||
)
|
||||
history = np.zeros(
|
||||
len(history_output),
|
||||
dtype=dst.array.dtype
|
||||
)
|
||||
history[func_name] = history_output
|
||||
|
||||
# TODO: XXX:
|
||||
|
|
@ -197,6 +244,8 @@ async def cascade(
|
|||
|
||||
ns_path: NamespacePath,
|
||||
|
||||
shm_registry: dict[str, _Token],
|
||||
|
||||
zero_on_step: bool = False,
|
||||
loglevel: Optional[str] = None,
|
||||
|
||||
|
|
@ -219,9 +268,21 @@ async def cascade(
|
|||
log.info(
|
||||
f'Registered FSP set:\n{lines}'
|
||||
)
|
||||
func: Fsp = reg.get(
|
||||
|
||||
# update actor local flows table which registers
|
||||
# readonly "instances" of this fsp for symbol/source
|
||||
# so that consumer fsps can look it up by source + fsp.
|
||||
# TODO: ugh i hate this wind/unwind to list over the wire
|
||||
# but not sure how else to do it.
|
||||
for (token, fsp_name, dst_token) in shm_registry:
|
||||
Fsp._flow_registry[
|
||||
(_Token.from_msg(token), fsp_name)
|
||||
] = _Token.from_msg(dst_token)
|
||||
|
||||
fsp: Fsp = reg.get(
|
||||
NamespacePath(ns_path)
|
||||
)
|
||||
func = fsp.func
|
||||
|
||||
if not func:
|
||||
# TODO: assume it's a func target path
|
||||
|
|
|
|||
|
|
@ -170,6 +170,32 @@ def _wma(
|
|||
return np.convolve(signal, weights, 'valid')
|
||||
|
||||
|
||||
@fsp
|
||||
async def wma(
|
||||
|
||||
source, #: AsyncStream[np.ndarray],
|
||||
length: int,
|
||||
ohlcv: np.ndarray, # price time-frame "aware"
|
||||
|
||||
) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream?
|
||||
'''
|
||||
Streaming weighted moving average.
|
||||
|
||||
``weights`` is a sequence of already scaled values. As an example
|
||||
for the WMA often found in "techincal analysis":
|
||||
``weights = np.arange(1, N) * N*(N-1)/2``.
|
||||
|
||||
'''
|
||||
# deliver historical output as "first yield"
|
||||
yield _wma(ohlcv.array['close'], length)
|
||||
|
||||
# begin real-time section
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(quote, type='trade'):
|
||||
yield _wma(ohlcv.last(length))
|
||||
|
||||
|
||||
@fsp
|
||||
async def rsi(
|
||||
|
||||
|
|
@ -224,29 +250,3 @@ async def rsi(
|
|||
down_ema_last=last_down_ema_close,
|
||||
)
|
||||
yield rsi_out[-1:]
|
||||
|
||||
|
||||
@fsp
|
||||
async def wma(
|
||||
|
||||
source, #: AsyncStream[np.ndarray],
|
||||
length: int,
|
||||
ohlcv: np.ndarray, # price time-frame "aware"
|
||||
|
||||
) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream?
|
||||
'''
|
||||
Streaming weighted moving average.
|
||||
|
||||
``weights`` is a sequence of already scaled values. As an example
|
||||
for the WMA often found in "techincal analysis":
|
||||
``weights = np.arange(1, N) * N*(N-1)/2``.
|
||||
|
||||
'''
|
||||
# deliver historical output as "first yield"
|
||||
yield _wma(ohlcv.array['close'], length)
|
||||
|
||||
# begin real-time section
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(quote, type='trade'):
|
||||
yield _wma(ohlcv.last(length))
|
||||
|
|
|
|||
|
|
@ -22,17 +22,25 @@ from tractor.trionics._broadcast import AsyncReceiver
|
|||
from ._api import fsp
|
||||
from ..data._normalize import iterticks
|
||||
from ..data._sharedmem import ShmArray
|
||||
from ._momo import _wma
|
||||
from ..log import get_logger
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
# NOTE: is the same as our `wma` fsp, and if so which one is faster?
|
||||
# Ohhh, this is an IIR style i think? So it has an anchor point
|
||||
# effectively instead of a moving window/FIR style?
|
||||
def wap(
|
||||
|
||||
signal: np.ndarray,
|
||||
weights: np.ndarray,
|
||||
|
||||
) -> np.ndarray:
|
||||
"""Weighted average price from signal and weights.
|
||||
'''
|
||||
Weighted average price from signal and weights.
|
||||
|
||||
"""
|
||||
'''
|
||||
cum_weights = np.cumsum(weights)
|
||||
cum_weighted_input = np.cumsum(signal * weights)
|
||||
|
||||
|
|
@ -89,7 +97,10 @@ async def tina_vwap(
|
|||
# vwap_tot = h_vwap[-1]
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(quote, types=['trade']):
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
types=['trade'],
|
||||
):
|
||||
|
||||
# c, h, l, v = ohlcv.array[-1][
|
||||
# ['closes', 'high', 'low', 'volume']
|
||||
|
|
@ -107,8 +118,12 @@ async def tina_vwap(
|
|||
|
||||
|
||||
@fsp(
|
||||
outputs=('dolla_vlm', 'dark_vlm'),
|
||||
ohlc=False,
|
||||
outputs=(
|
||||
'dolla_vlm',
|
||||
'dark_vlm',
|
||||
'trade_count',
|
||||
'dark_trade_count',
|
||||
),
|
||||
curve_style='step',
|
||||
)
|
||||
async def dolla_vlm(
|
||||
|
|
@ -132,14 +147,24 @@ async def dolla_vlm(
|
|||
v = a['volume']
|
||||
|
||||
# on first iteration yield history
|
||||
yield chl3 * v
|
||||
yield {
|
||||
'dolla_vlm': chl3 * v,
|
||||
'dark_vlm': None,
|
||||
}
|
||||
|
||||
i = ohlcv.index
|
||||
output = vlm = 0
|
||||
dvlm = 0
|
||||
dvlm = vlm = 0
|
||||
dark_trade_count = trade_count = 0
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(quote):
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
types=(
|
||||
'trade',
|
||||
'dark_trade',
|
||||
),
|
||||
deduplicate_darks=True,
|
||||
):
|
||||
|
||||
# this computes tick-by-tick weightings from here forward
|
||||
size = tick['size']
|
||||
|
|
@ -148,24 +173,30 @@ async def dolla_vlm(
|
|||
li = ohlcv.index
|
||||
if li > i:
|
||||
i = li
|
||||
vlm = 0
|
||||
dvlm = 0
|
||||
trade_count = dark_trade_count = dvlm = vlm = 0
|
||||
|
||||
# TODO: for marginned instruments (futes, etfs?) we need to
|
||||
# show the margin $vlm by multiplying by whatever multiplier
|
||||
# is reported in the sym info.
|
||||
|
||||
ttype = tick.get('type')
|
||||
|
||||
if ttype == 'dark_trade':
|
||||
print(f'dark_trade: {tick}')
|
||||
key = 'dark_vlm'
|
||||
dvlm += price * size
|
||||
output = dvlm
|
||||
yield 'dark_vlm', dvlm
|
||||
|
||||
dark_trade_count += 1
|
||||
yield 'dark_trade_count', dark_trade_count
|
||||
|
||||
# print(f'{dark_trade_count}th dark_trade: {tick}')
|
||||
|
||||
else:
|
||||
key = 'dolla_vlm'
|
||||
# print(f'vlm: {tick}')
|
||||
vlm += price * size
|
||||
output = vlm
|
||||
yield 'dolla_vlm', vlm
|
||||
|
||||
trade_count += 1
|
||||
yield 'trade_count', trade_count
|
||||
|
||||
# TODO: plot both to compare?
|
||||
# c, h, l, v = ohlcv.last()[
|
||||
|
|
@ -174,4 +205,154 @@ async def dolla_vlm(
|
|||
# tina_lvlm = c+h+l/3 * v
|
||||
# print(f' tinal vlm: {tina_lvlm}')
|
||||
|
||||
yield key, output
|
||||
|
||||
@fsp(
|
||||
# TODO: eventually I guess we should support some kinda declarative
|
||||
# graphics config syntax per output yah? That seems like a clean way
|
||||
# to let users configure things? Not sure how exactly to offer that
|
||||
# api as well as how to expose such a thing *inside* the body?
|
||||
outputs=(
|
||||
# pulled verbatim from `ib` for now
|
||||
'1m_trade_rate',
|
||||
'1m_vlm_rate',
|
||||
|
||||
# our own instantaneous rate calcs which are all
|
||||
# parameterized by a samples count (bars) period
|
||||
'trade_rate',
|
||||
'dark_trade_rate',
|
||||
|
||||
'dvlm_rate',
|
||||
'dark_dvlm_rate',
|
||||
),
|
||||
curve_style='line',
|
||||
)
|
||||
async def flow_rates(
|
||||
source: AsyncReceiver[dict],
|
||||
ohlcv: ShmArray, # OHLC sampled history
|
||||
|
||||
# TODO (idea): a dynamic generic / boxing type that can be updated by other
|
||||
# FSPs, user input, and possibly any general event stream in
|
||||
# real-time. Hint: ideally implemented with caching until mutated
|
||||
# ;)
|
||||
period: 'Param[int]' = 6, # noqa
|
||||
|
||||
# TODO: support other means by providing a map
|
||||
# to weights `partial()`-ed with `wma()`?
|
||||
mean_type: str = 'arithmetic',
|
||||
|
||||
# TODO (idea): a generic for declaring boxed fsps much like ``pytest``
|
||||
# fixtures? This probably needs a lot of thought if we want to offer
|
||||
# a higher level composition syntax eventually (oh right gotta make
|
||||
# an issue for that).
|
||||
# ideas for how to allow composition / intercalling:
|
||||
# - offer a `Fsp.get_history()` to do the first yield output?
|
||||
# * err wait can we just have shm access directly?
|
||||
# - how would it work if some consumer fsp wanted to dynamically
|
||||
# change params which are input to the callee fsp? i guess we could
|
||||
# lazy copy in that case?
|
||||
# dvlm: 'Fsp[dolla_vlm]'
|
||||
|
||||
) -> AsyncIterator[
|
||||
tuple[str, Union[np.ndarray, float]],
|
||||
]:
|
||||
# generally no history available prior to real-time calcs
|
||||
yield {
|
||||
# from ib
|
||||
'1m_trade_rate': None,
|
||||
'1m_vlm_rate': None,
|
||||
|
||||
'trade_rate': None,
|
||||
'dark_trade_rate': None,
|
||||
|
||||
'dvlm_rate': None,
|
||||
'dark_dvlm_rate': None,
|
||||
}
|
||||
|
||||
# TODO: 3.10 do ``anext()``
|
||||
quote = await source.__anext__()
|
||||
|
||||
# ltr = 0
|
||||
# lvr = 0
|
||||
tr = quote.get('tradeRate')
|
||||
yield '1m_trade_rate', tr or 0
|
||||
vr = quote.get('volumeRate')
|
||||
yield '1m_vlm_rate', vr or 0
|
||||
|
||||
yield 'trade_rate', 0
|
||||
yield 'dark_trade_rate', 0
|
||||
yield 'dvlm_rate', 0
|
||||
yield 'dark_dvlm_rate', 0
|
||||
|
||||
# NOTE: in theory we could dynamically allocate a cascade based on
|
||||
# this call but not sure if that's too "dynamic" in terms of
|
||||
# validating cascade flows from message typing perspective.
|
||||
|
||||
# attach to ``dolla_vlm`` fsp running
|
||||
# on this same source flow.
|
||||
dvlm_shm = dolla_vlm.get_shm(ohlcv)
|
||||
|
||||
# precompute arithmetic mean weights (all ones)
|
||||
seq = np.full((period,), 1)
|
||||
weights = seq / seq.sum()
|
||||
|
||||
async for quote in source:
|
||||
if not quote:
|
||||
log.error("OH WTF NO QUOTE IN FSP")
|
||||
continue
|
||||
|
||||
# dvlm_wma = _wma(
|
||||
# dvlm_shm.array['dolla_vlm'],
|
||||
# period,
|
||||
# weights=weights,
|
||||
# )
|
||||
# yield 'dvlm_rate', dvlm_wma[-1]
|
||||
|
||||
if period > 1:
|
||||
trade_rate_wma = _wma(
|
||||
dvlm_shm.array['trade_count'],
|
||||
period,
|
||||
weights=weights,
|
||||
)
|
||||
trade_rate = trade_rate_wma[-1]
|
||||
# print(trade_rate)
|
||||
yield 'trade_rate', trade_rate
|
||||
else:
|
||||
# instantaneous rate per sample step
|
||||
count = dvlm_shm.array['trade_count'][-1]
|
||||
yield 'trade_rate', count
|
||||
|
||||
# TODO: skip this if no dark vlm is declared
|
||||
# by symbol info (eg. in crypto$)
|
||||
# dark_dvlm_wma = _wma(
|
||||
# dvlm_shm.array['dark_vlm'],
|
||||
# period,
|
||||
# weights=weights,
|
||||
# )
|
||||
# yield 'dark_dvlm_rate', dark_dvlm_wma[-1]
|
||||
|
||||
if period > 1:
|
||||
dark_trade_rate_wma = _wma(
|
||||
dvlm_shm.array['dark_trade_count'],
|
||||
period,
|
||||
weights=weights,
|
||||
)
|
||||
yield 'dark_trade_rate', dark_trade_rate_wma[-1]
|
||||
else:
|
||||
# instantaneous rate per sample step
|
||||
dark_count = dvlm_shm.array['dark_trade_count'][-1]
|
||||
yield 'dark_trade_rate', dark_count
|
||||
|
||||
# XXX: ib specific schema we should
|
||||
# probably pre-pack ourselves.
|
||||
|
||||
# tr = quote.get('tradeRate')
|
||||
# if tr is not None and tr != ltr:
|
||||
# # print(f'trade rate: {tr}')
|
||||
# yield '1m_trade_rate', tr
|
||||
# ltr = tr
|
||||
|
||||
# vr = quote.get('volumeRate')
|
||||
# if vr is not None and vr != lvr:
|
||||
# # print(f'vlm rate: {vr}')
|
||||
# yield '1m_vlm_rate', vr
|
||||
# lvr = vr
|
||||
|
|
|
|||
|
|
@ -44,10 +44,14 @@ class Axis(pg.AxisItem):
|
|||
self,
|
||||
linkedsplits,
|
||||
typical_max_str: str = '100 000.000',
|
||||
text_color: str = 'bracket',
|
||||
**kwargs
|
||||
|
||||
) -> None:
|
||||
super().__init__(**kwargs)
|
||||
super().__init__(
|
||||
# textPen=textPen,
|
||||
**kwargs
|
||||
)
|
||||
|
||||
# XXX: pretty sure this makes things slower
|
||||
# self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
|
@ -74,15 +78,28 @@ class Axis(pg.AxisItem):
|
|||
})
|
||||
|
||||
self.setTickFont(_font.font)
|
||||
|
||||
# NOTE: this is for surrounding "border"
|
||||
self.setPen(_axis_pen)
|
||||
|
||||
# this is the text color
|
||||
self.setTextPen(_axis_pen)
|
||||
# self.setTextPen(pg.mkPen(hcolor(text_color)))
|
||||
self.text_color = text_color
|
||||
|
||||
self.typical_br = _font._qfm.boundingRect(typical_max_str)
|
||||
|
||||
# size the pertinent axis dimension to a "typical value"
|
||||
self.size_to_values()
|
||||
|
||||
@property
|
||||
def text_color(self) -> str:
|
||||
return self._text_color
|
||||
|
||||
@text_color.setter
|
||||
def text_color(self, text_color: str) -> None:
|
||||
self.setTextPen(pg.mkPen(hcolor(text_color)))
|
||||
self._text_color = text_color
|
||||
|
||||
def size_to_values(self) -> None:
|
||||
pass
|
||||
|
||||
|
|
@ -109,7 +126,8 @@ class PriceAxis(Axis):
|
|||
def set_title(
|
||||
self,
|
||||
title: str,
|
||||
view: Optional[ChartView] = None
|
||||
view: Optional[ChartView] = None,
|
||||
color: Optional[str] = None,
|
||||
|
||||
) -> Label:
|
||||
'''
|
||||
|
|
@ -123,7 +141,7 @@ class PriceAxis(Axis):
|
|||
label = self.title = Label(
|
||||
view=view or self.linkedView(),
|
||||
fmt_str=title,
|
||||
color='bracket',
|
||||
color=color or self.text_color,
|
||||
parent=self,
|
||||
# update_on_range_change=False,
|
||||
)
|
||||
|
|
|
|||
|
|
@ -33,6 +33,7 @@ from PyQt5.QtWidgets import (
|
|||
import numpy as np
|
||||
import pyqtgraph as pg
|
||||
import trio
|
||||
from pydantic import BaseModel
|
||||
|
||||
from ._axes import (
|
||||
DynamicDateAxis,
|
||||
|
|
@ -614,17 +615,30 @@ class LinkedSplits(QWidget):
|
|||
cpw.sidepane.setMinimumWidth(sp_w)
|
||||
cpw.sidepane.setMaximumWidth(sp_w)
|
||||
|
||||
# import pydantic
|
||||
|
||||
# class Graphics(pydantic.BaseModel):
|
||||
# class FlowsTable(pydantic.BaseModel):
|
||||
# '''
|
||||
# Data-AGGRegate: high level API onto multiple (categorized)
|
||||
# ``ShmArray``s with high level processing routines for
|
||||
# graphics computations and display.
|
||||
# ``Flow``s with high level processing routines for
|
||||
# multi-graphics computations and display.
|
||||
|
||||
# '''
|
||||
# arrays: dict[str, np.ndarray] = {}
|
||||
# graphics: dict[str, pg.GraphicsObject] = {}
|
||||
# flows: dict[str, np.ndarray] = {}
|
||||
|
||||
|
||||
class Flow(BaseModel):
|
||||
'''
|
||||
(FinancialSignal-)Flow compound type which wraps a real-time
|
||||
graphics (curve) and its backing data stream together for high level
|
||||
access and control.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
name: str
|
||||
plot: pg.PlotItem
|
||||
shm: Optional[ShmArray] = None # may be filled in "later"
|
||||
|
||||
|
||||
class ChartPlotWidget(pg.PlotWidget):
|
||||
|
|
@ -721,8 +735,9 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
self.data_key: array,
|
||||
}
|
||||
self._graphics = {} # registry of underlying graphics
|
||||
|
||||
# registry of overlay curve names
|
||||
self._overlays: dict[str, ShmArray] = {}
|
||||
self._flows: dict[str, Flow] = {}
|
||||
|
||||
self._feeds: dict[Symbol, Feed] = {}
|
||||
|
||||
|
|
@ -980,9 +995,6 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
# TODO: this probably needs its own method?
|
||||
if overlay:
|
||||
# anchor_at = ('bottom', 'left')
|
||||
self._overlays[name] = None
|
||||
|
||||
if isinstance(overlay, pg.PlotItem):
|
||||
if overlay not in self.pi_overlay.overlays:
|
||||
raise RuntimeError(
|
||||
|
|
@ -990,6 +1002,9 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
)
|
||||
pi = overlay
|
||||
|
||||
# anchor_at = ('bottom', 'left')
|
||||
self._flows[name] = Flow(name=name, plot=pi)
|
||||
|
||||
else:
|
||||
# anchor_at = ('top', 'left')
|
||||
|
||||
|
|
@ -1062,7 +1077,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
assert len(array)
|
||||
data_key = array_key or graphics_name
|
||||
|
||||
if graphics_name not in self._overlays:
|
||||
if graphics_name not in self._flows:
|
||||
self._arrays[self.name] = array
|
||||
else:
|
||||
self._arrays[data_key] = array
|
||||
|
|
@ -1164,9 +1179,15 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
# f"begin: {begin}, end: {end}, extra: {extra}"
|
||||
# )
|
||||
|
||||
a = self._arrays[name or self.name]
|
||||
# TODO: here we should instead look up the ``Flow.shm.array``
|
||||
# and read directly from shm to avoid copying to memory first
|
||||
# and then reading it again here.
|
||||
a = self._arrays.get(name or self.name)
|
||||
if a is None:
|
||||
return None
|
||||
|
||||
ifirst = a[0]['index']
|
||||
bars = a[lbar - ifirst:rbar - ifirst + 1]
|
||||
bars = a[lbar - ifirst:(rbar - ifirst) + 1]
|
||||
|
||||
if not len(bars):
|
||||
# likely no data loaded yet or extreme scrolling?
|
||||
|
|
|
|||
|
|
@ -253,7 +253,7 @@ class ContentsLabels:
|
|||
and index < array[-1]['index']
|
||||
):
|
||||
# out of range
|
||||
print('out of range?')
|
||||
print('WTF out of range?')
|
||||
continue
|
||||
|
||||
# array = chart._arrays[name]
|
||||
|
|
@ -550,17 +550,20 @@ class Cursor(pg.GraphicsObject):
|
|||
for cursor in opts.get('cursors', ()):
|
||||
cursor.setIndex(ix)
|
||||
|
||||
# update the label on the bottom of the crosshair
|
||||
axes = plot.plotItem.axes
|
||||
|
||||
# Update the label on the bottom of the crosshair.
|
||||
# TODO: make this an up-front calc that we update
|
||||
# on axis-widget resize events.
|
||||
# on axis-widget resize events instead of on every mouse
|
||||
# update cylce.
|
||||
|
||||
# left axis offset width for calcuating
|
||||
# absolute x-axis label placement.
|
||||
left_axis_width = 0
|
||||
left = axes.get('left')
|
||||
if left:
|
||||
left_axis_width = left['item'].width()
|
||||
if len(plot.pi_overlay.overlays):
|
||||
# breakpoint()
|
||||
lefts = plot.pi_overlay.get_axes('left')
|
||||
if lefts:
|
||||
for left in lefts:
|
||||
left_axis_width += left.width()
|
||||
|
||||
# map back to abs (label-local) coordinates
|
||||
self.xaxis_label.update_label(
|
||||
|
|
|
|||
|
|
@ -24,6 +24,7 @@ import numpy as np
|
|||
import pyqtgraph as pg
|
||||
from PyQt5 import QtGui, QtWidgets
|
||||
from PyQt5.QtCore import (
|
||||
Qt,
|
||||
QLineF,
|
||||
QSizeF,
|
||||
QRectF,
|
||||
|
|
@ -85,6 +86,14 @@ def step_path_arrays_from_1d(
|
|||
return x_out, y_out
|
||||
|
||||
|
||||
_line_styles: dict[str, int] = {
|
||||
'solid': Qt.PenStyle.SolidLine,
|
||||
'dash': Qt.PenStyle.DashLine,
|
||||
'dot': Qt.PenStyle.DotLine,
|
||||
'dashdot': Qt.PenStyle.DashDotLine,
|
||||
}
|
||||
|
||||
|
||||
# TODO: got a feeling that dropping this inheritance gets us even more speedups
|
||||
class FastAppendCurve(pg.PlotCurveItem):
|
||||
'''
|
||||
|
|
@ -106,6 +115,8 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
step_mode: bool = False,
|
||||
color: str = 'default_lightest',
|
||||
fill_color: Optional[str] = None,
|
||||
style: str = 'solid',
|
||||
name: Optional[str] = None,
|
||||
|
||||
**kwargs
|
||||
|
||||
|
|
@ -114,14 +125,22 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
# TODO: we can probably just dispense with the parent since
|
||||
# we're basically only using the pen setting now...
|
||||
super().__init__(*args, **kwargs)
|
||||
|
||||
self._name = name
|
||||
self._xrange: tuple[int, int] = self.dataBounds(ax=0)
|
||||
|
||||
# all history of curve is drawn in single px thickness
|
||||
self.setPen(hcolor(color))
|
||||
pen = pg.mkPen(hcolor(color))
|
||||
pen.setStyle(_line_styles[style])
|
||||
|
||||
if 'dash' in style:
|
||||
pen.setDashPattern([8, 3])
|
||||
|
||||
self.setPen(pen)
|
||||
|
||||
# last segment is drawn in 2px thickness for emphasis
|
||||
self.last_step_pen = pg.mkPen(hcolor(color), width=2)
|
||||
# self.last_step_pen = pg.mkPen(hcolor(color), width=2)
|
||||
self.last_step_pen = pg.mkPen(pen, width=2)
|
||||
|
||||
self._last_line: QLineF = None
|
||||
self._last_step_rect: QRectF = None
|
||||
|
||||
|
|
@ -135,7 +154,12 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
# interactions slower (such as zooming) and if so maybe if/when
|
||||
# we implement a "history" mode for the view we disable this in
|
||||
# that mode?
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
if step_mode:
|
||||
# don't enable caching by default for the case where the
|
||||
# only thing drawn is the "last" line segment which can
|
||||
# have a weird artifact where it won't be fully drawn to its
|
||||
# endpoint (something we saw on trade rate curves)
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
||||
def update_from_array(
|
||||
self,
|
||||
|
|
@ -245,10 +269,13 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
# self.path.connectPath(append_path)
|
||||
path.connectPath(append_path)
|
||||
|
||||
# XXX: pretty annoying but, without this there's little
|
||||
# artefacts on the append updates to the curve...
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.NoCache)
|
||||
self.prepareGeometryChange()
|
||||
self.disable_cache()
|
||||
flip_cache = True
|
||||
|
||||
if (
|
||||
self._step_mode
|
||||
):
|
||||
self.disable_cache()
|
||||
flip_cache = True
|
||||
|
||||
# print(f"update br: {self.path.boundingRect()}")
|
||||
|
|
@ -273,6 +300,7 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
x_last + 0.5, y_last
|
||||
)
|
||||
else:
|
||||
# print((x[-1], y_last))
|
||||
self._last_line = QLineF(
|
||||
x[-2], y[-2],
|
||||
x[-1], y_last
|
||||
|
|
@ -287,6 +315,12 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
# XXX: seems to be needed to avoid artifacts (see above).
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
||||
def disable_cache(self) -> None:
|
||||
# XXX: pretty annoying but, without this there's little
|
||||
# artefacts on the append updates to the curve...
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.NoCache)
|
||||
self.prepareGeometryChange()
|
||||
|
||||
def boundingRect(self):
|
||||
if self.path is None:
|
||||
return QtGui.QPainterPath().boundingRect()
|
||||
|
|
@ -323,6 +357,7 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
p: QtGui.QPainter,
|
||||
opt: QtWidgets.QStyleOptionGraphicsItem,
|
||||
w: QtWidgets.QWidget
|
||||
|
||||
) -> None:
|
||||
|
||||
profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
|
||||
|
|
@ -340,11 +375,11 @@ class FastAppendCurve(pg.PlotCurveItem):
|
|||
# p.drawPath(self.path)
|
||||
# profiler('.drawPath()')
|
||||
|
||||
# else:
|
||||
p.setPen(self.last_step_pen)
|
||||
p.drawLine(self._last_line)
|
||||
profiler('.drawLine()')
|
||||
|
||||
# else:
|
||||
p.setPen(self.opts['pen'])
|
||||
p.drawPath(self.path)
|
||||
profiler('.drawPath()')
|
||||
|
|
|
|||
|
|
@ -54,7 +54,7 @@ from ..log import get_logger
|
|||
log = get_logger(__name__)
|
||||
|
||||
# TODO: load this from a config.toml!
|
||||
_quote_throttle_rate: int = 58 # Hz
|
||||
_quote_throttle_rate: int = 6 + 16 # Hz
|
||||
|
||||
|
||||
# a working tick-type-classes template
|
||||
|
|
@ -106,7 +106,7 @@ def chart_maxmin(
|
|||
return last_bars_range, mx, max(mn, 0), mx_vlm_in_view
|
||||
|
||||
|
||||
async def update_linked_charts_graphics(
|
||||
async def graphics_update_loop(
|
||||
linked: LinkedSplits,
|
||||
stream: tractor.MsgStream,
|
||||
ohlcv: np.ndarray,
|
||||
|
|
@ -258,13 +258,18 @@ async def update_linked_charts_graphics(
|
|||
)
|
||||
last_mx_vlm = mx_vlm_in_view
|
||||
|
||||
for curve_name, shm in vlm_chart._overlays.items():
|
||||
for curve_name, flow in vlm_chart._flows.items():
|
||||
update_fsp_chart(
|
||||
vlm_chart,
|
||||
shm,
|
||||
flow.shm,
|
||||
curve_name,
|
||||
array_key=curve_name,
|
||||
)
|
||||
# is this even doing anything?
|
||||
flow.plot.vb._set_yrange(
|
||||
autoscale_linked_plots=False,
|
||||
name=curve_name,
|
||||
)
|
||||
|
||||
ticks_frame = quote.get('ticks', ())
|
||||
|
||||
|
|
@ -411,14 +416,14 @@ async def update_linked_charts_graphics(
|
|||
# TODO: all overlays on all subplots..
|
||||
|
||||
# run synchronous update on all derived overlays
|
||||
for curve_name, shm in chart._overlays.items():
|
||||
for curve_name, flow in chart._flows.items():
|
||||
update_fsp_chart(
|
||||
chart,
|
||||
shm,
|
||||
flow.shm,
|
||||
curve_name,
|
||||
array_key=curve_name,
|
||||
)
|
||||
# chart._set_yrange()
|
||||
# chart.view._set_yrange()
|
||||
|
||||
|
||||
async def check_for_new_bars(
|
||||
|
|
@ -473,11 +478,11 @@ async def check_for_new_bars(
|
|||
)
|
||||
|
||||
# main chart overlays
|
||||
for name in price_chart._overlays:
|
||||
|
||||
# for name in price_chart._flows:
|
||||
for curve_name in price_chart._flows:
|
||||
price_chart.update_curve_from_array(
|
||||
name,
|
||||
price_chart._arrays[name]
|
||||
curve_name,
|
||||
price_chart._arrays[curve_name]
|
||||
)
|
||||
|
||||
# each subplot
|
||||
|
|
@ -614,7 +619,7 @@ async def display_symbol_data(
|
|||
|
||||
# start graphics update loop after receiving first live quote
|
||||
ln.start_soon(
|
||||
update_linked_charts_graphics,
|
||||
graphics_update_loop,
|
||||
linkedsplits,
|
||||
feed.stream,
|
||||
ohlcv,
|
||||
|
|
|
|||
254
piker/ui/_fsp.py
254
piker/ui/_fsp.py
|
|
@ -22,6 +22,7 @@ Financial signal processing cluster and real-time graphics management.
|
|||
'''
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from functools import partial
|
||||
import inspect
|
||||
from itertools import cycle
|
||||
from typing import Optional, AsyncGenerator, Any
|
||||
|
||||
|
|
@ -37,6 +38,7 @@ from .._cacheables import maybe_open_context
|
|||
from ..calc import humanize
|
||||
from ..data._sharedmem import (
|
||||
ShmArray,
|
||||
_Token,
|
||||
try_read,
|
||||
)
|
||||
from ._chart import (
|
||||
|
|
@ -50,7 +52,11 @@ from ._forms import (
|
|||
)
|
||||
from ..fsp._api import maybe_mk_fsp_shm, Fsp
|
||||
from ..fsp import cascade
|
||||
from ..fsp._volume import tina_vwap, dolla_vlm
|
||||
from ..fsp._volume import (
|
||||
tina_vwap,
|
||||
dolla_vlm,
|
||||
flow_rates,
|
||||
)
|
||||
from ..log import get_logger
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
@ -153,7 +159,11 @@ async def open_fsp_sidepane(
|
|||
sidepane.model = FspConfig()
|
||||
|
||||
# just a logger for now until we get fsp configs up and running.
|
||||
async def settings_change(key: str, value: str) -> bool:
|
||||
async def settings_change(
|
||||
key: str,
|
||||
value: str
|
||||
|
||||
) -> bool:
|
||||
print(f'{key}: {value}')
|
||||
return True
|
||||
|
||||
|
|
@ -240,7 +250,7 @@ async def run_fsp_ui(
|
|||
**conf.get('chart_kwargs', {})
|
||||
)
|
||||
# specially store ref to shm for lookup in display loop
|
||||
chart._overlays[name] = shm
|
||||
chart._flows[name].shm = shm
|
||||
|
||||
else:
|
||||
# create a new sub-chart widget for this fsp
|
||||
|
|
@ -363,6 +373,7 @@ class FspAdmin:
|
|||
tuple,
|
||||
tuple[tractor.MsgStream, ShmArray]
|
||||
] = {}
|
||||
self._flow_registry: dict[_Token, str] = {}
|
||||
self.src_shm = src_shm
|
||||
|
||||
def rr_next_portal(self) -> tractor.Portal:
|
||||
|
|
@ -407,6 +418,11 @@ class FspAdmin:
|
|||
|
||||
loglevel=loglevel,
|
||||
zero_on_step=conf.get('zero_on_step', False),
|
||||
shm_registry=[
|
||||
(token.as_msg(), fsp_name, dst_token.as_msg())
|
||||
for (token, fsp_name), dst_token
|
||||
in self._flow_registry.items()
|
||||
],
|
||||
|
||||
) as (ctx, last_index),
|
||||
ctx.open_stream() as stream,
|
||||
|
|
@ -439,11 +455,15 @@ class FspAdmin:
|
|||
fqsn = self.linked.symbol.front_feed()
|
||||
|
||||
# allocate an output shm array
|
||||
dst_shm, opened = maybe_mk_fsp_shm(
|
||||
fqsn,
|
||||
key, dst_shm, opened = maybe_mk_fsp_shm(
|
||||
'.'.join(fqsn),
|
||||
target=target,
|
||||
readonly=True,
|
||||
)
|
||||
self._flow_registry[
|
||||
(self.src_shm._token, target.name)
|
||||
] = dst_shm._token
|
||||
|
||||
# if not opened:
|
||||
# raise RuntimeError(
|
||||
# f'Already started FSP `{fqsn}:{func_name}`'
|
||||
|
|
@ -555,15 +575,22 @@ async def open_vlm_displays(
|
|||
be spawned here.
|
||||
|
||||
'''
|
||||
sig = inspect.signature(flow_rates.func)
|
||||
params = sig.parameters
|
||||
|
||||
async with (
|
||||
open_fsp_sidepane(
|
||||
linked, {
|
||||
'vlm': {
|
||||
'flows': {
|
||||
|
||||
# TODO: add support for dynamically changing these
|
||||
'params': {
|
||||
'price_func': {
|
||||
'default_value': 'chl3',
|
||||
# tell target ``Edit`` widget to not allow
|
||||
# edits for now.
|
||||
u'\u03BC' + '_type': {
|
||||
'default_value': str(params['mean_type'].default),
|
||||
},
|
||||
'period': {
|
||||
'default_value': str(params['period'].default),
|
||||
# make widget un-editable for now.
|
||||
'widget_kwargs': {'readonly': True},
|
||||
},
|
||||
},
|
||||
|
|
@ -572,6 +599,12 @@ async def open_vlm_displays(
|
|||
) as sidepane,
|
||||
open_fsp_admin(linked, ohlcv) as admin,
|
||||
):
|
||||
# TODO: support updates
|
||||
# period_field = sidepane.fields['period']
|
||||
# period_field.setText(
|
||||
# str(period_param.default)
|
||||
# )
|
||||
|
||||
# built-in vlm which we plot ASAP since it's
|
||||
# usually data provided directly with OHLC history.
|
||||
shm = ohlcv
|
||||
|
|
@ -596,18 +629,19 @@ async def open_vlm_displays(
|
|||
names: list[str],
|
||||
|
||||
) -> tuple[float, float]:
|
||||
|
||||
mx = 0
|
||||
for name in names:
|
||||
|
||||
mxmn = chart.maxmin(name=name)
|
||||
if mxmn:
|
||||
mx = max(mxmn[1], mx)
|
||||
|
||||
# if mx:
|
||||
# return 0, mxmn[1]
|
||||
ymax = mxmn[1]
|
||||
if ymax > mx:
|
||||
mx = ymax
|
||||
|
||||
return 0, mx
|
||||
|
||||
chart.view._maxmin = partial(maxmin, names=['volume'])
|
||||
chart.view.maxmin = partial(maxmin, names=['volume'])
|
||||
|
||||
# TODO: fix the x-axis label issue where if you put
|
||||
# the axis on the left it's totally not lined up...
|
||||
|
|
@ -648,8 +682,9 @@ async def open_vlm_displays(
|
|||
|
||||
if dvlm:
|
||||
|
||||
tasks_ready = []
|
||||
# spawn and overlay $ vlm on the same subchart
|
||||
shm, started = await admin.start_engine_task(
|
||||
dvlm_shm, started = await admin.start_engine_task(
|
||||
dolla_vlm,
|
||||
|
||||
{ # fsp engine conf
|
||||
|
|
@ -663,11 +698,26 @@ async def open_vlm_displays(
|
|||
},
|
||||
# loglevel,
|
||||
)
|
||||
tasks_ready.append(started)
|
||||
|
||||
# FIXME: we should error on starting the same fsp right
|
||||
# since it might collide with existing shm.. or wait we
|
||||
# had this before??
|
||||
# dolla_vlm,
|
||||
|
||||
tasks_ready.append(started)
|
||||
# profiler(f'created shm for fsp actor: {display_name}')
|
||||
|
||||
await started.wait()
|
||||
# wait for all engine tasks to startup
|
||||
async with trio.open_nursery() as n:
|
||||
for event in tasks_ready:
|
||||
n.start_soon(event.wait)
|
||||
|
||||
pi = chart.overlay_plotitem(
|
||||
# dolla vlm overlay
|
||||
# XXX: the main chart already contains a vlm "units" axis
|
||||
# so here we add an overlay wth a y-range in
|
||||
# $ liquidity-value units (normally a fiat like USD).
|
||||
dvlm_pi = chart.overlay_plotitem(
|
||||
'dolla_vlm',
|
||||
index=0, # place axis on inside (nearest to chart)
|
||||
axis_title=' $vlm',
|
||||
|
|
@ -679,24 +729,29 @@ async def open_vlm_displays(
|
|||
digits=2,
|
||||
),
|
||||
},
|
||||
|
||||
)
|
||||
|
||||
# all to be overlayed curve names
|
||||
fields = [
|
||||
'dolla_vlm',
|
||||
'dark_vlm',
|
||||
]
|
||||
dvlm_rate_fields = [
|
||||
'dvlm_rate',
|
||||
'dark_dvlm_rate',
|
||||
]
|
||||
trade_rate_fields = [
|
||||
'trade_rate',
|
||||
'dark_trade_rate',
|
||||
]
|
||||
|
||||
# add custom auto range handler
|
||||
pi.vb._maxmin = partial(
|
||||
dvlm_pi.vb._maxmin = partial(
|
||||
maxmin,
|
||||
# keep both regular and dark vlm in view
|
||||
names=['dolla_vlm', 'dark_vlm'],
|
||||
names=fields + dvlm_rate_fields,
|
||||
)
|
||||
|
||||
curve, _ = chart.draw_curve(
|
||||
name='dolla_vlm',
|
||||
data=shm.array,
|
||||
array_key='dolla_vlm',
|
||||
overlay=pi,
|
||||
step_mode=True,
|
||||
# **conf.get('chart_kwargs', {})
|
||||
)
|
||||
# TODO: is there a way to "sync" the dual axes such that only
|
||||
# one curve is needed?
|
||||
# hide the original vlm curve since the $vlm one is now
|
||||
|
|
@ -704,48 +759,117 @@ async def open_vlm_displays(
|
|||
# liquidity events (well at least on low OHLC periods - 1s).
|
||||
vlm_curve.hide()
|
||||
|
||||
# TODO: we need a better API to do this..
|
||||
# specially store ref to shm for lookup in display loop
|
||||
# since only a placeholder of `None` is entered in
|
||||
# ``.draw_curve()``.
|
||||
chart._overlays['dolla_vlm'] = shm
|
||||
# use slightly less light (then bracket) gray
|
||||
# for volume from "main exchange" and a more "bluey"
|
||||
# gray for "dark" vlm.
|
||||
vlm_color = 'i3'
|
||||
dark_vlm_color = 'charcoal'
|
||||
|
||||
curve, _ = chart.draw_curve(
|
||||
# add dvlm (step) curves to common view
|
||||
def chart_curves(
|
||||
names: list[str],
|
||||
pi: pg.PlotItem,
|
||||
shm: ShmArray,
|
||||
step_mode: bool = False,
|
||||
style: str = 'solid',
|
||||
|
||||
name='dark_vlm',
|
||||
data=shm.array,
|
||||
array_key='dark_vlm',
|
||||
overlay=pi,
|
||||
color='charcoal', # darker theme hue
|
||||
) -> None:
|
||||
for name in names:
|
||||
if 'dark' in name:
|
||||
color = dark_vlm_color
|
||||
elif 'rate' in name:
|
||||
color = vlm_color
|
||||
else:
|
||||
color = 'bracket'
|
||||
|
||||
curve, _ = chart.draw_curve(
|
||||
# name='dolla_vlm',
|
||||
name=name,
|
||||
data=shm.array,
|
||||
array_key=name,
|
||||
overlay=pi,
|
||||
color=color,
|
||||
step_mode=step_mode,
|
||||
style=style,
|
||||
)
|
||||
|
||||
# TODO: we need a better API to do this..
|
||||
# specially store ref to shm for lookup in display loop
|
||||
# since only a placeholder of `None` is entered in
|
||||
# ``.draw_curve()``.
|
||||
chart._flows[name].shm = shm
|
||||
|
||||
chart_curves(
|
||||
fields,
|
||||
dvlm_pi,
|
||||
dvlm_shm,
|
||||
step_mode=True,
|
||||
# **conf.get('chart_kwargs', {})
|
||||
)
|
||||
chart._overlays['dark_vlm'] = shm
|
||||
# XXX: old dict-style config before it was moved into the
|
||||
# helper task
|
||||
# 'dolla_vlm': {
|
||||
# 'func_name': 'dolla_vlm',
|
||||
# 'zero_on_step': True,
|
||||
# 'overlay': 'volume',
|
||||
# 'separate_axes': True,
|
||||
# 'params': {
|
||||
# 'price_func': {
|
||||
# 'default_value': 'chl3',
|
||||
# # tell target ``Edit`` widget to not allow
|
||||
# # edits for now.
|
||||
# 'widget_kwargs': {'readonly': True},
|
||||
# },
|
||||
# },
|
||||
# 'chart_kwargs': {'step_mode': True}
|
||||
# },
|
||||
|
||||
# }
|
||||
# spawn flow rates fsp **ONLY AFTER** the 'dolla_vlm' fsp is
|
||||
# up since this one depends on it.
|
||||
|
||||
for name, axis_info in pi.axes.items():
|
||||
# lol this sux XD
|
||||
axis = axis_info['item']
|
||||
if isinstance(axis, PriceAxis):
|
||||
axis.size_to_values()
|
||||
fr_shm, started = await admin.start_engine_task(
|
||||
flow_rates,
|
||||
{ # fsp engine conf
|
||||
'func_name': 'flow_rates',
|
||||
'zero_on_step': True,
|
||||
},
|
||||
# loglevel,
|
||||
)
|
||||
await started.wait()
|
||||
|
||||
chart_curves(
|
||||
dvlm_rate_fields,
|
||||
dvlm_pi,
|
||||
fr_shm,
|
||||
)
|
||||
|
||||
# Trade rate overlay
|
||||
# XXX: requires an additional overlay for
|
||||
# a trades-per-period (time) y-range.
|
||||
tr_pi = chart.overlay_plotitem(
|
||||
'trade_rates',
|
||||
|
||||
# TODO: dynamically update period (and thus this axis?)
|
||||
# title from user input.
|
||||
axis_title='clears',
|
||||
|
||||
axis_side='left',
|
||||
axis_kwargs={
|
||||
'typical_max_str': ' 10.0 M ',
|
||||
'formatter': partial(
|
||||
humanize,
|
||||
digits=2,
|
||||
),
|
||||
'text_color': vlm_color,
|
||||
},
|
||||
|
||||
)
|
||||
# add custom auto range handler
|
||||
tr_pi.vb.maxmin = partial(
|
||||
maxmin,
|
||||
# keep both regular and dark vlm in view
|
||||
names=trade_rate_fields,
|
||||
)
|
||||
|
||||
chart_curves(
|
||||
trade_rate_fields,
|
||||
tr_pi,
|
||||
fr_shm,
|
||||
# step_mode=True,
|
||||
|
||||
# dashed line to represent "individual trades" being
|
||||
# more "granular" B)
|
||||
style='dash',
|
||||
)
|
||||
|
||||
for pi in (dvlm_pi, tr_pi):
|
||||
for name, axis_info in pi.axes.items():
|
||||
# lol this sux XD
|
||||
axis = axis_info['item']
|
||||
if isinstance(axis, PriceAxis):
|
||||
axis.size_to_values()
|
||||
|
||||
# built-in vlm fsps
|
||||
for target, conf in {
|
||||
|
|
|
|||
|
|
@ -342,7 +342,7 @@ class ChartView(ViewBox):
|
|||
wheelEventRelay = QtCore.Signal(object, object, object)
|
||||
|
||||
event_relay_source: 'Optional[ViewBox]' = None
|
||||
relays: dict[str, Signal] = {}
|
||||
relays: dict[str, QtCore.Signal] = {}
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
|
|
@ -421,6 +421,14 @@ class ChartView(ViewBox):
|
|||
if self._maxmin is None:
|
||||
self._maxmin = chart.maxmin
|
||||
|
||||
@property
|
||||
def maxmin(self) -> Callable:
|
||||
return self._maxmin
|
||||
|
||||
@maxmin.setter
|
||||
def maxmin(self, callback: Callable) -> None:
|
||||
self._maxmin = callback
|
||||
|
||||
def wheelEvent(
|
||||
self,
|
||||
ev,
|
||||
|
|
@ -474,7 +482,11 @@ class ChartView(ViewBox):
|
|||
# lastPos = ev.lastPos()
|
||||
# dif = pos - lastPos
|
||||
# dif = dif * -1
|
||||
center = Point(fn.invertQTransform(self.childGroup.transform()).map(ev.pos()))
|
||||
center = Point(
|
||||
fn.invertQTransform(
|
||||
self.childGroup.transform()
|
||||
).map(ev.pos())
|
||||
)
|
||||
# scale_y = 1.3 ** (center.y() * -1 / 20)
|
||||
self.scaleBy(s, center)
|
||||
|
||||
|
|
@ -674,7 +686,8 @@ class ChartView(ViewBox):
|
|||
# flag to prevent triggering sibling charts from the same linked
|
||||
# set from recursion errors.
|
||||
autoscale_linked_plots: bool = True,
|
||||
autoscale_overlays: bool = False,
|
||||
name: Optional[str] = None,
|
||||
# autoscale_overlays: bool = False,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
|
|
@ -731,7 +744,12 @@ class ChartView(ViewBox):
|
|||
)
|
||||
|
||||
if set_range:
|
||||
ylow, yhigh = self._maxmin()
|
||||
|
||||
yrange = self._maxmin()
|
||||
if yrange is None:
|
||||
return
|
||||
|
||||
ylow, yhigh = yrange
|
||||
|
||||
# view margins: stay within a % of the "true range"
|
||||
diff = yhigh - ylow
|
||||
|
|
|
|||
|
|
@ -103,11 +103,6 @@ class ComposedGridLayout:
|
|||
dict[str, AxisItem],
|
||||
] = {}
|
||||
|
||||
self._axes2pi: dict[
|
||||
AxisItem,
|
||||
dict[str, PlotItem],
|
||||
] = {}
|
||||
|
||||
# TODO: better name?
|
||||
# construct surrounding layouts for placing outer axes and
|
||||
# their legends and title labels.
|
||||
|
|
@ -158,8 +153,8 @@ class ComposedGridLayout:
|
|||
for name, axis_info in plotitem.axes.items():
|
||||
axis = axis_info['item']
|
||||
# register this plot's (maybe re-placed) axes for lookup.
|
||||
self._pi2axes.setdefault(index, {})[name] = axis
|
||||
self._axes2pi.setdefault(index, {})[name] = plotitem
|
||||
# print(f'inserting {name}:{axis} to index {index}')
|
||||
self._pi2axes.setdefault(name, {})[index] = axis
|
||||
|
||||
# enter plot into list for index tracking
|
||||
self.items.insert(index, plotitem)
|
||||
|
|
@ -213,11 +208,12 @@ class ComposedGridLayout:
|
|||
|
||||
# invert insert index for layouts which are
|
||||
# not-left-to-right, top-to-bottom insert oriented
|
||||
insert_index = index
|
||||
if name in ('top', 'left'):
|
||||
index = min(len(axes) - index, 0)
|
||||
assert index >= 0
|
||||
insert_index = min(len(axes) - index, 0)
|
||||
assert insert_index >= 0
|
||||
|
||||
linlayout.insertItem(index, axis)
|
||||
linlayout.insertItem(insert_index, axis)
|
||||
axes.insert(index, axis)
|
||||
|
||||
self._register_item(index, plotitem)
|
||||
|
|
@ -243,13 +239,15 @@ class ComposedGridLayout:
|
|||
plot: PlotItem,
|
||||
name: str,
|
||||
|
||||
) -> AxisItem:
|
||||
) -> Optional[AxisItem]:
|
||||
'''
|
||||
Retrieve the named axis for overlayed ``plot``.
|
||||
Retrieve the named axis for overlayed ``plot`` or ``None``
|
||||
if axis for that name is not shown.
|
||||
|
||||
'''
|
||||
index = self.items.index(plot)
|
||||
return self._pi2axes[index][name]
|
||||
named = self._pi2axes[name]
|
||||
return named.get(index)
|
||||
|
||||
def pop(
|
||||
self,
|
||||
|
|
@ -341,7 +339,7 @@ def mk_relay_method(
|
|||
# halt/short circuit the graphicscene loop). Further the
|
||||
# surrounding handler for this signal must be allowed to execute
|
||||
# and get processed by **this consumer**.
|
||||
print(f'{vb.name} rx relayed from {relayed_from.name}')
|
||||
# print(f'{vb.name} rx relayed from {relayed_from.name}')
|
||||
ev.ignore()
|
||||
|
||||
return slot(
|
||||
|
|
@ -351,7 +349,7 @@ def mk_relay_method(
|
|||
)
|
||||
|
||||
if axis is not None:
|
||||
print(f'{vb.name} handling axis event:\n{str(ev)}')
|
||||
# print(f'{vb.name} handling axis event:\n{str(ev)}')
|
||||
ev.accept()
|
||||
return slot(
|
||||
vb,
|
||||
|
|
@ -490,7 +488,6 @@ class PlotItemOverlay:
|
|||
vb.setZValue(1000) # XXX: critical for scene layering/relaying
|
||||
|
||||
self.overlays: list[PlotItem] = []
|
||||
from piker.ui._overlay import ComposedGridLayout
|
||||
self.layout = ComposedGridLayout(
|
||||
root_plotitem,
|
||||
root_plotitem.layout,
|
||||
|
|
@ -511,7 +508,7 @@ class PlotItemOverlay:
|
|||
|
||||
) -> None:
|
||||
|
||||
index = index or 0
|
||||
index = index or len(self.overlays)
|
||||
root = self.root_plotitem
|
||||
# layout: QGraphicsGridLayout = root.layout
|
||||
self.overlays.insert(index, plotitem)
|
||||
|
|
@ -613,6 +610,26 @@ class PlotItemOverlay:
|
|||
'''
|
||||
return self.layout.get_axis(plot, name)
|
||||
|
||||
def get_axes(
|
||||
self,
|
||||
name: str,
|
||||
|
||||
) -> list[AxisItem]:
|
||||
'''
|
||||
Retrieve all axes for all plots with ``name: str``.
|
||||
|
||||
If a particular overlay doesn't have a displayed named axis
|
||||
then it is not delivered in the returned ``list``.
|
||||
|
||||
'''
|
||||
axes = []
|
||||
for plot in self.overlays:
|
||||
axis = self.layout.get_axis(plot, name)
|
||||
if axis:
|
||||
axes.append(axis)
|
||||
|
||||
return axes
|
||||
|
||||
# TODO: i guess we need this if you want to detach existing plots
|
||||
# dynamically? XXX: untested as of now.
|
||||
def _disconnect_all(
|
||||
|
|
|
|||
|
|
@ -433,9 +433,12 @@ class OrderMode:
|
|||
[
|
||||
'notify-send',
|
||||
'-u', 'normal',
|
||||
'-t', '10000',
|
||||
'-t', '1616',
|
||||
'piker',
|
||||
f'alert: {msg}',
|
||||
|
||||
# TODO: add in standard fill/exec info that maybe we
|
||||
# pack in a broker independent way?
|
||||
f'{msg["resp"]}: {msg["trigger_price"]}',
|
||||
],
|
||||
)
|
||||
log.runtime(result)
|
||||
|
|
@ -666,7 +669,7 @@ async def open_order_mode(
|
|||
)
|
||||
# vbox.setAlignment(feed_label, Qt.AlignBottom)
|
||||
# vbox.setAlignment(Qt.AlignBottom)
|
||||
blank_h = chart.height() - (
|
||||
_ = chart.height() - (
|
||||
form.height() +
|
||||
form.fill_bar.height()
|
||||
# feed_label.height()
|
||||
|
|
|
|||
Loading…
Reference in New Issue