Rework overlay pin technique: "align to first"
As part of solving a final bullet-issue in #455, which is specifically a case: - with N > 2 curves, one of which is the "major" dispersion curve" and the others are "minors", - we can run into a scenario where some minor curve which gets pinned to the major (due to the original "pinning technique" -> "align to major") at some `P(t)` which is *not* the major's minimum / maximum due to the minor having a smaller/shorter support and thus, - requires that in order to show then max/min on the minor curve we have to expand the range of the major curve as well but, - that also means any previously scaled (to the major) minor curves need to be adjusted as well or they'll not be pinned to the major the same way! I originally was trying to avoid doing the recursive iteration back through all previously scaled minor curves and instead decided to try implementing the "per side" curve dispersion detection (as was originally attempted when first starting this work). The idea is to decide which curve's up or down "swing in % returns" would determine the global y-range *on that side*. Turns out I stumbled on the "align to first" technique in the process: "for each overlay curve we align its earliest sample (in time) to the same level of the earliest such sample for whatever is deemed the major (directionally disperse) curve in view". I decided (with help) that this "pin to first" approach/style is equally as useful and maybe often more so when wanting to view support-disjoint time series: - instead of compressing the y-range on "longer series which have lesser sigma" to make whatever "shorter but larger-sigma series" pin to it at an intersect time step, this instead will expand the price ranges based on the earliest time step in each series. - the output global-returns-overlay-range for any N-set of series is equal to the same in the previous "pin to intersect time" technique. - the only time this technique seems less useful is for overlaying market feeds which have the same destination asset but different source assets (eg. btceur and btcusd on the same chart since if one of the series is shorter it will always be aligned to the earliest datum on the longer instead of more naturally to the intersect sample level as was in the previous approach). As such I'm going to keep this technique as discovered and will later add back optional support for the "align to intersect" approach from previous (which will again require detecting the highest dispersion curve direction-agnostic) and pin all minors to the price level at which they start on the major. Further details of the implementation rework in `.interact_graphics_cycle()` include: - add `intersect_from_longer()` to detect and deliver a common datum from 2 series which are different in length: the first time-index sample in the longer. - Rewrite the drafted `OverlayT` to only compute (inversed log-returns) transforms for a single direction and use 2 instances, one for each direction inside the `Viz`-overlay iteration loop. - do all dispersion-per-side major curve detection in the first pass of all `Viz`s on a plot, instead updating the `OverlayT` instances for each side and compensating for any length mismatch and rescale-to-minor cases in each loop cycle.storage_cli
Tyler Goodlet
parent
73912ab9a8
commit
22efd05d8c
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@ -155,11 +155,11 @@ async def handle_viewmode_kb_inputs(
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}
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):
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import tractor
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god = order_mode.godw
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feed = order_mode.feed
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chart = order_mode.chart
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vlm_chart = chart.linked.subplots['volume']
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dvlm_pi = vlm_chart._vizs['dolla_vlm'].plot
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god = order_mode.godw # noqa
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feed = order_mode.feed # noqa
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chart = order_mode.chart # noqa
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vlm_chart = chart.linked.subplots['volume'] # noqa
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dvlm_pi = vlm_chart._vizs['dolla_vlm'].plot # noqa
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await tractor.breakpoint()
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# SEARCH MODE #
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@ -360,49 +360,6 @@ async def handle_viewmode_mouse(
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view.order_mode.submit_order()
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class OverlayT(Struct):
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'''
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An overlay co-domain range transformer.
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Used to translate and apply a range from one y-range
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to another based on a returns logarithm:
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R(ymn, ymx, yref) = (ymx - yref)/yref
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which gives the log-scale multiplier, and
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ymx_t = yref * (1 + R)
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which gives the inverse to translate to the same value
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in the target co-domain.
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'''
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viz: Viz # viz with largest measured dispersion
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mx: float = 0
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mn: float = float('inf')
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up_swing: float = 0
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down_swing: float = 0
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disp: float = 0
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def loglin_from_range(
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self,
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y_ref: float, # reference value for dispersion metric
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mn: float, # min y in target log-lin range
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mx: float, # max y in target log-lin range
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offset: float, # y-offset to start log-scaling from
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) -> tuple[float, float]:
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r_up = (mx - y_ref) / y_ref
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r_down = (mn - y_ref) / y_ref
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ymn = offset * (1 + r_down)
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ymx = offset * (1 + r_up)
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return ymn, ymx
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class ChartView(ViewBox):
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'''
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Price chart view box with interaction behaviors you'd expect from
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@ -1048,7 +1005,6 @@ class ChartView(ViewBox):
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np.ndarray, # in-view array
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],
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] = {}
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major_in_view: np.ndarray = None
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# ONLY auto-yrange the viz mapped to THIS view box
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if not do_overlay_scaling:
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@ -1072,12 +1028,22 @@ class ChartView(ViewBox):
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# don't iterate overlays, just move to next chart
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continue
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for name, viz in chart._vizs.items():
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# create a group overlay log-linearized y-range transform to
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# track and eventually inverse transform all overlay curves
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# to a common target max dispersion range.
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dnt = OverlayT()
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upt = OverlayT()
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if debug_print:
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print(
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f'UX GRAPHICS CYCLE: {viz.name}@{chart_name}'
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)
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if debug_print:
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print(
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f'BEGIN UX GRAPHICS CYCLE: @{chart_name}\n'
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+
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'#'*100
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+
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'\n'
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)
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for name, viz in chart._vizs.items():
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out = _maybe_calc_yrange(
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viz,
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@ -1119,7 +1085,6 @@ class ChartView(ViewBox):
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# charts besides OHLC?
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else:
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ymn, ymx = yrange
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# print(f'adding {viz.name} to overlay')
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# determine start datum in view
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arr = viz.shm.array
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@ -1128,36 +1093,169 @@ class ChartView(ViewBox):
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log.warning(f'{viz.name} not in view?')
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continue
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row_start = arr[read_slc.start - 1]
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# row_start = arr[read_slc.start - 1]
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row_start = arr[read_slc.start]
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if viz.is_ohlc:
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y_start = row_start['open']
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y_ref = row_start['open']
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else:
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y_start = row_start[viz.name]
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y_ref = row_start[viz.name]
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profiler(f'{viz.name}@{chart_name} MINOR curve median')
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overlay_table[viz.plot.vb] = (
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viz,
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y_start,
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y_ref,
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ymn,
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ymx,
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read_slc,
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in_view,
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)
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# find curve with max dispersion
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disp = abs(ymx - ymn) / y_start
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key = 'open' if viz.is_ohlc else viz.name
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start_t = in_view[0]['time']
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r_down = (ymn - y_ref) / y_ref
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r_up = (ymx - y_ref) / y_ref
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msg = (
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f'### {viz.name}@{chart_name} ###\n'
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f'y_ref: {y_ref}\n'
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f'down disp: {r_down}\n'
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f'up disp: {r_up}\n'
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)
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profiler(msg)
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if debug_print:
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print(msg)
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# track the "major" curve as the curve with most
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# dispersion.
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if (
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dnt.rng is None
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or (
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r_down < dnt.rng
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and r_down < 0
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)
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):
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dnt.viz = viz
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dnt.rng = r_down
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dnt.in_view = in_view
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dnt.start_t = in_view[0]['time']
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major_mn = ymn
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msg = f'NEW DOWN: {viz.name}@{chart_name} r:{r_down}\n'
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profiler(msg)
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if debug_print:
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print(msg)
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else:
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# minor in the down swing range so check that if
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# we apply the current rng to the minor that it
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# doesn't go outside the current range for the major
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# otherwise we recompute the minor's range (when
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# adjusted for it's intersect point to be the new
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# major's range.
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intersect = intersect_from_longer(
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dnt.start_t,
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dnt.in_view,
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start_t,
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in_view,
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)
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profiler(f'{viz.name}@{chart_name} intersect by t')
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if intersect:
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longer_in_view, _t, i = intersect
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scaled_mn = dnt.apply_rng(y_ref)
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if scaled_mn > ymn:
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# after major curve scaling we detected
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# the minor curve is still out of range
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# so we need to adjust the major's range
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# to include the new composed range.
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y_maj_ref = longer_in_view[key]
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new_major_ymn = (
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y_maj_ref
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*
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(1 + r_down)
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)
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# rewrite the major range to the new
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# minor-pinned-to-major range and mark
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# the transform as "virtual".
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msg = (
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f'EXPAND DOWN bc {viz.name}@{chart_name}\n'
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f'y_start epoch time @ {_t}:\n'
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f'y_maj_ref @ {_t}: {y_maj_ref}\n'
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f'R: {dnt.rng} -> {r_down}\n'
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f'MN: {major_mn} -> {new_major_ymn}\n'
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)
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dnt.rng = r_down
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major_mn = dnt.y_val = new_major_ymn
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profiler(msg)
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if debug_print:
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print(msg)
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if (
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upt.rng is None
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or (
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r_up > upt.rng
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and r_up > 0
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)
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):
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upt.rng = r_up
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upt.viz = viz
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upt.in_view = in_view
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upt.start_t = in_view[0]['time']
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major_mx = ymx
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msg = f'NEW UP: {viz.name}@{chart_name} r:{r_up}\n'
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profiler(msg)
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if debug_print:
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print(msg)
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else:
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intersect = intersect_from_longer(
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upt.start_t,
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upt.in_view,
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start_t,
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in_view,
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)
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profiler(f'{viz.name}@{chart_name} intersect by t')
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if intersect:
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longer_in_view, _t, i = intersect
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scaled_mx = upt.apply_rng(y_ref)
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if scaled_mx < ymx:
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# after major curve scaling we detected
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# the minor curve is still out of range
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# so we need to adjust the major's range
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# to include the new composed range.
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y_maj_ref = longer_in_view[key]
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new_major_ymx = (
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y_maj_ref
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*
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(1 + r_up)
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)
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# rewrite the major range to the new
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# minor-pinned-to-major range and mark
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# the transform as "virtual".
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msg = (
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f'EXPAND UP bc {viz.name}@{chart_name}:\n'
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f'y_maj_ref @ {_t}: {y_maj_ref}\n'
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f'R: {upt.rng} -> {r_up}\n'
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f'MX: {major_mx} -> {new_major_ymx}\n'
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)
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upt.rng = r_up
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major_mx = upt.y_val = new_major_ymx
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profiler(msg)
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print(msg)
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# find curve with max dispersion
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disp = abs(ymx - ymn) / y_ref
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if disp > mx_disp:
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major_viz = viz
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mx_disp = disp
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major_mn = ymn
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major_mx = ymx
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major_in_view = in_view
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profiler(f'{viz.name}@{chart_name} set new major')
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profiler(f'{viz.name}@{chart_name} MINOR curve scale')
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@ -1203,6 +1301,15 @@ class ChartView(ViewBox):
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profiler(f'<{chart_name}>.interact_graphics_cycle({name})')
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# if a minor curves scaling brings it "outside" the range of
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# the major curve (in major curve co-domain terms) then we
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# need to rescale the major to also include this range. The
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# below placeholder denotes when this occurs.
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# group_mxmn: None | tuple[float, float] = None
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# TODO: probably re-write this loop as a compiled cpython or
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# numba func.
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# conduct "log-linearized multi-plot" scalings for all groups
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for (
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view,
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@ -1216,169 +1323,7 @@ class ChartView(ViewBox):
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)
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) in overlay_table.items():
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# we use the ymn/mx verbatim from the major curve
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# (i.e. the curve measured to have the highest
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# dispersion in view).
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if viz is major_viz:
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ymn = y_min
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ymx = y_max
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continue
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else:
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key = 'open' if viz.is_ohlc else viz.name
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# handle case where major and minor curve(s) have
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# a disjoint x-domain (one curve is smaller in
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# length then the other):
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# - find the highest (time) index common to both
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# curves.
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# - slice out the first "intersecting" y-value from
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# both curves for use in log-linear scaling such
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# that the intersecting y-value is used as the
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# reference point for scaling minor curve's
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# y-range based on the major curves y-range.
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# get intersection point y-values for both curves
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minor_in_view_start = minor_in_view[0]
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minor_i_start = minor_in_view_start['index']
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minor_i_start_t = minor_in_view_start['time']
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major_in_view_start = major_in_view[0]
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major_i_start = major_in_view_start['index']
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major_i_start_t = major_in_view_start['time']
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y_major_intersect = major_in_view_start[key]
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y_minor_intersect = minor_in_view_start[key]
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profiler(f'{viz.name}@{chart_name} intersect detection')
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tdiff = (major_i_start_t - minor_i_start_t)
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if debug_print:
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print(
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f'{major_viz.name} time diff with minor:\n'
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f'maj:{major_i_start_t}\n'
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'-\n'
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f'min:{minor_i_start_t}\n'
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f'=> {tdiff}\n'
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)
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# major has later timestamp adjust minor
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if tdiff > 0:
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slc = slice_from_time(
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arr=minor_in_view,
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start_t=major_i_start_t,
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stop_t=major_i_start_t,
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)
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y_minor_intersect = minor_in_view[slc.start][key]
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profiler(f'{viz.name}@{chart_name} intersect by t')
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# minor has later timestamp adjust major
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elif tdiff < 0:
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slc = slice_from_time(
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arr=major_in_view,
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start_t=minor_i_start_t,
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stop_t=minor_i_start_t,
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)
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y_major_intersect = major_in_view[slc.start][key]
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profiler(f'{viz.name}@{chart_name} intersect by t')
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if debug_print:
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print(
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f'major_i_start: {major_i_start}\n'
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f'major_i_start_t: {major_i_start_t}\n'
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f'minor_i_start: {minor_i_start}\n'
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f'minor_i_start_t: {minor_i_start_t}\n'
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)
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# TODO: probably write this as a compile cpython or
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# numba func.
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# compute directional (up/down) y-range
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# % swing/dispersion starting at the reference index
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# determined by the above indexing arithmetic.
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y_ref = y_major_intersect
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if not y_ref:
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log.warning(
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f'BAD y_major_intersect?!: {y_major_intersect}'
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)
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# breakpoint()
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r_up = (major_mx - y_ref) / y_ref
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r_down = (major_mn - y_ref) / y_ref
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minor_y_start = y_minor_intersect
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ymn = minor_y_start * (1 + r_down)
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ymx = minor_y_start * (1 + r_up)
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profiler(f'{viz.name}@{chart_name} SCALE minor')
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# XXX: handle out of view cases where minor curve
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# now is outside the range of the major curve. in
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# this case we then re-scale the major curve to
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# include the range missing now enforced by the
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# minor (now new major for this *side*). Note this
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# is side (up/down) specific.
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new_maj_mxmn: None | tuple[float, float] = None
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if y_max > ymx:
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y_ref = y_minor_intersect
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r_up_minor = (y_max - y_ref) / y_ref
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y_maj_ref = y_major_intersect
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new_maj_ymx = y_maj_ref * (1 + r_up_minor)
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new_maj_mxmn = (major_mn, new_maj_ymx)
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if debug_print:
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print(
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f'{view.name} OUT OF RANGE:\n'
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'--------------------\n'
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f'y_max:{y_max} > ymx:{ymx}\n'
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)
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ymx = y_max
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profiler(f'{viz.name}@{chart_name} re-SCALE major UP')
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if y_min < ymn:
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y_ref = y_minor_intersect
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r_down_minor = (y_min - y_ref) / y_ref
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y_maj_ref = y_major_intersect
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new_maj_ymn = y_maj_ref * (1 + r_down_minor)
|
||||
new_maj_mxmn = (
|
||||
new_maj_ymn,
|
||||
new_maj_mxmn[1] if new_maj_mxmn else major_mx
|
||||
)
|
||||
if debug_print:
|
||||
print(
|
||||
f'{view.name} OUT OF RANGE:\n'
|
||||
'--------------------\n'
|
||||
f'y_min:{y_min} < ymn:{ymn}\n'
|
||||
)
|
||||
ymn = y_min
|
||||
|
||||
profiler(
|
||||
f'{viz.name}@{chart_name} re-SCALE major DOWN'
|
||||
)
|
||||
|
||||
if new_maj_mxmn:
|
||||
if debug_print:
|
||||
print(
|
||||
f'RESCALE MAJOR {major_viz.name}:\n'
|
||||
f'previous: {(major_mn, major_mx)}\n'
|
||||
f'new: {new_maj_mxmn}\n'
|
||||
)
|
||||
major_mn, major_mx = new_maj_mxmn
|
||||
|
||||
if debug_print:
|
||||
print(
|
||||
f'{view.name} APPLY group mxmn\n'
|
||||
'--------------------\n'
|
||||
f'y_minor_intersect: {y_minor_intersect}\n'
|
||||
f'y_major_intersect: {y_major_intersect}\n'
|
||||
f'scaled ymn: {ymn}\n'
|
||||
f'scaled ymx: {ymx}\n'
|
||||
f'scaled mx_disp: {mx_disp}\n'
|
||||
)
|
||||
key = 'open' if viz.is_ohlc else viz.name
|
||||
|
||||
if (
|
||||
isinf(ymx)
|
||||
|
|
@ -1389,32 +1334,47 @@ class ChartView(ViewBox):
|
|||
)
|
||||
continue
|
||||
|
||||
ymn = dnt.apply_rng(y_start)
|
||||
ymx = upt.apply_rng(y_start)
|
||||
|
||||
# NOTE XXX: we have to set each curve's range once (and
|
||||
# ONLY ONCE) here since we're doing this entire routine
|
||||
# inside of a single render cycle (and apparently calling
|
||||
# `ViewBox.setYRange()` multiple times within one only takes
|
||||
# the first call as serious...) XD
|
||||
view._set_yrange(
|
||||
yrange=(ymn, ymx),
|
||||
)
|
||||
profiler(f'{viz.name}@{chart_name} log-SCALE minor')
|
||||
|
||||
# NOTE XXX: we have to set the major curve's range once (and
|
||||
# only once) here since we're doing this entire routine
|
||||
# inside of a single render cycle (and apparently calling
|
||||
# `ViewBox.setYRange()` multiple times within one only takes
|
||||
# the first call as serious...) XD
|
||||
if debug_print:
|
||||
print(
|
||||
f'Scale MAJOR {major_viz.name}:\n'
|
||||
f'scaled mx_disp: {mx_disp}\n'
|
||||
f'previous: {(major_mn, major_mx)}\n'
|
||||
f'new: {new_maj_mxmn}\n'
|
||||
)
|
||||
major_viz.plot.vb._set_yrange(
|
||||
yrange=(major_mn, major_mx),
|
||||
)
|
||||
profiler(f'{viz.name}@{chart_name} log-SCALE major')
|
||||
# major_mx, major_mn = new_maj_mxmn
|
||||
if debug_print:
|
||||
print(
|
||||
'------------------------------\n'
|
||||
f'LOGLIN SCALE CYCLE: {viz.name}@{chart_name}\n'
|
||||
f'UP MAJOR C: {upt.viz.name} with disp: {upt.rng}\n'
|
||||
f'DOWN MAJOR C: {dnt.viz.name} with disp: {dnt.rng}\n'
|
||||
f'y_start: {y_start}\n'
|
||||
f'y min: {y_min}\n'
|
||||
f'y max: {y_max}\n'
|
||||
f'T scaled ymn: {ymn}\n'
|
||||
f'T scaled ymx: {ymx}\n'
|
||||
'------------------------------\n'
|
||||
)
|
||||
|
||||
# profiler(f'{viz.name}@{chart_name} log-SCALE major')
|
||||
# major_mx, major_mn = group_mxmn
|
||||
# vrs = major_viz.plot.vb.viewRange()
|
||||
# if vrs[1][0] > major_mn:
|
||||
# breakpoint()
|
||||
|
||||
if debug_print:
|
||||
print(
|
||||
f'END UX GRAPHICS CYCLE: @{chart_name}\n'
|
||||
+
|
||||
'#'*100
|
||||
+
|
||||
'\n'
|
||||
)
|
||||
if not do_linked_charts:
|
||||
return
|
||||
|
||||
|
|
@ -1466,3 +1426,98 @@ def _maybe_calc_yrange(
|
|||
read_slc,
|
||||
yrange_kwargs,
|
||||
)
|
||||
|
||||
|
||||
class OverlayT(Struct):
|
||||
'''
|
||||
An overlay co-domain range transformer.
|
||||
|
||||
Used to translate and apply a range from one y-range
|
||||
to another based on a returns logarithm:
|
||||
|
||||
R(ymn, ymx, yref) = (ymx - yref)/yref
|
||||
|
||||
which gives the log-scale multiplier, and
|
||||
|
||||
ymx_t = yref * (1 + R)
|
||||
|
||||
which gives the inverse to translate to the same value
|
||||
in the target co-domain.
|
||||
|
||||
'''
|
||||
start_t: float | None = None
|
||||
viz: Viz = None
|
||||
|
||||
# % "range" computed from some ref value to the mn/mx
|
||||
rng: float | None = None
|
||||
in_view: np.ndarray | None = None
|
||||
|
||||
# pinned-minor curve modified mn and max for the major dispersion
|
||||
# curve due to one series being shorter and the pin + scaling from
|
||||
# that pin point causing the original range to have to increase.
|
||||
y_val: float | None = None
|
||||
|
||||
def apply_rng(
|
||||
self,
|
||||
y_start: float, # reference value for dispersion metric
|
||||
|
||||
) -> float:
|
||||
return y_start * (1 + self.rng)
|
||||
|
||||
# def loglin_from_range(
|
||||
# self,
|
||||
|
||||
# y_ref: float, # reference value for dispersion metric
|
||||
# mn: float, # min y in target log-lin range
|
||||
# mx: float, # max y in target log-lin range
|
||||
# offset: float, # y-offset to start log-scaling from
|
||||
|
||||
# ) -> tuple[float, float]:
|
||||
# r_up = (mx - y_ref) / y_ref
|
||||
# r_down = (mn - y_ref) / y_ref
|
||||
# ymn = offset * (1 + r_down)
|
||||
# ymx = offset * (1 + r_up)
|
||||
|
||||
# return ymn, ymx
|
||||
|
||||
|
||||
def intersect_from_longer(
|
||||
start_t_first: float,
|
||||
in_view_first: np.ndarray,
|
||||
|
||||
start_t_second: float,
|
||||
in_view_second: np.ndarray,
|
||||
|
||||
) -> np.ndarray:
|
||||
|
||||
tdiff = start_t_first - start_t_second
|
||||
|
||||
if tdiff == 0:
|
||||
return False
|
||||
|
||||
i: int = 0
|
||||
|
||||
# first time series has an "earlier" first time stamp then the 2nd.
|
||||
# aka 1st is "shorter" then the 2nd.
|
||||
if tdiff > 0:
|
||||
longer = in_view_second
|
||||
find_t = start_t_first
|
||||
i = 1
|
||||
|
||||
# second time series has an "earlier" first time stamp then the 1st.
|
||||
# aka 2nd is "shorter" then the 1st.
|
||||
elif tdiff < 0:
|
||||
longer = in_view_first
|
||||
find_t = start_t_second
|
||||
i = 0
|
||||
|
||||
slc = slice_from_time(
|
||||
arr=longer,
|
||||
start_t=find_t,
|
||||
stop_t=find_t,
|
||||
)
|
||||
return (
|
||||
longer[slc.start],
|
||||
find_t,
|
||||
i,
|
||||
)
|
||||
|
|
|
|||
Loading…
Reference in New Issue