Expand sampler loop shm write lines
parent
7ec88f8cac
commit
2399c618b6
|
@ -128,22 +128,43 @@ async def increment_ohlc_buffer(
|
|||
|
||||
# TODO: ``numba`` this!
|
||||
for shm in shms:
|
||||
# append new entry to buffer thus "incrementing" the bar
|
||||
array = shm.array
|
||||
last = array[-1:][shm._write_fields].copy()
|
||||
|
||||
(t, close) = last[0][[
|
||||
'time',
|
||||
'close',
|
||||
]]
|
||||
|
||||
# this copies non-std fields (eg. vwap) from the last datum
|
||||
last[[
|
||||
'time',
|
||||
|
||||
'open',
|
||||
'high',
|
||||
'low',
|
||||
'close',
|
||||
|
||||
'volume',
|
||||
]][0] = (
|
||||
# epoch timestamp
|
||||
t + this_delay_s,
|
||||
|
||||
# OHLC
|
||||
close,
|
||||
close,
|
||||
close,
|
||||
close,
|
||||
|
||||
0, # vlm
|
||||
)
|
||||
|
||||
# TODO: in theory we could make this faster by copying the
|
||||
# "last" readable value into the underlying larger buffer's
|
||||
# next value and then incrementing the counter instead of
|
||||
# using ``.push()``?
|
||||
|
||||
# append new entry to buffer thus "incrementing" the bar
|
||||
array = shm.array
|
||||
last = array[-1:][shm._write_fields].copy()
|
||||
# (index, t, close) = last[0][['index', 'time', 'close']]
|
||||
(t, close) = last[0][['time', 'close']]
|
||||
|
||||
# this copies non-std fields (eg. vwap) from the last datum
|
||||
last[
|
||||
['time', 'volume', 'open', 'high', 'low', 'close']
|
||||
][0] = (t + this_delay_s, 0, close, close, close, close)
|
||||
|
||||
# write to the buffer
|
||||
shm.push(last)
|
||||
|
||||
|
|
Loading…
Reference in New Issue