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Accumulate dark vlm ticks independently per sample step

dark_vlm
Tyler Goodlet 2022-01-28 08:46:04 -05:00
parent 67de8f24b9
commit 28b5be0719
1 changed files with 22 additions and 15 deletions
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37
piker/fsp/_volume.py
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@ -135,19 +135,12 @@ async def dolla_vlm(
yield chl3 * v yield chl3 * v
i = ohlcv.index i = ohlcv.index
lvlm = 0 output = vlm = 0
dvlm = 0
async for quote in source: async for quote in source:
for tick in iterticks(quote): for tick in iterticks(quote):
ttype = tick.get('type')
if ttype == 'dark_trade':
# print(f'dark_trade: {tick}')
key = 'dark_vlm'
else:
key = 'dolla_vlm'
# this computes tick-by-tick weightings from here forward # this computes tick-by-tick weightings from here forward
size = tick['size'] size = tick['size']
price = tick['price'] price = tick['price']
@ -155,16 +148,30 @@ async def dolla_vlm(
li = ohlcv.index li = ohlcv.index
if li > i: if li > i:
i = li i = li
lvlm = 0 vlm = 0
dvlm = 0
c, h, l, v = ohlcv.last()[ # TODO: for marginned instruments (futes, etfs?) we need to
['close', 'high', 'low', 'volume'] # show the margin $vlm by multiplying by whatever multiplier
][0] # is reported in the sym info.
lvlm += price * size ttype = tick.get('type')
if ttype == 'dark_trade':
print(f'dark_trade: {tick}')
key = 'dark_vlm'
dvlm += price * size
output = dvlm
else:
key = 'dolla_vlm'
vlm += price * size
output = vlm
# TODO: plot both to compare? # TODO: plot both to compare?
# c, h, l, v = ohlcv.last()[
# ['close', 'high', 'low', 'volume']
# ][0]
# tina_lvlm = c+h+l/3 * v # tina_lvlm = c+h+l/3 * v
# print(f' tinal vlm: {tina_lvlm}') # print(f' tinal vlm: {tina_lvlm}')
yield key, lvlm yield key, output