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Drop dvlm 'rates' (they're just means), add default params, period -> 6

windows_fixes_yo
Tyler Goodlet 2022-02-08 12:04:01 -05:00
parent 8f467bf4f0
commit 326b2c089a
1 changed files with 26 additions and 20 deletions
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46
piker/fsp/_volume.py
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@ -97,7 +97,10 @@ async def tina_vwap(
# vwap_tot = h_vwap[-1] # vwap_tot = h_vwap[-1]
async for quote in source: 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][ # c, h, l, v = ohlcv.array[-1][
# ['closes', 'high', 'low', 'volume'] # ['closes', 'high', 'low', 'volume']
@ -150,7 +153,7 @@ async def dolla_vlm(
} }
i = ohlcv.index i = ohlcv.index
output = dvlm = vlm = 0 dvlm = vlm = 0
dark_trade_count = trade_count = 0 dark_trade_count = trade_count = 0
async for quote in source: async for quote in source:
@ -172,7 +175,6 @@ async def dolla_vlm(
i = li i = li
trade_count = dark_trade_count = dvlm = vlm = 0 trade_count = dark_trade_count = dvlm = vlm = 0
# TODO: for marginned instruments (futes, etfs?) we need to # TODO: for marginned instruments (futes, etfs?) we need to
# show the margin $vlm by multiplying by whatever multiplier # show the margin $vlm by multiplying by whatever multiplier
# is reported in the sym info. # is reported in the sym info.
@ -232,7 +234,11 @@ async def flow_rates(
# FSPs, user input, and possibly any general event stream in # FSPs, user input, and possibly any general event stream in
# real-time. Hint: ideally implemented with caching until mutated # real-time. Hint: ideally implemented with caching until mutated
# ;) # ;)
period: 'Param[int]' = 16, # noqa period: 'Param[int]' = 6, # noqa
# TODO: support other means by providing a map
# to weights `partial()`-ed with `wma()`?
mean_type: str = 'arithmetic',
# TODO (idea): a generic for declaring boxed fsps much like ``pytest`` # TODO (idea): a generic for declaring boxed fsps much like ``pytest``
# fixtures? This probably needs a lot of thought if we want to offer # fixtures? This probably needs a lot of thought if we want to offer
@ -262,11 +268,11 @@ async def flow_rates(
'dark_dvlm_rate': None, 'dark_dvlm_rate': None,
} }
ltr = 0
lvr = 0
# TODO: 3.10 do ``anext()`` # TODO: 3.10 do ``anext()``
quote = await source.__anext__() quote = await source.__anext__()
# ltr = 0
# lvr = 0
tr = quote.get('tradeRate') tr = quote.get('tradeRate')
yield '1m_trade_rate', tr or 0 yield '1m_trade_rate', tr or 0
vr = quote.get('volumeRate') vr = quote.get('volumeRate')
@ -294,12 +300,12 @@ async def flow_rates(
log.error("OH WTF NO QUOTE IN FSP") log.error("OH WTF NO QUOTE IN FSP")
continue continue
dvlm_wma = _wma( # dvlm_wma = _wma(
dvlm_shm.array['dolla_vlm'], # dvlm_shm.array['dolla_vlm'],
period, # period,
weights=weights, # weights=weights,
) # )
yield 'dvlm_rate', dvlm_wma[-1] # yield 'dvlm_rate', dvlm_wma[-1]
if period > 1: if period > 1:
trade_rate_wma = _wma( trade_rate_wma = _wma(
@ -317,12 +323,12 @@ async def flow_rates(
# TODO: skip this if no dark vlm is declared # TODO: skip this if no dark vlm is declared
# by symbol info (eg. in crypto$) # by symbol info (eg. in crypto$)
dark_dvlm_wma = _wma( # dark_dvlm_wma = _wma(
dvlm_shm.array['dark_vlm'], # dvlm_shm.array['dark_vlm'],
period, # period,
weights=weights, # weights=weights,
) # )
yield 'dark_dvlm_rate', dark_dvlm_wma[-1] # yield 'dark_dvlm_rate', dark_dvlm_wma[-1]
if period > 1: if period > 1:
dark_trade_rate_wma = _wma( dark_trade_rate_wma = _wma(
@ -338,13 +344,13 @@ async def flow_rates(
# XXX: ib specific schema we should # XXX: ib specific schema we should
# probably pre-pack ourselves. # probably pre-pack ourselves.
# tr = quote.get('tradeRate') # tr = quote.get('tradeRate')
# if tr is not None and tr != ltr: # if tr is not None and tr != ltr:
# # print(f'trade rate: {tr}') # # print(f'trade rate: {tr}')
# yield '1m_trade_rate', tr # yield '1m_trade_rate', tr
# ltr = tr # ltr = tr
# # TODO: we *could* do an ohlc3
# vr = quote.get('volumeRate') # vr = quote.get('volumeRate')
# if vr is not None and vr != lvr: # if vr is not None and vr != lvr:
# # print(f'vlm rate: {vr}') # # print(f'vlm rate: {vr}')