Add `Flow` type with a real chitty mxmn cacheing method

This new type wraps a shm data flow and will eventually include things
like incremental path-graphics updates and serialization + bg downsampling
techniques. The main immediate motivation was to get a cached y-range max/min
calc going since profiling revealed the `numpy` equivalents were
actually quite slow as the data set grows large. Likely we can use all
this to drive a streaming mx/mn routine that's always launched as part
of each on-host flow.

This is our official foray into use of `msgspec.Struct` B) and I have to
say, pretty impressed; we'll likely completely ditch `pydantic` from
here on out.
only_draw_iv_for_ohlc
Tyler Goodlet 2022-04-06 17:05:57 -04:00
parent 008796c69f
commit 3a7e00e287
1 changed files with 116 additions and 44 deletions

View File

@ -34,10 +34,11 @@ from PyQt5.QtWidgets import (
QVBoxLayout, QVBoxLayout,
QSplitter, QSplitter,
) )
import msgspec
import numpy as np import numpy as np
# from pydantic import BaseModel
import pyqtgraph as pg import pyqtgraph as pg
import trio import trio
from pydantic import BaseModel
from ._axes import ( from ._axes import (
DynamicDateAxis, DynamicDateAxis,
@ -59,10 +60,14 @@ from ._style import (
) )
from ..data.feed import Feed from ..data.feed import Feed
from ..data._source import Symbol from ..data._source import Symbol
from ..data._sharedmem import ShmArray from ..data._sharedmem import (
ShmArray,
# _Token,
)
from ..log import get_logger from ..log import get_logger
from ._interaction import ChartView from ._interaction import ChartView
from ._forms import FieldsForm from ._forms import FieldsForm
from .._profile import pg_profile_enabled, ms_slower_then
from ._overlay import PlotItemOverlay from ._overlay import PlotItemOverlay
if TYPE_CHECKING: if TYPE_CHECKING:
@ -663,19 +668,90 @@ class LinkedSplits(QWidget):
# flows: dict[str, np.ndarray] = {} # flows: dict[str, np.ndarray] = {}
class Flow(BaseModel): class Flow(msgspec.Struct): # , frozen=True):
''' '''
(FinancialSignal-)Flow compound type which wraps a real-time (FinancialSignal-)Flow compound type which wraps a real-time
graphics (curve) and its backing data stream together for high level graphics (curve) and its backing data stream together for high level
access and control. access and control.
''' The intention is for this type to eventually be capable of shm-passing
class Config: of incrementally updated graphics stream data between actors.
arbitrary_types_allowed = True
'''
name: str name: str
plot: pg.PlotItem plot: pg.PlotItem
shm: Optional[ShmArray] = None # may be filled in "later" is_ohlc: bool = False
# TODO: hackery to be able to set a shm later
# but whilst also allowing this type to hashable,
# likely will require serializable token that is used to attach
# to the underlying shm ref after startup?
_shm: Optional[ShmArray] = None # currently, may be filled in "later"
# cache of y-range values per x-range input.
_mxmns: dict[tuple[int, int], tuple[float, float]] = {}
@property
def shm(self) -> ShmArray:
return self._shm
@shm.setter
def shm(self, shm: ShmArray) -> ShmArray:
self._shm = shm
def maxmin(
self,
lbar,
rbar,
) -> tuple[float, float]:
'''
Compute the cached max and min y-range values for a given
x-range determined by ``lbar`` and ``rbar``.
'''
rkey = (lbar, rbar)
result = self._mxmns.get(rkey)
if result:
return result
shm = self.shm
if shm is None:
# print(f'no shm {self.name}?')
return 0, 0
arr = shm.array
# build relative indexes into shm array
# TODO: should we just add/use a method
# on the shm to do this?
ifirst = arr[0]['index']
slice_view = arr[
lbar - ifirst:(rbar - ifirst) + 1]
if not slice_view.size:
# print(f'no data in view {self.name}?')
return 0, 0
if self.is_ohlc:
ylow = np.min(slice_view['low'])
yhigh = np.max(slice_view['high'])
else:
view = slice_view[self.name]
ylow = np.min(view)
yhigh = np.max(view)
# else:
# ylow, yhigh = 0, 0
result = ylow, yhigh
if result != (0, 0):
self._mxmns[rkey] = result
if self.name == 'drk_vlm':
print(f'{self.name} mxmn @ {rkey} -> {result}')
return result
class ChartPlotWidget(pg.PlotWidget): class ChartPlotWidget(pg.PlotWidget):
@ -1005,6 +1081,13 @@ class ChartPlotWidget(pg.PlotWidget):
data_key = array_key or name data_key = array_key or name
self._graphics[data_key] = graphics self._graphics[data_key] = graphics
self._flows[data_key] = Flow(
name=name,
plot=self.plotItem,
is_ohlc=True,
)
self._add_sticky(name, bg_color='davies') self._add_sticky(name, bg_color='davies')
return graphics, data_key return graphics, data_key
@ -1122,6 +1205,12 @@ class ChartPlotWidget(pg.PlotWidget):
pi = self.plotItem pi = self.plotItem
self._flows[data_key] = Flow(
name=name,
plot=pi,
is_ohlc=False,
)
# TODO: this probably needs its own method? # TODO: this probably needs its own method?
if overlay: if overlay:
if isinstance(overlay, pg.PlotItem): if isinstance(overlay, pg.PlotItem):
@ -1130,10 +1219,6 @@ class ChartPlotWidget(pg.PlotWidget):
f'{overlay} must be from `.plotitem_overlay()`' f'{overlay} must be from `.plotitem_overlay()`'
) )
pi = overlay pi = overlay
# anchor_at = ('bottom', 'left')
self._flows[name] = Flow(name=name, plot=pi)
else: else:
# anchor_at = ('top', 'left') # anchor_at = ('top', 'left')
@ -1342,46 +1427,33 @@ class ChartPlotWidget(pg.PlotWidget):
If ``bars_range`` is provided use that range. If ``bars_range`` is provided use that range.
''' '''
l, lbar, rbar, r = bars_range or self.bars_range() profiler = pg.debug.Profiler(
# TODO: logic to check if end of bars in view disabled=not pg_profile_enabled(),
# extra = view_len - _min_points_to_show gt=ms_slower_then,
# begin = self._arrays['ohlc'][0]['index'] - extra delayed=True,
# # end = len(self._arrays['ohlc']) - 1 + extra )
# end = self._arrays['ohlc'][-1]['index'] - 1 + extra
# bars_len = rbar - lbar l, lbar, rbar, r = bars_range or self.bars_range()
# log.debug( profiler(f'{self.name} got bars range')
# f"\nl: {l}, lbar: {lbar}, rbar: {rbar}, r: {r}\n"
# f"view_len: {view_len}, bars_len: {bars_len}\n"
# f"begin: {begin}, end: {end}, extra: {extra}"
# )
# TODO: here we should instead look up the ``Flow.shm.array`` # TODO: here we should instead look up the ``Flow.shm.array``
# and read directly from shm to avoid copying to memory first # and read directly from shm to avoid copying to memory first
# and then reading it again here. # and then reading it again here.
a = self._arrays.get(name or self.name) flow_key = name or self.name
if a is None: flow = self._flows.get(flow_key)
return None
ifirst = a[0]['index']
bars = a[lbar - ifirst:(rbar - ifirst) + 1]
if not len(bars):
# likely no data loaded yet or extreme scrolling?
log.error(f"WTF bars_range = {lbar}:{rbar}")
return
if ( if (
self.data_key == self.linked.symbol.key flow is None
): ):
# ohlc sampled bars hi/lo lookup print(f"flow {flow_key} doesn't exist in chart {self.name}")
ylow = np.nanmin(bars['low']) return 0, 0
yhigh = np.nanmax(bars['high'])
else: else:
view = bars[name or self.data_key] key = round(lbar), round(rbar)
ylow = np.nanmin(view) res = flow.maxmin(*key)
yhigh = np.nanmax(view) profiler(f'{key} max-min {res}')
if res == (0, 0):
log.error(
f"{flow_key} -> (0, 0) for bars_range = {key}"
)
# print(f'{(ylow, yhigh)}') return res
return ylow, yhigh