Truncate trade rate wma window sizes
parent
0061fabb56
commit
423af37389
piker/fsp
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@ -167,6 +167,7 @@ def _wma(
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assert length == len(weights)
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# lol, for long sequences this is nutso slow and expensive..
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return np.convolve(signal, weights, 'valid')
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@ -309,7 +309,7 @@ async def flow_rates(
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if period > 1:
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trade_rate_wma = _wma(
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dvlm_shm.array['trade_count'],
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dvlm_shm.array['trade_count'][-period:],
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period,
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weights=weights,
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)
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@ -332,7 +332,7 @@ async def flow_rates(
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if period > 1:
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dark_trade_rate_wma = _wma(
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dvlm_shm.array['dark_trade_count'],
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dvlm_shm.array['dark_trade_count'][-period:],
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period,
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weights=weights,
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)
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