pikers
/
piker
3
0
Fork 0
Code Issues 4 Pull Requests 6 Packages Projects Releases Wiki Activity

Truncate trade rate wma window sizes

incr_update_backup
Tyler Goodlet 2022-04-27 17:17:40 -04:00
parent c985c01c62
commit 49f3e15a3c
2 changed files with 3 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

1
piker/fsp/_momo.py
View File

@ -167,6 +167,7 @@ def _wma(
assert length == len(weights) assert length == len(weights)
# lol, for long sequences this is nutso slow and expensive..
return np.convolve(signal, weights, 'valid') return np.convolve(signal, weights, 'valid')

4
piker/fsp/_volume.py
View File

@ -309,7 +309,7 @@ async def flow_rates(
if period > 1: if period > 1:
trade_rate_wma = _wma( trade_rate_wma = _wma(
dvlm_shm.array['trade_count'], dvlm_shm.array['trade_count'][-period:],
period, period,
weights=weights, weights=weights,
) )
@ -332,7 +332,7 @@ async def flow_rates(
if period > 1: if period > 1:
dark_trade_rate_wma = _wma( dark_trade_rate_wma = _wma(
dvlm_shm.array['dark_trade_count'], dvlm_shm.array['dark_trade_count'][-period:],
period, period,
weights=weights, weights=weights,
) )