Add 16 period dollar vlm rates, drop ib rates for now

piker/fsp/_volume.py

@@ -22,8 +22,15 @@ from tractor.trionics._broadcast import AsyncReceiver
 from ._api import fsp
 from ..data._normalize import iterticks
 from ..data._sharedmem import ShmArray
+from ._momo import _wma
+from ..log import get_logger
+
+log = get_logger(__name__)
 
 
+# NOTE: is the same as our `wma` fsp, and if so which one is faster?
+# Ohhh, this is an IIR style i think? So it has an anchor point
+# effectively instead of a moving window/FIR style?
 def wap(
 
     signal: np.ndarray,
@@ -131,8 +138,6 @@ async def dolla_vlm(
     chl3 = (a['close'] + a['high'] + a['low']) / 3
     v = a['volume']
 
-    from ._momo import wma
-
     # on first iteration yield history
     yield {
         'dolla_vlm': chl3 * v,
@@ -203,11 +208,11 @@ async def dolla_vlm(
 
         # our own instantaneous rate calcs which are all
         # parameterized by a samples count (bars) period
-        # 'trade_rate',
-        # 'dark_trade_rate',
+        'trade_rate',
+        'dark_trade_rate',
 
-        # 'dvlm_rate',
-        # 'dark_dvlm_rate',
+        'dvlm_rate',
+        'dark_dvlm_rate',
     ),
     curve_style='line',
 )
@@ -236,13 +241,17 @@ async def flow_rates(
 ) -> AsyncIterator[
     tuple[str, Union[np.ndarray, float]],
 ]:
-
-    # dvlm_shm = dolla_vlm.get_shm(ohlcv)
-
     # generally no history available prior to real-time calcs
     yield {
+        # from ib
         '1m_trade_rate': None,
         '1m_vlm_rate': None,
+
+        'trade_rate': None,
+        'dark_trade_rate': None,
+
+        'dvlm_rate': None,
+        'dark_dvlm_rate': None,
     }
 
     ltr = 0
@@ -255,19 +264,50 @@ async def flow_rates(
     vr = quote.get('volumeRate')
     yield '1m_vlm_rate', vr or 0
 
+    # NOTE: in theory we could dynamically allocate a cascade based on
+    # this call but not sure if that's too "dynamic" in terms of
+    # validating cascade flows from message typing perspective.
+
+    # attach to ``dolla_vlm`` fsp running
+    # on this same source flow.
+    dvlm_shm = dolla_vlm.get_shm(ohlcv)
+
+    # precompute arithmetic mean weights (all ones)
+    seq = np.full((period,), 1)
+    weights = seq / seq.sum()
+
     async for quote in source:
-        if quote:
+        if not quote:
+            log.error("OH WTF NO QUOTE IN FSP")
+            continue
 
-            # XXX: ib specific schema we should
-            # probably pre-pack ourselves.
-            tr = quote.get('tradeRate')
-            if tr is not None and tr != ltr:
-                # print(f'trade rate: {tr}')
-                yield '1m_trade_rate', tr
-                ltr = tr
+        dvlm_wma = _wma(
+            dvlm_shm.array['dolla_vlm'],
+            period,
+            weights=weights,
+        )
+        yield 'dvlm_rate', dvlm_wma[-1]
 
-            vr = quote.get('volumeRate')
-            if vr is not None and vr != lvr:
-                # print(f'vlm rate: {vr}')
-                yield '1m_vlm_rate', vr
-                lvr = vr
+        # TODO: skip this if no dark vlm is declared
+        # by symbol info (eg. in crypto$)
+        dark_dvlm_wma = _wma(
+            dvlm_shm.array['dark_vlm'],
+            period,
+            weights=weights,
+        )
+        yield 'dark_dvlm_rate', dark_dvlm_wma[-1]
+
+        # XXX: ib specific schema we should
+        # probably pre-pack ourselves.
+        # tr = quote.get('tradeRate')
+        # if tr is not None and tr != ltr:
+        #     # print(f'trade rate: {tr}')
+        #     yield '1m_trade_rate', tr
+        #     ltr = tr
+
+        # # TODO: we *could* do an ohlc3
+        # vr = quote.get('volumeRate')
+        # if vr is not None and vr != lvr:
+        #     # print(f'vlm rate: {vr}')
+        #     yield '1m_vlm_rate', vr
+        #     lvr = vr