Move `frame_ticks()` and tick-type defs into `.ticktools`
parent
eacc59226f
commit
621634b5a2
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@ -39,6 +39,10 @@ from tractor.trionics import (
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import trio
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from trio_typing import TaskStatus
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from .ticktools import (
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frame_ticks,
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_tick_groups,
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)
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from ._util import (
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log,
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get_console_log,
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@ -742,77 +746,6 @@ async def sample_and_broadcast(
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)
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# tick-type-classes template for all possible "lowest level" events
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# that can can be emitted by the "top of book" L1 queues and
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# price-matching (with eventual clearing) in a double auction
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# market (queuing) system.
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_tick_groups = {
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'clears': {'trade', 'dark_trade', 'last'},
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'bids': {'bid', 'bsize'},
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'asks': {'ask', 'asize'},
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}
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# XXX alo define the flattened set of all such "fundamental ticks"
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# so that it can be used as filter, eg. in the graphics display
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# loop to compute running windowed y-ranges B)
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_auction_ticks: set[str] = set.union(*_tick_groups.values())
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def frame_ticks(
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quote: dict[str, Any],
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ticks_by_type: dict[str, list[dict[str, Any]]] = {},
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ticks_in_order: list[dict[str, Any]] | None = None
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) -> dict:
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# append quotes since last iteration into the last quote's
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# tick array/buffer.
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# TODO: once we decide to get fancy really we should
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# have a shared mem tick buffer that is just
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# continually filled and the UI just ready from it
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# at it's display rate.
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if ticks := quote.get('ticks'):
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# XXX: build a tick-by-type table of lists
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# of tick messages. This allows for less
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# iteration on the receiver side by allowing for
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# a single "latest tick event" look up by
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# indexing the last entry in each sub-list.
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# tbt = {
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# 'types': ['bid', 'asize', 'last', .. '<type_n>'],
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# 'bid': [tick0, tick1, tick2, .., tickn],
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# 'asize': [tick0, tick1, tick2, .., tickn],
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# 'last': [tick0, tick1, tick2, .., tickn],
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# ...
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# '<type_n>': [tick0, tick1, tick2, .., tickn],
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# }
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# append in reverse FIFO order for in-order iteration on
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# receiver side.
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tick: dict[str, Any]
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for tick in ticks:
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ticks_by_type.setdefault(
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tick['type'],
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[],
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).append(tick)
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# TODO: do we need this any more or can we just
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# expect the receiver to unwind the below
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# `ticks_by_type: dict`?
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# => undwinding would potentially require a
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# `dict[str, set | list]` instead with an
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# included `'types' field which is an (ordered)
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# set of tick type fields in the order which
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# types arrived?
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if ticks_in_order:
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ticks_in_order.extend(ticks)
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return ticks_by_type
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async def uniform_rate_send(
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rate: float,
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@ -19,7 +19,25 @@ Stream format enforcement.
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'''
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from itertools import chain
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from typing import AsyncIterator
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from typing import (
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Any,
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AsyncIterator,
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)
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# tick-type-classes template for all possible "lowest level" events
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# that can can be emitted by the "top of book" L1 queues and
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# price-matching (with eventual clearing) in a double auction
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# market (queuing) system.
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_tick_groups: dict[str, set[str]] = {
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'clears': {'trade', 'dark_trade', 'last'},
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'bids': {'bid', 'bsize'},
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'asks': {'ask', 'asize'},
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}
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# XXX alo define the flattened set of all such "fundamental ticks"
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# so that it can be used as filter, eg. in the graphics display
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# loop to compute running windowed y-ranges B)
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_auction_ticks: set[str] = set.union(*_tick_groups.values())
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def iterticks(
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@ -80,3 +98,58 @@ def iterticks(
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ttype = tick.get('type')
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if ttype in types:
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yield tick
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def frame_ticks(
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quote: dict[str, Any],
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ticks_by_type: dict[str, list[dict[str, Any]]] = {},
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ticks_in_order: list[dict[str, Any]] | None = None
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) -> dict:
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# append quotes since last iteration into the last quote's
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# tick array/buffer.
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# TODO: once we decide to get fancy really we should
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# have a shared mem tick buffer that is just
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# continually filled and the UI just ready from it
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# at it's display rate.
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if ticks := quote.get('ticks'):
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# XXX: build a tick-by-type table of lists
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# of tick messages. This allows for less
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# iteration on the receiver side by allowing for
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# a single "latest tick event" look up by
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# indexing the last entry in each sub-list.
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# tbt = {
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# 'types': ['bid', 'asize', 'last', .. '<type_n>'],
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# 'bid': [tick0, tick1, tick2, .., tickn],
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# 'asize': [tick0, tick1, tick2, .., tickn],
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# 'last': [tick0, tick1, tick2, .., tickn],
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# ...
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# '<type_n>': [tick0, tick1, tick2, .., tickn],
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# }
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# append in reverse FIFO order for in-order iteration on
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# receiver side.
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tick: dict[str, Any]
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for tick in ticks:
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ticks_by_type.setdefault(
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tick['type'],
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[],
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).append(tick)
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# TODO: do we need this any more or can we just
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# expect the receiver to unwind the below
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# `ticks_by_type: dict`?
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# => undwinding would potentially require a
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# `dict[str, set | list]` instead with an
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# included `'types' field which is an (ordered)
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# set of tick type fields in the order which
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# types arrived?
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if ticks_in_order:
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ticks_in_order.extend(ticks)
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return ticks_by_type
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@ -39,20 +39,23 @@ from msgspec import field
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from ..accounting import (
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MktPair,
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)
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from ..data.feed import (
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from ..data import (
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open_feed,
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Feed,
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Flume,
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)
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from ..data.ticktools import (
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_tick_groups,
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_auction_ticks,
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)
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from ..data.types import Struct
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from ..data._sharedmem import (
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ShmArray,
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)
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from ..data._sampling import (
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_tick_groups,
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_auction_ticks,
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open_sample_stream,
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)
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# from ..data._source import tf_in_1s
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from ._axes import YAxisLabel
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from ._chart import (
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ChartPlotWidget,
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@ -72,7 +75,6 @@ from ._forms import (
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mk_order_pane_layout,
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)
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from . import _pg_overrides as pgo
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# from ..data._source import tf_in_1s
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from .order_mode import (
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open_order_mode,
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OrderMode,
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