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Code Issues 4 Pull Requests 6 Packages Projects Releases Wiki Activity

Move `frame_ticks()` and tick-type defs into `.ticktools`

basic_buy_bot
Tyler Goodlet 2023-06-26 19:46:51 -04:00
parent eacc59226f
commit 621634b5a2
3 changed files with 84 additions and 76 deletions
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75
piker/data/_sampling.py
View File

@ -39,6 +39,10 @@ from tractor.trionics import (
import trio
from trio_typing import TaskStatus
from .ticktools import (
frame_ticks,
_tick_groups,
)
from ._util import (
log,
get_console_log,
@ -742,77 +746,6 @@ async def sample_and_broadcast(
)
# tick-type-classes template for all possible "lowest level" events
# that can can be emitted by the "top of book" L1 queues and
# price-matching (with eventual clearing) in a double auction
# market (queuing) system.
_tick_groups = {
'clears': {'trade', 'dark_trade', 'last'},
'bids': {'bid', 'bsize'},
'asks': {'ask', 'asize'},
}
# XXX alo define the flattened set of all such "fundamental ticks"
# so that it can be used as filter, eg. in the graphics display
# loop to compute running windowed y-ranges B)
_auction_ticks: set[str] = set.union(*_tick_groups.values())
def frame_ticks(
quote: dict[str, Any],
ticks_by_type: dict[str, list[dict[str, Any]]] = {},
ticks_in_order: list[dict[str, Any]] | None = None
) -> dict:
# append quotes since last iteration into the last quote's
# tick array/buffer.
# TODO: once we decide to get fancy really we should
# have a shared mem tick buffer that is just
# continually filled and the UI just ready from it
# at it's display rate.
if ticks := quote.get('ticks'):
# XXX: build a tick-by-type table of lists
# of tick messages. This allows for less
# iteration on the receiver side by allowing for
# a single "latest tick event" look up by
# indexing the last entry in each sub-list.
# tbt = {
# 'types': ['bid', 'asize', 'last', .. '<type_n>'],
# 'bid': [tick0, tick1, tick2, .., tickn],
# 'asize': [tick0, tick1, tick2, .., tickn],
# 'last': [tick0, tick1, tick2, .., tickn],
# ...
# '<type_n>': [tick0, tick1, tick2, .., tickn],
# }
# append in reverse FIFO order for in-order iteration on
# receiver side.
tick: dict[str, Any]
for tick in ticks:
ticks_by_type.setdefault(
tick['type'],
[],
).append(tick)
# TODO: do we need this any more or can we just
# expect the receiver to unwind the below
# `ticks_by_type: dict`?
# => undwinding would potentially require a
# `dict[str, set | list]` instead with an
# included `'types' field which is an (ordered)
# set of tick type fields in the order which
# types arrived?
if ticks_in_order:
ticks_in_order.extend(ticks)
return ticks_by_type
async def uniform_rate_send(
rate: float,

75
piker/data/ticktools.py
View File

@ -19,7 +19,25 @@ Stream format enforcement.
'''
from itertools import chain
from typing import AsyncIterator
from typing import (
Any,
AsyncIterator,
)
# tick-type-classes template for all possible "lowest level" events
# that can can be emitted by the "top of book" L1 queues and
# price-matching (with eventual clearing) in a double auction
# market (queuing) system.
_tick_groups: dict[str, set[str]] = {
'clears': {'trade', 'dark_trade', 'last'},
'bids': {'bid', 'bsize'},
'asks': {'ask', 'asize'},
}
# XXX alo define the flattened set of all such "fundamental ticks"
# so that it can be used as filter, eg. in the graphics display
# loop to compute running windowed y-ranges B)
_auction_ticks: set[str] = set.union(*_tick_groups.values())
def iterticks(
@ -80,3 +98,58 @@ def iterticks(
ttype = tick.get('type')
if ttype in types:
yield tick
def frame_ticks(
quote: dict[str, Any],
ticks_by_type: dict[str, list[dict[str, Any]]] = {},
ticks_in_order: list[dict[str, Any]] | None = None
) -> dict:
# append quotes since last iteration into the last quote's
# tick array/buffer.
# TODO: once we decide to get fancy really we should
# have a shared mem tick buffer that is just
# continually filled and the UI just ready from it
# at it's display rate.
if ticks := quote.get('ticks'):
# XXX: build a tick-by-type table of lists
# of tick messages. This allows for less
# iteration on the receiver side by allowing for
# a single "latest tick event" look up by
# indexing the last entry in each sub-list.
# tbt = {
# 'types': ['bid', 'asize', 'last', .. '<type_n>'],
# 'bid': [tick0, tick1, tick2, .., tickn],
# 'asize': [tick0, tick1, tick2, .., tickn],
# 'last': [tick0, tick1, tick2, .., tickn],
# ...
# '<type_n>': [tick0, tick1, tick2, .., tickn],
# }
# append in reverse FIFO order for in-order iteration on
# receiver side.
tick: dict[str, Any]
for tick in ticks:
ticks_by_type.setdefault(
tick['type'],
[],
).append(tick)
# TODO: do we need this any more or can we just
# expect the receiver to unwind the below
# `ticks_by_type: dict`?
# => undwinding would potentially require a
# `dict[str, set | list]` instead with an
# included `'types' field which is an (ordered)
# set of tick type fields in the order which
# types arrived?
if ticks_in_order:
ticks_in_order.extend(ticks)
return ticks_by_type

10
piker/ui/_display.py
View File

@ -39,20 +39,23 @@ from msgspec import field
from ..accounting import (
MktPair,
)
from ..data.feed import (
from ..data import (
open_feed,
Feed,
Flume,
)
from ..data.ticktools import (
_tick_groups,
_auction_ticks,
)
from ..data.types import Struct
from ..data._sharedmem import (
ShmArray,
)
from ..data._sampling import (
_tick_groups,
_auction_ticks,
open_sample_stream,
)
# from ..data._source import tf_in_1s
from ._axes import YAxisLabel
from ._chart import (
ChartPlotWidget,
@ -72,7 +75,6 @@ from ._forms import (
mk_order_pane_layout,
)
from . import _pg_overrides as pgo
# from ..data._source import tf_in_1s
from .order_mode import (
open_order_mode,
OrderMode,