Add first draft of "dollar volume" fsp
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670de076fb
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63e7d1c914
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@ -14,16 +14,20 @@
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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from typing import AsyncIterator, Optional
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from typing import AsyncIterator, Optional, Union
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import numpy as np
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from tractor._broadcast import AsyncReceiver
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from ..data._normalize import iterticks
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from ..data._sharedmem import ShmArray
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def wap(
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signal: np.ndarray,
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weights: np.ndarray,
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) -> np.ndarray:
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"""Weighted average price from signal and weights.
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@ -47,15 +51,22 @@ def wap(
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async def _tina_vwap(
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source, #: AsyncStream[np.ndarray],
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ohlcv: np.ndarray, # price time-frame "aware"
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source: AsyncReceiver[dict],
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ohlcv: ShmArray, # OHLC sampled history
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# TODO: anchor logic (eg. to session start)
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anchors: Optional[np.ndarray] = None,
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) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream?
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"""Streaming volume weighted moving average.
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) -> Union[
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AsyncIterator[np.ndarray],
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float
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]:
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'''Streaming volume weighted moving average.
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Calling this "tina" for now since we're using HLC3 instead of tick.
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"""
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'''
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if anchors is None:
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# TODO:
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# anchor to session start of data if possible
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@ -75,7 +86,6 @@ async def _tina_vwap(
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# vwap_tot = h_vwap[-1]
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async for quote in source:
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for tick in iterticks(quote, types=['trade']):
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# c, h, l, v = ohlcv.array[-1][
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@ -91,3 +101,44 @@ async def _tina_vwap(
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# yield ((((o + h + l) / 3) * v) weights_tot) / v_tot
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yield w_tot / v_tot
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async def dolla_vlm(
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source: AsyncReceiver[dict],
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ohlcv: ShmArray, # OHLC sampled history
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) -> Union[
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AsyncIterator[np.ndarray],
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float
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]:
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a = ohlcv.array
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chl3 = (a['close'] + a['high'] + a['low']) / 3
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v = a['volume']
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# history
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yield chl3 * v
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i = ohlcv.index
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lvlm = 0
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async for quote in source:
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for tick in iterticks(quote):
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# this computes tick-by-tick weightings from here forward
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size = tick['size']
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price = tick['price']
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li = ohlcv.index
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if li > i:
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i = li
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lvlm = 0
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c, h, l, v = ohlcv.last()[
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['close', 'high', 'low', 'volume']
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]
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lvlm += price * size
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tina_lvlm = c+h+l/3 * v
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# print(f' tinal vlm: {tina_lvlm}')
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yield lvlm
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