More prep for FSP feeds
The major change is moving the fsp "daemon" (more like wanna-be fspd) endpoint to use the newer `tractor.Portal.open_context()` and bi-directional streaming api. There's a few other things in here too: - make a helper for allocating single colume fsp shm arrays - rename some some fsp related functions to be more explicit on their purposeswindows_testing_volume
Tyler Goodlet
parent
d0bad2e98e
commit
6751840568
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@ -53,6 +53,7 @@ from ..log import get_logger
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log = get_logger(__name__)
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# TODO: load these from a config.toml!
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_clear_throttle_rate: int = 58 # Hz
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_book_throttle_rate: int = 16 # Hz
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@ -184,6 +185,13 @@ async def update_chart_from_quotes(
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if vlm_chart:
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# print(f"volume: {end['volume']}")
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vlm_chart.update_curve_from_array('volume', array)
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# built-in tina $vlm FSP using chl3 typical price for ohlc step
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# last = array[-1]
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# chl3 = (last['close'] + last['high'] + last['low']) / 3
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# v = last['volume']
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# dv = last['volume'] * chl3
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vlm_sticky.update_from_data(*array[-1][['index', 'volume']])
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if (
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@ -302,7 +310,38 @@ async def update_chart_from_quotes(
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last_mx, last_mn = mx, mn
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async def fan_out_spawn_fsp_daemons(
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def maybe_mk_fsp_shm(
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sym: str,
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field_name: str,
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display_name: Optional[str] = None,
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readonly: bool = True,
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) -> (ShmArray, bool):
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'''Allocate a single row shm array for an symbol-fsp pair.
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'''
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uid = tractor.current_actor().uid
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if not display_name:
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display_name = field_name
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# TODO: load function here and introspect
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# return stream type(s)
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# TODO: should `index` be a required internal field?
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fsp_dtype = np.dtype([('index', int), (field_name, float)])
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key = f'{sym}.fsp.{display_name}.{".".join(uid)}'
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shm, opened = maybe_open_shm_array(
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key,
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# TODO: create entry for each time frame
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dtype=fsp_dtype,
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readonly=True,
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)
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return shm, opened
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async def open_fspd_cluster(
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linkedsplits: LinkedSplits,
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fsps: dict[str, str],
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@ -321,9 +360,8 @@ async def fan_out_spawn_fsp_daemons(
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'''
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linkedsplits.focus()
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uid = tractor.current_actor().uid
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# spawns sub-processes which execute cpu bound FSP code
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# spawns sub-processes which execute cpu bound fsp work
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# which is streamed back to this parent.
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async with (
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tractor.open_nursery() as n,
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trio.open_nursery() as ln,
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@ -334,21 +372,12 @@ async def fan_out_spawn_fsp_daemons(
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# scale horizonatlly once cores are used up.
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for display_name, conf in fsps.items():
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fsp_func_name = conf['fsp_func_name']
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func_name = conf['func_name']
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# TODO: load function here and introspect
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# return stream type(s)
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# TODO: should `index` be a required internal field?
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fsp_dtype = np.dtype([('index', int), (fsp_func_name, float)])
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key = f'{sym}.fsp.{display_name}.{".".join(uid)}'
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# this is all sync currently
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shm, opened = maybe_open_shm_array(
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key,
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# TODO: create entry for each time frame
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dtype=fsp_dtype,
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shm, opened = maybe_mk_fsp_shm(
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sym,
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field_name=func_name,
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display_name=display_name,
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readonly=True,
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)
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@ -366,13 +395,13 @@ async def fan_out_spawn_fsp_daemons(
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# init async
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ln.start_soon(
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run_fsp,
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update_chart_from_fsp,
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portal,
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linkedsplits,
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brokermod,
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sym,
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src_shm,
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fsp_func_name,
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func_name,
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display_name,
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conf,
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group_status_key,
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@ -383,7 +412,7 @@ async def fan_out_spawn_fsp_daemons(
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@asynccontextmanager
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async def open_sidepane(
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async def open_fsp_sidepane(
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linked: LinkedSplits,
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conf: dict[str, dict[str, str]],
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@ -403,8 +432,11 @@ async def open_sidepane(
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}
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# add parameters for selection "options"
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defaults = config.get('params', {})
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for name, default in defaults.items():
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params = config.get('params', {})
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for name, config in params.items():
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default = config['default_value']
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kwargs = config.get('widget_kwargs', {})
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# add to ORM schema
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schema.update({
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@ -412,6 +444,7 @@ async def open_sidepane(
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'label': f'**{name}**:',
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'type': 'edit',
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'default_value': default,
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'kwargs': kwargs,
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},
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})
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@ -424,7 +457,7 @@ async def open_sidepane(
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FspConfig = create_model(
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'FspConfig',
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name=display_name,
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**defaults,
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**params,
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)
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sidepane.model = FspConfig()
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@ -444,14 +477,15 @@ async def open_sidepane(
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yield sidepane
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async def run_fsp(
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async def update_chart_from_fsp(
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portal: tractor.Portal,
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portal: tractor._portal.Portal,
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linkedsplits: LinkedSplits,
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brokermod: ModuleType,
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sym: str,
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src_shm: ShmArray,
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fsp_func_name: str,
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func_name: str,
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display_name: str,
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conf: dict[str, dict],
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group_status_key: str,
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@ -470,7 +504,7 @@ async def run_fsp(
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)
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async with (
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portal.open_stream_from(
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portal.open_context(
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# chaining entrypoint
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fsp.cascade,
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@ -480,21 +514,17 @@ async def run_fsp(
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src_shm_token=src_shm.token,
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dst_shm_token=conf['shm'].token,
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symbol=sym,
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fsp_func_name=fsp_func_name,
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func_name=func_name,
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loglevel=loglevel,
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) as stream,
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) as (ctx, last_index),
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ctx.open_stream() as stream,
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open_sidepane(
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open_fsp_sidepane(
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linkedsplits,
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{display_name: conf},
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) as sidepane,
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):
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# receive last index for processed historical
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# data-array as first msg
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_ = await stream.receive()
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shm = conf['shm']
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if conf.get('overlay'):
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@ -513,7 +543,7 @@ async def run_fsp(
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name=display_name,
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array=shm.array,
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array_key=conf['fsp_func_name'],
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array_key=conf['func_name'],
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sidepane=sidepane,
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# curve by default
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@ -541,7 +571,7 @@ async def run_fsp(
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# XXX: fsp func names must be unique meaning we don't have
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# duplicates of the underlying data even if multiple
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# sub-charts reference it under different 'named charts'.
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value = array[fsp_func_name][-1]
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value = array[func_name][-1]
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last_val_sticky.update_from_data(-1, value)
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@ -552,7 +582,7 @@ async def run_fsp(
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chart.update_curve_from_array(
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display_name,
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shm.array,
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array_key=fsp_func_name
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array_key=func_name
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)
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chart.linked.resize_sidepanes()
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@ -563,11 +593,11 @@ async def run_fsp(
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# generic fills between curve types while ``PlotCurveItem`` has
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# logic inside ``.paint()`` for ``self.opts['fillLevel']`` which
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# might be the best solution?
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# graphics = chart.update_from_array(chart.name, array[fsp_func_name])
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# graphics = chart.update_from_array(chart.name, array[func_name])
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# graphics.curve.setBrush(50, 50, 200, 100)
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# graphics.curve.setFillLevel(50)
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if fsp_func_name == 'rsi':
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if func_name == 'rsi':
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from ._lines import level_line
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# add moveable over-[sold/bought] lines
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# and labels only for the 70/30 lines
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@ -611,7 +641,7 @@ async def run_fsp(
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try:
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# read last
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array = shm.array
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value = array[-1][fsp_func_name]
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value = array[-1][func_name]
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break
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except IndexError:
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@ -625,7 +655,7 @@ async def run_fsp(
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chart.update_curve_from_array(
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display_name,
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array,
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array_key=fsp_func_name,
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array_key=func_name,
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)
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# set time of last graphics update
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@ -711,12 +741,26 @@ async def maybe_open_vlm_display(
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yield
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return
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else:
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async with open_sidepane(
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shm, opened = maybe_mk_fsp_shm(
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linked.symbol.key,
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'$_vlm',
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readonly=True,
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)
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async with open_fsp_sidepane(
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linked, {
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'volume': {
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'params': {
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'price_func': 'ohl3'
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}
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'price_func': {
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'default_value': 'ohl3',
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# tell target ``Edit`` widget to not allow
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# edits for now.
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'widget_kwargs': {'readonly': True},
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},
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},
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}
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},
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) as sidepane:
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@ -872,20 +916,39 @@ async def display_symbol_data(
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# TODO: eventually we'll support some kind of n-compose syntax
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fsp_conf = {
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'rsi': {
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'fsp_func_name': 'rsi',
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'params': {'period': 14},
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# literal python func ref lookup name
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'func_name': 'rsi',
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# map of parameters to place on the fsp sidepane widget
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# which should map to dynamic inputs available to the
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# fsp function at runtime.
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'params': {
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'period': {
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'default_value': 14,
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'widget_kwargs': {'readonly': True},
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},
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},
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# ``ChartPlotWidget`` options passthrough
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'chart_kwargs': {
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'static_yrange': (0, 100),
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},
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},
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}
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if has_vlm(ohlcv):
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if has_vlm(ohlcv): # and provider != 'binance':
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# binance is too fast atm for FSPs until we wrap
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# the fsp streams as throttled ``Feeds``, see
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#
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# add VWAP to fsp config for downstream loading
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fsp_conf.update({
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'vwap': {
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'fsp_func_name': 'vwap',
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'func_name': 'vwap',
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'overlay': True,
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'anchor': 'session',
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},
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@ -904,7 +967,7 @@ async def display_symbol_data(
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):
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# load initial fsp chain (otherwise known as "indicators")
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ln.start_soon(
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fan_out_spawn_fsp_daemons,
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open_fspd_cluster,
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linkedsplits,
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fsp_conf,
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sym,
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Reference in New Issue