Add initial tina (ohl3) vwap fsp

piker/fsp/_volume.py

@@ -0,0 +1,60 @@
+# piker: trading gear for hackers
+# Copyright (C) 2018-present  Tyler Goodlet (in stewardship of piker0)
+
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU Affero General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU Affero General Public License for more details.
+
+# You should have received a copy of the GNU Affero General Public License
+# along with this program.  If not, see <https://www.gnu.org/licenses/>.
+
+from typing import AsyncIterator
+
+import numpy as np
+
+from ..data._normalize import iterticks
+
+
+async def _tina_vwap(
+    source,  #: AsyncStream[np.ndarray],
+    ohlcv: np.ndarray,  # price time-frame "aware"
+) -> AsyncIterator[np.ndarray]:  # maybe something like like FspStream?
+    """Streaming volume weighted moving average.
+
+
+    Calling this "tina" for now since we're using OHL3 instead of tick.
+
+    """
+    # TODO: anchor to session start
+
+    a = ohlcv.array
+    ohl3 = (a['open'] + a['high'] + a['low']) / 3
+
+    v = a['volume']
+    cum_v = np.cumsum(v)
+    cum_weights = np.cumsum(ohl3 * v)
+
+    vwap = cum_weights / cum_v
+
+    # deliver historical output as "first yield"
+    yield vwap
+
+    weights_tot = cum_weights[-1]
+    v_tot = cum_v[-1]
+
+    async for quote in source:
+
+        for tick in iterticks(quote, types=['trade']):
+
+            o, h, l, v = ohlcv.array[-1][
+                ['open', 'high', 'low', 'volume']
+            ]
+            v_tot += v
+
+            yield ((((o + h + l) / 3) * v) + weights_tot) / v_tot