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Update history shm buffer in ohlc sampler loop

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Tyler Goodlet 2022-09-01 11:27:39 -04:00
parent 49ccfdd673
commit 6e574835c8
1 changed files with 38 additions and 33 deletions
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9
piker/data/_sampling.py
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@ -137,7 +137,7 @@ async def increment_ohlc_buffer(
# this copies non-std fields (eg. vwap) from the last datum # this copies non-std fields (eg. vwap) from the last datum
last[ last[
['time', 'volume', 'open', 'high', 'low', 'close'] ['time', 'volume', 'open', 'high', 'low', 'close']
][0] = (t + delay_s, 0, close, close, close, close) ][0] = (t + this_delay_s, 0, close, close, close, close)
# write to the buffer # write to the buffer
shm.push(last) shm.push(last)
@ -227,7 +227,8 @@ async def iter_ohlc_periods(
async def sample_and_broadcast( async def sample_and_broadcast(
bus: _FeedsBus, # noqa bus: _FeedsBus, # noqa
shm: ShmArray, rt_shm: ShmArray,
hist_shm: ShmArray,
quote_stream: trio.abc.ReceiveChannel, quote_stream: trio.abc.ReceiveChannel,
brokername: str, brokername: str,
sum_tick_vlm: bool = True, sum_tick_vlm: bool = True,
@ -263,8 +264,12 @@ async def sample_and_broadcast(
last = tick['price'] last = tick['price']
# more compact inline-way to do this assignment
# to both buffers?
for shm in [rt_shm, hist_shm]:
# update last entry # update last entry
# benchmarked in the 4-5 us range # benchmarked in the 4-5 us range
# for shm in [rt_shm, hist_shm]:
o, high, low, v = shm.array[-1][ o, high, low, v = shm.array[-1][
['open', 'high', 'low', 'volume'] ['open', 'high', 'low', 'volume']
] ]