Port charts to new shm arrays
Tyler Goodlet
parent
f872fbecf8
commit
6fa4f6e943
|
|
@ -20,6 +20,7 @@ from ._style import _xaxis_at, _min_points_to_show, hcolor
|
|||
from ._source import Symbol
|
||||
from .. import brokers
|
||||
from .. import data
|
||||
from ..data._normalize import iterticks
|
||||
from ..log import get_logger
|
||||
from ._exec import run_qtractor
|
||||
from ._source import base_ohlc_dtype
|
||||
|
|
@ -483,6 +484,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
array: np.ndarray,
|
||||
**kwargs,
|
||||
) -> pg.GraphicsObject:
|
||||
self._array = array
|
||||
|
||||
graphics = self._graphics[name]
|
||||
graphics.update_from_array(array, **kwargs)
|
||||
|
|
@ -586,8 +588,9 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
self.scene().leaveEvent(ev)
|
||||
|
||||
|
||||
async def add_new_bars(delay_s, linked_charts):
|
||||
"""Task which inserts new bars into the ohlc every ``delay_s`` seconds.
|
||||
async def check_for_new_bars(delay_s, ohlcv, linked_charts):
|
||||
"""Task which updates from new bars in the shared ohlcv buffer every
|
||||
``delay_s`` seconds.
|
||||
"""
|
||||
# TODO: right now we'll spin printing bars if the last time
|
||||
# stamp is before a large period of no market activity.
|
||||
|
|
@ -598,29 +601,19 @@ async def add_new_bars(delay_s, linked_charts):
|
|||
ad = delay_s - 0.002
|
||||
|
||||
price_chart = linked_charts.chart
|
||||
ohlc = price_chart._array
|
||||
# ohlc = price_chart._array
|
||||
|
||||
async def sleep():
|
||||
"""Sleep until next time frames worth has passed from last bar.
|
||||
"""
|
||||
last_ts = ohlc[-1]['time']
|
||||
delay = max((last_ts + ad) - time.time(), 0)
|
||||
await trio.sleep(delay)
|
||||
# last_ts = ohlcv.array[-1]['time']
|
||||
# delay = max((last_ts + ad) - time.time(), 0)
|
||||
# await trio.sleep(delay)
|
||||
await trio.sleep(ad)
|
||||
|
||||
# sleep for duration of current bar
|
||||
await sleep()
|
||||
|
||||
def incr_ohlc_array(array: np.ndarray):
|
||||
(index, t, close) = array[-1][['index', 'time', 'close']]
|
||||
|
||||
# this copies non-std fields (eg. vwap) from the last datum
|
||||
_next = np.array(array[-1], dtype=array.dtype)
|
||||
_next[
|
||||
['index', 'time', 'volume', 'open', 'high', 'low', 'close']
|
||||
] = (index + 1, t + delay_s, 0, close, close, close, close)
|
||||
new_array = np.append(array, _next,)
|
||||
return new_array
|
||||
|
||||
while True:
|
||||
# TODO: bunch of stuff:
|
||||
# - I'm starting to think all this logic should be
|
||||
|
|
@ -633,12 +626,6 @@ async def add_new_bars(delay_s, linked_charts):
|
|||
# of copying it from last bar's close
|
||||
# - 5 sec bar lookback-autocorrection like tws does?
|
||||
|
||||
# add new increment/bar
|
||||
start = time.time()
|
||||
ohlc = price_chart._array = incr_ohlc_array(ohlc)
|
||||
diff = time.time() - start
|
||||
print(f'array append took {diff}')
|
||||
|
||||
|
||||
# TODO: generalize this increment logic
|
||||
for name, chart in linked_charts.subplots.items():
|
||||
|
|
@ -655,11 +642,12 @@ async def add_new_bars(delay_s, linked_charts):
|
|||
# keep.
|
||||
# if last_quote == ohlc[-1]:
|
||||
# log.debug("Printing flat line for {sym}")
|
||||
# print(ohlcv.array)
|
||||
|
||||
# update chart historical bars graphics
|
||||
price_chart.update_from_array(
|
||||
price_chart.name,
|
||||
ohlc,
|
||||
ohlcv.array,
|
||||
# When appending a new bar, in the time between the insert
|
||||
# here and the Qt render call the underlying price data may
|
||||
# have already been updated, thus make sure to also update
|
||||
|
|
@ -712,107 +700,134 @@ async def _async_main(
|
|||
# historical data fetch
|
||||
brokermod = brokers.get_brokermod(brokername)
|
||||
|
||||
async with brokermod.get_client() as client:
|
||||
# figure out the exact symbol
|
||||
bars = await client.bars(symbol=sym)
|
||||
async with data.open_feed(
|
||||
brokername,
|
||||
[sym],
|
||||
loglevel=loglevel,
|
||||
) as (fquote, stream, incr_stream, ohlcv):
|
||||
|
||||
# allow broker to declare historical data fields
|
||||
ohlc_dtype = getattr(brokermod, 'ohlc_dtype', base_ohlc_dtype)
|
||||
bars = ohlcv.array
|
||||
|
||||
# remember, msgpack-numpy's ``from_buffer` returns read-only array
|
||||
bars = np.array(bars[list(ohlc_dtype.names)])
|
||||
# load in symbol's ohlc data
|
||||
linked_charts, chart = chart_app.load_symbol(sym, bars)
|
||||
|
||||
# load in symbol's ohlc data
|
||||
linked_charts, chart = chart_app.load_symbol(sym, bars)
|
||||
# plot historical vwap if available
|
||||
vwap_in_history = False
|
||||
if 'vwap' in bars.dtype.fields:
|
||||
vwap_in_history = True
|
||||
chart.draw_curve(
|
||||
name='vwap',
|
||||
data=bars['vwap'],
|
||||
overlay=True,
|
||||
)
|
||||
|
||||
# plot historical vwap if available
|
||||
vwap_in_history = False
|
||||
if 'vwap' in bars.dtype.fields:
|
||||
vwap_in_history = True
|
||||
chart.draw_curve(
|
||||
name='vwap',
|
||||
data=bars['vwap'],
|
||||
overlay=True,
|
||||
)
|
||||
# determine ohlc delay between bars
|
||||
# to determine time step between datums
|
||||
times = bars['time']
|
||||
delay = times[-1] - times[times != times[-1]][-1]
|
||||
|
||||
# determine ohlc delay between bars
|
||||
times = bars['time']
|
||||
async with trio.open_nursery() as n:
|
||||
|
||||
# find expected time step between datums
|
||||
delay = times[-1] - times[times != times[-1]][-1]
|
||||
# load initial fsp chain (otherwise known as "indicators")
|
||||
n.start_soon(
|
||||
chart_from_fsp,
|
||||
linked_charts,
|
||||
'rsi', # eventually will be n-compose syntax
|
||||
sym,
|
||||
bars,
|
||||
brokermod,
|
||||
loglevel,
|
||||
)
|
||||
|
||||
async with trio.open_nursery() as n:
|
||||
|
||||
# load initial fsp chain (otherwise known as "indicators")
|
||||
n.start_soon(
|
||||
chart_from_fsp,
|
||||
linked_charts,
|
||||
'rsi',
|
||||
sym,
|
||||
bars,
|
||||
brokermod,
|
||||
loglevel,
|
||||
)
|
||||
|
||||
# update last price sticky
|
||||
last_price_sticky = chart._ysticks[chart.name]
|
||||
last_price_sticky.update_from_data(
|
||||
*chart._array[-1][['index', 'close']]
|
||||
)
|
||||
|
||||
# graphics update loop
|
||||
|
||||
async with data.open_feed(
|
||||
brokername,
|
||||
[sym],
|
||||
loglevel=loglevel,
|
||||
) as (fquote, stream):
|
||||
# update last price sticky
|
||||
last_price_sticky = chart._ysticks[chart.name]
|
||||
last_price_sticky.update_from_data(
|
||||
*ohlcv.array[-1][['index', 'close']]
|
||||
)
|
||||
|
||||
# wait for a first quote before we start any update tasks
|
||||
quote = await stream.__anext__()
|
||||
log.info(f'RECEIVED FIRST QUOTE {quote}')
|
||||
log.info(f'Received first quote {quote}')
|
||||
|
||||
# start graphics tasks after receiving first live quote
|
||||
n.start_soon(add_new_bars, delay, linked_charts)
|
||||
# start graphics update loop(s)after receiving first live quote
|
||||
n.start_soon(
|
||||
chart_from_quotes,
|
||||
chart,
|
||||
stream,
|
||||
ohlcv,
|
||||
vwap_in_history,
|
||||
)
|
||||
n.start_soon(
|
||||
check_for_new_bars,
|
||||
delay,
|
||||
ohlcv,
|
||||
linked_charts
|
||||
)
|
||||
|
||||
async for quotes in stream:
|
||||
for sym, quote in quotes.items():
|
||||
ticks = quote.get('ticks', ())
|
||||
for tick in ticks:
|
||||
if tick.get('type') == 'trade':
|
||||
# probably where we'll eventually start the user input loop
|
||||
await trio.sleep_forever()
|
||||
|
||||
# TODO: eventually we'll want to update
|
||||
# bid/ask labels and other data as
|
||||
# subscribed by underlying UI consumers.
|
||||
# last = quote.get('last') or quote['close']
|
||||
last = tick['price']
|
||||
|
||||
# update ohlc (I guess we're enforcing this
|
||||
# for now?) overwrite from quote
|
||||
high, low = chart._array[-1][['high', 'low']]
|
||||
chart._array[['high', 'low', 'close']][-1] = (
|
||||
max(high, last),
|
||||
min(low, last),
|
||||
last,
|
||||
)
|
||||
chart.update_from_array(
|
||||
chart.name,
|
||||
chart._array,
|
||||
)
|
||||
# update sticky(s)
|
||||
last_price_sticky.update_from_data(
|
||||
*chart._array[-1][['index', 'close']])
|
||||
chart._set_yrange()
|
||||
async def chart_from_quotes(
|
||||
chart: ChartPlotWidget,
|
||||
stream,
|
||||
ohlcv: np.ndarray,
|
||||
vwap_in_history: bool = False,
|
||||
) -> None:
|
||||
"""The 'main' (price) chart real-time update loop.
|
||||
"""
|
||||
|
||||
vwap = quote.get('vwap')
|
||||
if vwap and vwap_in_history:
|
||||
chart._array['vwap'][-1] = vwap
|
||||
print(f"vwap: {quote['vwap']}")
|
||||
# update vwap overlay line
|
||||
chart.update_from_array(
|
||||
'vwap',
|
||||
chart._array['vwap'],
|
||||
)
|
||||
last_price_sticky = chart._ysticks[chart.name]
|
||||
|
||||
print_next = False
|
||||
async for quotes in stream:
|
||||
for sym, quote in quotes.items():
|
||||
for tick in iterticks(quote, type='trade'):
|
||||
# TODO: eventually we'll want to update
|
||||
# bid/ask labels and other data as
|
||||
# subscribed by underlying UI consumers.
|
||||
# last_close = ohlcv.array[-1]['close']
|
||||
|
||||
# last = quote.get('last') or quote['close']
|
||||
# last = tick['price']
|
||||
|
||||
# if print_next:
|
||||
# print(f"next last: {last}")
|
||||
# print_next = False
|
||||
|
||||
# if last_close != last:
|
||||
# log.error(f"array last_close: {last_close}\nlast: {last}")
|
||||
# print_next = True
|
||||
|
||||
# update ohlc (I guess we're enforcing this
|
||||
# for now?) overwrite from quote
|
||||
# high, low = chart._array[-1][['high', 'low']]
|
||||
# chart._array[['high', 'low', 'close']][-1] = (
|
||||
# max(high, last),
|
||||
# min(low, last),
|
||||
# last,
|
||||
# )
|
||||
last = ohlcv.array[-1]
|
||||
chart.update_from_array(
|
||||
chart.name,
|
||||
ohlcv.array,
|
||||
)
|
||||
# update sticky(s)
|
||||
last_price_sticky.update_from_data(
|
||||
*last[['index', 'close']])
|
||||
chart._set_yrange()
|
||||
|
||||
vwap = quote.get('vwap')
|
||||
if vwap and vwap_in_history:
|
||||
# chart._array['vwap'][-1] = vwap
|
||||
last['vwap'] = vwap
|
||||
print(f"vwap: {quote['vwap']}")
|
||||
# update vwap overlay line
|
||||
chart.update_from_array(
|
||||
'vwap',
|
||||
# chart._array['vwap'],
|
||||
ohlcv.array['vwap'],
|
||||
)
|
||||
|
||||
|
||||
async def chart_from_fsp(
|
||||
|
|
@ -882,7 +897,12 @@ async def chart_from_fsp(
|
|||
|
||||
# update chart graphics
|
||||
async for value in stream:
|
||||
|
||||
# start = time.time()
|
||||
chart._array[-1] = value
|
||||
# diff = time.time() - start
|
||||
# print(f'FSP array append took {diff}')
|
||||
|
||||
last_val_sticky.update_from_data(-1, value)
|
||||
chart.update_from_array(chart.name, chart._array)
|
||||
# chart._set_yrange()
|
||||
|
|
|
|||
Loading…
Reference in New Issue