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Use new decorator on volume fsp routines

dark_vlm
Tyler Goodlet 2022-01-27 09:08:03 -05:00
parent c6a3c66e7e
commit 72f4474273
1 changed files with 22 additions and 17 deletions
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39
piker/fsp/_volume.py
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@ -1,5 +1,5 @@
# piker: trading gear for hackers # piker: trading gear for hackers
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0) # Copyright (C) Tyler Goodlet (in stewardship of pikers)
# This program is free software: you can redistribute it and/or modify # 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 # it under the terms of the GNU Affero General Public License as published by
@ -19,6 +19,7 @@ from typing import AsyncIterator, Optional, Union
import numpy as np import numpy as np
from tractor.trionics._broadcast import AsyncReceiver from tractor.trionics._broadcast import AsyncReceiver
from ._api import fsp
from ..data._normalize import iterticks from ..data._normalize import iterticks
from ..data._sharedmem import ShmArray from ..data._sharedmem import ShmArray
@ -50,7 +51,8 @@ def wap(
) )
async def _tina_vwap( @fsp
async def tina_vwap(
source: AsyncReceiver[dict], source: AsyncReceiver[dict],
ohlcv: ShmArray, # OHLC sampled history ohlcv: ShmArray, # OHLC sampled history
@ -62,7 +64,8 @@ async def _tina_vwap(
AsyncIterator[np.ndarray], AsyncIterator[np.ndarray],
float float
]: ]:
'''Streaming volume weighted moving average. '''
Streaming volume weighted moving average.
Calling this "tina" for now since we're using HLC3 instead of tick. Calling this "tina" for now since we're using HLC3 instead of tick.
@ -100,27 +103,25 @@ async def _tina_vwap(
w_tot += price * size w_tot += price * size
# yield ((((o + h + l) / 3) * v) weights_tot) / v_tot # yield ((((o + h + l) / 3) * v) weights_tot) / v_tot
yield w_tot / v_tot yield 'tina_vwap', w_tot / v_tot
# @fsp.config( @fsp(
# name='dolla_vlm', outputs=('dolla_vlm', 'dark_vlm'),
# fields=('dolla_vlm', 'dark_$vlm' ohlc=False,
# ohlc=False, curve_style='step',
# style='step', )
# )
async def dolla_vlm( async def dolla_vlm(
source: AsyncReceiver[dict], source: AsyncReceiver[dict],
ohlcv: ShmArray, # OHLC sampled history ohlcv: ShmArray, # OHLC sampled history
) -> Union[ ) -> AsyncIterator[
AsyncIterator[np.ndarray], tuple[str, Union[np.ndarray, float]],
float
]: ]:
''' '''
"Dollar Volume", aka the volume in asset-currency-units (usually "Dollar Volume", aka the volume in asset-currency-units (usually
a fiat) computed from some price function for the sample step a fiat) computed from some price function for the sample step
*times* the asset unit volume. *multiplied* (*) by the asset unit volume.
Useful for comparing cross asset "money flow" in #s that are Useful for comparing cross asset "money flow" in #s that are
asset-currency-independent. asset-currency-independent.
@ -130,7 +131,7 @@ async def dolla_vlm(
chl3 = (a['close'] + a['high'] + a['low']) / 3 chl3 = (a['close'] + a['high'] + a['low']) / 3
v = a['volume'] v = a['volume']
# history # on first iteration yield history
yield chl3 * v yield chl3 * v
i = ohlcv.index i = ohlcv.index
@ -141,7 +142,11 @@ async def dolla_vlm(
ttype = tick.get('type') ttype = tick.get('type')
if ttype == 'dark_trade': if ttype == 'dark_trade':
print(f'dark_trade: {tick}') # print(f'dark_trade: {tick}')
key = 'dark_vlm'
else:
key = 'dolla_vlm'
# this computes tick-by-tick weightings from here forward # this computes tick-by-tick weightings from here forward
size = tick['size'] size = tick['size']
@ -162,4 +167,4 @@ async def dolla_vlm(
# tina_lvlm = c+h+l/3 * v # tina_lvlm = c+h+l/3 * v
# print(f' tinal vlm: {tina_lvlm}') # print(f' tinal vlm: {tina_lvlm}')
yield lvlm yield key, lvlm