data._sampling.frame_ticks(): slight rework to generalize
Tyler Goodlet
parent
4a8eafabb8
commit
7b4472e37e
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@ -27,6 +27,7 @@ from collections import (
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from contextlib import asynccontextmanager as acm
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import time
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from typing import (
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Any,
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AsyncIterator,
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TYPE_CHECKING,
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)
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@ -587,9 +588,9 @@ async def sample_and_broadcast(
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# TODO: we should probably not write every single
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# value to an OHLC sample stream XD
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# for a tick stream sure.. but this is excessive..
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ticks = quote['ticks']
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ticks: list[dict] = quote['ticks']
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for tick in ticks:
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ticktype = tick['type']
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ticktype: str = tick['type']
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# write trade events to shm last OHLC sample
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if ticktype in ('trade', 'utrade'):
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@ -599,13 +600,14 @@ async def sample_and_broadcast(
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# more compact inline-way to do this assignment
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# to both buffers?
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for shm in [rt_shm, hist_shm]:
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# update last entry
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# benchmarked in the 4-5 us range
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o, high, low, v = shm.array[-1][
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['open', 'high', 'low', 'volume']
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]
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new_v = tick.get('size', 0)
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new_v: float = tick.get('size', 0)
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if v == 0 and new_v:
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# no trades for this bar yet so the open
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@ -654,7 +656,7 @@ async def sample_and_broadcast(
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# it's own "name" into the fqme schema (but maybe it
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# should?) so we have to manually generate the correct
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# key here.
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fqme = f'{broker_symbol}.{brokername}'
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fqme: str = f'{broker_symbol}.{brokername}'
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lags: int = 0
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# TODO: speed up this loop in an AOT compiled lang (like
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@ -757,28 +759,21 @@ _auction_ticks: set[str] = set.union(*_tick_groups.values())
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def frame_ticks(
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first_quote: dict,
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last_quote: dict,
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ticks_by_type: dict,
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) -> None:
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quote: dict[str, Any],
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ticks_by_type: dict[str, list[dict[str, Any]]] = {},
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ticks_in_order: list[dict[str, Any]] | None = None
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) -> dict:
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# append quotes since last iteration into the last quote's
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# tick array/buffer.
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ticks = last_quote.get('ticks')
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# TODO: once we decide to get fancy really we should
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# have a shared mem tick buffer that is just
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# continually filled and the UI just ready from it
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# at it's display rate.
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if ticks:
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# TODO: do we need this any more or can we just
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# expect the receiver to unwind the below
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# `ticks_by_type: dict`?
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# => undwinding would potentially require a
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# `dict[str, set | list]` instead with an
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# included `'types' field which is an (ordered)
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# set of tick type fields in the order which
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# types arrived?
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first_quote['ticks'].extend(ticks)
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if ticks := quote.get('ticks'):
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# XXX: build a tick-by-type table of lists
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# of tick messages. This allows for less
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@ -797,9 +792,25 @@ def frame_ticks(
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# append in reverse FIFO order for in-order iteration on
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# receiver side.
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tick: dict[str, Any]
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for tick in ticks:
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ttype = tick['type']
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ticks_by_type[ttype].append(tick)
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ticks_by_type.setdefault(
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tick['type'],
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[],
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).append(tick)
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# TODO: do we need this any more or can we just
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# expect the receiver to unwind the below
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# `ticks_by_type: dict`?
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# => undwinding would potentially require a
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# `dict[str, set | list]` instead with an
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# included `'types' field which is an (ordered)
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# set of tick type fields in the order which
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# types arrived?
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if ticks_in_order:
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ticks_in_order.extend(ticks)
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return ticks_by_type
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async def uniform_rate_send(
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@ -835,10 +846,10 @@ async def uniform_rate_send(
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diff = 0
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task_status.started()
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ticks_by_type: defaultdict[
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ticks_by_type: dict[
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str,
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list[dict],
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] = defaultdict(list)
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list[dict[str, Any]],
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] = {}
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clear_types = _tick_groups['clears']
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@ -866,9 +877,9 @@ async def uniform_rate_send(
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# expired we aren't supposed to send yet so append
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# to the tick frame.
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frame_ticks(
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first_quote,
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last_quote,
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ticks_by_type,
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ticks_in_order=first_quote['ticks'],
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ticks_by_type=ticks_by_type,
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)
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# send cycle isn't due yet so continue waiting
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@ -888,8 +899,8 @@ async def uniform_rate_send(
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frame_ticks(
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first_quote,
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first_quote,
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ticks_by_type,
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ticks_in_order=first_quote['ticks'],
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ticks_by_type=ticks_by_type,
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)
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# we have a quote already so send it now.
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@ -905,9 +916,9 @@ async def uniform_rate_send(
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break
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frame_ticks(
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first_quote,
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last_quote,
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ticks_by_type,
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ticks_in_order=first_quote['ticks'],
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ticks_by_type=ticks_by_type,
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)
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# measured_rate = 1 / (time.time() - last_send)
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