Move `iter_dfs_from_shms` into `.data.history`
Thinking about just moving all of that module (after a content breakup) to a new `.piker.tsp` which will mostly depend on the `.data` and `.storage` sub-pkgs; the idea is to move biz-logic for tsdb IO/mgmt and orchestration with real-time (shm) buffers and the graphics layer into a common spot for both manual analysis/research work and better separation of low level data structure primitives from their higher level usage. Add a better `data.history` mod doc string in prep for this move as well as clean out a bunch of legacy commented cruft from the `trimeter` and `marketstore` days. TO CHERRY #486 (if we can)distribute_dis
Tyler Goodlet
parent
3639f360c3
commit
8989c73a93
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@ -16,19 +16,26 @@
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# <https://www.gnu.org/licenses/>.
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'''
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Historical data business logic for load, backfill and tsdb storage.
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Historical TSP (time-series processing) lowlevel mgmt machinery and biz logic for,
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- hi-level biz logics using the `.storage` subpkg APIs for (I/O)
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orchestration and mgmt of tsdb data sets.
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- core data-provider history backfilling middleware (as task-funcs) via
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(what will eventually be `datad`, but are rn is the) `.brokers` backend
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APIs.
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- various data set cleaning, repairing and issue-detection/analysis
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routines to ensure consistent series whether in shm or when
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stored offline (in a tsdb).
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'''
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from __future__ import annotations
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# from collections import (
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# Counter,
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# )
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from datetime import datetime
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from functools import partial
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# import time
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from pathlib import Path
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from types import ModuleType
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from typing import (
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Callable,
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Generator,
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TYPE_CHECKING,
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)
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@ -118,6 +125,7 @@ def diff_history(
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return array[times >= prepend_until_dt.timestamp()]
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# TODO: can't we just make this a sync func now?
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async def shm_push_in_between(
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shm: ShmArray,
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to_push: np.ndarray,
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@ -126,6 +134,10 @@ async def shm_push_in_between(
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update_start_on_prepend: bool = False,
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) -> int:
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# XXX: extremely important, there can be no checkpoints
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# in the body of this func to avoid entering new ``frames``
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# values while we're pipelining the current ones to
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# memory...
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shm.push(
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to_push,
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prepend=True,
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@ -146,24 +158,6 @@ async def shm_push_in_between(
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else None
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),
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)
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# XXX: extremely important, there can be no checkpoints
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# in the block above to avoid entering new ``frames``
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# values while we're pipelining the current ones to
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# memory...
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array = shm.array
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zeros = array[array['low'] == 0]
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# always backfill gaps with the earliest (price) datum's
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# value to avoid the y-ranger including zeros and completely
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# stretching the y-axis..
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if 0 < zeros.size:
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zeros[[
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'open',
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'high',
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'low',
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'close',
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]] = shm._array[zeros['index'][0] - 1]['close']
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# await tractor.pause()
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async def maybe_fill_null_segments(
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@ -260,6 +254,20 @@ async def maybe_fill_null_segments(
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):
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await tractor.pause()
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array = shm.array
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zeros = array[array['low'] == 0]
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# always backfill gaps with the earliest (price) datum's
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# value to avoid the y-ranger including zeros and completely
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# stretching the y-axis..
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if 0 < zeros.size:
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zeros[[
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'open',
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'high',
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'low',
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'close',
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]] = shm._array[zeros['index'][0] - 1]['close']
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# TODO: interatively step through any remaining
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# time-gaps/null-segments and spawn piecewise backfiller
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# tasks in a nursery?
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@ -331,17 +339,6 @@ async def start_backfill(
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backfill_until_dt = backfill_from_dt.subtract(**period_duration)
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# TODO: can we drop this? without conc i don't think this
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# is necessary any more?
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# configure async query throttling
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# rate = config.get('rate', 1)
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# XXX: legacy from ``trimeter`` code but unsupported now.
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# erlangs = config.get('erlangs', 1)
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# avoid duplicate history frames with a set of datetime frame
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# starts and associated counts of how many duplicates we see
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# per time stamp.
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# starts: Counter[datetime] = Counter()
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# STAGE NOTE: "backward history gap filling":
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# - we push to the shm buffer until we have history back
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# until the latest entry loaded from the tsdb's table B)
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@ -1198,3 +1195,70 @@ async def manage_history(
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# and thus a small RPC-prot for remotely controllinlg
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# what data is loaded for viewing.
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await trio.sleep_forever()
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def iter_dfs_from_shms(
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fqme: str
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) -> Generator[
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tuple[Path, ShmArray, pl.DataFrame],
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None,
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None,
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]:
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# shm buffer size table based on known sample rates
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sizes: dict[str, int] = {
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'hist': _default_hist_size,
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'rt': _default_rt_size,
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}
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# load all detected shm buffer files which have the
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# passed FQME pattern in the file name.
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shmfiles: list[Path] = []
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shmdir = Path('/dev/shm/')
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for shmfile in shmdir.glob(f'*{fqme}*'):
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filename: str = shmfile.name
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# skip index files
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if (
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'_first' in filename
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or '_last' in filename
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):
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continue
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assert shmfile.is_file()
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log.debug(f'Found matching shm buffer file: {filename}')
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shmfiles.append(shmfile)
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for shmfile in shmfiles:
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# lookup array buffer size based on file suffix
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# being either .rt or .hist
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key: str = shmfile.name.rsplit('.')[-1]
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# skip FSP buffers for now..
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if key not in sizes:
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continue
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size: int = sizes[key]
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# attach to any shm buffer, load array into polars df,
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# write to local parquet file.
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shm, opened = maybe_open_shm_array(
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key=shmfile.name,
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size=size,
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dtype=def_iohlcv_fields,
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readonly=True,
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)
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assert not opened
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ohlcv = shm.array
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from ..data import tsp
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df: pl.DataFrame = tsp.np2pl(ohlcv)
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yield (
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shmfile,
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shm,
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df,
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)
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@ -322,10 +322,16 @@ def get_null_segs(
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# see `get_hist()` in backend, should ALWAYS be
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# able to handle a `start_dt=None`!
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# None,
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absi_zeros[0] - 1,
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max(
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absi_zeros[0] - 1,
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0,
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),
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# NOTE: need the + 1 to guarantee we index "up to"
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# the next non-null row-datum.
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absi_zeros[-1] + 1,
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min(
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absi_zeros[-1] + 1,
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frame['index'][-1],
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),
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]]
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else:
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# XXX EDGE CASE: only one null-datum found so
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@ -484,6 +490,10 @@ def iter_null_segs(
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start_t: float = start_row['time']
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start_dt: DateTime = from_timestamp(start_t)
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if absi_start < 0:
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import pdbp
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pdbp.set_trace()
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yield (
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absi_start, absi_end, # abs indices
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fi_start, fi_end, # relative "frame" indices
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@ -21,8 +21,6 @@ Storage middle-ware CLIs.
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from __future__ import annotations
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from pathlib import Path
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import time
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from typing import Generator
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# from typing import TYPE_CHECKING
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import polars as pl
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import numpy as np
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@ -37,14 +35,11 @@ from piker.service import open_piker_runtime
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from piker.cli import cli
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from piker.config import get_conf_dir
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from piker.data import (
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maybe_open_shm_array,
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def_iohlcv_fields,
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ShmArray,
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tsp,
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)
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from piker.data.history import (
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_default_hist_size,
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_default_rt_size,
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iter_dfs_from_shms,
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)
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from . import (
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log,
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@ -190,6 +185,13 @@ def anal(
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)
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assert first_dt < last_dt
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null_segs: tuple = tsp.get_null_segs(
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frame=history,
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period=period,
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)
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if null_segs:
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await tractor.pause()
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shm_df: pl.DataFrame = await client.as_df(
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fqme,
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period,
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@ -204,6 +206,7 @@ def anal(
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diff,
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) = tsp.dedupe(shm_df)
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if diff:
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await client.write_ohlcv(
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fqme,
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@ -219,69 +222,6 @@ def anal(
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trio.run(main)
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def iter_dfs_from_shms(fqme: str) -> Generator[
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tuple[Path, ShmArray, pl.DataFrame],
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None,
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None,
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]:
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# shm buffer size table based on known sample rates
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sizes: dict[str, int] = {
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'hist': _default_hist_size,
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'rt': _default_rt_size,
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}
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# load all detected shm buffer files which have the
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# passed FQME pattern in the file name.
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shmfiles: list[Path] = []
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shmdir = Path('/dev/shm/')
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for shmfile in shmdir.glob(f'*{fqme}*'):
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filename: str = shmfile.name
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# skip index files
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if (
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'_first' in filename
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or '_last' in filename
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):
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continue
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assert shmfile.is_file()
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log.debug(f'Found matching shm buffer file: {filename}')
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shmfiles.append(shmfile)
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for shmfile in shmfiles:
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# lookup array buffer size based on file suffix
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# being either .rt or .hist
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key: str = shmfile.name.rsplit('.')[-1]
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# skip FSP buffers for now..
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if key not in sizes:
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continue
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size: int = sizes[key]
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# attach to any shm buffer, load array into polars df,
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# write to local parquet file.
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shm, opened = maybe_open_shm_array(
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key=shmfile.name,
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size=size,
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dtype=def_iohlcv_fields,
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readonly=True,
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)
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assert not opened
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ohlcv = shm.array
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from ..data import tsp
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df: pl.DataFrame = tsp.np2pl(ohlcv)
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yield (
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shmfile,
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shm,
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df,
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)
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@store.command()
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def ldshm(
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fqme: str,
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@ -307,8 +247,8 @@ def ldshm(
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# compute ohlc properties for naming
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times: np.ndarray = shm.array['time']
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secs: float = times[-1] - times[-2]
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if secs < 1.:
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period_s: float = times[-1] - times[-2]
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if period_s < 1.:
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raise ValueError(
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f'Something is wrong with time period for {shm}:\n{times}'
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)
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@ -323,17 +263,22 @@ def ldshm(
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diff,
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) = tsp.dedupe(shm_df)
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null_segs: tuple = tsp.get_null_segs(
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frame=shm.array,
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period=period_s,
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)
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# TODO: maybe only optionally enter this depending
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# on some CLI flags and/or gap detection?
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if (
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not gaps.is_empty()
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or secs > 2
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):
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if not gaps.is_empty():
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await tractor.pause()
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if null_segs:
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await tractor.pause()
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# write to parquet file?
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if write_parquet:
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timeframe: str = f'{secs}s'
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timeframe: str = f'{period_s}s'
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datadir: Path = get_conf_dir() / 'nativedb'
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if not datadir.is_dir():
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Reference in New Issue