Spawn and cache an fsp cluster ahead of time
Use a fixed worker count and don't respawn for every chart, instead opting for a round-robin to tasks in a cluster and (for now) hoping for the best in terms of trio scheduling, though we should obviously route via symbol-locality next. This is currently a boon for chart spawning startup times since actor creation is done AOT. Additionally, - use `zero_on_step` for dollar volume - drop rsi on startup (again) - add dollar volume (via fsp) along side unit volume - litter more profiling to fsp chart startup sequence - pre-define tick type classes for update loopwindows_testing_volume
Tyler Goodlet
parent
ade0993d61
commit
8b7e7fd110
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@ -21,22 +21,23 @@ this module ties together quote and computational (fsp) streams with
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graphics update methods via our custom ``pyqtgraph`` charting api.
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'''
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager as acm
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from functools import partial
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from itertools import cycle
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import time
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from types import ModuleType
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from typing import Optional
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from typing import Optional, AsyncGenerator
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import numpy as np
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from pydantic import create_model
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import pyqtgraph as pg
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import tractor
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import trio
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from .. import brokers
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from ..data.feed import (
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open_feed,
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# Feed,
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)
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from .._cacheables import maybe_open_ctx
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from ..trionics import async_enter_all
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from ..data.feed import open_feed
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from ._chart import (
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ChartPlotWidget,
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LinkedSplits,
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@ -70,15 +71,6 @@ def update_fsp_chart(
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array = shm.array
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# update graphics
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# NOTE: this does a length check internally which allows it
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# staying above the last row check below..
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chart.update_curve_from_array(
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graphics_name,
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array,
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array_key=array_key or graphics_name,
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)
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try:
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last_row = array[-1]
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except IndexError:
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@ -95,22 +87,15 @@ def update_fsp_chart(
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log.warning(f'Read-race on shm array: {graphics_name}@{shm.token}')
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return
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# TODO: provide a read sync mechanism to avoid this polling. the
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# underlying issue is that a backfill (aka prepend) and subsequent
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# shm array first/last index update could result in an empty array
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# read here since the stream is never torn down on the re-compute
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# steps.
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# read_tries = 2
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# while read_tries > 0:
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# try:
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# # read last
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# array = shm.array
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# value = array[-1][array_key]
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# break
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# except IndexError:
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# read_tries -= 1
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# continue
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# update graphics
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# NOTE: this does a length check internally which allows it
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# staying above the last row check below..
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chart.update_curve_from_array(
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graphics_name,
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array,
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array_key=array_key or graphics_name,
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)
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chart._set_yrange()
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# XXX: re: ``array_key``: fsp func names must be unique meaning we
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# can't have duplicates of the underlying data even if multiple
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@ -126,24 +111,12 @@ def update_fsp_chart(
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last_val_sticky.update_from_data(-1, last)
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# _clses = {
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# 'clears': {'trade', 'utrade', 'last'},
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# 'last': {'last'},
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# 'bids': {'bid', 'bsize'},
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# 'asks': {'ask', 'asize'},
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# }
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# XXX: idea for frame type data structure we could use on the
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# wire instead of doing it here?
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# frames = {
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# 'index': ['type_a', 'type_c', 'type_n', 'type_n', 'type_c'],
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# 'type_a': [tick0, tick1, tick2, .., tickn],
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# 'type_b': [tick0, tick1, tick2, .., tickn],
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# 'type_c': [tick0, tick1, tick2, .., tickn],
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# ...
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# 'type_n': [tick0, tick1, tick2, .., tickn],
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# }
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# a working tick-type-classes template
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_tick_groups = {
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'clears': {'trade', 'utrade', 'last'},
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'bids': {'bid', 'bsize'},
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'asks': {'ask', 'asize'},
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}
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def chart_maxmin(
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@ -263,8 +236,12 @@ async def update_chart_from_quotes(
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now = time.time()
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quote_period = now - last_quote
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if quote_period <= 1/_quote_throttle_rate:
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log.warning(f'TOO FAST: {1/quote_period}')
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quote_rate = round(1/quote_period, 1) if quote_period else float('inf')
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if (
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quote_period <= 1/_quote_throttle_rate
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and quote_rate > _quote_throttle_rate + 2
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):
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log.warning(f'High quote rate {symbol.key}: {quote_rate}')
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last_quote = now
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# chart isn't active/shown so skip render cycle and pause feed(s)
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@ -291,15 +268,7 @@ async def update_chart_from_quotes(
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array = ohlcv.array
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if vlm_chart:
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# print(f"volume: {end['volume']}")
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vlm_chart.update_curve_from_array('volume', array)
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# built-in tina $vlm FSP using chl3 typical price for ohlc step
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# last = array[-1]
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# chl3 = (last['close'] + last['high'] + last['low']) / 3
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# v = last['volume']
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# dv = last['volume'] * chl3
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vlm_sticky.update_from_data(*array[-1][['index', 'volume']])
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if (
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@ -346,7 +315,7 @@ async def update_chart_from_quotes(
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# TODO: eventually we want to separate out the utrade (aka
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# dark vlm prices) here and show them as an additional
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# graphic.
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clear_types = {'trade', 'utrade', 'last'}
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clear_types = _tick_groups['clears']
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# XXX: if we wanted to iterate in "latest" (i.e. most
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# current) tick first order as an optimization where we only
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@ -415,11 +384,11 @@ async def update_chart_from_quotes(
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# label.size -= size
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# elif ticktype in ('ask', 'asize'):
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elif typ in ('ask', 'asize'):
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elif typ in _tick_groups['asks']:
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l1.ask_label.update_fields({'level': price, 'size': size})
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# elif ticktype in ('bid', 'bsize'):
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elif typ in ('bid', 'bsize'):
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elif typ in _tick_groups['bids']:
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l1.bid_label.update_fields({'level': price, 'size': size})
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# check for y-range re-size
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@ -492,7 +461,7 @@ def maybe_mk_fsp_shm(
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return shm, opened
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@asynccontextmanager
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@acm
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async def open_fsp_sidepane(
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linked: LinkedSplits,
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@ -558,8 +527,66 @@ async def open_fsp_sidepane(
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yield sidepane
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async def open_fspd_cluster(
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@acm
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async def open_fsp_cluster(
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workers: int = 2
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) -> AsyncGenerator[int, dict[str, tractor.Portal]]:
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profiler = pg.debug.Profiler(
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delayed=False,
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disabled=False
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)
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portals: dict[str, tractor.Portal] = {}
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uid = tractor.current_actor().uid
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async with tractor.open_nursery() as an:
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# XXX: fsp may have been opened by a duplicate chart.
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# Error for now until we figure out how to wrap fsps as
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# "feeds". assert opened, f"A chart for {key} likely
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# already exists?"
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async with trio.open_nursery() as n:
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for index in range(workers):
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async def start(i) -> None:
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key = f'fsp_{i}.' + '_'.join(uid)
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portals[key] = await an.start_actor(
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enable_modules=['piker.fsp._engine'],
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name=key,
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)
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n.start_soon(start, index)
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assert len(portals) == workers
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profiler('started fsp cluster')
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yield portals
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@acm
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async def maybe_open_fsp_cluster(
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workers: int = 2,
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**kwargs,
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) -> AsyncGenerator[int, dict[str, tractor.Portal]]:
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uid = tractor.current_actor().uid
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async with maybe_open_ctx(
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key=uid, # for now make a cluster per client?
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mngr=open_fsp_cluster(
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workers,
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# loglevel=loglevel,
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**kwargs,
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),
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) as (cache_hit, cluster_map):
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if cache_hit:
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log.info('re-using existing fsp cluster')
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yield cluster_map
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else:
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yield cluster_map
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async def start_fsp_displays(
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cluster_map: dict[str, tractor.Portal],
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linkedsplits: LinkedSplits,
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fsps: dict[str, str],
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sym: str,
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@ -580,19 +607,22 @@ async def open_fspd_cluster(
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'''
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linkedsplits.focus()
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# spawns sub-processes which execute cpu bound fsp work
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# which is streamed back to this parent.
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async with (
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tractor.open_nursery() as n,
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trio.open_nursery() as ln,
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):
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profiler = pg.debug.Profiler(
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delayed=False,
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disabled=False
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)
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async with trio.open_nursery() as n:
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# Currently we spawn an actor per fsp chain but
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# likely we'll want to pool them eventually to
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# scale horizonatlly once cores are used up.
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for display_name, conf in fsps.items():
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for (display_name, conf), (name, portal) in zip(
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fsps.items(),
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# rr to cluster for now..
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cycle(cluster_map.items()),
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):
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func_name = conf['func_name']
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shm, opened = maybe_mk_fsp_shm(
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sym,
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field_name=func_name,
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@ -600,18 +630,17 @@ async def open_fspd_cluster(
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readonly=True,
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)
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profiler(f'created shm for fsp actor: {display_name}')
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# XXX: fsp may have been opened by a duplicate chart.
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# Error for now until we figure out how to wrap fsps as
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# "feeds". assert opened, f"A chart for {key} likely
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# already exists?"
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portal = await n.start_actor(
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enable_modules=['piker.fsp._engine'],
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name='fsp.' + display_name,
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)
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profiler(f'attached to fsp portal: {display_name}')
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# init async
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ln.start_soon(
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n.start_soon(
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partial(
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update_chart_from_fsp,
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@ -627,6 +656,7 @@ async def open_fspd_cluster(
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is_overlay=conf.get('overlay', False),
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group_status_key=group_status_key,
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loglevel=loglevel,
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profiler=profiler,
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)
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)
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@ -650,6 +680,7 @@ async def update_chart_from_fsp(
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group_status_key: str,
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loglevel: str,
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profiler: pg.debug.Profiler,
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) -> None:
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'''FSP stream chart update loop.
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@ -658,6 +689,9 @@ async def update_chart_from_fsp(
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config map.
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'''
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profiler(f'started chart task for fsp: {func_name}')
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done = linkedsplits.window().status_bar.open_status(
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f'loading fsp, {display_name}..',
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group_key=group_status_key,
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@ -676,12 +710,15 @@ async def update_chart_from_fsp(
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symbol=sym,
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func_name=func_name,
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loglevel=loglevel,
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zero_on_step=conf.get('zero_on_step', False),
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) as (ctx, last_index),
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ctx.open_stream() as stream,
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open_fsp_sidepane(linkedsplits, {display_name: conf},) as sidepane,
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):
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profiler(f'fsp:{func_name} attached to fsp ctx-stream')
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if is_overlay:
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chart = linkedsplits.chart
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chart.draw_curve(
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@ -719,6 +756,8 @@ async def update_chart_from_fsp(
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array_key = func_name
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profiler(f'fsp:{func_name} chart created')
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# first UI update, usually from shm pushed history
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update_fsp_chart(
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chart,
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@ -753,6 +792,9 @@ async def update_chart_from_fsp(
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done()
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chart.linked.resize_sidepanes()
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profiler(f'fsp:{func_name} starting update loop')
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profiler.finish()
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# update chart graphics
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i = 0
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last = time.time()
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@ -853,7 +895,7 @@ def has_vlm(ohlcv: ShmArray) -> bool:
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return not bool(np.all(np.isin(volm, -1)) or np.all(np.isnan(volm)))
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@asynccontextmanager
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@acm
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async def maybe_open_vlm_display(
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linked: LinkedSplits,
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@ -875,12 +917,12 @@ async def maybe_open_vlm_display(
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async with open_fsp_sidepane(
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linked, {
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'volume': {
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'$_vlm': {
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'params': {
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'price_func': {
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'default_value': 'ohl3',
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'default_value': 'chl3',
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# tell target ``Edit`` widget to not allow
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# edits for now.
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'widget_kwargs': {'readonly': True},
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@ -979,17 +1021,19 @@ async def display_symbol_data(
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# group_key=loading_sym_key,
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# )
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async with(
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async with async_enter_all(
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open_feed(
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provider,
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[sym],
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loglevel=loglevel,
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# 60 FPS to limit context switches
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# limit to at least display's FPS
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# avoiding needless Qt-in-guest-mode context switches
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tick_throttle=_quote_throttle_rate,
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),
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maybe_open_fsp_cluster(),
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) as feed,
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):
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) as (feed, cluster_map):
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ohlcv: ShmArray = feed.shm
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bars = ohlcv.array
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@ -1042,25 +1086,36 @@ async def display_symbol_data(
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# TODO: eventually we'll support some kind of n-compose syntax
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fsp_conf = {
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'rsi': {
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# 'rsi': {
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# 'func_name': 'rsi', # literal python func ref lookup name
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# literal python func ref lookup name
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'func_name': 'rsi',
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# # map of parameters to place on the fsp sidepane widget
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# # which should map to dynamic inputs available to the
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# # fsp function at runtime.
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# 'params': {
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# 'period': {
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# 'default_value': 14,
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# 'widget_kwargs': {'readonly': True},
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# },
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# },
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# map of parameters to place on the fsp sidepane widget
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# which should map to dynamic inputs available to the
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# fsp function at runtime.
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# # ``ChartPlotWidget`` options passthrough
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# 'chart_kwargs': {
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# 'static_yrange': (0, 100),
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# },
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# },
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'dolla_vlm': {
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'func_name': 'dolla_vlm',
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'zero_on_step': True,
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'params': {
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'period': {
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'default_value': 14,
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'price_func': {
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'default_value': 'chl3',
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# tell target ``Edit`` widget to not allow
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# edits for now.
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'widget_kwargs': {'readonly': True},
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},
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},
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# ``ChartPlotWidget`` options passthrough
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'chart_kwargs': {
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'static_yrange': (0, 100),
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},
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'chart_kwargs': {'style': 'step'}
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},
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}
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|
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@ -1072,11 +1127,11 @@ async def display_symbol_data(
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# add VWAP to fsp config for downstream loading
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fsp_conf.update({
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'vwap': {
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'func_name': 'vwap',
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'overlay': True,
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'anchor': 'session',
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},
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# 'vwap': {
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# 'func_name': 'vwap',
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# 'overlay': True,
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# 'anchor': 'session',
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# },
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})
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# NOTE: we must immediately tell Qt to show the OHLC chart
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|
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@ -1086,13 +1141,15 @@ async def display_symbol_data(
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linkedsplits.focus()
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await trio.sleep(0)
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vlm_chart = None
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async with (
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trio.open_nursery() as ln,
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maybe_open_vlm_display(linkedsplits, ohlcv) as vlm_chart,
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):
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# load initial fsp chain (otherwise known as "indicators")
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ln.start_soon(
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open_fspd_cluster,
|
||||
start_fsp_displays,
|
||||
cluster_map,
|
||||
linkedsplits,
|
||||
fsp_conf,
|
||||
sym,
|
||||
|
|
|
|||
Loading…
Reference in New Issue