Add optional uppx log scaling to m4 sampler

We were previously ad-hoc scaling up the px count/width to get more
detail at lower uppx values. Add a log scaling sigmoid that range scales
between 1 < px_width < 16.

Add in a flag to use the mxmn OH tracer in `ohlc_flatten()` if desired.
marketstore_backup
Tyler Goodlet 2022-03-23 12:29:57 -04:00
parent 7bb1ae39fb
commit 96da64a0d4
1 changed files with 33 additions and 32 deletions

View File

@ -20,6 +20,7 @@ limits on the display device.
'''
import math
from typing import Optional
import numpy as np
from numpy.lib import recfunctions as rfn
@ -34,11 +35,7 @@ from ..log import get_logger
log = get_logger(__name__)
def hl2mxmn(
ohlc: np.ndarray,
# downsample_by: int = 0,
) -> np.ndarray:
def hl2mxmn(ohlc: np.ndarray) -> np.ndarray:
'''
Convert a OHLC struct-array containing 'high'/'low' columns
to a "joined" max/min 1-d array.
@ -50,12 +47,6 @@ def hl2mxmn(
'high',
]]
# XXX: don't really need this any more since we implemented
# the "tracer" routine, `numba`-style..
# create a "max and min" sequence from ohlc datums
# hl2d = structured_to_unstructured(hls)
# hl1d = hl2d.flatten()
mxmn = np.empty(2*hls.size, dtype=np.float64)
x = np.empty(2*hls.size, dtype=np.float64)
trace_hl(hls, mxmn, x, index[0])
@ -63,18 +54,6 @@ def hl2mxmn(
return mxmn, x
# if downsample_by < 2:
# return mxmn, x
# dsx, dsy = downsample(
# y=mxmn,
# x=x,
# bins=downsample_by,
# )
# log.info(f'downsampling by {downsample_by}')
# print(f'downsampling by {downsample_by}')
# return dsy, dsx
@jit(
# TODO: the type annots..
@ -176,6 +155,7 @@ def downsample(
def ohlc_flatten(
ohlc: np.ndarray,
use_mxmn: bool = False,
) -> tuple[np.ndarray, np.ndarray]:
'''
@ -186,6 +166,9 @@ def ohlc_flatten(
'''
index = ohlc['index']
if use_mxmn:
flat, x = hl2mxmn(ohlc)
else:
flat = rfn.structured_to_unstructured(
ohlc[['open', 'high', 'low', 'close']]
).flatten()
@ -193,7 +176,7 @@ def ohlc_flatten(
x = np.linspace(
start=index[0] - 0.5,
stop=index[-1] + 0.5,
num=4*len(ohlc),
num=len(flat),
)
return x, flat
@ -202,16 +185,33 @@ def ohlc_to_m4_line(
ohlc: np.ndarray,
px_width: int,
uppx: Optional[float] = None,
) -> tuple[np.ndarray, np.ndarray]:
'''
Convert an OHLC struct-array to a m4 downsampled 1-d array.
'''
xpts, flat = ohlc_flatten(ohlc)
if uppx:
# optionally log-scale down the "supposed pxs on screen"
# as the units-per-px (uppx) get's large.
scaler = round(
max(
# NOTE: found that a 16x px width brought greater
# detail, likely due to dpi scaling?
# px_width=px_width * 16,
32 / (1 + math.log(uppx, 2)),
1
)
)
px_width *= scaler
bins, x, y = ds_m4(
xpts,
flat,
px_width=px_width * 16,
px_width=px_width,
)
x = np.broadcast_to(x[:, None], y.shape)
x = (x + np.array([-0.43, 0, 0, 0.43])).flatten()
@ -313,6 +313,7 @@ def ds_m4(
@jit(
nopython=True,
nogil=True,
)
def _m4(