Handle time-indexing for fill arrows
Call into a reworked `Flume.get_index()` for both the slow and fast chart and do time index clipping to last datum where necessary.epoch_index_backup
parent
95b9ae66b2
commit
abf3b08328
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@ -48,13 +48,13 @@ from ._sharedmem import (
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from ._sampling import (
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from ._sampling import (
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iter_ohlc_periods,
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iter_ohlc_periods,
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)
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)
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from .._profile import (
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# from .._profile import (
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Profiler,
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# Profiler,
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pg_profile_enabled,
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# pg_profile_enabled,
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)
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# )
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if TYPE_CHECKING:
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if TYPE_CHECKING:
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from pyqtgraph import PlotItem
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# from pyqtgraph import PlotItem
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from .feed import Feed
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from .feed import Feed
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@ -235,18 +235,18 @@ class Flume(Struct):
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def get_index(
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def get_index(
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self,
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self,
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time_s: float,
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time_s: float,
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array: np.ndarray,
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) -> int:
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) -> int | float:
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'''
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'''
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Return array shm-buffer index for for epoch time.
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Return array shm-buffer index for for epoch time.
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'''
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'''
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array = self.rt_shm.array
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times = array['time']
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times = array['time']
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mask = (times >= time_s)
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first = np.searchsorted(
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times,
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if any(mask):
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time_s,
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return array['index'][mask][0]
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side='left',
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)
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# just the latest index
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imx = times.shape[0] - 1
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return array['index'][-1]
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return min(first, imx)
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@ -494,7 +494,7 @@ class OrderMode:
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uuid: str,
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uuid: str,
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price: float,
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price: float,
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arrow_index: float,
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time_s: float,
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pointing: Optional[str] = None,
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pointing: Optional[str] = None,
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@ -513,18 +513,26 @@ class OrderMode:
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'''
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'''
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dialog = self.dialogs[uuid]
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dialog = self.dialogs[uuid]
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lines = dialog.lines
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lines = dialog.lines
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chart = self.chart
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# XXX: seems to fail on certain types of races?
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# XXX: seems to fail on certain types of races?
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# assert len(lines) == 2
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# assert len(lines) == 2
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if lines:
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if lines:
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flume: Flume = self.feed.flumes[self.chart.linked.symbol.fqsn]
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flume: Flume = self.feed.flumes[chart.linked.symbol.fqsn]
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_, _, ratio = flume.get_ds_info()
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_, _, ratio = flume.get_ds_info()
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for i, chart in [
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(arrow_index, self.chart),
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for chart, shm in [
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(flume.izero_hist
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(self.chart, flume.rt_shm),
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+
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(self.hist_chart, flume.hist_shm),
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round((arrow_index - flume.izero_rt)/ratio),
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self.hist_chart)
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]:
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]:
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viz = chart.get_viz(chart.name)
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index_field = viz.index_field
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arr = shm.array
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index = flume.get_index(time_s, arr)
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if index_field == 'time':
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i = arr['time'][index]
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self.arrows.add(
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self.arrows.add(
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chart.plotItem,
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chart.plotItem,
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uuid,
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uuid,
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@ -933,6 +941,8 @@ async def process_trade_msg(
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fmsg = pformat(msg)
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fmsg = pformat(msg)
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log.debug(f'Received order msg:\n{fmsg}')
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log.debug(f'Received order msg:\n{fmsg}')
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name = msg['name']
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name = msg['name']
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viz = mode.chart.get_viz(mode.chart.name)
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index_field = viz.index_field
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if name in (
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if name in (
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'position',
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'position',
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@ -1037,11 +1047,11 @@ async def process_trade_msg(
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# should only be one "fill" for an alert
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# should only be one "fill" for an alert
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# add a triangle and remove the level line
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# add a triangle and remove the level line
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req = Order(**req)
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req = Order(**req)
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index = flume.get_index(time.time())
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tm = time.time()
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mode.on_fill(
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mode.on_fill(
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oid,
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oid,
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price=req.price,
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price=req.price,
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arrow_index=index,
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time_s=tm,
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)
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)
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mode.lines.remove_line(uuid=oid)
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mode.lines.remove_line(uuid=oid)
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msg.req = req
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msg.req = req
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@ -1070,6 +1080,8 @@ async def process_trade_msg(
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details = msg.brokerd_msg
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details = msg.brokerd_msg
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# TODO: put the actual exchange timestamp?
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# TODO: put the actual exchange timestamp?
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# TODO: some kinda progress system?
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# NOTE: currently the ``kraken`` openOrders sub
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# NOTE: currently the ``kraken`` openOrders sub
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# doesn't deliver their engine timestamp as part of
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# doesn't deliver their engine timestamp as part of
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# it's schema, so this value is **not** from them
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# it's schema, so this value is **not** from them
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@ -1080,15 +1092,11 @@ async def process_trade_msg(
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# a true backend one? This will require finagling
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# a true backend one? This will require finagling
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# with how each backend tracks/summarizes time
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# with how each backend tracks/summarizes time
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# stamps for the downstream API.
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# stamps for the downstream API.
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index = flume.get_index(
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tm = details['broker_time']
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details['broker_time']
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)
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# TODO: some kinda progress system
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mode.on_fill(
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mode.on_fill(
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oid,
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oid,
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price=details['price'],
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price=details['price'],
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arrow_index=index,
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time_s=tm,
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pointing='up' if action == 'buy' else 'down',
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pointing='up' if action == 'buy' else 'down',
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)
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)
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