Add OHLC to m4 line converters

Helpers to quickly convert ohlc struct-array sequences into lines
for consumption by the m4 downsampler. Strip trailing zero entries
from the `ds_m4()` output if found (avoids lines back to origin).
marketstore_backup
Tyler Goodlet 2022-03-22 09:54:59 -04:00
parent 541e3182ac
commit adc38af3f5
1 changed files with 53 additions and 2 deletions

View File

@ -22,7 +22,7 @@ limits on the display device.
import math import math
import numpy as np import numpy as np
# from numpy.lib.recfunctions import structured_to_unstructured from numpy.lib import recfunctions as rfn
from numba import ( from numba import (
jit, jit,
# float64, optional, int64, # float64, optional, int64,
@ -174,6 +174,51 @@ def downsample(
return ds_m4(x, y, kwargs['px_width']) return ds_m4(x, y, kwargs['px_width'])
def ohlc_flatten(
ohlc: np.ndarray,
) -> tuple[np.ndarray, np.ndarray]:
'''
Convert an OHLCV struct-array into a flat ready-for-line-plotting
1-d array that is 4 times the size with x-domain values distributed
evenly (by 0.5 steps) over each index.
'''
index = ohlc['index']
flat = rfn.structured_to_unstructured(
ohlc[['open', 'high', 'low', 'close']]
).flatten()
x = np.linspace(
start=index[0] - 0.5,
stop=index[-1] + 0.5,
num=4*len(ohlc),
)
return x, flat
def ohlc_to_m4_line(
ohlc: np.ndarray,
px_width: int,
) -> tuple[np.ndarray, np.ndarray]:
'''
Convert an OHLC struct-array to a m4 downsampled 1-d array.
'''
xpts, flat = ohlc_flatten(ohlc)
bins, x, y = ds_m4(
xpts,
flat,
px_width=px_width * 16,
)
x = np.broadcast_to(x[:, None], y.shape)
x = (x + np.array([-0.43, 0, 0, 0.43])).flatten()
y = y.flatten()
return x, y
def ds_m4( def ds_m4(
x: np.ndarray, x: np.ndarray,
y: np.ndarray, y: np.ndarray,
@ -233,7 +278,7 @@ def ds_m4(
# (uniform quotient output) worth of datum-domain-points # (uniform quotient output) worth of datum-domain-points
# per windows-frame, add one more window to ensure # per windows-frame, add one more window to ensure
# we have room for all output down-samples. # we have room for all output down-samples.
pts_per_pixel, r = divmod(len(x), px_width) pts_per_pixel, r = divmod(len(x), frames)
if r: if r:
frames += 1 frames += 1
@ -257,6 +302,12 @@ def ds_m4(
w, w,
) )
# filter out any overshoot in the input allocation arrays by
# removing zero-ed tail entries which should start at a certain
# index.
i_win = i_win[i_win != 0]
y_out = y_out[:i_win.size]
return nb, i_win, y_out return nb, i_win, y_out