commit
bb5916d6a9
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Main app startup and run.
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'''
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from functools import partial
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from PyQt5.QtCore import QEvent
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import trio
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from .._daemon import maybe_spawn_brokerd
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from ..brokers import get_brokermod
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from . import _event
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from ._exec import run_qtractor
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from ..data.feed import install_brokerd_search
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from . import _search
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from ._chart import GodWidget
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from ..log import get_logger
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log = get_logger(__name__)
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async def load_provider_search(
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broker: str,
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loglevel: str,
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) -> None:
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log.info(f'loading brokerd for {broker}..')
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async with (
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maybe_spawn_brokerd(
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broker,
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loglevel=loglevel
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) as portal,
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install_brokerd_search(
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portal,
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get_brokermod(broker),
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),
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):
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# keep search engine stream up until cancelled
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await trio.sleep_forever()
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async def _async_main(
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# implicit required argument provided by ``qtractor_run()``
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main_widget: GodWidget,
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sym: str,
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brokernames: str,
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loglevel: str,
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) -> None:
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"""
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Main Qt-trio routine invoked by the Qt loop with the widgets ``dict``.
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Provision the "main" widget with initial symbol data and root nursery.
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"""
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from . import _display
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godwidget = main_widget
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# attempt to configure DPI aware font size
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screen = godwidget.window.current_screen()
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# configure graphics update throttling based on display refresh rate
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_display._clear_throttle_rate = min(
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round(screen.refreshRate()),
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_display._clear_throttle_rate,
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)
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log.info(f'Set graphics update rate to {_display._clear_throttle_rate} Hz')
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# TODO: do styling / themeing setup
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# _style.style_ze_sheets(godwidget)
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sbar = godwidget.window.status_bar
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starting_done = sbar.open_status('starting ze sexy chartz')
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async with (
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trio.open_nursery() as root_n,
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):
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# set root nursery and task stack for spawning other charts/feeds
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# that run cached in the bg
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godwidget._root_n = root_n
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# setup search widget and focus main chart view at startup
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# search widget is a singleton alongside the godwidget
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search = _search.SearchWidget(godwidget=godwidget)
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search.bar.unfocus()
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godwidget.hbox.addWidget(search)
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godwidget.search = search
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symbol, _, provider = sym.rpartition('.')
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# this internally starts a ``display_symbol_data()`` task above
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order_mode_ready = await godwidget.load_symbol(
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provider,
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symbol,
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loglevel
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)
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# spin up a search engine for the local cached symbol set
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async with _search.register_symbol_search(
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provider_name='cache',
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search_routine=partial(
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_search.search_simple_dict,
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source=godwidget._chart_cache,
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),
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# cache is super fast so debounce on super short period
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pause_period=0.01,
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):
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# load other providers into search **after**
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# the chart's select cache
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for broker in brokernames:
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root_n.start_soon(load_provider_search, broker, loglevel)
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await order_mode_ready.wait()
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# start handling peripherals input for top level widgets
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async with (
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# search bar kb input handling
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_event.open_handlers(
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[search.bar],
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event_types={
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QEvent.KeyPress,
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},
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async_handler=_search.handle_keyboard_input,
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filter_auto_repeats=False, # let repeats passthrough
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),
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# completer view mouse click signal handling
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_event.open_signal_handler(
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search.view.pressed,
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search.view.on_pressed,
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),
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):
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# remove startup status text
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starting_done()
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await trio.sleep_forever()
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def _main(
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sym: str,
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brokernames: [str],
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piker_loglevel: str,
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tractor_kwargs,
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) -> None:
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"""Sync entry point to start a chart app.
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"""
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# ``tractor`` + Qt runtime entry point
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run_qtractor(
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func=_async_main,
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args=(sym, brokernames, piker_loglevel),
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main_widget=GodWidget,
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tractor_kwargs=tractor_kwargs,
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)
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File diff suppressed because it is too large
Load Diff
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@ -0,0 +1,799 @@
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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|
# it under the terms of the GNU Affero General Public License as published by
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|
# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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|
# This program is distributed in the hope that it will be useful,
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|
# but WITHOUT ANY WARRANTY; without even the implied warranty of
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|
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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|
# GNU Affero General Public License for more details.
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||||||
|
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|
# You should have received a copy of the GNU Affero General Public License
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|
# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Real-time display tasks for charting / graphics.
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'''
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import time
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from typing import Any
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from types import ModuleType
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import numpy as np
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from pydantic import BaseModel
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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 ._chart import (
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ChartPlotWidget,
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LinkedSplits,
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GodWidget,
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)
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from .. import fsp
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from ._l1 import L1Labels
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from ..data._sharedmem import ShmArray, maybe_open_shm_array
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from ._forms import (
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FieldsForm,
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mk_form,
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mk_order_pane_layout,
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open_form_input_handling,
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)
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from .order_mode import open_order_mode
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from ..log import get_logger
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log = get_logger(__name__)
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_clear_throttle_rate: int = 58 # Hz
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_book_throttle_rate: int = 16 # Hz
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async def chart_from_quotes(
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chart: ChartPlotWidget,
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stream: tractor.MsgStream,
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ohlcv: np.ndarray,
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wap_in_history: bool = False,
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) -> None:
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'''The 'main' (price) chart real-time update loop.
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Receive from the quote stream and update the OHLC chart.
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'''
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# TODO: bunch of stuff:
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# - I'm starting to think all this logic should be
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# done in one place and "graphics update routines"
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# should not be doing any length checking and array diffing.
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# - handle odd lot orders
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# - update last open price correctly instead
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# of copying it from last bar's close
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# - 5 sec bar lookback-autocorrection like tws does?
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# update last price sticky
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last_price_sticky = chart._ysticks[chart.name]
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last_price_sticky.update_from_data(
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*ohlcv.array[-1][['index', 'close']]
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)
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def maxmin():
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# TODO: implement this
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# https://arxiv.org/abs/cs/0610046
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# https://github.com/lemire/pythonmaxmin
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array = chart._arrays['ohlc']
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ifirst = array[0]['index']
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last_bars_range = chart.bars_range()
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l, lbar, rbar, r = last_bars_range
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in_view = array[lbar - ifirst:rbar - ifirst]
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assert in_view.size
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mx, mn = np.nanmax(in_view['high']), np.nanmin(in_view['low'])
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# TODO: when we start using line charts, probably want to make
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# this an overloaded call on our `DataView
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# sym = chart.name
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# mx, mn = np.nanmax(in_view[sym]), np.nanmin(in_view[sym])
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return last_bars_range, mx, max(mn, 0)
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chart.default_view()
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last_bars_range, last_mx, last_mn = maxmin()
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last, volume = ohlcv.array[-1][['close', 'volume']]
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symbol = chart.linked.symbol
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l1 = L1Labels(
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chart,
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# determine precision/decimal lengths
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digits=symbol.tick_size_digits,
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size_digits=symbol.lot_size_digits,
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)
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chart._l1_labels = l1
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# TODO:
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# - in theory we should be able to read buffer data faster
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# then msgs arrive.. needs some tinkering and testing
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# - if trade volume jumps above / below prior L1 price
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# levels this might be dark volume we need to
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# present differently?
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tick_size = chart.linked.symbol.tick_size
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tick_margin = 2 * tick_size
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last_ask = last_bid = last_clear = time.time()
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chart.show()
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async for quotes in stream:
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# chart isn't actively shown so just skip render cycle
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if chart.linked.isHidden():
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await chart.pause_all_feeds()
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continue
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for sym, quote in quotes.items():
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now = time.time()
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for tick in quote.get('ticks', ()):
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# print(f"CHART: {quote['symbol']}: {tick}")
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ticktype = tick.get('type')
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price = tick.get('price')
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size = tick.get('size')
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if ticktype == 'n/a' or price == -1:
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# okkk..
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continue
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# clearing price event
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if ticktype in ('trade', 'utrade', 'last'):
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# throttle clearing price updates to ~ max 60 FPS
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period = now - last_clear
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if period <= 1/_clear_throttle_rate:
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# faster then display refresh rate
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continue
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# print(f'passthrough {tick}\n{1/(now-last_clear)}')
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# set time of last graphics update
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last_clear = now
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array = ohlcv.array
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|
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# update price sticky(s)
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|
end = array[-1]
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|
last_price_sticky.update_from_data(
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|
*end[['index', 'close']]
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|
)
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|
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|
# plot bars
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|
# update price bar
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|
chart.update_ohlc_from_array(
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|
chart.name,
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|
array,
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||||||
|
)
|
||||||
|
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||||||
|
if wap_in_history:
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|
# update vwap overlay line
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||||||
|
chart.update_curve_from_array('bar_wap', ohlcv.array)
|
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|
|
||||||
|
# l1 book events
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||||||
|
# throttle the book graphics updates at a lower rate
|
||||||
|
# since they aren't as critical for a manual user
|
||||||
|
# viewing the chart
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||||||
|
|
||||||
|
elif ticktype in ('ask', 'asize'):
|
||||||
|
if (now - last_ask) <= 1/_book_throttle_rate:
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|
# print(f'skipping\n{tick}')
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|
continue
|
||||||
|
|
||||||
|
# print(f'passthrough {tick}\n{1/(now-last_ask)}')
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||||||
|
last_ask = now
|
||||||
|
|
||||||
|
elif ticktype in ('bid', 'bsize'):
|
||||||
|
if (now - last_bid) <= 1/_book_throttle_rate:
|
||||||
|
continue
|
||||||
|
|
||||||
|
# print(f'passthrough {tick}\n{1/(now-last_bid)}')
|
||||||
|
last_bid = now
|
||||||
|
|
||||||
|
# compute max and min trade values to display in view
|
||||||
|
# TODO: we need a streaming minmax algorithm here, see
|
||||||
|
# def above.
|
||||||
|
brange, mx_in_view, mn_in_view = maxmin()
|
||||||
|
l, lbar, rbar, r = brange
|
||||||
|
|
||||||
|
mx = mx_in_view + tick_margin
|
||||||
|
mn = mn_in_view - tick_margin
|
||||||
|
|
||||||
|
# XXX: prettty sure this is correct?
|
||||||
|
# if ticktype in ('trade', 'last'):
|
||||||
|
if ticktype in ('last',): # 'size'):
|
||||||
|
|
||||||
|
label = {
|
||||||
|
l1.ask_label.fields['level']: l1.ask_label,
|
||||||
|
l1.bid_label.fields['level']: l1.bid_label,
|
||||||
|
}.get(price)
|
||||||
|
|
||||||
|
if label is not None:
|
||||||
|
label.update_fields({'level': price, 'size': size})
|
||||||
|
|
||||||
|
# on trades should we be knocking down
|
||||||
|
# the relevant L1 queue?
|
||||||
|
# label.size -= size
|
||||||
|
|
||||||
|
elif ticktype in ('ask', 'asize'):
|
||||||
|
l1.ask_label.update_fields({'level': price, 'size': size})
|
||||||
|
|
||||||
|
elif ticktype in ('bid', 'bsize'):
|
||||||
|
l1.bid_label.update_fields({'level': price, 'size': size})
|
||||||
|
|
||||||
|
# update min price in view to keep bid on screen
|
||||||
|
mn = min(price - tick_margin, mn)
|
||||||
|
# update max price in view to keep ask on screen
|
||||||
|
mx = max(price + tick_margin, mx)
|
||||||
|
|
||||||
|
if (mx > last_mx) or (
|
||||||
|
mn < last_mn
|
||||||
|
):
|
||||||
|
# print(f'new y range: {(mn, mx)}')
|
||||||
|
|
||||||
|
chart._set_yrange(
|
||||||
|
yrange=(mn, mx),
|
||||||
|
# TODO: we should probably scale
|
||||||
|
# the view margin based on the size
|
||||||
|
# of the true range? This way you can
|
||||||
|
# slap in orders outside the current
|
||||||
|
# L1 (only) book range.
|
||||||
|
# range_margin=0.1,
|
||||||
|
)
|
||||||
|
|
||||||
|
last_mx, last_mn = mx, mn
|
||||||
|
|
||||||
|
|
||||||
|
async def spawn_fsps(
|
||||||
|
|
||||||
|
linkedsplits: LinkedSplits,
|
||||||
|
fsps: dict[str, str],
|
||||||
|
sym: str,
|
||||||
|
src_shm: list,
|
||||||
|
brokermod: ModuleType,
|
||||||
|
group_status_key: str,
|
||||||
|
loglevel: str,
|
||||||
|
|
||||||
|
) -> None:
|
||||||
|
"""Start financial signal processing in subactor.
|
||||||
|
|
||||||
|
Pass target entrypoint and historical data.
|
||||||
|
|
||||||
|
"""
|
||||||
|
|
||||||
|
linkedsplits.focus()
|
||||||
|
|
||||||
|
uid = tractor.current_actor().uid
|
||||||
|
|
||||||
|
# spawns sub-processes which execute cpu bound FSP code
|
||||||
|
async with tractor.open_nursery(loglevel=loglevel) as n:
|
||||||
|
|
||||||
|
# spawns local task that consume and chart data streams from
|
||||||
|
# sub-procs
|
||||||
|
async with trio.open_nursery() as ln:
|
||||||
|
|
||||||
|
# Currently we spawn an actor per fsp chain but
|
||||||
|
# likely we'll want to pool them eventually to
|
||||||
|
# scale horizonatlly once cores are used up.
|
||||||
|
for display_name, conf in fsps.items():
|
||||||
|
|
||||||
|
fsp_func_name = conf['fsp_func_name']
|
||||||
|
|
||||||
|
# TODO: load function here and introspect
|
||||||
|
# return stream type(s)
|
||||||
|
|
||||||
|
# TODO: should `index` be a required internal field?
|
||||||
|
fsp_dtype = np.dtype([('index', int), (fsp_func_name, float)])
|
||||||
|
|
||||||
|
key = f'{sym}.fsp.{display_name}.{".".join(uid)}'
|
||||||
|
|
||||||
|
# this is all sync currently
|
||||||
|
shm, opened = maybe_open_shm_array(
|
||||||
|
key,
|
||||||
|
# TODO: create entry for each time frame
|
||||||
|
dtype=fsp_dtype,
|
||||||
|
readonly=True,
|
||||||
|
)
|
||||||
|
|
||||||
|
# XXX: fsp may have been opened by a duplicate chart.
|
||||||
|
# Error for now until we figure out how to wrap fsps as
|
||||||
|
# "feeds". assert opened, f"A chart for {key} likely
|
||||||
|
# already exists?"
|
||||||
|
|
||||||
|
conf['shm'] = shm
|
||||||
|
|
||||||
|
portal = await n.start_actor(
|
||||||
|
enable_modules=['piker.fsp'],
|
||||||
|
name='fsp.' + display_name,
|
||||||
|
)
|
||||||
|
|
||||||
|
# init async
|
||||||
|
ln.start_soon(
|
||||||
|
run_fsp,
|
||||||
|
portal,
|
||||||
|
linkedsplits,
|
||||||
|
brokermod,
|
||||||
|
sym,
|
||||||
|
src_shm,
|
||||||
|
fsp_func_name,
|
||||||
|
display_name,
|
||||||
|
conf,
|
||||||
|
group_status_key,
|
||||||
|
)
|
||||||
|
|
||||||
|
# blocks here until all fsp actors complete
|
||||||
|
|
||||||
|
|
||||||
|
async def run_fsp(
|
||||||
|
|
||||||
|
portal: tractor._portal.Portal,
|
||||||
|
linkedsplits: LinkedSplits,
|
||||||
|
brokermod: ModuleType,
|
||||||
|
sym: str,
|
||||||
|
src_shm: ShmArray,
|
||||||
|
fsp_func_name: str,
|
||||||
|
display_name: str,
|
||||||
|
conf: dict[str, Any],
|
||||||
|
group_status_key: str,
|
||||||
|
|
||||||
|
) -> None:
|
||||||
|
"""FSP stream chart update loop.
|
||||||
|
|
||||||
|
This is called once for each entry in the fsp
|
||||||
|
config map.
|
||||||
|
"""
|
||||||
|
done = linkedsplits.window().status_bar.open_status(
|
||||||
|
f'loading fsp, {display_name}..',
|
||||||
|
group_key=group_status_key,
|
||||||
|
)
|
||||||
|
|
||||||
|
# make sidepane config widget
|
||||||
|
class FspConfig(BaseModel):
|
||||||
|
|
||||||
|
class Config:
|
||||||
|
validate_assignment = True
|
||||||
|
|
||||||
|
name: str
|
||||||
|
period: int
|
||||||
|
|
||||||
|
sidepane: FieldsForm = mk_form(
|
||||||
|
parent=linkedsplits.godwidget,
|
||||||
|
fields_schema={
|
||||||
|
'name': {
|
||||||
|
'label': '**fsp**:',
|
||||||
|
'type': 'select',
|
||||||
|
'default_value': [
|
||||||
|
f'{display_name}'
|
||||||
|
],
|
||||||
|
},
|
||||||
|
'period': {
|
||||||
|
'label': '**period**:',
|
||||||
|
'type': 'edit',
|
||||||
|
'default_value': 14,
|
||||||
|
},
|
||||||
|
},
|
||||||
|
)
|
||||||
|
sidepane.model = FspConfig(
|
||||||
|
name=display_name,
|
||||||
|
period=14,
|
||||||
|
)
|
||||||
|
|
||||||
|
# just a logger for now until we get fsp configs up and running.
|
||||||
|
async def settings_change(key: str, value: str) -> bool:
|
||||||
|
print(f'{key}: {value}')
|
||||||
|
return True
|
||||||
|
|
||||||
|
async with (
|
||||||
|
portal.open_stream_from(
|
||||||
|
|
||||||
|
# subactor entrypoint
|
||||||
|
fsp.cascade,
|
||||||
|
|
||||||
|
# name as title of sub-chart
|
||||||
|
brokername=brokermod.name,
|
||||||
|
src_shm_token=src_shm.token,
|
||||||
|
dst_shm_token=conf['shm'].token,
|
||||||
|
symbol=sym,
|
||||||
|
fsp_func_name=fsp_func_name,
|
||||||
|
|
||||||
|
) as stream,
|
||||||
|
|
||||||
|
# TODO:
|
||||||
|
open_form_input_handling(
|
||||||
|
sidepane,
|
||||||
|
focus_next=linkedsplits.godwidget,
|
||||||
|
on_value_change=settings_change,
|
||||||
|
),
|
||||||
|
):
|
||||||
|
|
||||||
|
# receive last index for processed historical
|
||||||
|
# data-array as first msg
|
||||||
|
_ = await stream.receive()
|
||||||
|
|
||||||
|
shm = conf['shm']
|
||||||
|
|
||||||
|
if conf.get('overlay'):
|
||||||
|
chart = linkedsplits.chart
|
||||||
|
chart.draw_curve(
|
||||||
|
name='vwap',
|
||||||
|
data=shm.array,
|
||||||
|
overlay=True,
|
||||||
|
)
|
||||||
|
last_val_sticky = None
|
||||||
|
|
||||||
|
else:
|
||||||
|
|
||||||
|
chart = linkedsplits.add_plot(
|
||||||
|
name=display_name,
|
||||||
|
array=shm.array,
|
||||||
|
|
||||||
|
array_key=conf['fsp_func_name'],
|
||||||
|
sidepane=sidepane,
|
||||||
|
|
||||||
|
# curve by default
|
||||||
|
ohlc=False,
|
||||||
|
|
||||||
|
# settings passed down to ``ChartPlotWidget``
|
||||||
|
**conf.get('chart_kwargs', {})
|
||||||
|
# static_yrange=(0, 100),
|
||||||
|
)
|
||||||
|
|
||||||
|
# XXX: ONLY for sub-chart fsps, overlays have their
|
||||||
|
# data looked up from the chart's internal array set.
|
||||||
|
# TODO: we must get a data view api going STAT!!
|
||||||
|
chart._shm = shm
|
||||||
|
|
||||||
|
# should **not** be the same sub-chart widget
|
||||||
|
assert chart.name != linkedsplits.chart.name
|
||||||
|
|
||||||
|
# sticky only on sub-charts atm
|
||||||
|
last_val_sticky = chart._ysticks[chart.name]
|
||||||
|
|
||||||
|
# read from last calculated value
|
||||||
|
array = shm.array
|
||||||
|
|
||||||
|
# XXX: fsp func names are unique meaning we don't have
|
||||||
|
# duplicates of the underlying data even if multiple
|
||||||
|
# sub-charts reference it under different 'named charts'.
|
||||||
|
value = array[fsp_func_name][-1]
|
||||||
|
|
||||||
|
last_val_sticky.update_from_data(-1, value)
|
||||||
|
|
||||||
|
chart.linked.focus()
|
||||||
|
|
||||||
|
# works also for overlays in which case data is looked up from
|
||||||
|
# internal chart array set....
|
||||||
|
chart.update_curve_from_array(
|
||||||
|
display_name,
|
||||||
|
shm.array,
|
||||||
|
array_key=fsp_func_name
|
||||||
|
)
|
||||||
|
|
||||||
|
# TODO: figure out if we can roll our own `FillToThreshold` to
|
||||||
|
# get brush filled polygons for OS/OB conditions.
|
||||||
|
# ``pg.FillBetweenItems`` seems to be one technique using
|
||||||
|
# generic fills between curve types while ``PlotCurveItem`` has
|
||||||
|
# logic inside ``.paint()`` for ``self.opts['fillLevel']`` which
|
||||||
|
# might be the best solution?
|
||||||
|
# graphics = chart.update_from_array(chart.name, array[fsp_func_name])
|
||||||
|
# graphics.curve.setBrush(50, 50, 200, 100)
|
||||||
|
# graphics.curve.setFillLevel(50)
|
||||||
|
|
||||||
|
if fsp_func_name == 'rsi':
|
||||||
|
from ._lines import level_line
|
||||||
|
# add moveable over-[sold/bought] lines
|
||||||
|
# and labels only for the 70/30 lines
|
||||||
|
level_line(chart, 20)
|
||||||
|
level_line(chart, 30, orient_v='top')
|
||||||
|
level_line(chart, 70, orient_v='bottom')
|
||||||
|
level_line(chart, 80, orient_v='top')
|
||||||
|
|
||||||
|
chart._set_yrange()
|
||||||
|
|
||||||
|
last = time.time()
|
||||||
|
|
||||||
|
done()
|
||||||
|
|
||||||
|
# i = 0
|
||||||
|
# update chart graphics
|
||||||
|
async for value in stream:
|
||||||
|
|
||||||
|
# chart isn't actively shown so just skip render cycle
|
||||||
|
if chart.linked.isHidden():
|
||||||
|
# print(f'{i} unseen fsp cyclce')
|
||||||
|
# i += 1
|
||||||
|
continue
|
||||||
|
|
||||||
|
now = time.time()
|
||||||
|
period = now - last
|
||||||
|
|
||||||
|
# if period <= 1/30:
|
||||||
|
if period <= 1/_clear_throttle_rate:
|
||||||
|
# faster then display refresh rate
|
||||||
|
# print(f'fsp too fast: {1/period}')
|
||||||
|
continue
|
||||||
|
|
||||||
|
# TODO: provide a read sync mechanism to avoid this polling.
|
||||||
|
# the underlying issue is that a backfill and subsequent shm
|
||||||
|
# array first/last index update could result in an empty array
|
||||||
|
# read here since the stream is never torn down on the
|
||||||
|
# re-compute steps.
|
||||||
|
read_tries = 2
|
||||||
|
while read_tries > 0:
|
||||||
|
try:
|
||||||
|
# read last
|
||||||
|
array = shm.array
|
||||||
|
value = array[-1][fsp_func_name]
|
||||||
|
break
|
||||||
|
|
||||||
|
except IndexError:
|
||||||
|
read_tries -= 1
|
||||||
|
continue
|
||||||
|
|
||||||
|
if last_val_sticky:
|
||||||
|
last_val_sticky.update_from_data(-1, value)
|
||||||
|
|
||||||
|
# update graphics
|
||||||
|
chart.update_curve_from_array(
|
||||||
|
display_name,
|
||||||
|
array,
|
||||||
|
array_key=fsp_func_name,
|
||||||
|
)
|
||||||
|
|
||||||
|
# set time of last graphics update
|
||||||
|
last = time.time()
|
||||||
|
|
||||||
|
|
||||||
|
async def check_for_new_bars(feed, ohlcv, linkedsplits):
|
||||||
|
"""Task which updates from new bars in the shared ohlcv buffer every
|
||||||
|
``delay_s`` seconds.
|
||||||
|
|
||||||
|
"""
|
||||||
|
# TODO: right now we'll spin printing bars if the last time
|
||||||
|
# stamp is before a large period of no market activity.
|
||||||
|
# Likely the best way to solve this is to make this task
|
||||||
|
# aware of the instrument's tradable hours?
|
||||||
|
|
||||||
|
price_chart = linkedsplits.chart
|
||||||
|
price_chart.default_view()
|
||||||
|
|
||||||
|
async with feed.index_stream() as stream:
|
||||||
|
async for index in stream:
|
||||||
|
# update chart historical bars graphics by incrementing
|
||||||
|
# a time step and drawing the history and new bar
|
||||||
|
|
||||||
|
# When appending a new bar, in the time between the insert
|
||||||
|
# from the writing process and the Qt render call, here,
|
||||||
|
# the index of the shm buffer may be incremented and the
|
||||||
|
# (render) call here might read the new flat bar appended
|
||||||
|
# to the buffer (since -1 index read). In that case H==L and the
|
||||||
|
# body will be set as None (not drawn) on what this render call
|
||||||
|
# *thinks* is the curent bar (even though it's reading data from
|
||||||
|
# the newly inserted flat bar.
|
||||||
|
#
|
||||||
|
# HACK: We need to therefore write only the history (not the
|
||||||
|
# current bar) and then either write the current bar manually
|
||||||
|
# or place a cursor for visual cue of the current time step.
|
||||||
|
|
||||||
|
# XXX: this puts a flat bar on the current time step
|
||||||
|
# TODO: if we eventually have an x-axis time-step "cursor"
|
||||||
|
# we can get rid of this since it is extra overhead.
|
||||||
|
price_chart.update_ohlc_from_array(
|
||||||
|
price_chart.name,
|
||||||
|
ohlcv.array,
|
||||||
|
just_history=False,
|
||||||
|
)
|
||||||
|
|
||||||
|
for name in price_chart._overlays:
|
||||||
|
|
||||||
|
price_chart.update_curve_from_array(
|
||||||
|
name,
|
||||||
|
price_chart._arrays[name]
|
||||||
|
)
|
||||||
|
|
||||||
|
for name, chart in linkedsplits.subplots.items():
|
||||||
|
chart.update_curve_from_array(
|
||||||
|
chart.name,
|
||||||
|
chart._shm.array,
|
||||||
|
array_key=chart.data_key
|
||||||
|
)
|
||||||
|
|
||||||
|
# shift the view if in follow mode
|
||||||
|
price_chart.increment_view()
|
||||||
|
|
||||||
|
|
||||||
|
async def display_symbol_data(
|
||||||
|
|
||||||
|
godwidget: GodWidget,
|
||||||
|
provider: str,
|
||||||
|
sym: str,
|
||||||
|
loglevel: str,
|
||||||
|
|
||||||
|
order_mode_started: trio.Event,
|
||||||
|
|
||||||
|
) -> None:
|
||||||
|
'''Spawn a real-time updated chart for ``symbol``.
|
||||||
|
|
||||||
|
Spawned ``LinkedSplits`` chart widgets can remain up but hidden so
|
||||||
|
that multiple symbols can be viewed and switched between extremely
|
||||||
|
fast from a cached watch-list.
|
||||||
|
|
||||||
|
'''
|
||||||
|
sbar = godwidget.window.status_bar
|
||||||
|
loading_sym_key = sbar.open_status(
|
||||||
|
f'loading {sym}.{provider} ->',
|
||||||
|
group_key=True
|
||||||
|
)
|
||||||
|
|
||||||
|
# historical data fetch
|
||||||
|
brokermod = brokers.get_brokermod(provider)
|
||||||
|
|
||||||
|
# ohlc_status_done = sbar.open_status(
|
||||||
|
# 'retreiving OHLC history.. ',
|
||||||
|
# clear_on_next=True,
|
||||||
|
# group_key=loading_sym_key,
|
||||||
|
# )
|
||||||
|
|
||||||
|
async with(
|
||||||
|
open_feed(
|
||||||
|
provider,
|
||||||
|
[sym],
|
||||||
|
loglevel=loglevel,
|
||||||
|
|
||||||
|
# 60 FPS to limit context switches
|
||||||
|
tick_throttle=_clear_throttle_rate,
|
||||||
|
|
||||||
|
) as feed,
|
||||||
|
):
|
||||||
|
|
||||||
|
ohlcv: ShmArray = feed.shm
|
||||||
|
bars = ohlcv.array
|
||||||
|
symbol = feed.symbols[sym]
|
||||||
|
|
||||||
|
# load in symbol's ohlc data
|
||||||
|
godwidget.window.setWindowTitle(
|
||||||
|
f'{symbol.key}@{symbol.brokers} '
|
||||||
|
f'tick:{symbol.tick_size}'
|
||||||
|
)
|
||||||
|
|
||||||
|
linkedsplits = godwidget.linkedsplits
|
||||||
|
linkedsplits._symbol = symbol
|
||||||
|
|
||||||
|
# generate order mode side-pane UI
|
||||||
|
# A ``FieldsForm`` form to configure order entry
|
||||||
|
pp_pane: FieldsForm = mk_order_pane_layout(godwidget)
|
||||||
|
|
||||||
|
# add as next-to-y-axis singleton pane
|
||||||
|
godwidget.pp_pane = pp_pane
|
||||||
|
|
||||||
|
chart = linkedsplits.plot_ohlc_main(
|
||||||
|
symbol,
|
||||||
|
bars,
|
||||||
|
sidepane=pp_pane,
|
||||||
|
)
|
||||||
|
chart._feeds[symbol.key] = feed
|
||||||
|
chart.setFocus()
|
||||||
|
|
||||||
|
# plot historical vwap if available
|
||||||
|
wap_in_history = False
|
||||||
|
|
||||||
|
if brokermod._show_wap_in_history:
|
||||||
|
|
||||||
|
if 'bar_wap' in bars.dtype.fields:
|
||||||
|
wap_in_history = True
|
||||||
|
chart.draw_curve(
|
||||||
|
name='bar_wap',
|
||||||
|
data=bars,
|
||||||
|
add_label=False,
|
||||||
|
)
|
||||||
|
|
||||||
|
# size view to data once at outset
|
||||||
|
chart._set_yrange()
|
||||||
|
|
||||||
|
# TODO: a data view api that makes this less shit
|
||||||
|
chart._shm = ohlcv
|
||||||
|
|
||||||
|
# TODO: eventually we'll support some kind of n-compose syntax
|
||||||
|
fsp_conf = {
|
||||||
|
'rsi': {
|
||||||
|
'fsp_func_name': 'rsi',
|
||||||
|
'period': 14,
|
||||||
|
'chart_kwargs': {
|
||||||
|
'static_yrange': (0, 100),
|
||||||
|
},
|
||||||
|
},
|
||||||
|
# test for duplicate fsps on same chart
|
||||||
|
# 'rsi2': {
|
||||||
|
# 'fsp_func_name': 'rsi',
|
||||||
|
# 'period': 14,
|
||||||
|
# 'chart_kwargs': {
|
||||||
|
# 'static_yrange': (0, 100),
|
||||||
|
# },
|
||||||
|
# },
|
||||||
|
|
||||||
|
}
|
||||||
|
|
||||||
|
# make sure that the instrument supports volume history
|
||||||
|
# (sometimes this is not the case for some commodities and
|
||||||
|
# derivatives)
|
||||||
|
volm = ohlcv.array['volume']
|
||||||
|
if (
|
||||||
|
np.all(np.isin(volm, -1)) or
|
||||||
|
np.all(np.isnan(volm))
|
||||||
|
):
|
||||||
|
log.warning(
|
||||||
|
f"{sym} does not seem to have volume info,"
|
||||||
|
" dropping volume signals")
|
||||||
|
else:
|
||||||
|
fsp_conf.update({
|
||||||
|
'vwap': {
|
||||||
|
'fsp_func_name': 'vwap',
|
||||||
|
'overlay': True,
|
||||||
|
'anchor': 'session',
|
||||||
|
},
|
||||||
|
})
|
||||||
|
|
||||||
|
async with (
|
||||||
|
|
||||||
|
trio.open_nursery() as ln,
|
||||||
|
|
||||||
|
):
|
||||||
|
# load initial fsp chain (otherwise known as "indicators")
|
||||||
|
ln.start_soon(
|
||||||
|
spawn_fsps,
|
||||||
|
linkedsplits,
|
||||||
|
fsp_conf,
|
||||||
|
sym,
|
||||||
|
ohlcv,
|
||||||
|
brokermod,
|
||||||
|
loading_sym_key,
|
||||||
|
loglevel,
|
||||||
|
)
|
||||||
|
|
||||||
|
# start graphics update loop(s)after receiving first live quote
|
||||||
|
ln.start_soon(
|
||||||
|
chart_from_quotes,
|
||||||
|
chart,
|
||||||
|
feed.stream,
|
||||||
|
ohlcv,
|
||||||
|
wap_in_history,
|
||||||
|
)
|
||||||
|
|
||||||
|
ln.start_soon(
|
||||||
|
check_for_new_bars,
|
||||||
|
feed,
|
||||||
|
ohlcv,
|
||||||
|
linkedsplits
|
||||||
|
)
|
||||||
|
|
||||||
|
async with (
|
||||||
|
|
||||||
|
open_order_mode(
|
||||||
|
feed,
|
||||||
|
chart,
|
||||||
|
symbol,
|
||||||
|
provider,
|
||||||
|
order_mode_started
|
||||||
|
)
|
||||||
|
):
|
||||||
|
await trio.sleep_forever()
|
|
@ -136,7 +136,7 @@ def chart(config, symbol, profile, pdb):
|
||||||
"""Start a real-time chartng UI
|
"""Start a real-time chartng UI
|
||||||
"""
|
"""
|
||||||
from .. import _profile
|
from .. import _profile
|
||||||
from ._chart import _main
|
from ._app import _main
|
||||||
|
|
||||||
if '.' not in symbol:
|
if '.' not in symbol:
|
||||||
click.echo(click.style(
|
click.echo(click.style(
|
||||||
|
|
Loading…
Reference in New Issue