Add signal backfilling via trio task respawn
Tyler Goodlet
parent
e89d3f9560
commit
c01382294e
|
|
@ -20,6 +20,7 @@ Financial signal processing for the peeps.
|
|||
from typing import AsyncIterator, Callable, Tuple
|
||||
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
import tractor
|
||||
import numpy as np
|
||||
|
||||
|
|
@ -75,6 +76,7 @@ async def increment_signals(
|
|||
|
||||
# write new slot to the buffer
|
||||
dst_shm.push(last)
|
||||
len(dst_shm.array)
|
||||
|
||||
|
||||
@tractor.stream
|
||||
|
|
@ -99,60 +101,107 @@ async def cascade(
|
|||
async with data.open_feed(brokername, [symbol]) as feed:
|
||||
|
||||
assert src.token == feed.shm.token
|
||||
# TODO: load appropriate fsp with input args
|
||||
|
||||
async def filter_by_sym(sym, stream):
|
||||
async for quotes in stream:
|
||||
for symbol, quotes in quotes.items():
|
||||
if symbol == sym:
|
||||
yield quotes
|
||||
async def fsp_compute(
|
||||
task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
|
||||
) -> None:
|
||||
|
||||
out_stream = func(
|
||||
filter_by_sym(symbol, feed.stream),
|
||||
feed.shm,
|
||||
)
|
||||
# TODO: load appropriate fsp with input args
|
||||
|
||||
# TODO: XXX:
|
||||
# THERE'S A BIG BUG HERE WITH THE `index` field since we're
|
||||
# prepending a copy of the first value a few times to make
|
||||
# sub-curves align with the parent bar chart.
|
||||
# This likely needs to be fixed either by,
|
||||
# - manually assigning the index and historical data
|
||||
# seperately to the shm array (i.e. not using .push())
|
||||
# - developing some system on top of the shared mem array that
|
||||
# is `index` aware such that historical data can be indexed
|
||||
# relative to the true first datum? Not sure if this is sane
|
||||
# for derivatives.
|
||||
async def filter_by_sym(
|
||||
sym: str,
|
||||
stream,
|
||||
):
|
||||
# task cancellation won't kill the channel
|
||||
async with stream.shield():
|
||||
async for quotes in stream:
|
||||
for symbol, quotes in quotes.items():
|
||||
if symbol == sym:
|
||||
yield quotes
|
||||
|
||||
# Conduct a single iteration of fsp with historical bars input
|
||||
# and get historical output
|
||||
history_output = await out_stream.__anext__()
|
||||
out_stream = func(
|
||||
filter_by_sym(symbol, feed.stream),
|
||||
feed.shm,
|
||||
)
|
||||
|
||||
# build a struct array which includes an 'index' field to push
|
||||
# as history
|
||||
history = np.array(
|
||||
np.arange(len(history_output)),
|
||||
dtype=dst.array.dtype
|
||||
)
|
||||
history[fsp_func_name] = history_output
|
||||
# TODO: XXX:
|
||||
# THERE'S A BIG BUG HERE WITH THE `index` field since we're
|
||||
# prepending a copy of the first value a few times to make
|
||||
# sub-curves align with the parent bar chart.
|
||||
# This likely needs to be fixed either by,
|
||||
# - manually assigning the index and historical data
|
||||
# seperately to the shm array (i.e. not using .push())
|
||||
# - developing some system on top of the shared mem array that
|
||||
# is `index` aware such that historical data can be indexed
|
||||
# relative to the true first datum? Not sure if this is sane
|
||||
# for incremental compuations.
|
||||
dst._first.value = src._first.value
|
||||
dst._last.value = src._first.value
|
||||
|
||||
# check for data length mis-allignment and fill missing values
|
||||
diff = len(src.array) - len(history)
|
||||
if diff >= 0:
|
||||
print(f"WTF DIFF SIGNAL to HISTORY {diff}")
|
||||
for _ in range(diff):
|
||||
dst.push(history[:1])
|
||||
# Conduct a single iteration of fsp with historical bars input
|
||||
# and get historical output
|
||||
history_output = await out_stream.__anext__()
|
||||
|
||||
# compare with source signal and time align
|
||||
index = dst.push(history)
|
||||
# build a struct array which includes an 'index' field to push
|
||||
# as history
|
||||
history = np.array(
|
||||
np.arange(len(history_output)),
|
||||
dtype=dst.array.dtype
|
||||
)
|
||||
history[fsp_func_name] = history_output
|
||||
|
||||
yield index
|
||||
|
||||
# check for data length mis-allignment and fill missing values
|
||||
diff = len(src.array) - len(history)
|
||||
if diff >= 0:
|
||||
print(f"WTF DIFF SIGNAL to HISTORY {diff}")
|
||||
for _ in range(diff):
|
||||
dst.push(history[:1])
|
||||
|
||||
# compare with source signal and time align
|
||||
index = dst.push(history)
|
||||
|
||||
await ctx.send_yield(index)
|
||||
|
||||
# setup a respawn handle
|
||||
with trio.CancelScope() as cs:
|
||||
task_status.started(cs)
|
||||
|
||||
# rt stream
|
||||
async for processed in out_stream:
|
||||
log.debug(f"{fsp_func_name}: {processed}")
|
||||
index = src.index
|
||||
dst.array[-1][fsp_func_name] = processed
|
||||
|
||||
# stream latest shm array index entry
|
||||
await ctx.send_yield(index)
|
||||
|
||||
last_len = new_len = len(src.array)
|
||||
|
||||
async with trio.open_nursery() as n:
|
||||
n.start_soon(increment_signals, feed, dst)
|
||||
|
||||
async for processed in out_stream:
|
||||
log.debug(f"{fsp_func_name}: {processed}")
|
||||
index = src.index
|
||||
dst.array[-1][fsp_func_name] = processed
|
||||
await ctx.send_yield(index)
|
||||
cs = await n.start(fsp_compute)
|
||||
|
||||
# Increment the underlying shared memory buffer on every "increment"
|
||||
# msg received from the underlying data feed.
|
||||
|
||||
async for msg in await feed.index_stream():
|
||||
|
||||
new_len = len(src.array)
|
||||
|
||||
if new_len > last_len + 1:
|
||||
# respawn the signal compute task if the source
|
||||
# signal has been updated
|
||||
cs.cancel()
|
||||
cs = await n.start(fsp_compute)
|
||||
|
||||
# TODO: adopt an incremental update engine/approach
|
||||
# where possible here eventually!
|
||||
|
||||
array = dst.array
|
||||
last = array[-1:].copy()
|
||||
|
||||
# write new slot to the buffer
|
||||
dst.push(last)
|
||||
|
||||
last_len = new_len
|
||||
|
|
|
|||
|
|
@ -151,8 +151,8 @@ def wma(
|
|||
return np.convolve(signal, weights, 'valid')
|
||||
|
||||
|
||||
# @piker.fsp(
|
||||
# aggregates=[60, 60*5, 60*60, '4H', '1D'],
|
||||
# @piker.fsp.signal(
|
||||
# timeframes=['1s', '5s', '15s', '1m', '5m', '1H'],
|
||||
# )
|
||||
async def _rsi(
|
||||
source: 'QuoteStream[Dict[str, Any]]', # noqa
|
||||
|
|
|
|||
|
|
@ -558,7 +558,9 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
# TODO: see how this handles with custom ohlcv bars graphics
|
||||
# and/or if we can implement something similar for OHLC graphics
|
||||
clipToView=True,
|
||||
# clipToView=True,
|
||||
autoDownsample=True,
|
||||
downsampleMethod='subsample',
|
||||
|
||||
**pdi_kwargs,
|
||||
)
|
||||
|
|
@ -1221,9 +1223,23 @@ async def update_signals(
|
|||
# update chart graphics
|
||||
async for value in stream:
|
||||
|
||||
# read last
|
||||
array = shm.array
|
||||
value = array[-1][fsp_func_name]
|
||||
# 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)
|
||||
|
|
|
|||
Loading…
Reference in New Issue