Move FSP related graphics management into new mod
Tyler Goodlet
parent
5ba9345c63
commit
c81bb9f89f
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@ -29,7 +29,6 @@ from types import ModuleType
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from typing import Optional, AsyncGenerator
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from typing import Optional, AsyncGenerator
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import numpy as np
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import numpy as np
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from pydantic import create_model
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import pyqtgraph as pg
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import pyqtgraph as pg
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import tractor
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import tractor
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import trio
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import trio
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@ -45,12 +44,17 @@ from ._chart import (
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)
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)
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from .. import fsp
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from .. import fsp
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from ._l1 import L1Labels
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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 ._fsp import (
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update_fsp_chart,
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maybe_mk_fsp_shm,
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open_fsp_sidepane,
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has_vlm,
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maybe_open_vlm_display,
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)
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from ..data._sharedmem import ShmArray, try_read
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from ._forms import (
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from ._forms import (
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FieldsForm,
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FieldsForm,
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mk_form,
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mk_order_pane_layout,
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mk_order_pane_layout,
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open_form_input_handling,
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)
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)
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from .order_mode import open_order_mode
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from .order_mode import open_order_mode
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from ..log import get_logger
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from ..log import get_logger
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@ -61,78 +65,6 @@ log = get_logger(__name__)
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_quote_throttle_rate: int = 58 # Hz
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_quote_throttle_rate: int = 58 # Hz
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def try_read(
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array: np.ndarray
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) -> Optional[np.ndarray]:
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'''
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Try to read the last row from a shared mem array or ``None``
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if the array read returns a zero-length array result.
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Can be used to check for backfilling race conditions where an array
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is currently being (re-)written by a writer actor but the reader is
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unaware and reads during the window where the first and last indexes
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are being updated.
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'''
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try:
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return array[-1]
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except IndexError:
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# XXX: race condition with backfilling shm.
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#
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# the underlying issue is that a backfill (aka prepend) and subsequent
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# shm array first/last index update could result in an empty array
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# read here since the indices may be updated in such a way that
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# a read delivers an empty array (though it seems like we
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# *should* be able to prevent that?). also, as and alt and
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# something we need anyway, maybe there should be some kind of
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# signal that a prepend is taking place and this consumer can
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# respond (eg. redrawing graphics) accordingly.
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# the array read was emtpy
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return None
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def update_fsp_chart(
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chart: ChartPlotWidget,
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shm: ShmArray,
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graphics_name: str,
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array_key: Optional[str],
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) -> None:
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array = shm.array
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last_row = try_read(array)
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# guard against unreadable case
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if not last_row:
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log.warning(f'Read-race on shm array: {graphics_name}@{shm.token}')
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return
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# update graphics
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# NOTE: this does a length check internally which allows it
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# staying above the last row check below..
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chart.update_curve_from_array(
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graphics_name,
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array,
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array_key=array_key or graphics_name,
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)
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chart.cv._set_yrange()
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# XXX: re: ``array_key``: fsp func names must be unique meaning we
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# can't have duplicates of the underlying data even if multiple
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# sub-charts reference it under different 'named charts'.
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# read from last calculated value and update any label
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last_val_sticky = chart._ysticks.get(graphics_name)
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if last_val_sticky:
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# array = shm.array[array_key]
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# if len(array):
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# value = array[-1]
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last = last_row[array_key]
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last_val_sticky.update_from_data(-1, last)
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# a working tick-type-classes template
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# a working tick-type-classes template
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_tick_groups = {
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_tick_groups = {
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'clears': {'trade', 'utrade', 'last'},
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'clears': {'trade', 'utrade', 'last'},
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@ -155,7 +87,7 @@ def chart_maxmin(
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# https://arxiv.org/abs/cs/0610046
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# https://arxiv.org/abs/cs/0610046
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# https://github.com/lemire/pythonmaxmin
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# https://github.com/lemire/pythonmaxmin
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array = chart._arrays[chart.name]
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array = chart._arrays['ohlc']
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ifirst = array[0]['index']
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ifirst = array[0]['index']
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last_bars_range = chart.bars_range()
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last_bars_range = chart.bars_range()
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@ -212,7 +144,6 @@ async def update_chart_from_quotes(
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if vlm_chart:
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if vlm_chart:
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vlm_sticky = vlm_chart._ysticks['volume']
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vlm_sticky = vlm_chart._ysticks['volume']
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vlm_view = vlm_chart.view
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maxmin = partial(chart_maxmin, chart, vlm_chart)
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maxmin = partial(chart_maxmin, chart, vlm_chart)
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@ -249,7 +180,6 @@ async def update_chart_from_quotes(
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tick_margin = 3 * tick_size
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tick_margin = 3 * tick_size
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chart.show()
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chart.show()
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view = chart.view
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last_quote = time.time()
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last_quote = time.time()
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async for quotes in stream:
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async for quotes in stream:
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@ -297,10 +227,8 @@ async def update_chart_from_quotes(
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mx_vlm_in_view != last_mx_vlm or
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mx_vlm_in_view != last_mx_vlm or
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mx_vlm_in_view > last_mx_vlm
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mx_vlm_in_view > last_mx_vlm
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):
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):
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print(f'mx vlm: {last_mx_vlm} -> {mx_vlm_in_view}')
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# print(f'mx vlm: {last_mx_vlm} -> {mx_vlm_in_view}')
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vlm_view._set_yrange(
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vlm_chart._set_yrange(yrange=(0, mx_vlm_in_view * 1.375))
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yrange=(0, mx_vlm_in_view * 1.375)
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)
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last_mx_vlm = mx_vlm_in_view
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last_mx_vlm = mx_vlm_in_view
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ticks_frame = quote.get('ticks', ())
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ticks_frame = quote.get('ticks', ())
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@ -416,12 +344,9 @@ async def update_chart_from_quotes(
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l1.bid_label.update_fields({'level': price, 'size': size})
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l1.bid_label.update_fields({'level': price, 'size': size})
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# check for y-range re-size
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# check for y-range re-size
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if (
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if (mx > last_mx) or (mn < last_mn):
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(mx > last_mx) or (mn < last_mn)
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# print(f'new y range: {(mn, mx)}')
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and not chart._static_yrange == 'axis'
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chart._set_yrange(
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):
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print(f'new y range: {(mn, mx)}')
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view._set_yrange(
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yrange=(mn, mx),
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yrange=(mn, mx),
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# TODO: we should probably scale
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# TODO: we should probably scale
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# the view margin based on the size
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# the view margin based on the size
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@ -443,7 +368,6 @@ async def update_chart_from_quotes(
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name,
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name,
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array_key=name,
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array_key=name,
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)
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)
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subchart.cv._set_yrange()
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# TODO: all overlays on all subplots..
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# TODO: all overlays on all subplots..
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@ -455,105 +379,6 @@ async def update_chart_from_quotes(
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curve_name,
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curve_name,
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array_key=curve_name,
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array_key=curve_name,
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)
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)
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# chart._set_yrange()
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def maybe_mk_fsp_shm(
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sym: str,
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field_name: str,
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display_name: Optional[str] = None,
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readonly: bool = True,
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) -> (ShmArray, bool):
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'''
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Allocate a single row shm array for an symbol-fsp pair if none
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exists, otherwise load the shm already existing for that token.
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'''
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uid = tractor.current_actor().uid
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if not display_name:
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display_name = field_name
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# TODO: load function here and introspect
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# return stream type(s)
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# TODO: should `index` be a required internal field?
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fsp_dtype = np.dtype([('index', int), (field_name, float)])
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key = f'{sym}.fsp.{display_name}.{".".join(uid)}'
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shm, opened = maybe_open_shm_array(
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key,
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# TODO: create entry for each time frame
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dtype=fsp_dtype,
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readonly=True,
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)
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return shm, opened
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@acm
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async def open_fsp_sidepane(
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linked: LinkedSplits,
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conf: dict[str, dict[str, str]],
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) -> FieldsForm:
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schema = {}
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assert len(conf) == 1 # for now
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# add (single) selection widget
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for display_name, config in conf.items():
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schema[display_name] = {
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'label': '**fsp**:',
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'type': 'select',
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'default_value': [display_name],
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}
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# add parameters for selection "options"
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params = config.get('params', {})
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for name, config in params.items():
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default = config['default_value']
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kwargs = config.get('widget_kwargs', {})
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# add to ORM schema
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schema.update({
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name: {
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'label': f'**{name}**:',
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'type': 'edit',
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'default_value': default,
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'kwargs': kwargs,
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},
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})
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sidepane: FieldsForm = mk_form(
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parent=linked.godwidget,
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fields_schema=schema,
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)
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# https://pydantic-docs.helpmanual.io/usage/models/#dynamic-model-creation
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FspConfig = create_model(
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'FspConfig',
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name=display_name,
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**params,
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)
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sidepane.model = FspConfig()
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# just a logger for now until we get fsp configs up and running.
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async def settings_change(key: str, value: str) -> bool:
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print(f'{key}: {value}')
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return True
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# TODO:
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async with (
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open_form_input_handling(
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sidepane,
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focus_next=linked.godwidget,
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on_value_change=settings_change,
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)
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):
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yield sidepane
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@acm
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@acm
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@ -799,7 +624,7 @@ async def update_chart_from_fsp(
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level_line(chart, 70, orient_v='bottom')
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level_line(chart, 70, orient_v='bottom')
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level_line(chart, 80, orient_v='top')
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level_line(chart, 80, orient_v='top')
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chart.cv._set_yrange()
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chart._set_yrange()
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done() # status updates
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done() # status updates
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profiler(f'fsp:{func_name} starting update loop')
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profiler(f'fsp:{func_name} starting update loop')
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@ -908,93 +733,6 @@ async def check_for_new_bars(
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price_chart.increment_view()
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price_chart.increment_view()
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def has_vlm(ohlcv: ShmArray) -> bool:
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# make sure that the instrument supports volume history
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# (sometimes this is not the case for some commodities and
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# derivatives)
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volm = ohlcv.array['volume']
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return not bool(np.all(np.isin(volm, -1)) or np.all(np.isnan(volm)))
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@acm
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async def maybe_open_vlm_display(
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linked: LinkedSplits,
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ohlcv: ShmArray,
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) -> ChartPlotWidget:
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if not has_vlm(ohlcv):
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log.warning(f"{linked.symbol.key} does not seem to have volume info")
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yield
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return
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else:
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shm, opened = maybe_mk_fsp_shm(
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linked.symbol.key,
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'vlm',
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readonly=True,
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)
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async with open_fsp_sidepane(
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linked, {
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'vlm': {
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'params': {
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'price_func': {
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'default_value': 'chl3',
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# tell target ``Edit`` widget to not allow
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# edits for now.
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'widget_kwargs': {'readonly': True},
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},
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},
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}
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},
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) as sidepane:
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# built-in $vlm
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shm = ohlcv
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chart = linked.add_plot(
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name='volume',
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array=shm.array,
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array_key='volume',
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sidepane=sidepane,
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# curve by default
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ohlc=False,
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# Draw vertical bars from zero.
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# we do this internally ourselves since
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# the curve item internals are pretty convoluted.
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style='step',
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)
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# XXX: ONLY for sub-chart fsps, overlays have their
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# data looked up from the chart's internal array set.
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# TODO: we must get a data view api going STAT!!
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chart._shm = shm
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# should **not** be the same sub-chart widget
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assert chart.name != linked.chart.name
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# sticky only on sub-charts atm
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last_val_sticky = chart._ysticks[chart.name]
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# read from last calculated value
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value = shm.array['volume'][-1]
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last_val_sticky.update_from_data(-1, value)
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chart.update_curve_from_array(
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'volume',
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shm.array,
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)
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# size view to data once at outset
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chart.cv._set_yrange()
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yield chart
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async def display_symbol_data(
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async def display_symbol_data(
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godwidget: GodWidget,
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godwidget: GodWidget,
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provider: str,
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provider: str,
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@ -1079,7 +817,7 @@ async def display_symbol_data(
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)
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)
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# size view to data once at outset
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# size view to data once at outset
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chart.cv._set_yrange()
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chart._set_yrange()
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# TODO: a data view api that makes this less shit
|
# TODO: a data view api that makes this less shit
|
||||||
chart._shm = ohlcv
|
chart._shm = ohlcv
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,272 @@
|
||||||
|
# piker: trading gear for hackers
|
||||||
|
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||||
|
|
||||||
|
# This program is free software: you can redistribute it and/or modify
|
||||||
|
# it under the terms of the GNU Affero General Public License as published by
|
||||||
|
# the Free Software Foundation, either version 3 of the License, or
|
||||||
|
# (at your option) any later version.
|
||||||
|
|
||||||
|
# This program is distributed in the hope that it will be useful,
|
||||||
|
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||||
|
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||||
|
# GNU Affero General Public License for more details.
|
||||||
|
|
||||||
|
# You should have received a copy of the GNU Affero General Public License
|
||||||
|
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
|
'''
|
||||||
|
FSP UI and graphics components.
|
||||||
|
|
||||||
|
Financial signal processing cluster and real-time graphics management.
|
||||||
|
|
||||||
|
'''
|
||||||
|
from contextlib import asynccontextmanager as acm
|
||||||
|
from typing import Optional
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
from pydantic import create_model
|
||||||
|
import tractor
|
||||||
|
|
||||||
|
from ..data._sharedmem import (
|
||||||
|
ShmArray,
|
||||||
|
maybe_open_shm_array,
|
||||||
|
try_read,
|
||||||
|
)
|
||||||
|
from ._chart import (
|
||||||
|
ChartPlotWidget,
|
||||||
|
LinkedSplits,
|
||||||
|
# GodWidget,
|
||||||
|
)
|
||||||
|
from ._forms import (
|
||||||
|
FieldsForm,
|
||||||
|
mk_form,
|
||||||
|
open_form_input_handling,
|
||||||
|
)
|
||||||
|
from ..log import get_logger
|
||||||
|
|
||||||
|
log = get_logger(__name__)
|
||||||
|
|
||||||
|
|
||||||
|
def maybe_mk_fsp_shm(
|
||||||
|
sym: str,
|
||||||
|
field_name: str,
|
||||||
|
display_name: Optional[str] = None,
|
||||||
|
readonly: bool = True,
|
||||||
|
|
||||||
|
) -> (ShmArray, bool):
|
||||||
|
'''
|
||||||
|
Allocate a single row shm array for an symbol-fsp pair if none
|
||||||
|
exists, otherwise load the shm already existing for that token.
|
||||||
|
|
||||||
|
'''
|
||||||
|
uid = tractor.current_actor().uid
|
||||||
|
if not display_name:
|
||||||
|
display_name = field_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), (field_name, float)])
|
||||||
|
|
||||||
|
key = f'{sym}.fsp.{display_name}.{".".join(uid)}'
|
||||||
|
|
||||||
|
shm, opened = maybe_open_shm_array(
|
||||||
|
key,
|
||||||
|
# TODO: create entry for each time frame
|
||||||
|
dtype=fsp_dtype,
|
||||||
|
readonly=True,
|
||||||
|
)
|
||||||
|
return shm, opened
|
||||||
|
|
||||||
|
|
||||||
|
def has_vlm(ohlcv: ShmArray) -> bool:
|
||||||
|
# make sure that the instrument supports volume history
|
||||||
|
# (sometimes this is not the case for some commodities and
|
||||||
|
# derivatives)
|
||||||
|
volm = ohlcv.array['volume']
|
||||||
|
return not bool(np.all(np.isin(volm, -1)) or np.all(np.isnan(volm)))
|
||||||
|
|
||||||
|
|
||||||
|
@acm
|
||||||
|
async def maybe_open_vlm_display(
|
||||||
|
linked: LinkedSplits,
|
||||||
|
ohlcv: ShmArray,
|
||||||
|
|
||||||
|
) -> ChartPlotWidget:
|
||||||
|
|
||||||
|
if not has_vlm(ohlcv):
|
||||||
|
log.warning(f"{linked.symbol.key} does not seem to have volume info")
|
||||||
|
yield
|
||||||
|
return
|
||||||
|
else:
|
||||||
|
|
||||||
|
shm, opened = maybe_mk_fsp_shm(
|
||||||
|
linked.symbol.key,
|
||||||
|
'vlm',
|
||||||
|
readonly=True,
|
||||||
|
)
|
||||||
|
|
||||||
|
async with open_fsp_sidepane(
|
||||||
|
linked, {
|
||||||
|
'vlm': {
|
||||||
|
'params': {
|
||||||
|
'price_func': {
|
||||||
|
'default_value': 'chl3',
|
||||||
|
# tell target ``Edit`` widget to not allow
|
||||||
|
# edits for now.
|
||||||
|
'widget_kwargs': {'readonly': True},
|
||||||
|
},
|
||||||
|
},
|
||||||
|
}
|
||||||
|
},
|
||||||
|
) as sidepane:
|
||||||
|
|
||||||
|
# built-in $vlm
|
||||||
|
shm = ohlcv
|
||||||
|
chart = linked.add_plot(
|
||||||
|
name='volume',
|
||||||
|
array=shm.array,
|
||||||
|
|
||||||
|
array_key='volume',
|
||||||
|
sidepane=sidepane,
|
||||||
|
|
||||||
|
# curve by default
|
||||||
|
ohlc=False,
|
||||||
|
|
||||||
|
# Draw vertical bars from zero.
|
||||||
|
# we do this internally ourselves since
|
||||||
|
# the curve item internals are pretty convoluted.
|
||||||
|
style='step',
|
||||||
|
)
|
||||||
|
|
||||||
|
# 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 != linked.chart.name
|
||||||
|
|
||||||
|
# sticky only on sub-charts atm
|
||||||
|
last_val_sticky = chart._ysticks[chart.name]
|
||||||
|
|
||||||
|
# read from last calculated value
|
||||||
|
value = shm.array['volume'][-1]
|
||||||
|
|
||||||
|
last_val_sticky.update_from_data(-1, value)
|
||||||
|
|
||||||
|
chart.update_curve_from_array(
|
||||||
|
'volume',
|
||||||
|
shm.array,
|
||||||
|
)
|
||||||
|
|
||||||
|
# size view to data once at outset
|
||||||
|
chart._set_yrange()
|
||||||
|
|
||||||
|
yield chart
|
||||||
|
|
||||||
|
|
||||||
|
def update_fsp_chart(
|
||||||
|
chart: ChartPlotWidget,
|
||||||
|
shm: ShmArray,
|
||||||
|
graphics_name: str,
|
||||||
|
array_key: Optional[str],
|
||||||
|
|
||||||
|
) -> None:
|
||||||
|
|
||||||
|
array = shm.array
|
||||||
|
last_row = try_read(array)
|
||||||
|
|
||||||
|
# guard against unreadable case
|
||||||
|
if not last_row:
|
||||||
|
log.warning(f'Read-race on shm array: {graphics_name}@{shm.token}')
|
||||||
|
return
|
||||||
|
|
||||||
|
# update graphics
|
||||||
|
# NOTE: this does a length check internally which allows it
|
||||||
|
# staying above the last row check below..
|
||||||
|
chart.update_curve_from_array(
|
||||||
|
graphics_name,
|
||||||
|
array,
|
||||||
|
array_key=array_key or graphics_name,
|
||||||
|
)
|
||||||
|
chart._set_yrange()
|
||||||
|
|
||||||
|
# XXX: re: ``array_key``: fsp func names must be unique meaning we
|
||||||
|
# can't have duplicates of the underlying data even if multiple
|
||||||
|
# sub-charts reference it under different 'named charts'.
|
||||||
|
|
||||||
|
# read from last calculated value and update any label
|
||||||
|
last_val_sticky = chart._ysticks.get(graphics_name)
|
||||||
|
if last_val_sticky:
|
||||||
|
# array = shm.array[array_key]
|
||||||
|
# if len(array):
|
||||||
|
# value = array[-1]
|
||||||
|
last = last_row[array_key]
|
||||||
|
last_val_sticky.update_from_data(-1, last)
|
||||||
|
|
||||||
|
|
||||||
|
@acm
|
||||||
|
async def open_fsp_sidepane(
|
||||||
|
linked: LinkedSplits,
|
||||||
|
conf: dict[str, dict[str, str]],
|
||||||
|
|
||||||
|
) -> FieldsForm:
|
||||||
|
|
||||||
|
schema = {}
|
||||||
|
|
||||||
|
assert len(conf) == 1 # for now
|
||||||
|
|
||||||
|
# add (single) selection widget
|
||||||
|
for display_name, config in conf.items():
|
||||||
|
schema[display_name] = {
|
||||||
|
'label': '**fsp**:',
|
||||||
|
'type': 'select',
|
||||||
|
'default_value': [display_name],
|
||||||
|
}
|
||||||
|
|
||||||
|
# add parameters for selection "options"
|
||||||
|
params = config.get('params', {})
|
||||||
|
for name, config in params.items():
|
||||||
|
|
||||||
|
default = config['default_value']
|
||||||
|
kwargs = config.get('widget_kwargs', {})
|
||||||
|
|
||||||
|
# add to ORM schema
|
||||||
|
schema.update({
|
||||||
|
name: {
|
||||||
|
'label': f'**{name}**:',
|
||||||
|
'type': 'edit',
|
||||||
|
'default_value': default,
|
||||||
|
'kwargs': kwargs,
|
||||||
|
},
|
||||||
|
})
|
||||||
|
|
||||||
|
sidepane: FieldsForm = mk_form(
|
||||||
|
parent=linked.godwidget,
|
||||||
|
fields_schema=schema,
|
||||||
|
)
|
||||||
|
|
||||||
|
# https://pydantic-docs.helpmanual.io/usage/models/#dynamic-model-creation
|
||||||
|
FspConfig = create_model(
|
||||||
|
'FspConfig',
|
||||||
|
name=display_name,
|
||||||
|
**params,
|
||||||
|
)
|
||||||
|
sidepane.model = FspConfig()
|
||||||
|
|
||||||
|
# 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
|
||||||
|
|
||||||
|
# TODO:
|
||||||
|
async with (
|
||||||
|
open_form_input_handling(
|
||||||
|
sidepane,
|
||||||
|
focus_next=linked.godwidget,
|
||||||
|
on_value_change=settings_change,
|
||||||
|
)
|
||||||
|
):
|
||||||
|
yield sidepane
|
||||||
Loading…
Reference in New Issue