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Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Mask out all the duplicate frame detection

basic_buy_bot
Tyler Goodlet 2023-06-08 18:50:15 -04:00
parent c1546eb043
commit c8f8724887
1 changed files with 37 additions and 38 deletions
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75
piker/data/history.py
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@ -19,9 +19,9 @@ Historical data business logic for load, backfill and tsdb storage.
''' '''
from __future__ import annotations from __future__ import annotations
from collections import ( # from collections import (
Counter, # Counter,
) # )
from datetime import datetime from datetime import datetime
from functools import partial from functools import partial
# import time # import time
@ -86,6 +86,7 @@ def diff_history(
else: else:
return array[times >= prepend_until_dt.timestamp()] return array[times >= prepend_until_dt.timestamp()]
async def shm_push_in_between( async def shm_push_in_between(
shm: ShmArray, shm: ShmArray,
to_push: np.ndarray, to_push: np.ndarray,
@ -191,7 +192,7 @@ async def start_backfill(
# avoid duplicate history frames with a set of datetime frame # avoid duplicate history frames with a set of datetime frame
# starts and associated counts of how many duplicates we see # starts and associated counts of how many duplicates we see
# per time stamp. # per time stamp.
starts: Counter[datetime] = Counter() # starts: Counter[datetime] = Counter()
# conduct "backward history gap filling" where we push to # conduct "backward history gap filling" where we push to
# the shm buffer until we have history back until the # the shm buffer until we have history back until the
@ -201,11 +202,6 @@ async def start_backfill(
while last_start_dt > backfill_until_dt: while last_start_dt > backfill_until_dt:
# if timeframe == 60:
# await tractor.breakpoint()
# else:
# return
log.debug( log.debug(
f'Requesting {timeframe}s frame ending in {last_start_dt}' f'Requesting {timeframe}s frame ending in {last_start_dt}'
) )
@ -242,6 +238,7 @@ async def start_backfill(
# f"{mkt.fqme}: skipping duplicate frame @ {next_start_dt}" # f"{mkt.fqme}: skipping duplicate frame @ {next_start_dt}"
# ) # )
# starts[start_dt] += 1 # starts[start_dt] += 1
# await tractor.breakpoint()
# continue # continue
# elif starts[next_start_dt] > 6: # elif starts[next_start_dt] > 6:
@ -250,13 +247,12 @@ async def start_backfill(
# ) # )
# return # return
# only update new start point if not-yet-seen # # only update new start point if not-yet-seen
start_dt: datetime = next_start_dt # starts[next_start_dt] += 1
starts[start_dt] += 1
assert array['time'][0] == start_dt.timestamp() assert array['time'][0] == next_start_dt.timestamp()
diff = last_start_dt - start_dt diff = last_start_dt - next_start_dt
frame_time_diff_s = diff.seconds frame_time_diff_s = diff.seconds
# frame's worth of sample-period-steps, in seconds # frame's worth of sample-period-steps, in seconds
@ -279,11 +275,12 @@ async def start_backfill(
) )
ln = len(to_push) ln = len(to_push)
if ln: if ln:
log.info(f'{ln} bars for {start_dt} -> {last_start_dt}') log.info(f'{ln} bars for {next_start_dt} -> {last_start_dt}')
else: else:
log.warning( log.warning(
f'{ln} BARS TO PUSH after diff?!: {start_dt} -> {last_start_dt}' '0 BARS TO PUSH after diff!?\n'
f'{next_start_dt} -> {last_start_dt}'
) )
# bail gracefully on shm allocation overrun/full # bail gracefully on shm allocation overrun/full
@ -308,7 +305,7 @@ async def start_backfill(
except ValueError as ve: except ValueError as ve:
_ve = ve _ve = ve
log.error( log.error(
f'Shm buffer prepend OVERRUN on: {start_dt} -> {last_start_dt}?' f'Shm prepend OVERRUN on: {next_start_dt} -> {last_start_dt}?'
) )
if next_prepend_index < ln: if next_prepend_index < ln:
@ -336,7 +333,7 @@ async def start_backfill(
log.info( log.info(
f'Shm pushed {ln} frame:\n' f'Shm pushed {ln} frame:\n'
f'{start_dt} -> {last_start_dt}' f'{next_start_dt} -> {last_start_dt}'
) )
# FINALLY, maybe write immediately to the tsdb backend for # FINALLY, maybe write immediately to the tsdb backend for
@ -347,7 +344,7 @@ async def start_backfill(
): ):
log.info( log.info(
f'Writing {ln} frame to storage:\n' f'Writing {ln} frame to storage:\n'
f'{start_dt} -> {last_start_dt}' f'{next_start_dt} -> {last_start_dt}'
) )
if mkt.dst.atype not in {'crypto', 'crypto_currency'}: if mkt.dst.atype not in {'crypto', 'crypto_currency'}:
@ -372,50 +369,52 @@ async def start_backfill(
f'Finished filling gap to tsdb start @ {backfill_until_dt}!' f'Finished filling gap to tsdb start @ {backfill_until_dt}!'
) )
# conduct tsdb timestamp gap detection and backfill any # conduct tsdb timestamp gap detection and backfill any
# seemingly missing portions! # seemingly missing sequence segments..
# TODO: ideally these never exist but somehow it seems
# sometimes we're writing zero-ed segments on certain
# (teardown) cases?
from ._timeseries import detect_null_time_gap from ._timeseries import detect_null_time_gap
indices: tuple | None = detect_null_time_gap(shm) gap_indices: tuple | None = detect_null_time_gap(shm)
if indices: while gap_indices:
( (
istart, istart,
start, start,
end, end,
iend, iend,
) = indices ) = gap_indices
start_dt = from_timestamp(start)
end_dt = from_timestamp(end)
( (
array, array,
next_start_dt, next_start_dt,
next_end_dt, next_end_dt,
) = await get_hist( ) = await get_hist(
timeframe, timeframe,
start_dt=from_timestamp(start), start_dt=start_dt,
end_dt=from_timestamp(end), end_dt=end_dt,
) )
await shm_push_in_between( await shm_push_in_between(
shm, shm,
array, array,
prepend_index=iend, prepend_index=iend,
update_start_on_prepend=False, update_start_on_prepend=False,
) )
# TODO: UI side needs IPC event to update..
# - make sure the UI actually always handles
# this update!
# - remember that in the display side, only refersh this
# if the respective history is actually "in view".
# loop
await sampler_stream.send({ await sampler_stream.send({
'broadcast_all': { 'broadcast_all': {
'backfilling': True 'backfilling': True
}, },
}) })
indices: tuple | None = detect_null_time_gap(shm) gap_indices: tuple | None = detect_null_time_gap(shm)
if indices:
(
istart,
start,
end,
iend,
) = indices
await tractor.breakpoint()
# TODO: can we only trigger this if the respective
# history in "in view"?!?
# XXX: extremely important, there can be no checkpoints # XXX: extremely important, there can be no checkpoints
# in the block above to avoid entering new ``frames`` # in the block above to avoid entering new ``frames``