Update vlm sticky
parent
dbdd7b6497
commit
dd752927a2
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@ -19,7 +19,7 @@ Real-time display tasks for charting / graphics.
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'''
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'''
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager
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from pprint import pformat
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# from pprint import pformat
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import time
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import time
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from types import ModuleType
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from types import ModuleType
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from typing import Optional
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from typing import Optional
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@ -57,11 +57,12 @@ _clear_throttle_rate: int = 58 # Hz
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_book_throttle_rate: int = 16 # Hz
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_book_throttle_rate: int = 16 # Hz
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async def chart_from_quotes(
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async def update_chart_from_quotes(
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chart: ChartPlotWidget,
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chart: ChartPlotWidget,
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stream: tractor.MsgStream,
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stream: tractor.MsgStream,
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ohlcv: np.ndarray,
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ohlcv: np.ndarray,
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wap_in_history: bool = False,
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wap_in_history: bool = False,
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vlm_chart: Optional[ChartPlotWidget] = None,
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vlm_chart: Optional[ChartPlotWidget] = None,
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@ -78,7 +79,8 @@ async def chart_from_quotes(
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# - handle odd lot orders
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# - handle odd lot orders
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# - update last open price correctly instead
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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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# of copying it from last bar's close
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# - 5 sec bar lookback-autocorrection like tws does?
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# - 1-5 sec bar lookback-autocorrection like tws does?
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# (would require a background history checker task)
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# update last price sticky
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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 = chart._ysticks[chart.name]
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@ -86,6 +88,9 @@ async def chart_from_quotes(
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*ohlcv.array[-1][['index', 'close']]
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*ohlcv.array[-1][['index', 'close']]
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)
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)
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if vlm_chart:
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vlm_sticky = vlm_chart._ysticks['volume']
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def maxmin():
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def maxmin():
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# TODO: implement this
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# TODO: implement this
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# https://arxiv.org/abs/cs/0610046
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# https://arxiv.org/abs/cs/0610046
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@ -127,11 +132,11 @@ async def chart_from_quotes(
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# TODO:
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# TODO:
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# - in theory we should be able to read buffer data faster
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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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# 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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# - 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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# levels this might be dark volume we need to
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# present differently?
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# present differently -> likely dark vlm
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tick_size = chart.linked.symbol.tick_size
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tick_size = chart.linked.symbol.tick_size
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tick_margin = 2 * tick_size
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tick_margin = 2 * tick_size
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@ -152,7 +157,8 @@ async def chart_from_quotes(
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for tick in quote.get('ticks', ()):
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for tick in quote.get('ticks', ()):
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# log.info(f"quotes: {pformat(quote['symbol'])}: {pformat(tick)}")
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# log.info(
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# f"quotes: {pformat(quote['symbol'])}: {pformat(tick)}")
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ticktype = tick.get('type')
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ticktype = tick.get('type')
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price = tick.get('price')
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price = tick.get('price')
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size = tick.get('size')
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size = tick.get('size')
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@ -193,9 +199,14 @@ async def chart_from_quotes(
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# update vwap overlay line
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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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chart.update_curve_from_array('bar_wap', ohlcv.array)
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# TODO: show dark trades differently
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# https://github.com/pikers/piker/issues/116
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if vlm_chart:
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if vlm_chart:
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print(f"volume: {end['volume']}")
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# print(f"volume: {end['volume']}")
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vlm_chart.update_curve_from_array('volume', ohlcv.array)
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vlm_chart.update_curve_from_array(
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'volume', ohlcv.array
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)
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vlm_sticky.update_from_data(*end[['index', 'volume']])
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# l1 book events
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# l1 book events
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# throttle the book graphics updates at a lower rate
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# throttle the book graphics updates at a lower rate
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@ -697,9 +708,13 @@ async def maybe_open_vlm_display(
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# curve by default
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# curve by default
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ohlc=False,
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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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style='step',
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# vertical bars, we do this internally ourselves
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# original pyqtgraph flag for reference
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# stepMode=True,
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# stepMode=True,
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)
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)
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@ -877,7 +892,7 @@ async def display_symbol_data(
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# start graphics update loop(s)after receiving first live quote
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# start graphics update loop(s)after receiving first live quote
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ln.start_soon(
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ln.start_soon(
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chart_from_quotes,
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update_chart_from_quotes,
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chart,
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chart,
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feed.stream,
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feed.stream,
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ohlcv,
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ohlcv,
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