.data.ticktools: add reverse flag, better docs
Since it may be handy to get the latest ticks first, add a `reverse: bool` to `iterticks()` and add some cleaner logic and a proper doc string to `frame_ticks()`.basic_buy_bot
Tyler Goodlet
parent
621634b5a2
commit
ea270d3396
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@ -1,5 +1,5 @@
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for piker0)
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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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@ -15,7 +15,7 @@
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Stream format enforcement.
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Tick event stream processing, filter-by-types, format-normalization.
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'''
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from itertools import chain
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@ -40,6 +40,69 @@ _tick_groups: dict[str, set[str]] = {
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_auction_ticks: set[str] = set.union(*_tick_groups.values())
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def frame_ticks(
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quote: dict[str, Any],
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ticks_by_type: dict | None = None,
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ticks_in_order: list[dict[str, Any]] | None = None
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) -> dict[
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str,
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list[dict[str, Any]]
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]:
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'''
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XXX: build a tick-by-type table of lists
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of tick messages. This allows for less
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iteration on the receiver side by allowing for
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a single "latest tick event" look up by
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indexing the last entry in each sub-list.
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tbt = {
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'types': ['bid', 'asize', 'last', .. '<type_n>'],
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'bid': [tick0, tick1, tick2, .., tickn],
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'asize': [tick0, tick1, tick2, .., tickn],
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'last': [tick0, tick1, tick2, .., tickn],
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...
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'<type_n>': [tick0, tick1, tick2, .., tickn],
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}
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If `ticks_in_order` is provided, append any retrieved ticks
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since last iteration into this array/buffer/list.
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'''
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# TODO: once we decide to get fancy really we should
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# have a shared mem tick buffer that is just
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# continually filled and the UI just ready from it
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# at it's display rate.
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tbt = ticks_by_type if ticks_by_type is not None else {}
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if not (ticks := quote.get('ticks')):
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return tbt
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# append in reverse FIFO order for in-order iteration on
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# receiver side.
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tick: dict[str, Any]
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for tick in ticks:
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tbt.setdefault(
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tick['type'],
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[],
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).append(tick)
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# TODO: do we need this any more or can we just
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# expect the receiver to unwind the below
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# `ticks_by_type: dict`?
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# => undwinding would potentially require a
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# `dict[str, set | list]` instead with an
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# included `'types' field which is an (ordered)
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# set of tick type fields in the order which
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# types arrived?
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if ticks_in_order:
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ticks_in_order.extend(ticks)
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return tbt
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def iterticks(
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quote: dict,
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types: tuple[str] = (
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@ -47,10 +110,16 @@ def iterticks(
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'dark_trade',
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),
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deduplicate_darks: bool = False,
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reverse: bool = False,
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# TODO: should we offer delegating to `frame_ticks()` above
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# with this?
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frame_by_type: bool = False,
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) -> AsyncIterator:
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'''
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Iterate through ticks delivered per quote cycle.
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Iterate through ticks delivered per quote cycle, filter and
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yield any declared in `types`.
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'''
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if deduplicate_darks:
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@ -93,63 +162,12 @@ def iterticks(
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# re-insert ticks
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ticks.extend(list(chain(trades.values(), darks.values())))
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# most-recent-first
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if reverse:
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ticks = reversed(ticks)
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for tick in ticks:
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# print(f"{quote['symbol']}: {tick}")
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ttype = tick.get('type')
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if ttype in types:
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yield tick
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def frame_ticks(
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quote: dict[str, Any],
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ticks_by_type: dict[str, list[dict[str, Any]]] = {},
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ticks_in_order: list[dict[str, Any]] | None = None
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) -> dict:
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# append quotes since last iteration into the last quote's
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# tick array/buffer.
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# TODO: once we decide to get fancy really we should
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# have a shared mem tick buffer that is just
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# continually filled and the UI just ready from it
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# at it's display rate.
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if ticks := quote.get('ticks'):
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# XXX: build a tick-by-type table of lists
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# of tick messages. This allows for less
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# iteration on the receiver side by allowing for
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# a single "latest tick event" look up by
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# indexing the last entry in each sub-list.
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# tbt = {
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# 'types': ['bid', 'asize', 'last', .. '<type_n>'],
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# 'bid': [tick0, tick1, tick2, .., tickn],
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# 'asize': [tick0, tick1, tick2, .., tickn],
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# 'last': [tick0, tick1, tick2, .., tickn],
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# ...
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# '<type_n>': [tick0, tick1, tick2, .., tickn],
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# }
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# append in reverse FIFO order for in-order iteration on
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# receiver side.
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tick: dict[str, Any]
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for tick in ticks:
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ticks_by_type.setdefault(
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tick['type'],
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[],
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).append(tick)
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# TODO: do we need this any more or can we just
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# expect the receiver to unwind the below
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# `ticks_by_type: dict`?
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# => undwinding would potentially require a
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# `dict[str, set | list]` instead with an
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# included `'types' field which is an (ordered)
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# set of tick type fields in the order which
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# types arrived?
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if ticks_in_order:
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ticks_in_order.extend(ticks)
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return ticks_by_type
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