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Fix `dvlm` to actually yield trade count, add instantaneous support

windows_fixes_yo
Tyler Goodlet 2022-02-07 08:17:20 -05:00
parent e7516447df
commit ee4ad32d3b
1 changed files with 32 additions and 16 deletions
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24
piker/fsp/_volume.py
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@ -180,20 +180,21 @@ async def dolla_vlm(
ttype = tick.get('type') ttype = tick.get('type')
if ttype == 'dark_trade': if ttype == 'dark_trade':
# print(f'dark_trade: {tick}')
key = 'dark_vlm'
dvlm += price * size dvlm += price * size
yield 'dark_vlm', dvlm yield 'dark_vlm', dvlm
dark_trade_count += 1 dark_trade_count += 1
yield 'dark_trade_count', dark_trade_count yield 'dark_trade_count', dark_trade_count
# print(f'{dark_trade_count}th dark_trade: {tick}')
else: else:
# print(f'vlm: {tick}') # print(f'vlm: {tick}')
key = 'dolla_vlm'
vlm += price * size vlm += price * size
yield 'dolla_vlm', vlm yield 'dolla_vlm', vlm
trade_count += 1 trade_count += 1
yield 'trade_count', vlm yield 'trade_count', trade_count
# TODO: plot both to compare? # TODO: plot both to compare?
# c, h, l, v = ohlcv.last()[ # c, h, l, v = ohlcv.last()[
@ -279,6 +280,10 @@ async def flow_rates(
# on this same source flow. # on this same source flow.
dvlm_shm = dolla_vlm.get_shm(ohlcv) dvlm_shm = dolla_vlm.get_shm(ohlcv)
# breakpoint()
# import tractor
# await tractor.breakpoint()
# precompute arithmetic mean weights (all ones) # precompute arithmetic mean weights (all ones)
seq = np.full((period,), 1) seq = np.full((period,), 1)
weights = seq / seq.sum() weights = seq / seq.sum()
@ -294,12 +299,18 @@ async def flow_rates(
weights=weights, weights=weights,
) )
yield 'dvlm_rate', dvlm_wma[-1] yield 'dvlm_rate', dvlm_wma[-1]
if period > 1:
trade_rate_wma = _wma( trade_rate_wma = _wma(
dvlm_shm.array['trade_count'], dvlm_shm.array['trade_count'],
period, period,
weights=weights, weights=weights,
) )
yield 'trade_rate', trade_rate_wma[-1] yield 'trade_rate', trade_rate_wma[-1]
else:
# instantaneous rate per sample step
count = dvlm_shm.array['trade_count'][-1]
yield 'trade_rate', count
# TODO: skip this if no dark vlm is declared # TODO: skip this if no dark vlm is declared
# by symbol info (eg. in crypto$) # by symbol info (eg. in crypto$)
@ -310,12 +321,17 @@ async def flow_rates(
) )
yield 'dark_dvlm_rate', dark_dvlm_wma[-1] yield 'dark_dvlm_rate', dark_dvlm_wma[-1]
if period > 1:
dark_trade_rate_wma = _wma( dark_trade_rate_wma = _wma(
dvlm_shm.array['dark_trade_count'], dvlm_shm.array['dark_trade_count'],
period, period,
weights=weights, weights=weights,
) )
yield 'dark_trade_rate', dark_trade_rate_wma[-1] yield 'dark_trade_rate', dark_trade_rate_wma[-1]
else:
# instantaneous rate per sample step
dark_count = dvlm_shm.array['dark_trade_count'][-1]
yield 'dark_trade_rate', dark_count
# XXX: ib specific schema we should # XXX: ib specific schema we should
# probably pre-pack ourselves. # probably pre-pack ourselves.