Breakout fsp rt loop as non-closure for readability
Tyler Goodlet
parent
f6f4a0cd8d
commit
efd93d058a
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@ -17,6 +17,7 @@
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"""
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Financial signal processing for the peeps.
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"""
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from functools import partial
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from typing import AsyncIterator, Callable, Tuple
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import trio
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@ -29,6 +30,8 @@ from .. import data
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from ._momo import _rsi, _wma
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from ._volume import _tina_vwap
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from ..data import attach_shm_array
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from ..data.feed import Feed
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from ..data._sharedmem import ShmArray
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log = get_logger(__name__)
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@ -62,6 +65,97 @@ async def latency(
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yield value
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async def fsp_compute(
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ctx: tractor.Context,
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symbol: str,
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feed: Feed,
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src: ShmArray,
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dst: ShmArray,
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fsp_func_name: str,
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func: Callable,
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task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
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) -> None:
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# TODO: load appropriate fsp with input args
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async def filter_by_sym(
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sym: str,
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stream,
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):
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# TODO: make this the actualy first quote from feed
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# XXX: this allows for a single iteration to run for history
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# processing without waiting on the real-time feed for a new quote
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yield {}
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# task cancellation won't kill the channel
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with stream.shield():
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async for quotes in stream:
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for symbol, quotes in quotes.items():
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if symbol == sym:
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yield quotes
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out_stream = func(
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filter_by_sym(symbol, feed.stream),
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feed.shm,
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)
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# TODO: XXX:
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# THERE'S A BIG BUG HERE WITH THE `index` field since we're
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# prepending a copy of the first value a few times to make
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# sub-curves align with the parent bar chart.
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# This likely needs to be fixed either by,
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# - manually assigning the index and historical data
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# seperately to the shm array (i.e. not using .push())
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# - developing some system on top of the shared mem array that
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# is `index` aware such that historical data can be indexed
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# relative to the true first datum? Not sure if this is sane
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# for incremental compuations.
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dst._first.value = src._first.value
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dst._last.value = src._first.value
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# Conduct a single iteration of fsp with historical bars input
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# and get historical output
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history_output = await out_stream.__anext__()
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# build a struct array which includes an 'index' field to push
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# as history
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history = np.array(
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np.arange(len(history_output)),
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dtype=dst.array.dtype
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)
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history[fsp_func_name] = history_output
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# check for data length mis-allignment and fill missing values
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diff = len(src.array) - len(history)
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if diff >= 0:
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print(f"WTF DIFF SIGNAL to HISTORY {diff}")
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for _ in range(diff):
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dst.push(history[:1])
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# compare with source signal and time align
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index = dst.push(history)
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await ctx.send_yield(index)
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# setup a respawn handle
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with trio.CancelScope() as cs:
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task_status.started(cs)
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# rt stream
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async for processed in out_stream:
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log.debug(f"{fsp_func_name}: {processed}")
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index = src.index
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dst.array[-1][fsp_func_name] = processed
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# stream latest shm array index entry
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await ctx.send_yield(index)
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@tractor.stream
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async def cascade(
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ctx: tractor.Context,
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@ -85,84 +179,24 @@ async def cascade(
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assert src.token == feed.shm.token
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async def fsp_compute(
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task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
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) -> None:
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# TODO: load appropriate fsp with input args
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async def filter_by_sym(
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sym: str,
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stream,
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):
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# task cancellation won't kill the channel
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with stream.shield():
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async for quotes in stream:
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for symbol, quotes in quotes.items():
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if symbol == sym:
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yield quotes
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out_stream = func(
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filter_by_sym(symbol, feed.stream),
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feed.shm,
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)
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# TODO: XXX:
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# THERE'S A BIG BUG HERE WITH THE `index` field since we're
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# prepending a copy of the first value a few times to make
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# sub-curves align with the parent bar chart.
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# This likely needs to be fixed either by,
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# - manually assigning the index and historical data
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# seperately to the shm array (i.e. not using .push())
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# - developing some system on top of the shared mem array that
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# is `index` aware such that historical data can be indexed
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# relative to the true first datum? Not sure if this is sane
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# for incremental compuations.
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dst._first.value = src._first.value
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dst._last.value = src._first.value
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# Conduct a single iteration of fsp with historical bars input
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# and get historical output
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history_output = await out_stream.__anext__()
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# build a struct array which includes an 'index' field to push
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# as history
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history = np.array(
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np.arange(len(history_output)),
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dtype=dst.array.dtype
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)
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history[fsp_func_name] = history_output
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# check for data length mis-allignment and fill missing values
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diff = len(src.array) - len(history)
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if diff >= 0:
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print(f"WTF DIFF SIGNAL to HISTORY {diff}")
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for _ in range(diff):
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dst.push(history[:1])
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# compare with source signal and time align
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index = dst.push(history)
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await ctx.send_yield(index)
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# setup a respawn handle
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with trio.CancelScope() as cs:
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task_status.started(cs)
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# rt stream
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async for processed in out_stream:
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log.debug(f"{fsp_func_name}: {processed}")
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index = src.index
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dst.array[-1][fsp_func_name] = processed
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# stream latest shm array index entry
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await ctx.send_yield(index)
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last_len = new_len = len(src.array)
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fsp_target = partial(
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fsp_compute,
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ctx=ctx,
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symbol=symbol,
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feed=feed,
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src=src,
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dst=dst,
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fsp_func_name=fsp_func_name,
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func=func
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)
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async with trio.open_nursery() as n:
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cs = await n.start(fsp_compute)
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cs = await n.start(fsp_target)
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# Increment the underlying shared memory buffer on every
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# "increment" msg received from the underlying data feed.
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@ -176,7 +210,7 @@ async def cascade(
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# respawn the signal compute task if the source
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# signal has been updated
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cs.cancel()
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cs = await n.start(fsp_compute)
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cs = await n.start(fsp_target)
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# TODO: adopt an incremental update engine/approach
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# where possible here eventually!
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