Add `.data._timeseries` utility mod

Org all the new (time) gap detection routines here and also move in the
`slice_from_time()` epoch -> index converter routine from `._pathops` B)
basic_buy_bot
Tyler Goodlet 2023-06-08 11:11:13 -04:00
parent 54f8a615fc
commit f25248c871
5 changed files with 312 additions and 262 deletions

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@ -1,5 +1,5 @@
# piker: trading gear for hackers # piker: trading gear for hackers
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0) # Copyright (C) 2018-present Tyler Goodlet (in stewardship of pikers)
# This program is free software: you can redistribute it and/or modify # This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by # it under the terms of the GNU Affero General Public License as published by
@ -289,158 +289,3 @@ def ohlc_flatten(
num=len(flat), num=len(flat),
) )
return x, flat return x, flat
def slice_from_time(
arr: np.ndarray,
start_t: float,
stop_t: float,
step: float, # sampler period step-diff
) -> slice:
'''
Calculate array indices mapped from a time range and return them in
a slice.
Given an input array with an epoch `'time'` series entry, calculate
the indices which span the time range and return in a slice. Presume
each `'time'` step increment is uniform and when the time stamp
series contains gaps (the uniform presumption is untrue) use
``np.searchsorted()`` binary search to look up the appropriate
index.
'''
profiler = Profiler(
msg='slice_from_time()',
disabled=not pg_profile_enabled(),
ms_threshold=ms_slower_then,
)
times = arr['time']
t_first = floor(times[0])
t_last = ceil(times[-1])
# the greatest index we can return which slices to the
# end of the input array.
read_i_max = arr.shape[0]
# compute (presumed) uniform-time-step index offsets
i_start_t = floor(start_t)
read_i_start = floor(((i_start_t - t_first) // step)) - 1
i_stop_t = ceil(stop_t)
# XXX: edge case -> always set stop index to last in array whenever
# the input stop time is detected to be greater then the equiv time
# stamp at that last entry.
if i_stop_t >= t_last:
read_i_stop = read_i_max
else:
read_i_stop = ceil((i_stop_t - t_first) // step) + 1
# always clip outputs to array support
# for read start:
# - never allow a start < the 0 index
# - never allow an end index > the read array len
read_i_start = min(
max(0, read_i_start),
read_i_max - 1,
)
read_i_stop = max(
0,
min(read_i_stop, read_i_max),
)
# check for larger-then-latest calculated index for given start
# time, in which case we do a binary search for the correct index.
# NOTE: this is usually the result of a time series with time gaps
# where it is expected that each index step maps to a uniform step
# in the time stamp series.
t_iv_start = times[read_i_start]
if (
t_iv_start > i_start_t
):
# do a binary search for the best index mapping to ``start_t``
# given we measured an overshoot using the uniform-time-step
# calculation from above.
# TODO: once we start caching these per source-array,
# we can just overwrite ``read_i_start`` directly.
new_read_i_start = np.searchsorted(
times,
i_start_t,
side='left',
)
# TODO: minimize binary search work as much as possible:
# - cache these remap values which compensate for gaps in the
# uniform time step basis where we calc a later start
# index for the given input ``start_t``.
# - can we shorten the input search sequence by heuristic?
# up_to_arith_start = index[:read_i_start]
if (
new_read_i_start <= read_i_start
):
# t_diff = t_iv_start - start_t
# print(
# f"WE'RE CUTTING OUT TIME - STEP:{step}\n"
# f'start_t:{start_t} -> 0index start_t:{t_iv_start}\n'
# f'diff: {t_diff}\n'
# f'REMAPPED START i: {read_i_start} -> {new_read_i_start}\n'
# )
read_i_start = new_read_i_start
t_iv_stop = times[read_i_stop - 1]
if (
t_iv_stop > i_stop_t
):
# t_diff = stop_t - t_iv_stop
# print(
# f"WE'RE CUTTING OUT TIME - STEP:{step}\n"
# f'calced iv stop:{t_iv_stop} -> stop_t:{stop_t}\n'
# f'diff: {t_diff}\n'
# # f'SHOULD REMAP STOP: {read_i_start} -> {new_read_i_start}\n'
# )
new_read_i_stop = np.searchsorted(
times[read_i_start:],
# times,
i_stop_t,
side='right',
)
if (
new_read_i_stop <= read_i_stop
):
read_i_stop = read_i_start + new_read_i_stop + 1
# sanity checks for range size
# samples = (i_stop_t - i_start_t) // step
# index_diff = read_i_stop - read_i_start + 1
# if index_diff > (samples + 3):
# breakpoint()
# read-relative indexes: gives a slice where `shm.array[read_slc]`
# will be the data spanning the input time range `start_t` ->
# `stop_t`
read_slc = slice(
int(read_i_start),
int(read_i_stop),
)
profiler(
'slicing complete'
# f'{start_t} -> {abs_slc.start} | {read_slc.start}\n'
# f'{stop_t} -> {abs_slc.stop} | {read_slc.stop}\n'
)
# NOTE: if caller needs absolute buffer indices they can
# slice the buffer abs index like so:
# index = arr['index']
# abs_indx = index[read_slc]
# abs_slc = slice(
# int(abs_indx[0]),
# int(abs_indx[-1]),
# )
return read_slc

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@ -0,0 +1,309 @@
# piker: trading gear for hackers
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of pikers)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
'''
Financial time series processing utilities usually
pertaining to OHLCV style sampled data.
Routines are generally implemented in either ``numpy`` or ``polars`` B)
'''
from __future__ import annotations
from typing import Literal
from math import (
ceil,
floor,
)
import numpy as np
import polars as pl
from ._sharedmem import ShmArray
from .._profile import (
Profiler,
pg_profile_enabled,
ms_slower_then,
)
def slice_from_time(
arr: np.ndarray,
start_t: float,
stop_t: float,
step: float, # sampler period step-diff
) -> slice:
'''
Calculate array indices mapped from a time range and return them in
a slice.
Given an input array with an epoch `'time'` series entry, calculate
the indices which span the time range and return in a slice. Presume
each `'time'` step increment is uniform and when the time stamp
series contains gaps (the uniform presumption is untrue) use
``np.searchsorted()`` binary search to look up the appropriate
index.
'''
profiler = Profiler(
msg='slice_from_time()',
disabled=not pg_profile_enabled(),
ms_threshold=ms_slower_then,
)
times = arr['time']
t_first = floor(times[0])
t_last = ceil(times[-1])
# the greatest index we can return which slices to the
# end of the input array.
read_i_max = arr.shape[0]
# compute (presumed) uniform-time-step index offsets
i_start_t = floor(start_t)
read_i_start = floor(((i_start_t - t_first) // step)) - 1
i_stop_t = ceil(stop_t)
# XXX: edge case -> always set stop index to last in array whenever
# the input stop time is detected to be greater then the equiv time
# stamp at that last entry.
if i_stop_t >= t_last:
read_i_stop = read_i_max
else:
read_i_stop = ceil((i_stop_t - t_first) // step) + 1
# always clip outputs to array support
# for read start:
# - never allow a start < the 0 index
# - never allow an end index > the read array len
read_i_start = min(
max(0, read_i_start),
read_i_max - 1,
)
read_i_stop = max(
0,
min(read_i_stop, read_i_max),
)
# check for larger-then-latest calculated index for given start
# time, in which case we do a binary search for the correct index.
# NOTE: this is usually the result of a time series with time gaps
# where it is expected that each index step maps to a uniform step
# in the time stamp series.
t_iv_start = times[read_i_start]
if (
t_iv_start > i_start_t
):
# do a binary search for the best index mapping to ``start_t``
# given we measured an overshoot using the uniform-time-step
# calculation from above.
# TODO: once we start caching these per source-array,
# we can just overwrite ``read_i_start`` directly.
new_read_i_start = np.searchsorted(
times,
i_start_t,
side='left',
)
# TODO: minimize binary search work as much as possible:
# - cache these remap values which compensate for gaps in the
# uniform time step basis where we calc a later start
# index for the given input ``start_t``.
# - can we shorten the input search sequence by heuristic?
# up_to_arith_start = index[:read_i_start]
if (
new_read_i_start <= read_i_start
):
# t_diff = t_iv_start - start_t
# print(
# f"WE'RE CUTTING OUT TIME - STEP:{step}\n"
# f'start_t:{start_t} -> 0index start_t:{t_iv_start}\n'
# f'diff: {t_diff}\n'
# f'REMAPPED START i: {read_i_start} -> {new_read_i_start}\n'
# )
read_i_start = new_read_i_start
t_iv_stop = times[read_i_stop - 1]
if (
t_iv_stop > i_stop_t
):
# t_diff = stop_t - t_iv_stop
# print(
# f"WE'RE CUTTING OUT TIME - STEP:{step}\n"
# f'calced iv stop:{t_iv_stop} -> stop_t:{stop_t}\n'
# f'diff: {t_diff}\n'
# # f'SHOULD REMAP STOP: {read_i_start} -> {new_read_i_start}\n'
# )
new_read_i_stop = np.searchsorted(
times[read_i_start:],
# times,
i_stop_t,
side='right',
)
if (
new_read_i_stop <= read_i_stop
):
read_i_stop = read_i_start + new_read_i_stop + 1
# sanity checks for range size
# samples = (i_stop_t - i_start_t) // step
# index_diff = read_i_stop - read_i_start + 1
# if index_diff > (samples + 3):
# breakpoint()
# read-relative indexes: gives a slice where `shm.array[read_slc]`
# will be the data spanning the input time range `start_t` ->
# `stop_t`
read_slc = slice(
int(read_i_start),
int(read_i_stop),
)
profiler(
'slicing complete'
# f'{start_t} -> {abs_slc.start} | {read_slc.start}\n'
# f'{stop_t} -> {abs_slc.stop} | {read_slc.stop}\n'
)
# NOTE: if caller needs absolute buffer indices they can
# slice the buffer abs index like so:
# index = arr['index']
# abs_indx = index[read_slc]
# abs_slc = slice(
# int(abs_indx[0]),
# int(abs_indx[-1]),
# )
return read_slc
def detect_null_time_gap(shm: ShmArray) -> tuple[float, float] | None:
# detect if there are any zero-epoch stamped rows
zero_pred: np.ndarray = shm.array['time'] == 0
zero_t: np.ndarray = shm.array[zero_pred]
if zero_t.size:
istart, iend = zero_t['index'][[0, -1]]
start, end = shm._array['time'][
[istart - 2, iend + 2]
]
return istart - 2, start, end, iend + 2
return None
t_unit: Literal[
'days',
'hours',
'minutes',
'seconds',
'miliseconds',
'microseconds',
'nanoseconds',
]
def with_dts(
df: pl.DataFrame,
time_col: str = 'time',
) -> pl.DataFrame:
'''
Insert datetime (casted) columns to a (presumably) OHLC sampled
time series with an epoch-time column keyed by ``time_col``.
'''
return df.with_columns([
pl.col(time_col).shift(1).suffix('_prev'),
pl.col(time_col).diff().alias('s_diff'),
pl.from_epoch(pl.col(time_col)).alias('dt'),
]).with_columns([
pl.from_epoch(pl.col(f'{time_col}_prev')).alias('dt_prev'),
pl.col('dt').diff().alias('dt_diff'),
]) #.with_columns(
# pl.col('dt').diff().dt.days().alias('days_dt_diff'),
# )
def detect_time_gaps(
df: pl.DataFrame,
time_col: str = 'time',
# epoch sampling step diff
expect_period: float = 60,
# datetime diff unit and gap value
# crypto mkts
# gap_dt_unit: t_unit = 'minutes',
# gap_thresh: int = 1,
# legacy stock mkts
gap_dt_unit: t_unit = 'days',
gap_thresh: int = 2,
) -> pl.DataFrame:
'''
Filter to OHLC datums which contain sample step gaps.
For eg. legacy markets which have venue close gaps and/or
actual missing data segments.
'''
dt_gap_col: str = f'{gap_dt_unit}_diff'
return with_dts(
df
).filter(
pl.col('s_diff').abs() > expect_period
).with_columns(
getattr(
pl.col('dt_diff').dt,
gap_dt_unit, # NOTE: must be valid ``Expr.dt.<name>``
)().alias(dt_gap_col)
).filter(
pl.col(dt_gap_col).abs() > gap_thresh
)
def detect_price_gaps(
df: pl.DataFrame,
gt_multiplier: float = 2.,
price_fields: list[str] = ['high', 'low'],
) -> pl.DataFrame:
'''
Detect gaps in clearing price over an OHLC series.
2 types of gaps generally exist; up gaps and down gaps:
- UP gap: when any next sample's lo price is strictly greater
then the current sample's hi price.
- DOWN gap: when any next sample's hi price is strictly
less then the current samples lo price.
'''
# return df.filter(
# pl.col('high') - ) > expect_period,
# ).select([
# pl.dt.datetime(pl.col(time_col).shift(1)).suffix('_previous'),
# pl.all(),
# ]).select([
# pl.all(),
# (pl.col(time_col) - pl.col(f'{time_col}_previous')).alias('diff'),
# ])
...

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@ -54,9 +54,6 @@ from contextlib import asynccontextmanager as acm
from datetime import datetime from datetime import datetime
from pathlib import Path from pathlib import Path
import time import time
from typing import (
Literal,
)
# from bidict import bidict # from bidict import bidict
# import tractor # import tractor
@ -374,104 +371,3 @@ async def get_client(
client = NativeStorageClient(datadir) client = NativeStorageClient(datadir)
client.index_files() client.index_files()
yield client yield client
def with_dts(
df: pl.DataFrame,
time_col: str = 'time',
) -> pl.DataFrame:
'''
Insert datetime (casted) columns to a (presumably) OHLC sampled
time series with an epoch-time column keyed by ``time_col``.
'''
return df.with_columns([
pl.col(time_col).shift(1).suffix('_prev'),
pl.col(time_col).diff().alias('s_diff'),
pl.from_epoch(pl.col(time_col)).alias('dt'),
]).with_columns([
pl.from_epoch(pl.col(f'{time_col}_prev')).alias('dt_prev'),
pl.col('dt').diff().alias('dt_diff'),
]) #.with_columns(
# pl.col('dt').diff().dt.days().alias('days_dt_diff'),
# )
t_unit: Literal[
'days',
'hours',
'minutes',
'seconds',
'miliseconds',
'microseconds',
'nanoseconds',
]
def detect_time_gaps(
df: pl.DataFrame,
time_col: str = 'time',
# epoch sampling step diff
expect_period: float = 60,
# datetime diff unit and gap value
# crypto mkts
# gap_dt_unit: t_unit = 'minutes',
# gap_thresh: int = 1,
# legacy stock mkts
gap_dt_unit: t_unit = 'days',
gap_thresh: int = 2,
) -> pl.DataFrame:
'''
Filter to OHLC datums which contain sample step gaps.
For eg. legacy markets which have venue close gaps and/or
actual missing data segments.
'''
dt_gap_col: str = f'{gap_dt_unit}_diff'
return with_dts(
df
).filter(
pl.col('s_diff').abs() > expect_period
).with_columns(
getattr(
pl.col('dt_diff').dt,
gap_dt_unit, # NOTE: must be valid ``Expr.dt.<name>``
)().alias(dt_gap_col)
).filter(
pl.col(dt_gap_col).abs() > gap_thresh
)
def detect_price_gaps(
df: pl.DataFrame,
gt_multiplier: float = 2.,
price_fields: list[str] = ['high', 'low'],
) -> pl.DataFrame:
'''
Detect gaps in clearing price over an OHLC series.
2 types of gaps generally exist; up gaps and down gaps:
- UP gap: when any next sample's lo price is strictly greater
then the current sample's hi price.
- DOWN gap: when any next sample's hi price is strictly
less then the current samples lo price.
'''
# return df.filter(
# pl.col('high') - ) > expect_period,
# ).select([
# pl.dt.datetime(pl.col(time_col).shift(1)).suffix('_previous'),
# pl.all(),
# ]).select([
# pl.all(),
# (pl.col(time_col) - pl.col(f'{time_col}_previous')).alias('diff'),
# ])
...

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@ -49,7 +49,7 @@ from ..data._formatters import (
OHLCBarsAsCurveFmtr, # OHLC converted to line OHLCBarsAsCurveFmtr, # OHLC converted to line
StepCurveFmtr, # "step" curve (like for vlm) StepCurveFmtr, # "step" curve (like for vlm)
) )
from ..data._pathops import ( from ..data._timeseries import (
slice_from_time, slice_from_time,
) )
from ._ohlc import ( from ._ohlc import (

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@ -30,7 +30,7 @@ import pendulum
import pyqtgraph as pg import pyqtgraph as pg
from ..data.types import Struct from ..data.types import Struct
from ..data._pathops import slice_from_time from ..data._timeseries import slice_from_time
from ..log import get_logger from ..log import get_logger
from .._profile import Profiler from .._profile import Profiler