Basically a stop limit mode where the dirty execution-condition deats
are entirely held client side away from the broker. For now, there's
a static order size setting and a 0.5% limit setting relative to the
trigger price. Swap to using 'd' for dump and 'f' for fill - they're
easier for use with ctrl (which is used now to submit orders directly to
broker - ala "live (order) mode"). Still more kinks to work out with too
fast cancelled orders and alerts but we're getting there.
Our first major UI "mode" (yes kinda like the modes in emacs) that has
handles to a client side order book api, line and arrow editors, and
interacts with a spawned `emsd` (the EMS daemon actor).
Buncha cleaning and fixes in here for various thingers as well.
Since the "crosshair" is growing more and more UX implementation details
it probably makes sense to call it what it is; a python level mouse
abstraction. Add 2 internal sets: `_hovered` for allowing mouse hovered
objects to register themselves to other cursor aware components, and
`_trackers` for allowing scene items to "track" cursor movements via
a `on_tracked_source()` callback.
Support tracking the mouse cursor using a new `on_tracked_sources()`
callback method. Make hovered highlight a bit thicker and highlight when
click-dragged. Add a delete method for removing from the scene along
with label.
Leverages `QGraphicsItem.cacheMode` to speed up interactivity via
less `.paint()` calls (on mouse interaction) and redraws of the
underlying path when there are no transformations (other then a shift).
In order to keep the "flat bar on new time period" UX, a couple special
methods have to be triggered to get a redraw of the pixel buffer when
appending new data.
Use `QPainterPath.controlPointRect()` over `.boundingRect()` since
supposedly it's a lot faster. Drop all use of `QPicture` (since it seems
to conflict with the pixel buffer stuff?) and it doesn't give any
measurable speedup when drawing the "last bar" lines.
Oh, and add some profiling for now.
This is a bit hacky (what with array indexing semantics being relative
to the primary index's "start" value but it works. We'll likely want
to somehow wrap this index finagling into an API soon.
Failed at using either.
Quirks in numba's typing require specifying readonly arrays by
composing types manually.
The graphics item path thing, while it does take less time to write on
bar appends, seems to be slower in general in calculating the
``.boundingRect()`` value. Likely we'll just add manual max/min tracking
on array updates like ``pg.PlotCurveItem`` to squeeze some final juices
on this.
Pertains further to #109.
Instead of redrawing the entire `QPainterPath` every time there's
a historical bars update just use `.addPath()` to slap in latest
history. It seems to work and is fast. This also seems like it will be
a great strategy for filling in earlier data, woot!
This gives a massive speedup when viewing large bar sets (think a day's
worth of 5s bars) by using the `pg.functions.arrayToQPath()` "magic"
binary array writing that is also used in `PlotCurveItem`. We're using
this same (lower level) function directly to draw bars as part of one
large path and it seems to be painting 15k (ish) bars with around 3ms
`.paint()` latency. The only thing still a bit slow is the path array
generation despite doing it with `numba`. Likely, either having multiple
paths or, only regenerating the missing backing array elements should
speed this up further to avoid slight delays when incrementing the bar
step.
This is of course a first draft and more cleanups are coming.
This makes it so you don't have to ctrl-c kill apps.
Add in the experimental openGL support even though I'm pretty sure it's
not being used much for curve plotting (but could be wrong).
Break the chart update code for fsps into a new task (add a nursery) in
new `spawn_fsps` (was `chart_from_fsps`) that async requests actor
spawning and initial historical data (all CPU bound work). For multiple
fsp subcharts this allows processing initial output in parallel
(multi-core). We might want to wrap this in a "feed" like api
eventually. Basically the fsp startup sequence is now:
- start all requested fsp actors in an async loop and wait for
historical data to arrive
- loop through them all again to start update tasks which do chart
graphics rendering
Add separate x-axis objects for each new subchart (required by
pyqtgraph); still need to fix hiding unnecessary ones.
Add a `ChartPlotWidget._arrays: dict` for holding overlay data distinct
from ohlc. Drop the sizing yrange to label heights for now since it's
pretty much all gone to hell since adding L1 labels. Fix y-stickies to
look up correct overly arrays.
Requires decent modification of the built-in ``ViewBox``.
We do away with the zoom functionality for now and instead just add
a label full of some simple stats on the bounded data.
I think this gets us to the same output as TWS both on booktrader and
the quote details pane. In theory there might be logic needed to
decreases an L1 queue size on trades but can't seem to get it without
getting -ves displayed occasionally - thus leaving it for now.
Also, fix the max-min streaming logic to actually do its job, lel.
Start a simple API for L1 bid/ask labels.
Make `LevelLabel` draw a line above/below it's text (instead of the
rect fill we had before) since it looks much simpler/slicker.
Generalize the label text orientation through bounding rect
geometry positioning.
Until we get a better datum "cursor" figured out just draw the flat bar
despite the extra overhead. The reason to do this in 2 separate calls is
detailed in the comment but basic gist is that there's a race between
writer and reader of the last shm index.
Oh, and toss in some draft symbol search label code.
Not sure what fixed it exactly, and I guess we didn't need any relative
DPI scaling factor after all. Using the 3px margin on the level label
seems to make it look nice for any font size (i think) as well.
Gonna need some cleanup after this one.
Make our own ``Axis`` and have it call an impl specific ``.resize()``
such that different axes can size to their own spec. Allow passing in a
"typical maximum value string" which will be used by default for sizing
the axis' minor dimension; a common value should be passed to all axes
in a linked split charts widget. Add size hinting for axes labels such
that they can check their parent (axis) for desired dimensions if
needed.
Compute the size in pixels the label based on the label's contents.
Eventually we want to have an update system that can iterate through
axes and labels to do this whenever needed (eg. after widget is moved
to a new screen with a different DPI).
Avoid drawing a new new sticky position if the mouse hasn't moved to the
next (rounded) index in terms of the scene's coordinates. This completes
the "discrete-ization" of the mouse/cursor UX.
Finalizing this feature helped discover and solve
pyqtgraph/pyqtgraph#1418 which masssively improves interaction
performance throughout the whole lib!
Hide stickys on startup until cursor shows up on plot.
This is likely a marginal improvement but is slightly less execution and
adds a coolio black border around the label. Drop all the legacy code
from quantdom which was quite a convoluted mess for "coloring".
Had to tweak sticky offsets to get the crosshair to line up right; not
sure what that's all about yet.
With the improved update logic on `BarsItems` it doesn't seem to be
necessary. Remove y sticky for overlays for now to avoid clutter that
looks like double draws when the last overlay value is close to the last
price.
It seems a plethora of problems (including drawing performance) are due
to trying to hack around the strange rendering bug in Qt with `QLineF`
with y1 == y2. There was all sorts of weirdness that would show up with
trying (a hack) to just set all 4 points to the same value including
strange infinite diagonal ghost lines randomly on charts. Instead, just
place hold these flat bar's 'body' line with a `None` and filter the
null values out before calling `QPainter.drawLines()`. This results
in simply no body lines drawn for these datums. We can probably `numba`
the filtering too if it turns out to be a bottleneck.
Add a new graphic `LineDot` which is a `pg.CurvePoint` that draws
a simple filled dot over a curve at the specified index.
Add support for adding these cursor-dots to the crosshair/mouse through
a new `CrossHair.add_curve_cursor()`. Discretized the vertical line
updates on the crosshair such that it's only drawn in the middle of
the current bar in the main chart.
Makes the chart act like tws where each new time step increment the
chart shifts to the right so that the last bar stays in place. This
gets things looking like a proper auto-trading UX.
Added a couple methods to ``ChartPlotWidget`` to make this work:
- ``.default_view()`` to set the preferred view based on user settings
- ``.increment_view()`` to shift the view one time frame right
Also, split up the `.update_from_array()` method to be curve/ohlc
specific allowing for passing in a struct array with a named field
containing curve data more straightforwardly. This also simplifies the
contest label update functions.
Lookup overlay contents from the OHLC struct array (for now / to make
things work) and fix anchoring logic with better offsets to keep
contents labels super tight to the edge of the view box. Unfortunately,
had to hack the label-height-calc thing for avoiding overlap of graphics
with the label; haven't found a better solution yet and pyqtgraph seems
to require more rabbit holing to figure out something better. Slap in
some inf lines for over[sold/bought] rsi conditions thresholding.
If you have a common broker feed daemon then likely you don't want to
create superfluous shared mem buffers for the same symbol. This adds an
ad hoc little context manger which keeps a bool state of whether
a buffer writer task currently is running in this process. Before we
were checking the shared array token cache and **not** clearing it when
the writer task exited, resulting in incorrect writer/loader logic on
the next entry..
Really, we need a better set of SC semantics around the shared mem stuff
presuming there's only ever one writer per shared buffer at given time.
Hopefully that will come soon!
If we know the max and min in view then on datum updates we can avoid
resizing the y-range when a new max/min has not yet arrived.
This adds a very naive numpy calc in the drawing thread which we can
likely improve with a more efficient streaming alternative which can
also likely be run in a fsp subactor. Also, since this same calc is
essentially done inside `._set_yrange()` we will likely want to allow
passing the result into the method to avoid duplicate work.
This kicks off what will be the beginning of hopefully a very nice
(soft) real-time financial signal processing system. We're keeping the
hack to "time align" curves (for now) with the bars for now by slapping
in an extra datum at index 0.
Just like for the source OHLC, we now have the chart parent actor create
an fsp shm array and use it to read back signal data for plotting.
Some tweaks to get the price chart (and sub-charts) to load historical
datums immediately instead of waiting on an initial quote.
- Move to new shared mem system only writing on the first (by process)
entry to `stream_quotes()`.
- Deliver bars before first quote arrives so that chart can populate and
then wait for initial arrival.
- Allow caching clients per actor.
- Load bars using the same (cached) client that starts the quote stream
thus speeding up initialization.
Wraps the growing tuple of items being delivered by `open_feed()`.
Add lazy loading of the broker's signal step stream with
a `Feed.index_stream()` method.
Add an internal `_Token` to do interchange (un)packing for passing
"references" to shm blocks between actors. Part of the token involves
providing the `numpy.dtype` in a cross-actor format. Add a module
variable for caching "known tokens" per actor. Drop use of context
managers since they tear down shm blocks too soon in debug mode and
there seems to be no reason to unlink/close shm before the process has
terminated; if code needs it torn down explicitly, it can.
Tyler Goodlet