This is a first attempt at a financial signal processing subsystem which
utilizes async generators for streaming frames of numpy array data
between actors. In this initial attempt the focus is on processing price
data and relaying it to the chart app for real-time display. So far this
seems to work (with decent latency) but much more work is likely needed
around improving the data model for even better latency and less data
duplication.
Surprisingly (or not?) a lot of simplifications to the charting code
came out of this in terms of conducting graphics updates in streaming
tasks instead of hiding them inside the obfuscated mess that is the
Qt-style-inheritance-OO-90s-trash. The goal from here on wards will be
to enforce strict semantics around reading and writing of data such that
state is kept outside "object trees" as much as possible and streaming
function semantics guide our flow model. Unsurprisingly, this reduction
in "instance state" is happening wherever we use `trio` ;)
A little summary on the technical changes:
- not going to explain the fsp system yet; it's too nascent and
probably going to get some heavy editing.
- drop any "update" methods from the `LinkedCharts` type since each
sub-chart will have it's own update task and thus a separate update
loop; further individual graphics (per chart) may eventually require
this same design.
- delete `ChartView`; moved into separate mod.
- add "stream from fsp" task to start our foray into real-time actor
processed numpy streaming.
Wait for a first actual real-time quote before starting graphics update
tasks. Use the new normalized tick format brokers are expected to emit
as a `quotes['ticks']` list. Auto detect time frame from historical
bars.
Add `ChartPlotWidget.add_plot()` to add sub charts for indicators which
can be updated independently. Clean up rt bar update code and drop some
legacy ohlc loading cruft.
Stop with all this "main chart" special treatment.
Manage all lines in the same way across all referenced plots.
Add `CrossHair.add_plot()` for adding new plots dynamically.
Just, smh.
There's really nothing coupling it to the graphics class (which frankly
also seems like it doesn't need to be a class.. Qt).
Add support to `.update_from_array()` for diffing with the input array
and creating additional bar-lines where necessary. Note, there are still
issues with the "correctness" here in terms of bucketing open/close
values in the time frame / bar range. Also, this jamming of each bar's 3
lines into a homogeneous array seems like it could be better done with
struct arrays and avoid all this "index + 3" stuff.
Flat bars have a rendering issue we work around by hacking values in `QLineF`
but we have to revert those on any last bar that is being updated in
real-time. Comment out candle implementations for now; we can get back
to it if/when the tinas unite. Oh, and make bars have a little space
between them.
Don't allow zooming to less then a min number of data points. Allow
panning "outside" the data set (i.e. moving one of the sequence "ends"
to the middle of the view. Start adding logging.
For whatever reason if the `QLineF` high/low values are the same a weird
little rectangle is drawn (my guess is a `float` precision error of some
sort). Instead, if they're the same just use one of the values.
Also, store local vars to avoid so many lookups.
`pg.PlotCurveItem.setData()` is normally used for real-time updates to
curves and takes in a whole new array of data to graphics.
It makes sense to stick with this interface especially if
the current datum graphic will originally be drawn from tick quotes and
later filled in when bars data is available (eg. IB has this option in
TWS charts for volume). Additionally, having a data feed api where the push
process/task can write to shared memory and the UI task(s) can read from
that space is ideal. It allows for indicator and algo calculations to be
run in parallel (via actors) with initial price draw instructions
such that plotting of downstream metrics can be "pipelined" into the
chart UI's render loop. This essentially makes the chart UI async
programmable from multiple remote processes (or at least that's the
goal).
Some details:
- Only store a single ref to the source array data on the
`LinkedSplitCharts`. There should only be one reference since the main
relation is **that** x-time aligned sequence.
- Add `LinkedSplitCharts.update_from_quote()` which takes in a quote
dict and updates the OHLC array from it's contents.
- Add `ChartPlotWidget.update_from_array()` method to trigger graphics
updates per chart with consideration for overlay curves.
This makes a OHLC graphics "sequence" update very similar (actually API
compatible) with `pg.PlotCurveItem.setData()`. The difference here is
that only latest OHLC datum is used to update the charts last bar.
Tyler Goodlet