895 lines
26 KiB
Python
895 lines
26 KiB
Python
# piker: trading gear for hackers
|
|
# Copyright (C) Tyler Goodlet (in stewardship for 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/>.
|
|
|
|
'''
|
|
Real-time display tasks for charting / graphics.
|
|
|
|
'''
|
|
from contextlib import asynccontextmanager
|
|
import time
|
|
from types import ModuleType
|
|
|
|
import numpy as np
|
|
from pydantic import create_model
|
|
import tractor
|
|
import trio
|
|
|
|
from .. import brokers
|
|
from ..data.feed import (
|
|
open_feed,
|
|
# Feed,
|
|
)
|
|
from ._chart import (
|
|
ChartPlotWidget,
|
|
LinkedSplits,
|
|
GodWidget,
|
|
)
|
|
from .. import fsp
|
|
from ._l1 import L1Labels
|
|
from ..data._sharedmem import ShmArray, maybe_open_shm_array
|
|
from ._forms import (
|
|
FieldsForm,
|
|
mk_form,
|
|
mk_order_pane_layout,
|
|
open_form_input_handling,
|
|
)
|
|
from .order_mode import open_order_mode
|
|
from ..log import get_logger
|
|
|
|
log = get_logger(__name__)
|
|
|
|
_clear_throttle_rate: int = 58 # Hz
|
|
_book_throttle_rate: int = 16 # Hz
|
|
|
|
|
|
async def chart_from_quotes(
|
|
|
|
chart: ChartPlotWidget,
|
|
stream: tractor.MsgStream,
|
|
ohlcv: np.ndarray,
|
|
wap_in_history: bool = False,
|
|
|
|
) -> None:
|
|
'''The 'main' (price) chart real-time update loop.
|
|
|
|
Receive from the quote stream and update the OHLC chart.
|
|
|
|
'''
|
|
# TODO: bunch of stuff:
|
|
# - I'm starting to think all this logic should be
|
|
# done in one place and "graphics update routines"
|
|
# should not be doing any length checking and array diffing.
|
|
# - handle odd lot orders
|
|
# - update last open price correctly instead
|
|
# of copying it from last bar's close
|
|
# - 5 sec bar lookback-autocorrection like tws does?
|
|
|
|
# update last price sticky
|
|
last_price_sticky = chart._ysticks[chart.name]
|
|
last_price_sticky.update_from_data(
|
|
*ohlcv.array[-1][['index', 'close']]
|
|
)
|
|
|
|
def maxmin():
|
|
# TODO: implement this
|
|
# https://arxiv.org/abs/cs/0610046
|
|
# https://github.com/lemire/pythonmaxmin
|
|
|
|
array = chart._arrays['ohlc']
|
|
ifirst = array[0]['index']
|
|
|
|
last_bars_range = chart.bars_range()
|
|
l, lbar, rbar, r = last_bars_range
|
|
in_view = array[lbar - ifirst:rbar - ifirst]
|
|
|
|
assert in_view.size
|
|
|
|
mx, mn = np.nanmax(in_view['high']), np.nanmin(in_view['low'])
|
|
|
|
# TODO: when we start using line charts, probably want to make
|
|
# this an overloaded call on our `DataView
|
|
# sym = chart.name
|
|
# mx, mn = np.nanmax(in_view[sym]), np.nanmin(in_view[sym])
|
|
|
|
return last_bars_range, mx, max(mn, 0)
|
|
|
|
chart.default_view()
|
|
|
|
last_bars_range, last_mx, last_mn = maxmin()
|
|
|
|
last, volume = ohlcv.array[-1][['close', 'volume']]
|
|
|
|
symbol = chart.linked.symbol
|
|
|
|
l1 = L1Labels(
|
|
chart,
|
|
# determine precision/decimal lengths
|
|
digits=symbol.tick_size_digits,
|
|
size_digits=symbol.lot_size_digits,
|
|
)
|
|
chart._l1_labels = l1
|
|
|
|
# TODO:
|
|
# - in theory we should be able to read buffer data faster
|
|
# then msgs arrive.. needs some tinkering and testing
|
|
|
|
# - if trade volume jumps above / below prior L1 price
|
|
# levels this might be dark volume we need to
|
|
# present differently?
|
|
|
|
tick_size = chart.linked.symbol.tick_size
|
|
tick_margin = 2 * tick_size
|
|
|
|
last_ask = last_bid = last_clear = time.time()
|
|
chart.show()
|
|
|
|
async for quotes in stream:
|
|
|
|
# chart isn't actively shown so just skip render cycle
|
|
if chart.linked.isHidden():
|
|
await chart.pause_all_feeds()
|
|
continue
|
|
|
|
for sym, quote in quotes.items():
|
|
|
|
now = time.time()
|
|
|
|
for tick in quote.get('ticks', ()):
|
|
|
|
# print(f"CHART: {quote['symbol']}: {tick}")
|
|
ticktype = tick.get('type')
|
|
price = tick.get('price')
|
|
size = tick.get('size')
|
|
|
|
if ticktype == 'n/a' or price == -1:
|
|
# okkk..
|
|
continue
|
|
|
|
# clearing price event
|
|
if ticktype in ('trade', 'utrade', 'last'):
|
|
|
|
# throttle clearing price updates to ~ max 60 FPS
|
|
period = now - last_clear
|
|
if period <= 1/_clear_throttle_rate:
|
|
# faster then display refresh rate
|
|
continue
|
|
|
|
# print(f'passthrough {tick}\n{1/(now-last_clear)}')
|
|
# set time of last graphics update
|
|
last_clear = now
|
|
|
|
array = ohlcv.array
|
|
|
|
# update price sticky(s)
|
|
end = array[-1]
|
|
last_price_sticky.update_from_data(
|
|
*end[['index', 'close']]
|
|
)
|
|
|
|
# plot bars
|
|
# update price bar
|
|
chart.update_ohlc_from_array(
|
|
chart.name,
|
|
array,
|
|
)
|
|
|
|
if wap_in_history:
|
|
# update vwap overlay line
|
|
chart.update_curve_from_array('bar_wap', ohlcv.array)
|
|
|
|
# l1 book events
|
|
# throttle the book graphics updates at a lower rate
|
|
# since they aren't as critical for a manual user
|
|
# viewing the chart
|
|
|
|
elif ticktype in ('ask', 'asize'):
|
|
if (now - last_ask) <= 1/_book_throttle_rate:
|
|
# print(f'skipping\n{tick}')
|
|
continue
|
|
|
|
# print(f'passthrough {tick}\n{1/(now-last_ask)}')
|
|
last_ask = now
|
|
|
|
elif ticktype in ('bid', 'bsize'):
|
|
if (now - last_bid) <= 1/_book_throttle_rate:
|
|
continue
|
|
|
|
# print(f'passthrough {tick}\n{1/(now-last_bid)}')
|
|
last_bid = now
|
|
|
|
# compute max and min trade values to display in view
|
|
# TODO: we need a streaming minmax algorithm here, see
|
|
# def above.
|
|
brange, mx_in_view, mn_in_view = maxmin()
|
|
l, lbar, rbar, r = brange
|
|
|
|
mx = mx_in_view + tick_margin
|
|
mn = mn_in_view - tick_margin
|
|
|
|
# XXX: prettty sure this is correct?
|
|
# if ticktype in ('trade', 'last'):
|
|
if ticktype in ('last',): # 'size'):
|
|
|
|
label = {
|
|
l1.ask_label.fields['level']: l1.ask_label,
|
|
l1.bid_label.fields['level']: l1.bid_label,
|
|
}.get(price)
|
|
|
|
if label is not None:
|
|
label.update_fields({'level': price, 'size': size})
|
|
|
|
# on trades should we be knocking down
|
|
# the relevant L1 queue?
|
|
# label.size -= size
|
|
|
|
elif ticktype in ('ask', 'asize'):
|
|
l1.ask_label.update_fields({'level': price, 'size': size})
|
|
|
|
elif ticktype in ('bid', 'bsize'):
|
|
l1.bid_label.update_fields({'level': price, 'size': size})
|
|
|
|
# update min price in view to keep bid on screen
|
|
mn = min(price - tick_margin, mn)
|
|
# update max price in view to keep ask on screen
|
|
mx = max(price + tick_margin, mx)
|
|
|
|
if (mx > last_mx) or (
|
|
mn < last_mn
|
|
):
|
|
# print(f'new y range: {(mn, mx)}')
|
|
|
|
chart._set_yrange(
|
|
yrange=(mn, mx),
|
|
# TODO: we should probably scale
|
|
# the view margin based on the size
|
|
# of the true range? This way you can
|
|
# slap in orders outside the current
|
|
# L1 (only) book range.
|
|
# range_margin=0.1,
|
|
)
|
|
|
|
last_mx, last_mn = mx, mn
|
|
|
|
|
|
async def fan_out_spawn_fsp_daemons(
|
|
|
|
linkedsplits: LinkedSplits,
|
|
fsps: dict[str, str],
|
|
sym: str,
|
|
src_shm: list,
|
|
brokermod: ModuleType,
|
|
group_status_key: str,
|
|
loglevel: str,
|
|
|
|
) -> None:
|
|
'''Create financial signal processing sub-actors (under flat tree)
|
|
for each entry in config and attach to local graphics update tasks.
|
|
|
|
Pass target entrypoint and historical data.
|
|
|
|
'''
|
|
linkedsplits.focus()
|
|
|
|
uid = tractor.current_actor().uid
|
|
|
|
# spawns sub-processes which execute cpu bound FSP code
|
|
async with (
|
|
tractor.open_nursery() as n,
|
|
trio.open_nursery() as ln,
|
|
):
|
|
|
|
# Currently we spawn an actor per fsp chain but
|
|
# likely we'll want to pool them eventually to
|
|
# scale horizonatlly once cores are used up.
|
|
for display_name, conf in fsps.items():
|
|
|
|
fsp_func_name = conf['fsp_func_name']
|
|
|
|
# TODO: load function here and introspect
|
|
# return stream type(s)
|
|
|
|
# TODO: should `index` be a required internal field?
|
|
fsp_dtype = np.dtype([('index', int), (fsp_func_name, float)])
|
|
|
|
key = f'{sym}.fsp.{display_name}.{".".join(uid)}'
|
|
|
|
# this is all sync currently
|
|
shm, opened = maybe_open_shm_array(
|
|
key,
|
|
# TODO: create entry for each time frame
|
|
dtype=fsp_dtype,
|
|
readonly=True,
|
|
)
|
|
|
|
# XXX: fsp may have been opened by a duplicate chart.
|
|
# Error for now until we figure out how to wrap fsps as
|
|
# "feeds". assert opened, f"A chart for {key} likely
|
|
# already exists?"
|
|
|
|
conf['shm'] = shm
|
|
|
|
portal = await n.start_actor(
|
|
enable_modules=['piker.fsp._engine'],
|
|
name='fsp.' + display_name,
|
|
)
|
|
|
|
# init async
|
|
ln.start_soon(
|
|
run_fsp,
|
|
portal,
|
|
linkedsplits,
|
|
brokermod,
|
|
sym,
|
|
src_shm,
|
|
fsp_func_name,
|
|
display_name,
|
|
conf,
|
|
group_status_key,
|
|
loglevel,
|
|
)
|
|
|
|
# blocks here until all fsp actors complete
|
|
|
|
|
|
@asynccontextmanager
|
|
async def open_sidepane(
|
|
|
|
linked: LinkedSplits,
|
|
conf: dict[str, dict[str, str]],
|
|
|
|
) -> FieldsForm:
|
|
|
|
schema = {}
|
|
|
|
assert len(conf) == 1 # for now
|
|
|
|
# add (single) selection widget
|
|
for display_name, config in conf.items():
|
|
schema[display_name] = {
|
|
'label': '**fsp**:',
|
|
'type': 'select',
|
|
'default_value': [display_name],
|
|
}
|
|
|
|
# add parameters for selection "options"
|
|
defaults = config.get('params', {})
|
|
for name, default in defaults.items():
|
|
|
|
# add to ORM schema
|
|
schema.update({
|
|
name: {
|
|
'label': f'**{name}**:',
|
|
'type': 'edit',
|
|
'default_value': default,
|
|
},
|
|
})
|
|
|
|
sidepane: FieldsForm = mk_form(
|
|
parent=linked.godwidget,
|
|
fields_schema=schema,
|
|
)
|
|
|
|
# https://pydantic-docs.helpmanual.io/usage/models/#dynamic-model-creation
|
|
FspConfig = create_model(
|
|
'FspConfig',
|
|
name=display_name,
|
|
**defaults,
|
|
)
|
|
sidepane.model = FspConfig()
|
|
|
|
# just a logger for now until we get fsp configs up and running.
|
|
async def settings_change(key: str, value: str) -> bool:
|
|
print(f'{key}: {value}')
|
|
return True
|
|
|
|
# TODO:
|
|
async with (
|
|
open_form_input_handling(
|
|
sidepane,
|
|
focus_next=linked.godwidget,
|
|
on_value_change=settings_change,
|
|
)
|
|
):
|
|
yield sidepane
|
|
|
|
|
|
async def run_fsp(
|
|
|
|
portal: tractor._portal.Portal,
|
|
linkedsplits: LinkedSplits,
|
|
brokermod: ModuleType,
|
|
sym: str,
|
|
src_shm: ShmArray,
|
|
fsp_func_name: str,
|
|
display_name: str,
|
|
conf: dict[str, dict],
|
|
group_status_key: str,
|
|
loglevel: str,
|
|
|
|
) -> None:
|
|
'''FSP stream chart update loop.
|
|
|
|
This is called once for each entry in the fsp
|
|
config map.
|
|
|
|
'''
|
|
done = linkedsplits.window().status_bar.open_status(
|
|
f'loading fsp, {display_name}..',
|
|
group_key=group_status_key,
|
|
)
|
|
|
|
async with (
|
|
portal.open_context(
|
|
|
|
# chaining entrypoint
|
|
fsp.cascade,
|
|
|
|
# name as title of sub-chart
|
|
brokername=brokermod.name,
|
|
src_shm_token=src_shm.token,
|
|
dst_shm_token=conf['shm'].token,
|
|
symbol=sym,
|
|
func_name=fsp_func_name,
|
|
loglevel=loglevel,
|
|
|
|
) as (ctx, last_index),
|
|
ctx.open_stream() as stream,
|
|
open_sidepane(
|
|
linkedsplits,
|
|
{display_name: conf},
|
|
) as sidepane,
|
|
):
|
|
|
|
shm = conf['shm']
|
|
|
|
if conf.get('overlay'):
|
|
chart = linkedsplits.chart
|
|
chart.draw_curve(
|
|
name=display_name,
|
|
data=shm.array,
|
|
overlay=True,
|
|
color='default_light',
|
|
)
|
|
last_val_sticky = None
|
|
|
|
else:
|
|
|
|
chart = linkedsplits.add_plot(
|
|
name=display_name,
|
|
array=shm.array,
|
|
|
|
array_key=conf['fsp_func_name'],
|
|
sidepane=sidepane,
|
|
|
|
# curve by default
|
|
ohlc=False,
|
|
|
|
# settings passed down to ``ChartPlotWidget``
|
|
**conf.get('chart_kwargs', {})
|
|
# static_yrange=(0, 100),
|
|
)
|
|
|
|
# XXX: ONLY for sub-chart fsps, overlays have their
|
|
# data looked up from the chart's internal array set.
|
|
# TODO: we must get a data view api going STAT!!
|
|
chart._shm = shm
|
|
|
|
# should **not** be the same sub-chart widget
|
|
assert chart.name != linkedsplits.chart.name
|
|
|
|
# sticky only on sub-charts atm
|
|
last_val_sticky = chart._ysticks[chart.name]
|
|
|
|
# read from last calculated value
|
|
array = shm.array
|
|
|
|
# XXX: fsp func names must be unique meaning we don't have
|
|
# duplicates of the underlying data even if multiple
|
|
# sub-charts reference it under different 'named charts'.
|
|
value = array[fsp_func_name][-1]
|
|
|
|
last_val_sticky.update_from_data(-1, value)
|
|
|
|
chart.linked.focus()
|
|
|
|
# works also for overlays in which case data is looked up from
|
|
# internal chart array set....
|
|
chart.update_curve_from_array(
|
|
display_name,
|
|
shm.array,
|
|
array_key=fsp_func_name
|
|
)
|
|
|
|
chart.linked.resize_sidepanes()
|
|
|
|
# TODO: figure out if we can roll our own `FillToThreshold` to
|
|
# get brush filled polygons for OS/OB conditions.
|
|
# ``pg.FillBetweenItems`` seems to be one technique using
|
|
# generic fills between curve types while ``PlotCurveItem`` has
|
|
# logic inside ``.paint()`` for ``self.opts['fillLevel']`` which
|
|
# might be the best solution?
|
|
# graphics = chart.update_from_array(chart.name, array[fsp_func_name])
|
|
# graphics.curve.setBrush(50, 50, 200, 100)
|
|
# graphics.curve.setFillLevel(50)
|
|
|
|
if fsp_func_name == 'rsi':
|
|
from ._lines import level_line
|
|
# add moveable over-[sold/bought] lines
|
|
# and labels only for the 70/30 lines
|
|
level_line(chart, 20)
|
|
level_line(chart, 30, orient_v='top')
|
|
level_line(chart, 70, orient_v='bottom')
|
|
level_line(chart, 80, orient_v='top')
|
|
|
|
chart._set_yrange()
|
|
|
|
last = time.time()
|
|
|
|
done()
|
|
|
|
# i = 0
|
|
# update chart graphics
|
|
async for value in stream:
|
|
|
|
# chart isn't actively shown so just skip render cycle
|
|
if chart.linked.isHidden():
|
|
# print(f'{i} unseen fsp cyclce')
|
|
# i += 1
|
|
continue
|
|
|
|
now = time.time()
|
|
period = now - last
|
|
|
|
# if period <= 1/30:
|
|
if period <= 1/_clear_throttle_rate:
|
|
# faster then display refresh rate
|
|
# print(f'fsp too fast: {1/period}')
|
|
continue
|
|
|
|
# TODO: provide a read sync mechanism to avoid this polling.
|
|
# the underlying issue is that a backfill and subsequent shm
|
|
# array first/last index update could result in an empty array
|
|
# read here since the stream is never torn down on the
|
|
# re-compute steps.
|
|
read_tries = 2
|
|
while read_tries > 0:
|
|
try:
|
|
# read last
|
|
array = shm.array
|
|
value = array[-1][fsp_func_name]
|
|
break
|
|
|
|
except IndexError:
|
|
read_tries -= 1
|
|
continue
|
|
|
|
if last_val_sticky:
|
|
last_val_sticky.update_from_data(-1, value)
|
|
|
|
# update graphics
|
|
chart.update_curve_from_array(
|
|
display_name,
|
|
array,
|
|
array_key=fsp_func_name,
|
|
)
|
|
|
|
# set time of last graphics update
|
|
last = time.time()
|
|
|
|
|
|
async def check_for_new_bars(feed, ohlcv, linkedsplits):
|
|
"""Task which updates from new bars in the shared ohlcv buffer every
|
|
``delay_s`` seconds.
|
|
|
|
"""
|
|
# TODO: right now we'll spin printing bars if the last time
|
|
# stamp is before a large period of no market activity.
|
|
# Likely the best way to solve this is to make this task
|
|
# aware of the instrument's tradable hours?
|
|
|
|
price_chart = linkedsplits.chart
|
|
price_chart.default_view()
|
|
|
|
async with feed.index_stream() as stream:
|
|
async for index in stream:
|
|
# update chart historical bars graphics by incrementing
|
|
# a time step and drawing the history and new bar
|
|
|
|
# When appending a new bar, in the time between the insert
|
|
# from the writing process and the Qt render call, here,
|
|
# the index of the shm buffer may be incremented and the
|
|
# (render) call here might read the new flat bar appended
|
|
# to the buffer (since -1 index read). In that case H==L and the
|
|
# body will be set as None (not drawn) on what this render call
|
|
# *thinks* is the curent bar (even though it's reading data from
|
|
# the newly inserted flat bar.
|
|
#
|
|
# HACK: We need to therefore write only the history (not the
|
|
# current bar) and then either write the current bar manually
|
|
# or place a cursor for visual cue of the current time step.
|
|
|
|
# XXX: this puts a flat bar on the current time step
|
|
# TODO: if we eventually have an x-axis time-step "cursor"
|
|
# we can get rid of this since it is extra overhead.
|
|
price_chart.update_ohlc_from_array(
|
|
price_chart.name,
|
|
ohlcv.array,
|
|
just_history=False,
|
|
)
|
|
|
|
for name in price_chart._overlays:
|
|
|
|
price_chart.update_curve_from_array(
|
|
name,
|
|
price_chart._arrays[name]
|
|
)
|
|
|
|
for name, chart in linkedsplits.subplots.items():
|
|
chart.update_curve_from_array(
|
|
chart.name,
|
|
chart._shm.array,
|
|
array_key=chart.data_key
|
|
)
|
|
|
|
# shift the view if in follow mode
|
|
price_chart.increment_view()
|
|
|
|
|
|
def has_vlm(ohlcv: ShmArray) -> bool:
|
|
# make sure that the instrument supports volume history
|
|
# (sometimes this is not the case for some commodities and
|
|
# derivatives)
|
|
volm = ohlcv.array['volume']
|
|
return not bool(np.all(np.isin(volm, -1)) or np.all(np.isnan(volm)))
|
|
|
|
|
|
@asynccontextmanager
|
|
async def maybe_open_vlm_display(
|
|
|
|
linked: LinkedSplits,
|
|
ohlcv: ShmArray,
|
|
|
|
) -> ChartPlotWidget:
|
|
|
|
if not has_vlm(ohlcv):
|
|
log.warning(f"{linked.symbol.key} does not seem to have volume info")
|
|
else:
|
|
async with open_sidepane(
|
|
linked, {
|
|
'volume': {
|
|
'params': {
|
|
'price_func': 'ohl3'
|
|
}
|
|
}
|
|
},
|
|
) as sidepane:
|
|
|
|
# built-in $vlm
|
|
shm = ohlcv
|
|
chart = linked.add_plot(
|
|
name='volume',
|
|
array=shm.array,
|
|
|
|
array_key='volume',
|
|
sidepane=sidepane,
|
|
|
|
# curve by default
|
|
ohlc=False,
|
|
style='step',
|
|
|
|
# vertical bars, we do this internally ourselves
|
|
# stepMode=True,
|
|
)
|
|
|
|
# XXX: ONLY for sub-chart fsps, overlays have their
|
|
# data looked up from the chart's internal array set.
|
|
# TODO: we must get a data view api going STAT!!
|
|
chart._shm = shm
|
|
|
|
# should **not** be the same sub-chart widget
|
|
assert chart.name != linked.chart.name
|
|
|
|
# sticky only on sub-charts atm
|
|
last_val_sticky = chart._ysticks[chart.name]
|
|
|
|
# read from last calculated value
|
|
value = shm.array['volume'][-1]
|
|
|
|
last_val_sticky.update_from_data(-1, value)
|
|
|
|
chart.update_curve_from_array(
|
|
'volume',
|
|
shm.array,
|
|
)
|
|
|
|
# size view to data once at outset
|
|
chart._set_yrange()
|
|
|
|
# size pain to parent chart
|
|
# TODO: this appears to nearly fix a bug where the vlm sidepane
|
|
# could be sized correctly nearly immediately (since the
|
|
# order pane is already sized), right now it doesn't seem to
|
|
# fully align until the VWAP fsp-actor comes up...
|
|
await trio.sleep(0)
|
|
chart.linked.resize_sidepanes()
|
|
await trio.sleep(0)
|
|
|
|
yield chart
|
|
|
|
|
|
async def display_symbol_data(
|
|
|
|
godwidget: GodWidget,
|
|
provider: str,
|
|
sym: str,
|
|
loglevel: str,
|
|
|
|
order_mode_started: trio.Event,
|
|
|
|
) -> None:
|
|
'''Spawn a real-time updated chart for ``symbol``.
|
|
|
|
Spawned ``LinkedSplits`` chart widgets can remain up but hidden so
|
|
that multiple symbols can be viewed and switched between extremely
|
|
fast from a cached watch-list.
|
|
|
|
'''
|
|
sbar = godwidget.window.status_bar
|
|
loading_sym_key = sbar.open_status(
|
|
f'loading {sym}.{provider} ->',
|
|
group_key=True
|
|
)
|
|
|
|
# historical data fetch
|
|
brokermod = brokers.get_brokermod(provider)
|
|
|
|
# ohlc_status_done = sbar.open_status(
|
|
# 'retreiving OHLC history.. ',
|
|
# clear_on_next=True,
|
|
# group_key=loading_sym_key,
|
|
# )
|
|
|
|
async with(
|
|
open_feed(
|
|
provider,
|
|
[sym],
|
|
loglevel=loglevel,
|
|
|
|
# 60 FPS to limit context switches
|
|
tick_throttle=_clear_throttle_rate,
|
|
|
|
) as feed,
|
|
):
|
|
|
|
ohlcv: ShmArray = feed.shm
|
|
bars = ohlcv.array
|
|
symbol = feed.symbols[sym]
|
|
|
|
# load in symbol's ohlc data
|
|
godwidget.window.setWindowTitle(
|
|
f'{symbol.key}@{symbol.brokers} '
|
|
f'tick:{symbol.tick_size}'
|
|
)
|
|
|
|
linkedsplits = godwidget.linkedsplits
|
|
linkedsplits._symbol = symbol
|
|
|
|
# generate order mode side-pane UI
|
|
# A ``FieldsForm`` form to configure order entry
|
|
pp_pane: FieldsForm = mk_order_pane_layout(godwidget)
|
|
|
|
# add as next-to-y-axis singleton pane
|
|
godwidget.pp_pane = pp_pane
|
|
|
|
# create main OHLC chart
|
|
chart = linkedsplits.plot_ohlc_main(
|
|
symbol,
|
|
bars,
|
|
sidepane=pp_pane,
|
|
)
|
|
chart._feeds[symbol.key] = feed
|
|
chart.setFocus()
|
|
|
|
# plot historical vwap if available
|
|
wap_in_history = False
|
|
|
|
if brokermod._show_wap_in_history:
|
|
|
|
if 'bar_wap' in bars.dtype.fields:
|
|
wap_in_history = True
|
|
chart.draw_curve(
|
|
name='bar_wap',
|
|
data=bars,
|
|
add_label=False,
|
|
)
|
|
|
|
# size view to data once at outset
|
|
chart._set_yrange()
|
|
|
|
# TODO: a data view api that makes this less shit
|
|
chart._shm = ohlcv
|
|
|
|
# TODO: eventually we'll support some kind of n-compose syntax
|
|
fsp_conf = {
|
|
'rsi': {
|
|
'fsp_func_name': 'rsi',
|
|
'params': {'period': 14},
|
|
'chart_kwargs': {
|
|
'static_yrange': (0, 100),
|
|
},
|
|
},
|
|
}
|
|
|
|
if has_vlm(ohlcv):
|
|
# add VWAP to fsp config for downstream loading
|
|
fsp_conf.update({
|
|
'vwap': {
|
|
'fsp_func_name': 'vwap',
|
|
'overlay': True,
|
|
'anchor': 'session',
|
|
},
|
|
})
|
|
|
|
# NOTE: we must immediately tell Qt to show the OHLC chart
|
|
# to avoid a race where the subplots get added/shown to
|
|
# the linked set *before* the main price chart!
|
|
linkedsplits.show()
|
|
linkedsplits.focus()
|
|
await trio.sleep(0)
|
|
|
|
async with (
|
|
trio.open_nursery() as ln,
|
|
):
|
|
# load initial fsp chain (otherwise known as "indicators")
|
|
ln.start_soon(
|
|
fan_out_spawn_fsp_daemons,
|
|
linkedsplits,
|
|
fsp_conf,
|
|
sym,
|
|
ohlcv,
|
|
brokermod,
|
|
loading_sym_key,
|
|
loglevel,
|
|
)
|
|
|
|
# start graphics update loop(s)after receiving first live quote
|
|
ln.start_soon(
|
|
chart_from_quotes,
|
|
chart,
|
|
feed.stream,
|
|
ohlcv,
|
|
wap_in_history,
|
|
)
|
|
|
|
ln.start_soon(
|
|
check_for_new_bars,
|
|
feed,
|
|
ohlcv,
|
|
linkedsplits
|
|
)
|
|
|
|
async with (
|
|
maybe_open_vlm_display(linkedsplits, ohlcv),
|
|
open_order_mode(
|
|
feed,
|
|
chart,
|
|
symbol,
|
|
provider,
|
|
order_mode_started
|
|
)
|
|
):
|
|
await trio.sleep_forever()
|