427 lines
13 KiB
Python
427 lines
13 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Super fast OHLC sampling graphics types.
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"""
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from typing import List, Optional, Tuple
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import numpy as np
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import pyqtgraph as pg
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from numba import njit, float64, int64 # , optional
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from PyQt5 import QtCore, QtGui, QtWidgets
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from PyQt5.QtCore import QLineF, QPointF
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# from numba import types as ntypes
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# from ..data._source import numba_ohlc_dtype
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from .._profile import pg_profile_enabled
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from ._style import hcolor
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def _mk_lines_array(
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data: List,
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size: int,
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elements_step: int = 6,
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) -> np.ndarray:
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"""Create an ndarray to hold lines graphics info.
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"""
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return np.zeros_like(
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data,
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shape=(int(size), elements_step),
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dtype=object,
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)
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def lines_from_ohlc(
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row: np.ndarray,
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w: float
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) -> Tuple[QLineF]:
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open, high, low, close, index = row[
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['open', 'high', 'low', 'close', 'index']]
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# TODO: maybe consider using `QGraphicsLineItem` ??
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# gives us a ``.boundingRect()`` on the objects which may make
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# computing the composite bounding rect of the last bars + the
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# history path faster since it's done in C++:
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# https://doc.qt.io/qt-5/qgraphicslineitem.html
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# high -> low vertical (body) line
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if low != high:
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hl = QLineF(index, low, index, high)
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else:
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# XXX: if we don't do it renders a weird rectangle?
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# see below for filtering this later...
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hl = None
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# NOTE: place the x-coord start as "middle" of the drawing range such
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# that the open arm line-graphic is at the left-most-side of
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# the index's range according to the view mapping coordinates.
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# open line
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o = QLineF(index - w, open, index, open)
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# close line
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c = QLineF(index, close, index + w, close)
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return [hl, o, c]
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@njit(
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# TODO: for now need to construct this manually for readonly arrays, see
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# https://github.com/numba/numba/issues/4511
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# ntypes.Tuple((float64[:], float64[:], float64[:]))(
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# numba_ohlc_dtype[::1], # contiguous
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# int64,
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# optional(float64),
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# ),
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nogil=True
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)
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def path_arrays_from_ohlc(
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data: np.ndarray,
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start: int64,
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bar_gap: float64 = 0.43,
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) -> np.ndarray:
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"""Generate an array of lines objects from input ohlc data.
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"""
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size = int(data.shape[0] * 6)
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x = np.zeros(
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# data,
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shape=size,
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dtype=float64,
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)
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y, c = x.copy(), x.copy()
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# TODO: report bug for assert @
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# /home/goodboy/repos/piker/env/lib/python3.8/site-packages/numba/core/typing/builtins.py:991
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for i, q in enumerate(data[start:], start):
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# TODO: ask numba why this doesn't work..
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# open, high, low, close, index = q[
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# ['open', 'high', 'low', 'close', 'index']]
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open = q['open']
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high = q['high']
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low = q['low']
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close = q['close']
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index = float64(q['index'])
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istart = i * 6
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istop = istart + 6
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# x,y detail the 6 points which connect all vertexes of a ohlc bar
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x[istart:istop] = (
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index - bar_gap,
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index,
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index,
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index,
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index,
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index + bar_gap,
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)
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y[istart:istop] = (
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open,
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open,
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low,
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high,
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close,
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close,
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)
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# specifies that the first edge is never connected to the
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# prior bars last edge thus providing a small "gap"/"space"
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# between bars determined by ``bar_gap``.
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c[istart:istop] = (1, 1, 1, 1, 1, 0)
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return x, y, c
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def gen_qpath(
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data,
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start, # XXX: do we need this?
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w,
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) -> QtGui.QPainterPath:
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profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
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x, y, c = path_arrays_from_ohlc(data, start, bar_gap=w)
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profiler("generate stream with numba")
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# TODO: numba the internals of this!
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path = pg.functions.arrayToQPath(x, y, connect=c)
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profiler("generate path with arrayToQPath")
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return path
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class BarItems(pg.GraphicsObject):
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"""Price range bars graphics rendered from a OHLC sequence.
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"""
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sigPlotChanged = QtCore.pyqtSignal(object)
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# 0.5 is no overlap between arms, 1.0 is full overlap
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w: float = 0.43
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def __init__(
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self,
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# scene: 'QGraphicsScene', # noqa
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plotitem: 'pg.PlotItem', # noqa
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pen_color: str = 'bracket',
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last_bar_color: str = 'bracket',
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) -> None:
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super().__init__()
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# XXX: for the mega-lulz increasing width here increases draw
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# latency... so probably don't do it until we figure that out.
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self.bars_pen = pg.mkPen(hcolor(pen_color), width=1)
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self.last_bar_pen = pg.mkPen(hcolor(last_bar_color), width=2)
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# NOTE: this prevents redraws on mouse interaction which is
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# a huge boon for avg interaction latency.
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# TODO: one question still remaining is if this makes trasform
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# interactions slower (such as zooming) and if so maybe if/when
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# we implement a "history" mode for the view we disable this in
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# that mode?
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self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
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# not sure if this is actually impoving anything but figured it
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# was worth a shot:
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# self.path.reserve(int(100e3 * 6))
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self.path = QtGui.QPainterPath()
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self._pi = plotitem
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self._xrange: Tuple[int, int]
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self._yrange: Tuple[float, float]
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# TODO: don't render the full backing array each time
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# self._path_data = None
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self._last_bar_lines: Optional[Tuple[QLineF, ...]] = None
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# track the current length of drawable lines within the larger array
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self.start_index: int = 0
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self.stop_index: int = 0
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def draw_from_data(
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self,
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data: np.ndarray,
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start: int = 0,
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) -> QtGui.QPainterPath:
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"""Draw OHLC datum graphics from a ``np.ndarray``.
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This routine is usually only called to draw the initial history.
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"""
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hist, last = data[:-1], data[-1]
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self.path = gen_qpath(hist, start, self.w)
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# save graphics for later reference and keep track
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# of current internal "last index"
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# self.start_index = len(data)
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index = data['index']
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self._xrange = (index[0], index[-1])
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self._yrange = (
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np.nanmax(data['high']),
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np.nanmin(data['low']),
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)
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# up to last to avoid double draw of last bar
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self._last_bar_lines = lines_from_ohlc(last, self.w)
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# trigger render
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# https://doc.qt.io/qt-5/qgraphicsitem.html#update
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self.update()
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return self.path
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def update_from_array(
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self,
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array: np.ndarray,
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just_history=False,
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) -> None:
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"""Update the last datum's bar graphic from input data array.
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This routine should be interface compatible with
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``pg.PlotCurveItem.setData()``. Normally this method in
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``pyqtgraph`` seems to update all the data passed to the
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graphics object, and then update/rerender, but here we're
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assuming the prior graphics havent changed (OHLC history rarely
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does) so this "should" be simpler and faster.
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This routine should be made (transitively) as fast as possible.
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"""
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# index = self.start_index
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istart, istop = self._xrange
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index = array['index']
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first_index, last_index = index[0], index[-1]
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# length = len(array)
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prepend_length = istart - first_index
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append_length = last_index - istop
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flip_cache = False
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# TODO: allow mapping only a range of lines thus
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# only drawing as many bars as exactly specified.
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if prepend_length:
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# new history was added and we need to render a new path
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new_bars = array[:prepend_length]
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prepend_path = gen_qpath(new_bars, 0, self.w)
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# XXX: SOMETHING IS MAYBE FISHY HERE what with the old_path
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# y value not matching the first value from
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# array[prepend_length + 1] ???
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# update path
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old_path = self.path
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self.path = prepend_path
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self.path.addPath(old_path)
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# trigger redraw despite caching
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self.prepareGeometryChange()
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if append_length:
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# generate new lines objects for updatable "current bar"
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self._last_bar_lines = lines_from_ohlc(array[-1], self.w)
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# generate new graphics to match provided array
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# path appending logic:
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# we need to get the previous "current bar(s)" for the time step
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# and convert it to a sub-path to append to the historical set
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# new_bars = array[istop - 1:istop + append_length - 1]
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new_bars = array[-append_length - 1:-1]
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append_path = gen_qpath(new_bars, 0, self.w)
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self.path.moveTo(float(istop - self.w), float(new_bars[0]['open']))
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self.path.addPath(append_path)
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# trigger redraw despite caching
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self.prepareGeometryChange()
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self.setCacheMode(QtWidgets.QGraphicsItem.NoCache)
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flip_cache = True
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self._xrange = first_index, last_index
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# last bar update
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i, o, h, l, last, v = array[-1][
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['index', 'open', 'high', 'low', 'close', 'volume']
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]
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# assert i == self.start_index - 1
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# assert i == last_index
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body, larm, rarm = self._last_bar_lines
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# XXX: is there a faster way to modify this?
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rarm.setLine(rarm.x1(), last, rarm.x2(), last)
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# writer is responsible for changing open on "first" volume of bar
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larm.setLine(larm.x1(), o, larm.x2(), o)
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if l != h: # noqa
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if body is None:
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body = self._last_bar_lines[0] = QLineF(i, l, i, h)
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else:
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# update body
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body.setLine(i, l, i, h)
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# XXX: pretty sure this is causing an issue where the bar has
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# a large upward move right before the next sample and the body
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# is getting set to None since the next bar is flat but the shm
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# array index update wasn't read by the time this code runs. Iow
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# we're doing this removal of the body for a bar index that is
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# now out of date / from some previous sample. It's weird
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# though because i've seen it do this to bars i - 3 back?
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self.update()
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if flip_cache:
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self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
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def boundingRect(self):
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# Qt docs: https://doc.qt.io/qt-5/qgraphicsitem.html#boundingRect
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# TODO: Can we do rect caching to make this faster
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# like `pg.PlotCurveItem` does? In theory it's just
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# computing max/min stuff again like we do in the udpate loop
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# anyway. Not really sure it's necessary since profiling already
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# shows this method is faf.
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# boundingRect _must_ indicate the entire area that will be
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# drawn on or else we will get artifacts and possibly crashing.
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# (in this case, QPicture does all the work of computing the
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# bounding rect for us).
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# apparently this a lot faster says the docs?
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# https://doc.qt.io/qt-5/qpainterpath.html#controlPointRect
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hb = self.path.controlPointRect()
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hb_tl, hb_br = hb.topLeft(), hb.bottomRight()
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# need to include last bar height or BR will be off
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mx_y = hb_br.y()
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mn_y = hb_tl.y()
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body_line = self._last_bar_lines[0]
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if body_line:
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mx_y = max(mx_y, max(body_line.y1(), body_line.y2()))
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mn_y = min(mn_y, min(body_line.y1(), body_line.y2()))
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return QtCore.QRectF(
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# top left
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QPointF(
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hb_tl.x(),
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mn_y,
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),
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# bottom right
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QPointF(
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hb_br.x() + 1,
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mx_y,
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)
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)
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def paint(
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self,
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p: QtGui.QPainter,
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opt: QtWidgets.QStyleOptionGraphicsItem,
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w: QtWidgets.QWidget
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) -> None:
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profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
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# p.setCompositionMode(0)
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# TODO: one thing we could try here is pictures being drawn of
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# a fixed count of bars such that based on the viewbox indices we
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# only draw the "rounded up" number of "pictures worth" of bars
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# as is necesarry for what's in "view". Not sure if this will
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# lead to any perf gains other then when zoomed in to less bars
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# in view.
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p.setPen(self.last_bar_pen)
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p.drawLines(*tuple(filter(bool, self._last_bar_lines)))
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profiler('draw last bar')
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p.setPen(self.bars_pen)
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p.drawPath(self.path)
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profiler('draw history path')
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