966 lines
27 KiB
Python
966 lines
27 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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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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FSP UI and graphics components.
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Financial signal processing cluster and real-time graphics management.
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'''
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from contextlib import asynccontextmanager as acm
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from functools import partial
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import inspect
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from itertools import cycle
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from typing import Optional, AsyncGenerator, Any
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import numpy as np
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from pydantic import create_model
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import tractor
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import pyqtgraph as pg
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import trio
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from trio_typing import TaskStatus
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from ._axes import PriceAxis
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from .._cacheables import maybe_open_context
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from ..calc import humanize
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from ..data._sharedmem import (
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ShmArray,
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_Token,
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try_read,
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)
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from ._chart import (
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ChartPlotWidget,
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LinkedSplits,
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)
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from ._forms import (
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FieldsForm,
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mk_form,
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open_form_input_handling,
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)
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from ..fsp._api import maybe_mk_fsp_shm, Fsp
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from ..fsp import cascade
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from ..fsp._volume import (
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tina_vwap,
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dolla_vlm,
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flow_rates,
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)
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from ..log import get_logger
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log = get_logger(__name__)
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def has_vlm(ohlcv: ShmArray) -> bool:
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# make sure that the instrument supports volume history
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# (sometimes this is not the case for some commodities and
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# derivatives)
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vlm = ohlcv.array['volume']
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return not bool(np.all(np.isin(vlm, -1)) or np.all(np.isnan(vlm)))
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def update_fsp_chart(
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chart: ChartPlotWidget,
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flow,
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graphics_name: str,
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array_key: Optional[str],
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**kwargs,
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) -> None:
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shm = flow.shm
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if not shm:
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return
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array = shm.array
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last_row = try_read(array)
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# guard against unreadable case
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if not last_row:
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log.warning(f'Read-race on shm array: {graphics_name}@{shm.token}')
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return
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# update graphics
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# NOTE: this does a length check internally which allows it
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# staying above the last row check below..
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chart.update_graphics_from_flow(
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graphics_name,
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array_key=array_key or graphics_name,
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**kwargs,
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)
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# XXX: re: ``array_key``: fsp func names must be unique meaning we
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# can't have duplicates of the underlying data even if multiple
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# sub-charts reference it under different 'named charts'.
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# read from last calculated value and update any label
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last_val_sticky = chart._ysticks.get(graphics_name)
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if last_val_sticky:
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last = last_row[array_key]
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last_val_sticky.update_from_data(-1, last)
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@acm
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async def open_fsp_sidepane(
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linked: LinkedSplits,
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conf: dict[str, dict[str, str]],
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) -> FieldsForm:
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schema = {}
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assert len(conf) == 1 # for now
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# add (single) selection widget
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for name, config in conf.items():
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schema[name] = {
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'label': '**fsp**:',
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'type': 'select',
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'default_value': [name],
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}
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# add parameters for selection "options"
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params = config.get('params', {})
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for name, config in params.items():
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default = config['default_value']
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kwargs = config.get('widget_kwargs', {})
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# add to ORM schema
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schema.update({
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name: {
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'label': f'**{name}**:',
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'type': 'edit',
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'default_value': default,
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'kwargs': kwargs,
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},
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})
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sidepane: FieldsForm = mk_form(
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parent=linked.godwidget,
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fields_schema=schema,
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)
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# https://pydantic-docs.helpmanual.io/usage/models/#dynamic-model-creation
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FspConfig = create_model(
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'FspConfig',
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name=name,
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**params,
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)
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sidepane.model = FspConfig()
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# just a logger for now until we get fsp configs up and running.
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async def settings_change(
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key: str,
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value: str
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) -> bool:
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print(f'{key}: {value}')
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return True
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# TODO:
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async with (
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open_form_input_handling(
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sidepane,
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focus_next=linked.godwidget,
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on_value_change=settings_change,
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)
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):
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yield sidepane
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@acm
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async def open_fsp_actor_cluster(
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names: list[str] = ['fsp_0', 'fsp_1'],
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) -> AsyncGenerator[int, dict[str, tractor.Portal]]:
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from tractor._clustering import open_actor_cluster
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# profiler = pg.debug.Profiler(
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# delayed=False,
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# disabled=False
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# )
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async with open_actor_cluster(
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count=2,
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names=names,
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modules=['piker.fsp._engine'],
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) as cluster_map:
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# profiler('started fsp cluster')
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yield cluster_map
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async def run_fsp_ui(
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linkedsplits: LinkedSplits,
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shm: ShmArray,
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started: trio.Event,
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target: Fsp,
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conf: dict[str, dict],
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loglevel: str,
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# profiler: pg.debug.Profiler,
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# _quote_throttle_rate: int = 58,
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) -> None:
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'''
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Taskf for UI spawning around a ``LinkedSplits`` chart for fsp
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related graphics/UX management.
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This is normally spawned/called once for each entry in the fsp
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config.
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'''
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name = target.name
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# profiler(f'started UI task for fsp: {name}')
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async with (
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# side UI for parameters/controls
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open_fsp_sidepane(
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linkedsplits,
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{name: conf},
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) as sidepane,
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):
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await started.wait()
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# profiler(f'fsp:{name} attached to fsp ctx-stream')
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overlay_with = conf.get('overlay', False)
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if overlay_with:
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if overlay_with == 'ohlc':
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chart = linkedsplits.chart
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else:
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chart = linkedsplits.subplots[overlay_with]
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chart.draw_curve(
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name=name,
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shm=shm,
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overlay=True,
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color='default_light',
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array_key=name,
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**conf.get('chart_kwargs', {})
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)
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else:
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# create a new sub-chart widget for this fsp
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chart = linkedsplits.add_plot(
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name=name,
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shm=shm,
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array_key=name,
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sidepane=sidepane,
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# curve by default
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ohlc=False,
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# settings passed down to ``ChartPlotWidget``
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**conf.get('chart_kwargs', {})
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)
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# should **not** be the same sub-chart widget
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assert chart.name != linkedsplits.chart.name
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array_key = name
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# profiler(f'fsp:{name} chart created')
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# first UI update, usually from shm pushed history
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update_fsp_chart(
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chart,
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chart._flows[array_key],
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name,
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array_key=array_key,
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)
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chart.linked.focus()
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# TODO: figure out if we can roll our own `FillToThreshold` to
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# get brush filled polygons for OS/OB conditions.
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# ``pg.FillBetweenItems`` seems to be one technique using
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# generic fills between curve types while ``PlotCurveItem`` has
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# logic inside ``.paint()`` for ``self.opts['fillLevel']`` which
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# might be the best solution?
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# graphics = chart.update_from_array(chart.name, array[name])
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# graphics.curve.setBrush(50, 50, 200, 100)
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# graphics.curve.setFillLevel(50)
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# if func_name == 'rsi':
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# from ._lines import level_line
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# # add moveable over-[sold/bought] lines
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# # and labels only for the 70/30 lines
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# level_line(chart, 20)
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# level_line(chart, 30, orient_v='top')
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# level_line(chart, 70, orient_v='bottom')
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# level_line(chart, 80, orient_v='top')
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chart.view._set_yrange()
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# done() # status updates
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# profiler(f'fsp:{func_name} starting update loop')
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# profiler.finish()
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# update chart graphics
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# last = time.time()
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# XXX: this currently doesn't loop since
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# the FSP engine does **not** push updates atm
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# since we do graphics update in the main loop
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# in ``._display.
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# async for value in stream:
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# print(value)
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# # chart isn't actively shown so just skip render cycle
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# if chart.linked.isHidden():
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# continue
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# else:
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# now = time.time()
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# period = now - last
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# if period <= 1/_quote_throttle_rate:
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# # faster then display refresh rate
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# print(f'fsp too fast: {1/period}')
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# continue
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# # run synchronous update
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# update_fsp_chart(
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# chart,
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# shm,
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# display_name,
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# array_key=func_name,
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# )
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# # set time of last graphics update
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# last = time.time()
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class FspAdmin:
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'''
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Client API for orchestrating FSP actors and displaying
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real-time graphics output.
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'''
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def __init__(
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self,
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tn: trio.Nursery,
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cluster: dict[str, tractor.Portal],
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linked: LinkedSplits,
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src_shm: ShmArray,
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) -> None:
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self.tn = tn
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self.cluster = cluster
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self.linked = linked
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self._rr_next_actor = cycle(cluster.items())
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self._registry: dict[
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tuple,
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tuple[tractor.MsgStream, ShmArray]
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] = {}
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self._flow_registry: dict[_Token, str] = {}
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self.src_shm = src_shm
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def rr_next_portal(self) -> tractor.Portal:
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name, portal = next(self._rr_next_actor)
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return portal
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async def open_chain(
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self,
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portal: tractor.Portal,
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complete: trio.Event,
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started: trio.Event,
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fqsn: str,
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dst_shm: ShmArray,
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conf: dict,
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target: Fsp,
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loglevel: str,
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) -> None:
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'''
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Task which opens a remote FSP endpoint in the managed
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cluster and sleeps until signalled to exit.
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'''
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ns_path = str(target.ns_path)
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async with (
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portal.open_context(
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# chaining entrypoint
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cascade,
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# data feed key
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fqsn=fqsn,
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# mems
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src_shm_token=self.src_shm.token,
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dst_shm_token=dst_shm.token,
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# target
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ns_path=ns_path,
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loglevel=loglevel,
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zero_on_step=conf.get('zero_on_step', False),
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shm_registry=[
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(token.as_msg(), fsp_name, dst_token.as_msg())
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for (token, fsp_name), dst_token
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in self._flow_registry.items()
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],
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) as (ctx, last_index),
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ctx.open_stream() as stream,
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):
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# register output data
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self._registry[
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(fqsn, ns_path)
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] = (
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stream,
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dst_shm,
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complete
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)
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started.set()
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# wait for graceful shutdown signal
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async with stream.subscribe() as stream:
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async for msg in stream:
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if msg == 'update':
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# if the chart isn't hidden try to update
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# the data on screen.
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if not self.linked.isHidden():
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log.info(f'Re-syncing graphics for fsp: {ns_path}')
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self.linked.graphics_cycle(trigger_all=True)
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else:
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log.info(f'recved unexpected fsp engine msg: {msg}')
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await complete.wait()
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async def start_engine_task(
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self,
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target: Fsp,
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conf: dict[str, dict[str, Any]],
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worker_name: Optional[str] = None,
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loglevel: str = 'info',
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) -> (ShmArray, trio.Event):
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fqsn = self.linked.symbol.front_fqsn()
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# allocate an output shm array
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key, dst_shm, opened = maybe_mk_fsp_shm(
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fqsn,
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target=target,
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readonly=True,
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)
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self._flow_registry[
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(self.src_shm._token, target.name)
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] = dst_shm._token
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# if not opened:
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# raise RuntimeError(
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# f'Already started FSP `{fqsn}:{func_name}`'
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# )
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portal = self.cluster.get(worker_name) or self.rr_next_portal()
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complete = trio.Event()
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started = trio.Event()
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self.tn.start_soon(
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self.open_chain,
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portal,
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complete,
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started,
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fqsn,
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dst_shm,
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conf,
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target,
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loglevel,
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)
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return dst_shm, started
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async def open_fsp_chart(
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self,
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target: Fsp,
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conf: dict, # yeah probably dumb..
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loglevel: str = 'error',
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) -> (trio.Event, ChartPlotWidget):
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shm, started = await self.start_engine_task(
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target,
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conf,
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loglevel,
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)
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# init async
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self.tn.start_soon(
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partial(
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run_fsp_ui,
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self.linked,
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shm,
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started,
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target,
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conf=conf,
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loglevel=loglevel,
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)
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)
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return started
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@acm
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async def open_fsp_admin(
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linked: LinkedSplits,
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src_shm: ShmArray,
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**kwargs,
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) -> AsyncGenerator[dict, dict[str, tractor.Portal]]:
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async with (
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maybe_open_context(
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# for now make a cluster per client?
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acm_func=open_fsp_actor_cluster,
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kwargs=kwargs,
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) as (cache_hit, cluster_map),
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trio.open_nursery() as tn,
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):
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if cache_hit:
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log.info('re-using existing fsp cluster')
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admin = FspAdmin(
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tn,
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cluster_map,
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linked,
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src_shm,
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)
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try:
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yield admin
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finally:
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# terminate all tasks via signals
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for key, entry in admin._registry.items():
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_, _, event = entry
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event.set()
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async def open_vlm_displays(
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linked: LinkedSplits,
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ohlcv: ShmArray,
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dvlm: bool = True,
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task_status: TaskStatus[ChartPlotWidget] = trio.TASK_STATUS_IGNORED,
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) -> ChartPlotWidget:
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'''
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Volume subchart displays.
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Since "volume" is often included directly alongside OHLCV price
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data, we don't really need a separate FSP-actor + shm array for it
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since it's likely already directly adjacent to OHLC samples from the
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data provider.
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Further only if volume data is detected (it sometimes isn't provided
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eg. forex, certain commodities markets) will volume dependent FSPs
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be spawned here.
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'''
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sig = inspect.signature(flow_rates.func)
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params = sig.parameters
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async with (
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open_fsp_sidepane(
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linked, {
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'flows': {
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|
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# TODO: add support for dynamically changing these
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'params': {
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u'\u03BC' + '_type': {
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'default_value': str(params['mean_type'].default),
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},
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'period': {
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'default_value': str(params['period'].default),
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# make widget un-editable for now.
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'widget_kwargs': {'readonly': True},
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},
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},
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}
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},
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) as sidepane,
|
|
open_fsp_admin(linked, ohlcv) as admin,
|
|
):
|
|
# TODO: support updates
|
|
# period_field = sidepane.fields['period']
|
|
# period_field.setText(
|
|
# str(period_param.default)
|
|
# )
|
|
|
|
# built-in vlm which we plot ASAP since it's
|
|
# usually data provided directly with OHLC history.
|
|
shm = ohlcv
|
|
chart = linked.add_plot(
|
|
name='volume',
|
|
shm=shm,
|
|
|
|
array_key='volume',
|
|
sidepane=sidepane,
|
|
|
|
# curve by default
|
|
ohlc=False,
|
|
|
|
# Draw vertical bars from zero.
|
|
# we do this internally ourselves since
|
|
# the curve item internals are pretty convoluted.
|
|
style='step',
|
|
)
|
|
|
|
# force 0 to always be in view
|
|
def maxmin(
|
|
names: list[str],
|
|
|
|
) -> tuple[float, float]:
|
|
|
|
mx = 0
|
|
for name in names:
|
|
|
|
mxmn = chart.maxmin(name=name)
|
|
if mxmn:
|
|
ymax = mxmn[1]
|
|
if ymax > mx:
|
|
mx = ymax
|
|
|
|
return 0, mx
|
|
|
|
chart.view.maxmin = partial(maxmin, names=['volume'])
|
|
|
|
# TODO: fix the x-axis label issue where if you put
|
|
# the axis on the left it's totally not lined up...
|
|
# show volume units value on LHS (for dinkus)
|
|
# chart.hideAxis('right')
|
|
# chart.showAxis('left')
|
|
|
|
# send back new chart to caller
|
|
task_status.started(chart)
|
|
|
|
# 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)
|
|
|
|
vlm_curve = chart.update_graphics_from_flow(
|
|
'volume',
|
|
# shm.array,
|
|
)
|
|
|
|
# size view to data once at outset
|
|
chart.view._set_yrange()
|
|
|
|
# add axis title
|
|
axis = chart.getAxis('right')
|
|
axis.set_title(' vlm')
|
|
|
|
if dvlm:
|
|
|
|
tasks_ready = []
|
|
# spawn and overlay $ vlm on the same subchart
|
|
dvlm_shm, started = await admin.start_engine_task(
|
|
dolla_vlm,
|
|
|
|
{ # fsp engine conf
|
|
'func_name': 'dolla_vlm',
|
|
'zero_on_step': True,
|
|
'params': {
|
|
'price_func': {
|
|
'default_value': 'chl3',
|
|
},
|
|
},
|
|
},
|
|
# loglevel,
|
|
)
|
|
tasks_ready.append(started)
|
|
|
|
# FIXME: we should error on starting the same fsp right
|
|
# since it might collide with existing shm.. or wait we
|
|
# had this before??
|
|
# dolla_vlm,
|
|
|
|
tasks_ready.append(started)
|
|
# profiler(f'created shm for fsp actor: {display_name}')
|
|
|
|
# wait for all engine tasks to startup
|
|
async with trio.open_nursery() as n:
|
|
for event in tasks_ready:
|
|
n.start_soon(event.wait)
|
|
|
|
# dolla vlm overlay
|
|
# XXX: the main chart already contains a vlm "units" axis
|
|
# so here we add an overlay wth a y-range in
|
|
# $ liquidity-value units (normally a fiat like USD).
|
|
dvlm_pi = chart.overlay_plotitem(
|
|
'dolla_vlm',
|
|
index=0, # place axis on inside (nearest to chart)
|
|
axis_title=' $vlm',
|
|
axis_side='right',
|
|
axis_kwargs={
|
|
'typical_max_str': ' 100.0 M ',
|
|
'formatter': partial(
|
|
humanize,
|
|
digits=2,
|
|
),
|
|
},
|
|
)
|
|
|
|
# all to be overlayed curve names
|
|
fields = [
|
|
'dolla_vlm',
|
|
'dark_vlm',
|
|
]
|
|
dvlm_rate_fields = [
|
|
'dvlm_rate',
|
|
'dark_dvlm_rate',
|
|
]
|
|
trade_rate_fields = [
|
|
'trade_rate',
|
|
'dark_trade_rate',
|
|
]
|
|
|
|
group_mxmn = partial(
|
|
maxmin,
|
|
# keep both regular and dark vlm in view
|
|
names=fields + dvlm_rate_fields,
|
|
)
|
|
|
|
# add custom auto range handler
|
|
dvlm_pi.vb._maxmin = group_mxmn
|
|
|
|
# use slightly less light (then bracket) gray
|
|
# for volume from "main exchange" and a more "bluey"
|
|
# gray for "dark" vlm.
|
|
vlm_color = 'i3'
|
|
dark_vlm_color = 'charcoal'
|
|
|
|
# add dvlm (step) curves to common view
|
|
def chart_curves(
|
|
names: list[str],
|
|
pi: pg.PlotItem,
|
|
shm: ShmArray,
|
|
step_mode: bool = False,
|
|
style: str = 'solid',
|
|
|
|
) -> None:
|
|
for name in names:
|
|
if 'dark' in name:
|
|
color = dark_vlm_color
|
|
elif 'rate' in name:
|
|
color = vlm_color
|
|
else:
|
|
color = 'bracket'
|
|
|
|
curve, _ = chart.draw_curve(
|
|
name=name,
|
|
shm=shm,
|
|
array_key=name,
|
|
overlay=pi,
|
|
color=color,
|
|
step_mode=step_mode,
|
|
style=style,
|
|
pi=pi,
|
|
)
|
|
|
|
# TODO: we need a better API to do this..
|
|
# specially store ref to shm for lookup in display loop
|
|
# since only a placeholder of `None` is entered in
|
|
# ``.draw_curve()``.
|
|
flow = chart._flows[name]
|
|
assert flow.plot is pi
|
|
|
|
chart_curves(
|
|
fields,
|
|
dvlm_pi,
|
|
dvlm_shm,
|
|
step_mode=True,
|
|
)
|
|
|
|
# spawn flow rates fsp **ONLY AFTER** the 'dolla_vlm' fsp is
|
|
# up since this one depends on it.
|
|
|
|
fr_shm, started = await admin.start_engine_task(
|
|
flow_rates,
|
|
{ # fsp engine conf
|
|
'func_name': 'flow_rates',
|
|
'zero_on_step': False,
|
|
},
|
|
# loglevel,
|
|
)
|
|
await started.wait()
|
|
|
|
chart_curves(
|
|
dvlm_rate_fields,
|
|
dvlm_pi,
|
|
fr_shm,
|
|
)
|
|
|
|
# TODO: is there a way to "sync" the dual axes such that only
|
|
# one curve is needed?
|
|
# hide the original vlm curve since the $vlm one is now
|
|
# displayed and the curves are effectively the same minus
|
|
# liquidity events (well at least on low OHLC periods - 1s).
|
|
vlm_curve.hide()
|
|
chart.removeItem(vlm_curve)
|
|
vflow = chart._flows['volume']
|
|
vflow.render = False
|
|
|
|
# avoid range sorting on volume once disabled
|
|
chart.view.disable_auto_yrange()
|
|
|
|
# Trade rate overlay
|
|
# XXX: requires an additional overlay for
|
|
# a trades-per-period (time) y-range.
|
|
tr_pi = chart.overlay_plotitem(
|
|
'trade_rates',
|
|
|
|
# TODO: dynamically update period (and thus this axis?)
|
|
# title from user input.
|
|
axis_title='clears',
|
|
|
|
axis_side='left',
|
|
axis_kwargs={
|
|
'typical_max_str': ' 10.0 M ',
|
|
'formatter': partial(
|
|
humanize,
|
|
digits=2,
|
|
),
|
|
'text_color': vlm_color,
|
|
},
|
|
|
|
)
|
|
# add custom auto range handler
|
|
tr_pi.vb.maxmin = partial(
|
|
maxmin,
|
|
# keep both regular and dark vlm in view
|
|
names=trade_rate_fields,
|
|
)
|
|
|
|
chart_curves(
|
|
trade_rate_fields,
|
|
tr_pi,
|
|
fr_shm,
|
|
# step_mode=True,
|
|
|
|
# dashed line to represent "individual trades" being
|
|
# more "granular" B)
|
|
style='dash',
|
|
)
|
|
|
|
for pi in (
|
|
dvlm_pi,
|
|
tr_pi,
|
|
):
|
|
for name, axis_info in pi.axes.items():
|
|
# lol this sux XD
|
|
axis = axis_info['item']
|
|
if isinstance(axis, PriceAxis):
|
|
axis.size_to_values()
|
|
|
|
# built-in vlm fsps
|
|
for target, conf in {
|
|
# tina_vwap: {
|
|
# 'overlay': 'ohlc', # overlays with OHLCV (main) chart
|
|
# 'anchor': 'session',
|
|
# },
|
|
}.items():
|
|
started = await admin.open_fsp_chart(
|
|
target,
|
|
conf,
|
|
)
|
|
|
|
|
|
async def start_fsp_displays(
|
|
|
|
linked: LinkedSplits,
|
|
ohlcv: ShmArray,
|
|
group_status_key: str,
|
|
loglevel: str,
|
|
|
|
) -> None:
|
|
'''
|
|
Create fsp charts from a config input attached to a local actor
|
|
compute cluster.
|
|
|
|
Pass target entrypoint and historical data via ``ShmArray``.
|
|
|
|
'''
|
|
linked.focus()
|
|
|
|
# TODO: eventually we'll support some kind of n-compose syntax
|
|
fsp_conf = {
|
|
# 'rsi': {
|
|
# 'func_name': 'rsi', # literal python func ref lookup name
|
|
|
|
# # map of parameters to place on the fsp sidepane widget
|
|
# # which should map to dynamic inputs available to the
|
|
# # fsp function at runtime.
|
|
# 'params': {
|
|
# 'period': {
|
|
# 'default_value': 14,
|
|
# 'widget_kwargs': {'readonly': True},
|
|
# },
|
|
# },
|
|
|
|
# # ``ChartPlotWidget`` options passthrough
|
|
# 'chart_kwargs': {
|
|
# 'static_yrange': (0, 100),
|
|
# },
|
|
# },
|
|
}
|
|
profiler = pg.debug.Profiler(
|
|
delayed=False,
|
|
disabled=False
|
|
)
|
|
|
|
async with (
|
|
|
|
# NOTE: this admin internally opens an actor cluster
|
|
open_fsp_admin(linked, ohlcv) as admin,
|
|
):
|
|
statuses = []
|
|
for target, conf in fsp_conf.items():
|
|
started = await admin.open_fsp_chart(
|
|
target,
|
|
conf,
|
|
)
|
|
done = linked.window().status_bar.open_status(
|
|
f'loading fsp, {target}..',
|
|
group_key=group_status_key,
|
|
)
|
|
statuses.append((started, done))
|
|
|
|
for fsp_loaded, status_cb in statuses:
|
|
await fsp_loaded.wait()
|
|
profiler(f'attached to fsp portal: {target}')
|
|
status_cb()
|
|
|
|
# blocks on nursery until all fsp actors complete
|