1111 lines
34 KiB
Python
1111 lines
34 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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High level Qt chart widgets.
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"""
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from typing import Tuple, Dict, Any, Optional
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from functools import partial
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from PyQt5 import QtCore, QtGui
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import numpy as np
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import pyqtgraph as pg
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import tractor
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import trio
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from ._axes import (
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DynamicDateAxis,
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PriceAxis,
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)
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from ._graphics import (
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CrossHair,
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ContentsLabel,
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BarItems,
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level_line,
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L1Labels,
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)
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from ._axes import YSticky
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from ._style import (
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_font,
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hcolor,
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CHART_MARGINS,
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_xaxis_at,
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_min_points_to_show,
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_bars_from_right_in_follow_mode,
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_bars_to_left_in_follow_mode,
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)
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from ..data._source import Symbol, float_digits
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from .. import brokers
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from .. import data
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from ..data import maybe_open_shm_array
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from ..log import get_logger
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from ._exec import run_qtractor, current_screen
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from ._interaction import ChartView
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from .. import fsp
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log = get_logger(__name__)
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class ChartSpace(QtGui.QWidget):
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"""High level widget which contains layouts for organizing
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lower level charts as well as other widgets used to control
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or modify them.
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"""
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def __init__(self, parent=None):
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super().__init__(parent)
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self.v_layout = QtGui.QVBoxLayout(self)
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self.v_layout.setContentsMargins(0, 0, 0, 0)
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self.v_layout.setSpacing(0)
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self.toolbar_layout = QtGui.QHBoxLayout()
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self.toolbar_layout.setContentsMargins(0, 0, 0, 0)
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self.h_layout = QtGui.QHBoxLayout()
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self.h_layout.setContentsMargins(0, 0, 0, 0)
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# self.init_timeframes_ui()
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# self.init_strategy_ui()
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self.v_layout.addLayout(self.toolbar_layout)
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self.v_layout.addLayout(self.h_layout)
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self._chart_cache = {}
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self.symbol_label: Optional[QtGui.QLabel] = None
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def init_search(self):
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self.symbol_label = label = QtGui.QLabel()
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label.setTextFormat(3) # markdown
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label.setFont(_font.font)
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label.setMargin(0)
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# title = f'sym: {self.symbol}'
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# label.setText(title)
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label.setAlignment(
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QtCore.Qt.AlignVCenter
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| QtCore.Qt.AlignLeft
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)
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self.v_layout.addWidget(label)
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def init_timeframes_ui(self):
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self.tf_layout = QtGui.QHBoxLayout()
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self.tf_layout.setSpacing(0)
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self.tf_layout.setContentsMargins(0, 12, 0, 0)
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time_frames = ('1M', '5M', '15M', '30M', '1H', '1D', '1W', 'MN')
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btn_prefix = 'TF'
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for tf in time_frames:
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btn_name = ''.join([btn_prefix, tf])
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btn = QtGui.QPushButton(tf)
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# TODO:
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btn.setEnabled(False)
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setattr(self, btn_name, btn)
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self.tf_layout.addWidget(btn)
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self.toolbar_layout.addLayout(self.tf_layout)
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# XXX: strat loader/saver that we don't need yet.
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# def init_strategy_ui(self):
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# self.strategy_box = StrategyBoxWidget(self)
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# self.toolbar_layout.addWidget(self.strategy_box)
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def load_symbol(
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self,
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symbol: str,
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data: np.ndarray,
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) -> None:
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"""Load a new contract into the charting app.
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"""
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# XXX: let's see if this causes mem problems
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self.window.setWindowTitle(f'piker chart {symbol}')
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# TODO: symbol search
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# # of course this doesn't work :eyeroll:
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# h = _font.boundingRect('Ag').height()
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# print(f'HEIGHT {h}')
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# self.symbol_label.setFixedHeight(h + 4)
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# self.v_layout.update()
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# self.symbol_label.setText(f'/`{symbol}`')
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linkedcharts = self._chart_cache.setdefault(
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symbol,
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LinkedSplitCharts()
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)
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s = Symbol(key=symbol)
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# remove any existing plots
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if not self.v_layout.isEmpty():
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self.v_layout.removeWidget(linkedcharts)
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main_chart = linkedcharts.plot_main(s, data)
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self.v_layout.addWidget(linkedcharts)
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return linkedcharts, main_chart
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# TODO: add signalling painter system
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# def add_signals(self):
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# self.chart.add_signals()
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class LinkedSplitCharts(QtGui.QWidget):
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"""Widget that holds a central chart plus derived
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subcharts computed from the original data set apart
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by splitters for resizing.
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A single internal references to the data is maintained
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for each chart and can be updated externally.
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"""
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long_pen = pg.mkPen('#006000')
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long_brush = pg.mkBrush('#00ff00')
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short_pen = pg.mkPen('#600000')
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short_brush = pg.mkBrush('#ff0000')
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zoomIsDisabled = QtCore.pyqtSignal(bool)
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def __init__(self):
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super().__init__()
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self.signals_visible: bool = False
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self._array: np.ndarray = None # main data source
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self._ch: CrossHair = None # crosshair graphics
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self.chart: ChartPlotWidget = None # main (ohlc) chart
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self.subplots: Dict[Tuple[str, ...], ChartPlotWidget] = {}
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self.xaxis = DynamicDateAxis(
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orientation='bottom',
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linked_charts=self
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)
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self.xaxis_ind = DynamicDateAxis(
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orientation='bottom',
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linked_charts=self
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)
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# if _xaxis_at == 'bottom':
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# self.xaxis.setStyle(showValues=False)
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# self.xaxis.hide()
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# else:
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# self.xaxis_ind.setStyle(showValues=False)
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# self.xaxis.hide()
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self.splitter = QtGui.QSplitter(QtCore.Qt.Vertical)
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self.splitter.setMidLineWidth(2)
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self.splitter.setHandleWidth(0)
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self.layout = QtGui.QVBoxLayout(self)
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self.layout.setContentsMargins(0, 0, 0, 0)
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self.layout.addWidget(self.splitter)
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def set_split_sizes(
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self,
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prop: float = 0.28 # proportion allocated to consumer subcharts
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) -> None:
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"""Set the proportion of space allocated for linked subcharts.
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"""
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major = 1 - prop
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min_h_ind = int((self.height() * prop) / len(self.subplots))
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sizes = [int(self.height() * major)]
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sizes.extend([min_h_ind] * len(self.subplots))
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self.splitter.setSizes(sizes) # , int(self.height()*0.2)
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def plot_main(
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self,
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symbol: Symbol,
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array: np.ndarray,
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ohlc: bool = True,
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) -> 'ChartPlotWidget':
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"""Start up and show main (price) chart and all linked subcharts.
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"""
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self.digits = symbol.digits()
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# TODO: this should eventually be a view onto shared mem or some
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# higher level type / API
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self._array = array
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# add crosshairs
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self._ch = CrossHair(
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linkedsplitcharts=self,
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digits=self.digits
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)
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self.chart = self.add_plot(
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name=symbol.key,
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array=array,
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xaxis=self.xaxis,
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ohlc=True,
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_is_main=True,
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)
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# add crosshair graphic
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self.chart.addItem(self._ch)
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if _xaxis_at == 'bottom':
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self.chart.hideAxis('bottom')
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# style?
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self.chart.setFrameStyle(QtGui.QFrame.StyledPanel | QtGui.QFrame.Plain)
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return self.chart
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def add_plot(
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self,
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name: str,
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array: np.ndarray,
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xaxis: DynamicDateAxis = None,
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ohlc: bool = False,
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_is_main: bool = False,
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**cpw_kwargs,
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) -> 'ChartPlotWidget':
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"""Add (sub)plots to chart widget by name.
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If ``name`` == ``"main"`` the chart will be the the primary view.
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"""
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if self.chart is None and not _is_main:
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raise RuntimeError(
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"A main plot must be created first with `.plot_main()`")
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# source of our custom interactions
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cv = ChartView()
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cv.linked_charts = self
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# use "indicator axis" by default
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xaxis = self.xaxis_ind if xaxis is None else xaxis
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cpw = ChartPlotWidget(
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array=array,
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parent=self.splitter,
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axisItems={
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'bottom': xaxis,
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'right': PriceAxis(linked_charts=self)
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},
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viewBox=cv,
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cursor=self._ch,
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**cpw_kwargs,
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)
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# this name will be used to register the primary
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# graphics curve managed by the subchart
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cpw.name = name
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cpw.plotItem.vb.linked_charts = self
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cpw.setFrameStyle(QtGui.QFrame.StyledPanel) # | QtGui.QFrame.Plain)
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cpw.hideButtons()
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# XXX: gives us outline on backside of y-axis
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cpw.getPlotItem().setContentsMargins(*CHART_MARGINS)
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# link chart x-axis to main quotes chart
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cpw.setXLink(self.chart)
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# add to cross-hair's known plots
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self._ch.add_plot(cpw)
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# draw curve graphics
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if ohlc:
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cpw.draw_ohlc(name, array)
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else:
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cpw.draw_curve(name, array)
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if not _is_main:
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# track by name
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self.subplots[name] = cpw
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# scale split regions
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self.set_split_sizes()
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# XXX: we need this right?
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# self.splitter.addWidget(cpw)
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return cpw
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class ChartPlotWidget(pg.PlotWidget):
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"""``GraphicsView`` subtype containing a single ``PlotItem``.
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- The added methods allow for plotting OHLC sequences from
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``np.ndarray``s with appropriate field names.
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- Overrides a ``pyqtgraph.PlotWidget`` (a ``GraphicsView`` containing
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a single ``PlotItem``) to intercept and and re-emit mouse enter/exit
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events.
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(Could be replaced with a ``pg.GraphicsLayoutWidget`` if we
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eventually want multiple plots managed together?)
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"""
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sig_mouse_leave = QtCore.Signal(object)
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sig_mouse_enter = QtCore.Signal(object)
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# TODO: can take a ``background`` color setting - maybe there's
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# a better one?
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def __init__(
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self,
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# the data view we generate graphics from
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array: np.ndarray,
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static_yrange: Optional[Tuple[float, float]] = None,
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cursor: Optional[CrossHair] = None,
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**kwargs,
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):
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"""Configure chart display settings.
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"""
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super().__init__(
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background=hcolor('papas_special'),
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# parent=None,
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# plotItem=None,
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# antialias=True,
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**kwargs
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)
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# self.setViewportMargins(0, 0, 0, 0)
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self._array = array # readonly view of data
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self._graphics = {} # registry of underlying graphics
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self._overlays = {} # registry of overlay curves
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self._labels = {} # registry of underlying graphics
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self._ysticks = {} # registry of underlying graphics
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self._vb = self.plotItem.vb
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self._static_yrange = static_yrange # for "known y-range style"
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self._view_mode: str = 'follow'
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self._cursor = cursor # placehold for mouse
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# show only right side axes
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self.hideAxis('left')
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self.showAxis('right')
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# show background grid
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self.showGrid(x=True, y=True, alpha=0.5)
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# use cross-hair for cursor?
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# self.setCursor(QtCore.Qt.CrossCursor)
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# Assign callback for rescaling y-axis automatically
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# based on data contents and ``ViewBox`` state.
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self.sigXRangeChanged.connect(self._set_yrange)
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# for mouse wheel which doesn't seem to emit XRangeChanged
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self._vb.sigRangeChangedManually.connect(self._set_yrange)
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# for when the splitter(s) are resized
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self._vb.sigResized.connect(self._set_yrange)
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def last_bar_in_view(self) -> bool:
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self._array[-1]['index']
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def update_contents_labels(self, index: int) -> None:
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if index >= 0 and index < len(self._array):
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array = self._array
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for name, (label, update) in self._labels.items():
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update(index, array)
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def _set_xlimits(
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self,
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xfirst: int,
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xlast: int
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) -> None:
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"""Set view limits (what's shown in the main chart "pane")
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based on max/min x/y coords.
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"""
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self.setLimits(
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xMin=xfirst,
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xMax=xlast,
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minXRange=_min_points_to_show,
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)
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def view_range(self) -> Tuple[int, int]:
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vr = self.viewRect()
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return int(vr.left()), int(vr.right())
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def bars_range(self) -> Tuple[int, int, int, int]:
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"""Return a range tuple for the bars present in view.
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"""
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l, r = self.view_range()
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lbar = max(l, 0)
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rbar = min(r, len(self._array))
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return l, lbar, rbar, r
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def default_view(
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self,
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index: int = -1,
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) -> None:
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"""Set the view box to the "default" startup view of the scene.
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"""
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xlast = self._array[index]['index']
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begin = xlast - _bars_to_left_in_follow_mode
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end = xlast + _bars_from_right_in_follow_mode
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self.plotItem.vb.setXRange(
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min=begin,
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max=end,
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padding=0,
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)
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def increment_view(
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self,
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) -> None:
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"""Increment the data view one step to the right thus "following"
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the current time slot/step/bar.
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"""
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l, r = self.view_range()
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self._vb.setXRange(
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min=l + 1,
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max=r + 1,
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# holy shit, wtf dude... why tf would this not be 0 by
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# default... speechless.
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padding=0,
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)
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def draw_ohlc(
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self,
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name: str,
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data: np.ndarray,
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# XXX: pretty sure this is dumb and we don't need an Enum
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style: pg.GraphicsObject = BarItems,
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) -> pg.GraphicsObject:
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"""Draw OHLC datums to chart.
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"""
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graphics = style(self.plotItem)
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# adds all bar/candle graphics objects for each data point in
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# the np array buffer to be drawn on next render cycle
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self.addItem(graphics)
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# draw after to allow self.scene() to work...
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graphics.draw_from_data(data)
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self._graphics[name] = graphics
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label = ContentsLabel(chart=self, anchor_at=('top', 'left'))
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self._labels[name] = (label, partial(label.update_from_ohlc, name))
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label.show()
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self.update_contents_labels(len(data) - 1)
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self._add_sticky(name)
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return graphics
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def draw_curve(
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self,
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name: str,
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data: np.ndarray,
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overlay: bool = False,
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**pdi_kwargs,
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) -> pg.PlotDataItem:
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# draw the indicator as a plain curve
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_pdi_defaults = {
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'pen': pg.mkPen(hcolor('default_light')),
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}
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pdi_kwargs.update(_pdi_defaults)
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curve = pg.PlotDataItem(
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data[name],
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# antialias=True,
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name=name,
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# TODO: see how this handles with custom ohlcv bars graphics
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clipToView=True,
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**pdi_kwargs,
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)
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self.addItem(curve)
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# register overlay curve with name
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self._graphics[name] = curve
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if overlay:
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anchor_at = ('bottom', 'right')
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self._overlays[name] = curve
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else:
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anchor_at = ('top', 'right')
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# TODO: something instead of stickies for overlays
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# (we need something that avoids clutter on x-axis).
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self._add_sticky(name, bg_color='default_light')
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label = ContentsLabel(chart=self, anchor_at=anchor_at)
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self._labels[name] = (label, partial(label.update_from_value, name))
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label.show()
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self.update_contents_labels(len(data) - 1)
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if self._cursor:
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self._cursor.add_curve_cursor(self, curve)
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return curve
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def _add_sticky(
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self,
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name: str,
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bg_color='bracket',
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# retreive: Callable[None, np.ndarray],
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) -> YSticky:
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# add y-axis "last" value label
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last = self._ysticks[name] = YSticky(
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chart=self,
|
|
parent=self.getAxis('right'),
|
|
# TODO: pass this from symbol data
|
|
# digits=0,
|
|
opacity=1,
|
|
bg_color=bg_color,
|
|
)
|
|
return last
|
|
|
|
def update_ohlc_from_array(
|
|
self,
|
|
name: str,
|
|
array: np.ndarray,
|
|
**kwargs,
|
|
) -> pg.GraphicsObject:
|
|
"""Update the named internal graphics from ``array``.
|
|
|
|
"""
|
|
if name not in self._overlays:
|
|
self._array = array
|
|
|
|
graphics = self._graphics[name]
|
|
graphics.update_from_array(array, **kwargs)
|
|
return graphics
|
|
|
|
def update_curve_from_array(
|
|
self,
|
|
name: str,
|
|
array: np.ndarray,
|
|
**kwargs,
|
|
) -> pg.GraphicsObject:
|
|
"""Update the named internal graphics from ``array``.
|
|
|
|
"""
|
|
if name not in self._overlays:
|
|
self._array = array
|
|
|
|
curve = self._graphics[name]
|
|
# TODO: we should instead implement a diff based
|
|
# "only update with new items" on the pg.PlotDataItem
|
|
curve.setData(array[name], **kwargs)
|
|
return curve
|
|
|
|
def _set_yrange(
|
|
self,
|
|
*,
|
|
yrange: Optional[Tuple[float, float]] = None,
|
|
) -> None:
|
|
"""Set the viewable y-range based on embedded data.
|
|
|
|
This adds auto-scaling like zoom on the scroll wheel such
|
|
that data always fits nicely inside the current view of the
|
|
data set.
|
|
|
|
"""
|
|
if self._static_yrange is not None:
|
|
ylow, yhigh = self._static_yrange
|
|
|
|
elif yrange is not None:
|
|
ylow, yhigh = yrange
|
|
|
|
else:
|
|
# Determine max, min y values in viewable x-range from data.
|
|
# Make sure min bars/datums on screen is adhered.
|
|
|
|
l, lbar, rbar, r = self.bars_range()
|
|
|
|
# figure out x-range in view such that user can scroll "off"
|
|
# the data set up to the point where ``_min_points_to_show``
|
|
# are left.
|
|
view_len = r - l
|
|
|
|
# TODO: logic to check if end of bars in view
|
|
extra = view_len - _min_points_to_show
|
|
begin = 0 - extra
|
|
end = len(self._array) - 1 + extra
|
|
|
|
# XXX: test code for only rendering lines for the bars in view.
|
|
# This turns out to be very very poor perf when scaling out to
|
|
# many bars (think > 1k) on screen.
|
|
# name = self.name
|
|
# bars = self._graphics[self.name]
|
|
# bars.draw_lines(
|
|
# istart=max(lbar, l), iend=min(rbar, r), just_history=True)
|
|
|
|
# bars_len = rbar - lbar
|
|
# log.trace(
|
|
# f"\nl: {l}, lbar: {lbar}, rbar: {rbar}, r: {r}\n"
|
|
# f"view_len: {view_len}, bars_len: {bars_len}\n"
|
|
# f"begin: {begin}, end: {end}, extra: {extra}"
|
|
# )
|
|
self._set_xlimits(begin, end)
|
|
|
|
# TODO: this should be some kind of numpy view api
|
|
bars = self._array[lbar:rbar]
|
|
if not len(bars):
|
|
# likely no data loaded yet or extreme scrolling?
|
|
log.error(f"WTF bars_range = {lbar}:{rbar}")
|
|
return
|
|
|
|
# TODO: should probably just have some kinda attr mark
|
|
# that determines this behavior based on array type
|
|
try:
|
|
ylow = np.nanmin(bars['low'])
|
|
yhigh = np.nanmax(bars['high'])
|
|
except (IndexError, ValueError):
|
|
# must be non-ohlc array?
|
|
ylow = np.nanmin(bars)
|
|
yhigh = np.nanmax(bars)
|
|
|
|
# view margins: stay within a % of the "true range"
|
|
diff = yhigh - ylow
|
|
ylow = ylow - (diff * 0.04)
|
|
# yhigh = yhigh + (diff * 0.01)
|
|
|
|
# compute contents label "height" in view terms
|
|
# to avoid having data "contents" overlap with them
|
|
if self._labels:
|
|
label = self._labels[self.name][0]
|
|
|
|
rect = label.itemRect()
|
|
tl, br = rect.topLeft(), rect.bottomRight()
|
|
vb = self.plotItem.vb
|
|
|
|
try:
|
|
# on startup labels might not yet be rendered
|
|
top, bottom = (vb.mapToView(tl).y(), vb.mapToView(br).y())
|
|
|
|
# XXX: magic hack, how do we compute exactly?
|
|
label_h = (top - bottom) * 0.42
|
|
|
|
except np.linalg.LinAlgError:
|
|
label_h = 0
|
|
else:
|
|
label_h = 0
|
|
|
|
# print(f'label height {self.name}: {label_h}')
|
|
|
|
if label_h > yhigh - ylow:
|
|
label_h = 0
|
|
|
|
self.setLimits(
|
|
yMin=ylow,
|
|
yMax=yhigh + label_h,
|
|
)
|
|
self.setYRange(ylow, yhigh + label_h)
|
|
|
|
def enterEvent(self, ev): # noqa
|
|
# pg.PlotWidget.enterEvent(self, ev)
|
|
self.sig_mouse_enter.emit(self)
|
|
|
|
def leaveEvent(self, ev): # noqa
|
|
# pg.PlotWidget.leaveEvent(self, ev)
|
|
self.sig_mouse_leave.emit(self)
|
|
self.scene().leaveEvent(ev)
|
|
|
|
|
|
async def _async_main(
|
|
sym: str,
|
|
brokername: str,
|
|
|
|
# implicit required argument provided by ``qtractor_run()``
|
|
widgets: Dict[str, Any],
|
|
|
|
# all kwargs are passed through from the CLI entrypoint
|
|
loglevel: str = None,
|
|
) -> None:
|
|
"""Main Qt-trio routine invoked by the Qt loop with
|
|
the widgets ``dict``.
|
|
"""
|
|
chart_app = widgets['main']
|
|
|
|
# attempt to configure DPI aware font size
|
|
_font.configure_to_dpi(current_screen())
|
|
|
|
# chart_app.init_search()
|
|
|
|
# from ._exec import get_screen
|
|
# screen = get_screen(chart_app.geometry().bottomRight())
|
|
|
|
# XXX: bug zone if you try to ctl-c after this we get hangs again?
|
|
# wtf...
|
|
# await tractor.breakpoint()
|
|
|
|
# historical data fetch
|
|
brokermod = brokers.get_brokermod(brokername)
|
|
|
|
async with data.open_feed(
|
|
brokername,
|
|
[sym],
|
|
loglevel=loglevel,
|
|
) as feed:
|
|
|
|
ohlcv = feed.shm
|
|
bars = ohlcv.array
|
|
|
|
# load in symbol's ohlc data
|
|
linked_charts, chart = chart_app.load_symbol(sym, bars)
|
|
|
|
# plot historical vwap if available
|
|
vwap_in_history = False
|
|
if 'vwap' in bars.dtype.fields:
|
|
vwap_in_history = True
|
|
chart.draw_curve(
|
|
name='vwap',
|
|
data=bars,
|
|
overlay=True,
|
|
)
|
|
|
|
chart._set_yrange()
|
|
|
|
async with trio.open_nursery() as n:
|
|
|
|
# load initial fsp chain (otherwise known as "indicators")
|
|
n.start_soon(
|
|
chart_from_fsp,
|
|
linked_charts,
|
|
'rsi', # eventually will be n-compose syntax
|
|
sym,
|
|
ohlcv,
|
|
brokermod,
|
|
loglevel,
|
|
)
|
|
|
|
# update last price sticky
|
|
last_price_sticky = chart._ysticks[chart.name]
|
|
last_price_sticky.update_from_data(
|
|
*ohlcv.array[-1][['index', 'close']]
|
|
)
|
|
|
|
# start graphics update loop(s)after receiving first live quote
|
|
n.start_soon(
|
|
chart_from_quotes,
|
|
chart,
|
|
feed.stream,
|
|
ohlcv,
|
|
vwap_in_history,
|
|
)
|
|
|
|
# wait for a first quote before we start any update tasks
|
|
quote = await feed.receive()
|
|
log.info(f'Received first quote {quote}')
|
|
|
|
n.start_soon(
|
|
check_for_new_bars,
|
|
feed,
|
|
# delay,
|
|
ohlcv,
|
|
linked_charts
|
|
)
|
|
|
|
# probably where we'll eventually start the user input loop
|
|
await trio.sleep_forever()
|
|
|
|
|
|
async def chart_from_quotes(
|
|
chart: ChartPlotWidget,
|
|
stream,
|
|
ohlcv: np.ndarray,
|
|
vwap_in_history: bool = False,
|
|
) -> None:
|
|
"""The 'main' (price) chart real-time update loop.
|
|
"""
|
|
# 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?
|
|
last_price_sticky = chart._ysticks[chart.name]
|
|
|
|
def maxmin():
|
|
# TODO: implement this
|
|
# https://arxiv.org/abs/cs/0610046
|
|
# https://github.com/lemire/pythonmaxmin
|
|
|
|
array = chart._array
|
|
last_bars_range = chart.bars_range()
|
|
l, lbar, rbar, r = last_bars_range
|
|
in_view = array[lbar:rbar]
|
|
mx, mn = np.nanmax(in_view['high']), np.nanmin(in_view['low'])
|
|
return last_bars_range, mx, mn
|
|
|
|
last_bars_range, last_mx, last_mn = maxmin()
|
|
|
|
chart.default_view()
|
|
|
|
last, volume = ohlcv.array[-1][['close', 'volume']]
|
|
|
|
l1 = L1Labels(
|
|
chart,
|
|
# determine precision/decimal lengths
|
|
digits=max(float_digits(last), 2),
|
|
size_digits=min(float_digits(volume), 3)
|
|
)
|
|
|
|
async for quotes in stream:
|
|
for sym, quote in quotes.items():
|
|
# print(f'CHART: {quote}')
|
|
|
|
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 in ('trade', 'utrade'):
|
|
array = ohlcv.array
|
|
|
|
# update price sticky(s)
|
|
last = array[-1]
|
|
last_price_sticky.update_from_data(
|
|
*last[['index', 'close']]
|
|
)
|
|
|
|
# update price bar
|
|
chart.update_ohlc_from_array(
|
|
chart.name,
|
|
array,
|
|
)
|
|
|
|
if vwap_in_history:
|
|
# update vwap overlay line
|
|
chart.update_curve_from_array('vwap', ohlcv.array)
|
|
|
|
# TODO:
|
|
# - eventually we'll want to update bid/ask labels
|
|
# and other data as subscribed by underlying UI
|
|
# consumers.
|
|
# - 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 adjust bid / ask lines to match
|
|
|
|
# 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()
|
|
|
|
# XXX: prettty sure this is correct?
|
|
# if ticktype in ('trade', 'last'):
|
|
if ticktype in ('last',): # 'size'):
|
|
|
|
label = {
|
|
l1.ask_label.level: l1.ask_label,
|
|
l1.bid_label.level: l1.bid_label,
|
|
}.get(price)
|
|
|
|
if label is not None:
|
|
label.size = size
|
|
label.update_from_data(0, price)
|
|
|
|
# on trades should we be knocking down
|
|
# the relevant L1 queue?
|
|
# label.size -= size
|
|
|
|
elif ticktype in ('ask', 'asize'):
|
|
l1.ask_label.size = size
|
|
l1.ask_label.update_from_data(0, price)
|
|
|
|
# update max price in view to keep ask on screen
|
|
mx_in_view = max(price, mx_in_view)
|
|
|
|
elif ticktype in ('bid', 'bsize'):
|
|
l1.bid_label.size = size
|
|
l1.bid_label.update_from_data(0, price)
|
|
|
|
# update min price in view to keep bid on screen
|
|
mn_in_view = max(price, mn_in_view)
|
|
|
|
if mx_in_view > last_mx or mn_in_view < last_mn:
|
|
chart._set_yrange(yrange=(mn_in_view, mx_in_view))
|
|
last_mx, last_mn = mx_in_view, mn_in_view
|
|
|
|
if brange != last_bars_range:
|
|
# we **must always** update the last values due to
|
|
# the x-range change
|
|
last_mx, last_mn = mx_in_view, mn_in_view
|
|
last_bars_range = brange
|
|
|
|
|
|
async def chart_from_fsp(
|
|
linked_charts,
|
|
fsp_func_name,
|
|
sym,
|
|
src_shm,
|
|
brokermod,
|
|
loglevel,
|
|
) -> None:
|
|
"""Start financial signal processing in subactor.
|
|
|
|
Pass target entrypoint and historical data.
|
|
"""
|
|
name = f'fsp.{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)])
|
|
|
|
async with tractor.open_nursery() as n:
|
|
key = f'{sym}.' + name
|
|
|
|
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?"
|
|
|
|
# start fsp sub-actor
|
|
portal = await n.run_in_actor(
|
|
|
|
# name as title of sub-chart
|
|
name,
|
|
|
|
# subactor entrypoint
|
|
fsp.cascade,
|
|
brokername=brokermod.name,
|
|
src_shm_token=src_shm.token,
|
|
dst_shm_token=shm.token,
|
|
symbol=sym,
|
|
fsp_func_name=fsp_func_name,
|
|
|
|
# tractor config
|
|
loglevel=loglevel,
|
|
)
|
|
|
|
stream = await portal.result()
|
|
|
|
# receive last index for processed historical
|
|
# data-array as first msg
|
|
_ = await stream.receive()
|
|
|
|
chart = linked_charts.add_plot(
|
|
name=fsp_func_name,
|
|
array=shm.array,
|
|
|
|
# curve by default
|
|
ohlc=False,
|
|
|
|
# settings passed down to ``ChartPlotWidget``
|
|
static_yrange=(0, 100),
|
|
)
|
|
|
|
# display contents labels asap
|
|
chart.update_contents_labels(len(shm.array) - 1)
|
|
|
|
array = shm.array
|
|
value = array[fsp_func_name][-1]
|
|
|
|
last_val_sticky = chart._ysticks[chart.name]
|
|
last_val_sticky.update_from_data(-1, value)
|
|
|
|
chart.update_curve_from_array(fsp_func_name, array)
|
|
chart.default_view()
|
|
|
|
# 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)
|
|
|
|
# add moveable over-[sold/bought] lines
|
|
level_line(chart, 30)
|
|
level_line(chart, 70, orient_v='top')
|
|
|
|
chart._shm = shm
|
|
chart._set_yrange()
|
|
|
|
# update chart graphics
|
|
async for value in stream:
|
|
# p = pg.debug.Profiler(disabled=False, delayed=False)
|
|
array = shm.array
|
|
value = array[-1][fsp_func_name]
|
|
last_val_sticky.update_from_data(-1, value)
|
|
chart.update_curve_from_array(fsp_func_name, array)
|
|
# p('rendered rsi datum')
|
|
|
|
|
|
async def check_for_new_bars(feed, ohlcv, linked_charts):
|
|
"""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 = linked_charts.chart
|
|
price_chart.default_view()
|
|
|
|
async for index in await feed.index_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.
|
|
|
|
price_chart.update_ohlc_from_array(
|
|
price_chart.name,
|
|
ohlcv.array,
|
|
just_history=True,
|
|
)
|
|
|
|
# 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,
|
|
)
|
|
|
|
# resize view
|
|
# price_chart._set_yrange()
|
|
|
|
for name, curve in price_chart._overlays.items():
|
|
|
|
# TODO: standard api for signal lookups per plot
|
|
if name in price_chart._array.dtype.fields:
|
|
|
|
# should have already been incremented above
|
|
price_chart.update_curve_from_array(name, price_chart._array)
|
|
|
|
for name, chart in linked_charts.subplots.items():
|
|
chart.update_curve_from_array(chart.name, chart._shm.array)
|
|
# chart._set_yrange()
|
|
|
|
price_chart.increment_view()
|
|
|
|
|
|
def _main(
|
|
sym: str,
|
|
brokername: str,
|
|
tractor_kwargs,
|
|
) -> None:
|
|
"""Sync entry point to start a chart app.
|
|
"""
|
|
# Qt entry point
|
|
run_qtractor(
|
|
func=_async_main,
|
|
args=(sym, brokername),
|
|
main_widget=ChartSpace,
|
|
tractor_kwargs=tractor_kwargs,
|
|
)
|