676 lines
20 KiB
Python
676 lines
20 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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real-time display tasks for charting graphics update.
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this module ties together quote and computational (fsp) streams with
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graphics update methods via our custom ``pyqtgraph`` charting api.
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'''
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from dataclasses import dataclass
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from functools import partial
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import time
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from typing import Optional, Any, Callable
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import numpy as np
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import tractor
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import trio
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from .. import brokers
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from ..data.feed import open_feed
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from ._axes import YAxisLabel
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from ._chart import (
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ChartPlotWidget,
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LinkedSplits,
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GodWidget,
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)
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from ._l1 import L1Labels
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from ._fsp import (
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update_fsp_chart,
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start_fsp_displays,
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has_vlm,
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open_vlm_displays,
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)
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from ..data._sharedmem import ShmArray
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from ._forms import (
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FieldsForm,
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mk_order_pane_layout,
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)
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from .order_mode import open_order_mode
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from ..log import get_logger
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log = get_logger(__name__)
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# TODO: load this from a config.toml!
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_quote_throttle_rate: int = 12 # Hz
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# a working tick-type-classes template
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_tick_groups = {
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'clears': {'trade', 'utrade', 'last'},
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'bids': {'bid', 'bsize'},
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'asks': {'ask', 'asize'},
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}
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def chart_maxmin(
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chart: ChartPlotWidget,
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vlm_chart: Optional[ChartPlotWidget] = None,
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) -> tuple[
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tuple[int, int, int, int],
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float,
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float,
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float,
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]:
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'''
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Compute max and min datums "in view" for range limits.
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'''
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# TODO: implement this
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# https://arxiv.org/abs/cs/0610046
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# https://github.com/lemire/pythonmaxmin
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array = chart._arrays[chart.name]
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ifirst = array[0]['index']
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last_bars_range = chart.bars_range()
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l, lbar, rbar, r = last_bars_range
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in_view = array[lbar - ifirst:rbar - ifirst + 1]
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if not in_view.size:
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log.warning('Resetting chart to data')
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chart.default_view()
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return (last_bars_range, 0, 0, 0)
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mx, mn = np.nanmax(in_view['high']), np.nanmin(in_view['low'])
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# TODO: when we start using line charts, probably want to make
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# this an overloaded call on our `DataView
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# sym = chart.name
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# mx, mn = np.nanmax(in_view[sym]), np.nanmin(in_view[sym])
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mx_vlm_in_view = 0
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if vlm_chart:
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mx_vlm_in_view = np.max(in_view['volume'])
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return last_bars_range, mx, max(mn, 0), mx_vlm_in_view
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@dataclass
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class DisplayState:
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'''
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Chart-local real-time graphics state container.
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'''
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quotes: dict[str, Any]
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maxmin: Callable
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ohlcv: ShmArray
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# high level chart handles
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linked: LinkedSplits
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chart: ChartPlotWidget
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vlm_chart: ChartPlotWidget
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# axis labels
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l1: L1Labels
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last_price_sticky: YAxisLabel
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vlm_sticky: YAxisLabel
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# misc state tracking
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vars: dict[str, Any]
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wap_in_history: bool = False
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async def graphics_update_loop(
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linked: LinkedSplits,
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stream: tractor.MsgStream,
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ohlcv: np.ndarray,
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wap_in_history: bool = False,
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vlm_chart: Optional[ChartPlotWidget] = None,
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) -> None:
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'''
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The 'main' (price) chart real-time update loop.
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Receive from the primary instrument quote stream and update the OHLC
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chart.
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'''
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# TODO: bunch of stuff (some might be done already, can't member):
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# - I'm starting to think all this logic should be
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# done in one place and "graphics update routines"
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# should not be doing any length checking and array diffing.
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# - handle odd lot orders
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# - update last open price correctly instead
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# of copying it from last bar's close
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# - 1-5 sec bar lookback-autocorrection like tws does?
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# (would require a background history checker task)
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display_rate = linked.godwidget.window.current_screen().refreshRate()
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chart = linked.chart
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# update last price sticky
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last_price_sticky = chart._ysticks[chart.name]
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last_price_sticky.update_from_data(
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*ohlcv.array[-1][['index', 'close']]
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)
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if vlm_chart:
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vlm_sticky = vlm_chart._ysticks['volume']
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maxmin = partial(chart_maxmin, chart, vlm_chart)
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chart.default_view()
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last_bars_range: tuple[float, float]
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(
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last_bars_range,
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last_mx,
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last_mn,
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last_mx_vlm,
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) = maxmin()
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last, volume = ohlcv.array[-1][['close', 'volume']]
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symbol = chart.linked.symbol
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l1 = L1Labels(
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chart,
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# determine precision/decimal lengths
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digits=symbol.tick_size_digits,
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size_digits=symbol.lot_size_digits,
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)
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chart._l1_labels = l1
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# TODO:
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# - in theory we should be able to read buffer data faster
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# then msgs arrive.. needs some tinkering and testing
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# - if trade volume jumps above / below prior L1 price
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# levels this might be dark volume we need to
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# present differently -> likely dark vlm
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tick_size = chart.linked.symbol.tick_size
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tick_margin = 3 * tick_size
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chart.show()
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# view = chart.view
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last_quote = time.time()
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i_last = ohlcv.index
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# async def iter_drain_quotes():
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# # NOTE: all code below this loop is expected to be synchronous
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# # and thus draw instructions are not picked up jntil the next
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# # wait / iteration.
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# async for quotes in stream:
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# while True:
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# try:
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# moar = stream.receive_nowait()
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# except trio.WouldBlock:
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# yield quotes
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# break
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# else:
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# for sym, quote in moar.items():
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# ticks_frame = quote.get('ticks')
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# if ticks_frame:
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# quotes[sym].setdefault(
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# 'ticks', []).extend(ticks_frame)
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# print('pulled extra')
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# yield quotes
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# async for quotes in iter_drain_quotes():
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ds = linked.display_state = DisplayState(**{
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'quotes': {},
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'linked': linked,
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'maxmin': maxmin,
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'ohlcv': ohlcv,
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'chart': chart,
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'last_price_sticky': last_price_sticky,
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'vlm_chart': vlm_chart,
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'vlm_sticky': vlm_sticky,
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'l1': l1,
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'vars': {
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'tick_margin': tick_margin,
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'i_last': i_last,
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'last_mx_vlm': last_mx_vlm,
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'last_mx': last_mx,
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'last_mn': last_mn,
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}
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})
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# main loop
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async for quotes in stream:
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ds.quotes = quotes
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quote_period = time.time() - last_quote
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quote_rate = round(
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1/quote_period, 1) if quote_period > 0 else float('inf')
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if (
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quote_period <= 1/_quote_throttle_rate
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# in the absolute worst case we shouldn't see more then
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# twice the expected throttle rate right!?
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# and quote_rate >= _quote_throttle_rate * 2
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and quote_rate >= display_rate
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):
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log.warning(f'High quote rate {symbol.key}: {quote_rate}')
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last_quote = time.time()
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# chart isn't active/shown so skip render cycle and pause feed(s)
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if chart.linked.isHidden():
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chart.pause_all_feeds()
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continue
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# sync call to update all graphics/UX components.
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graphics_update_cycle(ds)
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def graphics_update_cycle(
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ds: DisplayState,
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wap_in_history: bool = False,
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) -> None:
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# TODO: eventually optimize this whole graphics stack with ``numba``
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# hopefully XD
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# unpack multi-referenced components
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chart = ds.chart
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vlm_chart = ds.vlm_chart
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l1 = ds.l1
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ohlcv = ds.ohlcv
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array = ohlcv.array
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vars = ds.vars
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tick_margin = vars['tick_margin']
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for sym, quote in ds.quotes.items():
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brange, mx_in_view, mn_in_view, mx_vlm_in_view = ds.maxmin()
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l, lbar, rbar, r = brange
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mx = mx_in_view + tick_margin
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mn = mn_in_view - tick_margin
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# NOTE: vlm may be written by the ``brokerd`` backend
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# event though a tick sample is not emitted.
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# TODO: show dark trades differently
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# https://github.com/pikers/piker/issues/116
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# NOTE: this used to be implemented in a dedicated
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# "increment tas": ``check_for_new_bars()`` but it doesn't
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# make sense to do a whole task switch when we can just do
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# this simple index-diff and all the fsp sub-curve graphics
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# are diffed on each draw cycle anyway; so updates to the
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# "curve" length is already automatic.
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# increment the view position by the sample offset.
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i_step = ohlcv.index
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i_diff = i_step - vars['i_last']
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if i_diff > 0:
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chart.increment_view(
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steps=i_diff,
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)
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vars['i_last'] = i_step
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if vlm_chart:
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vlm_chart.update_curve_from_array('volume', array)
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ds.vlm_sticky.update_from_data(*array[-1][['index', 'volume']])
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if (
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mx_vlm_in_view != vars['last_mx_vlm']
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or mx_vlm_in_view > vars['last_mx_vlm']
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):
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# print(f'mx vlm: {last_mx_vlm} -> {mx_vlm_in_view}')
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vlm_chart.view._set_yrange(
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yrange=(0, mx_vlm_in_view * 1.375)
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)
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vars['last_mx_vlm'] = mx_vlm_in_view
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for curve_name, flow in vlm_chart._flows.items():
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update_fsp_chart(
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vlm_chart,
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flow.shm,
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curve_name,
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array_key=curve_name,
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)
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# is this even doing anything?
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flow.plot.vb._set_yrange(
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autoscale_linked_plots=False,
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name=curve_name,
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)
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ticks_frame = quote.get('ticks', ())
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frames_by_type: dict[str, dict] = {}
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lasts = {}
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# build tick-type "frames" of tick sequences since
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# likely the tick arrival rate is higher then our
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# (throttled) quote stream rate.
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for tick in ticks_frame:
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price = tick.get('price')
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ticktype = tick.get('type')
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if ticktype == 'n/a' or price == -1:
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# okkk..
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continue
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# keys are entered in olded-event-inserted-first order
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# since we iterate ``ticks_frame`` in standard order
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# above. in other words the order of the keys is the order
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# of tick events by type from the provider feed.
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frames_by_type.setdefault(ticktype, []).append(tick)
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# overwrites so the last tick per type is the entry
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lasts[ticktype] = tick
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# from pprint import pformat
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# frame_counts = {
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# typ: len(frame) for typ, frame in frames_by_type.items()
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# }
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# print(f'{pformat(frame_counts)}')
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# print(f'framed: {pformat(frames_by_type)}')
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# print(f'lasts: {pformat(lasts)}')
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# TODO: eventually we want to separate out the utrade (aka
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# dark vlm prices) here and show them as an additional
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# graphic.
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clear_types = _tick_groups['clears']
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# XXX: if we wanted to iterate in "latest" (i.e. most
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# current) tick first order as an optimization where we only
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# update from the last tick from each type class.
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# last_clear_updated: bool = False
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# for typ, tick in reversed(lasts.items()):
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# update ohlc sampled price bars
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chart.update_ohlc_from_array(
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chart.name,
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array,
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)
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# iterate in FIFO order per frame
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for typ, tick in lasts.items():
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price = tick.get('price')
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size = tick.get('size')
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# compute max and min prices (including bid/ask) from
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# tick frames to determine the y-range for chart
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# auto-scaling.
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# TODO: we need a streaming minmax algo here, see def above.
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mx = max(price + tick_margin, mx)
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mn = min(price - tick_margin, mn)
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if typ in clear_types:
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# XXX: if we only wanted to update graphics from the
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# "current"/"latest received" clearing price tick
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# once (see alt iteration order above).
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# if last_clear_updated:
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# continue
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# last_clear_updated = True
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# we only want to update grahpics from the *last*
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# tick event that falls under the "clearing price"
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# set.
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# update price sticky(s)
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end = array[-1]
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ds.last_price_sticky.update_from_data(
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*end[['index', 'close']]
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)
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if wap_in_history:
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# update vwap overlay line
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chart.update_curve_from_array(
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'bar_wap',
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array,
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)
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# L1 book label-line updates
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# XXX: is this correct for ib?
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# if ticktype in ('trade', 'last'):
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# if ticktype in ('last',): # 'size'):
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if typ in ('last',): # 'size'):
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label = {
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l1.ask_label.fields['level']: l1.ask_label,
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l1.bid_label.fields['level']: l1.bid_label,
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}.get(price)
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if label is not None:
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label.update_fields(
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{'level': price, 'size': size}
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)
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# TODO: on trades should we be knocking down
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# the relevant L1 queue?
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# label.size -= size
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# elif ticktype in ('ask', 'asize'):
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elif typ in _tick_groups['asks']:
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l1.ask_label.update_fields({'level': price, 'size': size})
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# elif ticktype in ('bid', 'bsize'):
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elif typ in _tick_groups['bids']:
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l1.bid_label.update_fields({'level': price, 'size': size})
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# check for y-range re-size
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if (
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(mx > vars['last_mx']) or (mn < vars['last_mn'])
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and not chart._static_yrange == 'axis'
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):
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# print(f'new y range: {(mn, mx)}')
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chart.view._set_yrange(
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yrange=(mn, mx),
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# TODO: we should probably scale
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# the view margin based on the size
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# of the true range? This way you can
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# slap in orders outside the current
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# L1 (only) book range.
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# range_margin=0.1,
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)
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vars['last_mx'], vars['last_mn'] = mx, mn
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# run synchronous update on all derived fsp subplots
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for name, subchart in ds.linked.subplots.items():
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update_fsp_chart(
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subchart,
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subchart._shm,
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# XXX: do we really needs seperate names here?
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name,
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array_key=name,
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)
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subchart.cv._set_yrange()
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# TODO: all overlays on all subplots..
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# run synchronous update on all derived overlays
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for curve_name, flow in chart._flows.items():
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update_fsp_chart(
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chart,
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flow.shm,
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curve_name,
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array_key=curve_name,
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)
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async def display_symbol_data(
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godwidget: GodWidget,
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provider: str,
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sym: str,
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loglevel: str,
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order_mode_started: trio.Event,
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) -> None:
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'''
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Spawn a real-time updated chart for ``symbol``.
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Spawned ``LinkedSplits`` chart widgets can remain up but hidden so
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that multiple symbols can be viewed and switched between extremely
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fast from a cached watch-list.
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'''
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sbar = godwidget.window.status_bar
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loading_sym_key = sbar.open_status(
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f'loading {sym}.{provider} ->',
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group_key=True
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)
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# historical data fetch
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brokermod = brokers.get_brokermod(provider)
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# ohlc_status_done = sbar.open_status(
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# 'retreiving OHLC history.. ',
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# clear_on_next=True,
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# group_key=loading_sym_key,
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# )
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|
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|
async with open_feed(
|
|
provider,
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|
[sym],
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|
loglevel=loglevel,
|
|
|
|
# limit to at least display's FPS
|
|
# avoiding needless Qt-in-guest-mode context switches
|
|
tick_throttle=_quote_throttle_rate,
|
|
|
|
) as feed:
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|
ohlcv: ShmArray = feed.shm
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|
bars = ohlcv.array
|
|
symbol = feed.symbols[sym]
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|
|
|
# load in symbol's ohlc data
|
|
godwidget.window.setWindowTitle(
|
|
f'{symbol.key}@{symbol.brokers} '
|
|
f'tick:{symbol.tick_size} '
|
|
f'step:1s '
|
|
)
|
|
|
|
linkedsplits = godwidget.linkedsplits
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|
linkedsplits._symbol = symbol
|
|
|
|
# generate order mode side-pane UI
|
|
# A ``FieldsForm`` form to configure order entry
|
|
pp_pane: FieldsForm = mk_order_pane_layout(godwidget)
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|
|
|
# add as next-to-y-axis singleton pane
|
|
godwidget.pp_pane = pp_pane
|
|
|
|
# create main OHLC chart
|
|
chart = linkedsplits.plot_ohlc_main(
|
|
symbol,
|
|
bars,
|
|
sidepane=pp_pane,
|
|
)
|
|
chart._feeds[symbol.key] = feed
|
|
chart.setFocus()
|
|
|
|
# plot historical vwap if available
|
|
wap_in_history = False
|
|
|
|
if brokermod._show_wap_in_history:
|
|
|
|
if 'bar_wap' in bars.dtype.fields:
|
|
wap_in_history = True
|
|
chart.draw_curve(
|
|
name='bar_wap',
|
|
data=bars,
|
|
add_label=False,
|
|
)
|
|
|
|
# size view to data once at outset
|
|
chart.cv._set_yrange()
|
|
|
|
# TODO: a data view api that makes this less shit
|
|
chart._shm = ohlcv
|
|
|
|
# NOTE: we must immediately tell Qt to show the OHLC chart
|
|
# to avoid a race where the subplots get added/shown to
|
|
# the linked set *before* the main price chart!
|
|
linkedsplits.show()
|
|
linkedsplits.focus()
|
|
await trio.sleep(0)
|
|
|
|
vlm_chart: Optional[ChartPlotWidget] = None
|
|
async with trio.open_nursery() as ln:
|
|
|
|
# if available load volume related built-in display(s)
|
|
if has_vlm(ohlcv):
|
|
vlm_chart = await ln.start(
|
|
open_vlm_displays,
|
|
linkedsplits,
|
|
ohlcv,
|
|
)
|
|
|
|
# load (user's) FSP set (otherwise known as "indicators")
|
|
# from an input config.
|
|
ln.start_soon(
|
|
start_fsp_displays,
|
|
linkedsplits,
|
|
ohlcv,
|
|
loading_sym_key,
|
|
loglevel,
|
|
)
|
|
|
|
# start graphics update loop after receiving first live quote
|
|
ln.start_soon(
|
|
graphics_update_loop,
|
|
linkedsplits,
|
|
feed.stream,
|
|
ohlcv,
|
|
wap_in_history,
|
|
vlm_chart,
|
|
)
|
|
|
|
async with (
|
|
open_order_mode(
|
|
feed,
|
|
chart,
|
|
symbol,
|
|
provider,
|
|
order_mode_started
|
|
)
|
|
):
|
|
# let Qt run to render all widgets and make sure the
|
|
# sidepanes line up vertically.
|
|
await trio.sleep(0)
|
|
linkedsplits.resize_sidepanes()
|
|
|
|
# NOTE: we pop the volume chart from the subplots set so
|
|
# that it isn't double rendered in the display loop
|
|
# above since we do a maxmin calc on the volume data to
|
|
# determine if auto-range adjustements should be made.
|
|
linkedsplits.subplots.pop('volume', None)
|
|
|
|
# TODO: make this not so shit XD
|
|
# close group status
|
|
sbar._status_groups[loading_sym_key][1]()
|
|
|
|
# let the app run.. bby
|
|
await trio.sleep_forever()
|