1403 lines
42 KiB
Python
1403 lines
42 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 functools import partial
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import itertools
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from math import floor
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import time
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from typing import Optional, Any, Callable
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import tractor
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import trio
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import pyqtgraph as pg
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from msgspec import field
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# from .. import brokers
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from ..data.feed import (
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open_feed,
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Feed,
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Flume,
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)
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from ..data.types import Struct
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from ..data._sharedmem import (
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ShmArray,
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)
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from ..data._sampling import _tick_groups
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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 ._dataviz import Viz
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from ._l1 import L1Labels
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from ._style import hcolor
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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 ._forms import (
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FieldsForm,
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mk_order_pane_layout,
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)
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from . import _pg_overrides as pgo
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# from ..data._source import tf_in_1s
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from .order_mode import (
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open_order_mode,
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OrderMode,
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)
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from .._profile import (
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pg_profile_enabled,
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ms_slower_then,
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)
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from ..log import get_logger
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from .._profile import Profiler
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log = get_logger(__name__)
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# TODO: delegate this to each `Viz.maxmin()` which includes
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# caching and further we should implement the following stream based
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# approach, likely with ``numba``:
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# https://arxiv.org/abs/cs/0610046
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# https://github.com/lemire/pythonmaxmin
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def chart_maxmin(
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chart: ChartPlotWidget,
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fqsn: str,
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# ohlcv_shm: ShmArray,
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vlm_chart: ChartPlotWidget | None = 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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main_viz = chart.get_viz(chart.name)
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last_bars_range = main_viz.bars_range()
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out = chart.maxmin(name=fqsn)
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if out is None:
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return (last_bars_range, 0, 0, 0)
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mn, mx = out
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mx_vlm_in_view = 0
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# TODO: we need to NOT call this to avoid a manual
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# np.max/min trigger and especially on the vlm_chart
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# vizs which aren't shown.. like vlm?
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if vlm_chart:
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out = vlm_chart.maxmin()
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if out:
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_, mx_vlm_in_view = out
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return (
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last_bars_range,
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mx,
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max(mn, 0), # presuming price can't be negative?
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mx_vlm_in_view,
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)
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class DisplayState(Struct):
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'''
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Chart-local real-time graphics state container.
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'''
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godwidget: GodWidget
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quotes: dict[str, Any]
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maxmin: Callable
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flume: Flume
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# high level chart handles and underlying ``Viz``
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chart: ChartPlotWidget
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viz: Viz
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hist_chart: ChartPlotWidget
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hist_viz: Viz
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# axis labels
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l1: L1Labels
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last_price_sticky: YAxisLabel
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hist_last_price_sticky: YAxisLabel
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# misc state tracking
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vars: dict[str, Any] = field(
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default_factory=lambda: {
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'tick_margin': 0,
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'i_last': 0,
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'i_last_append': 0,
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'last_mx_vlm': 0,
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'last_mx': 0,
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'last_mn': 0,
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}
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)
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hist_vars: dict[str, Any] = field(
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default_factory=lambda: {
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'tick_margin': 0,
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'i_last': 0,
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'i_last_append': 0,
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'last_mx_vlm': 0,
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'last_mx': 0,
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'last_mn': 0,
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}
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)
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globalz: None | dict[str, Any] = None
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vlm_chart: Optional[ChartPlotWidget] = None
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vlm_sticky: Optional[YAxisLabel] = None
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wap_in_history: bool = False
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async def increment_history_view(
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ds: DisplayState,
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):
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hist_chart = ds.hist_chart
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hist_viz = ds.hist_viz
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assert 'hist' in hist_viz.shm.token['shm_name']
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# TODO: seems this is more reliable at keeping the slow
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# chart incremented in view more correctly?
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# - It might make sense to just inline this logic with the
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# main display task? => it's a tradeoff of slower task
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# wakeups/ctx switches verus logic checks (as normal)
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# - we need increment logic that only does the view shift
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# call when the uppx permits/needs it
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async with hist_viz.flume.index_stream(int(1)) as istream:
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async for msg in istream:
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# l3 = ds.viz.shm.array[-3:]
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# print(
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# f'fast step for {ds.flume.symbol.fqsn}:\n'
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# f'{list(l3["time"])}\n'
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# f'{l3}\n'
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# )
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# check if slow chart needs an x-domain shift and/or
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# y-range resize.
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(
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uppx,
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liv,
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do_append,
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i_diff_t,
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append_diff,
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do_rt_update,
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should_tread,
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) = hist_viz.incr_info(
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ds=ds,
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is_1m=True,
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)
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if (
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do_append
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and liv
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):
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hist_viz.plot.vb._set_yrange()
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# check if tread-in-place x-shift is needed
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if should_tread:
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hist_chart.increment_view(datums=append_diff)
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async def graphics_update_loop(
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nurse: trio.Nursery,
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godwidget: GodWidget,
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feed: Feed,
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pis: dict[str, list[pgo.PlotItem, pgo.PlotItem]] = {},
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wap_in_history: bool = False,
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vlm_charts: dict[str, ChartPlotWidget] = {},
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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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linked: LinkedSplits = godwidget.rt_linked
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display_rate = godwidget.window.current_screen().refreshRate()
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fast_chart = linked.chart
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hist_chart = godwidget.hist_linked.chart
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assert hist_chart
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# per-viz-set global last index tracking for global chart
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# view UX incrementing; these values are singleton
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# per-multichart-set such that automatic x-domain shifts are only
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# done once per time step update.
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globalz = {
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'i_last_t': 0, # multiview-global fast (1s) step index
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'i_last_slow_t': 0, # multiview-global slow (1m) step index
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}
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dss: dict[str, DisplayState] = {}
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for fqsn, flume in feed.flumes.items():
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ohlcv = flume.rt_shm
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hist_ohlcv = flume.hist_shm
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symbol = flume.symbol
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fqsn = symbol.fqsn
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# update last price sticky
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fast_viz = fast_chart._vizs[fqsn]
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index_field = fast_viz.index_field
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fast_pi = fast_viz.plot
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last_price_sticky = fast_pi.getAxis('right')._stickies[fqsn]
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last_price_sticky.update_from_data(
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*ohlcv.array[-1][[
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index_field,
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'close',
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]]
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)
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last_price_sticky.show()
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hist_viz = hist_chart._vizs[fqsn]
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slow_pi = hist_viz.plot
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hist_last_price_sticky = slow_pi.getAxis('right')._stickies[fqsn]
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hist_last_price_sticky.update_from_data(
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*hist_ohlcv.array[-1][[
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index_field,
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'close',
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]]
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)
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vlm_chart = vlm_charts[fqsn]
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maxmin = partial(
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chart_maxmin,
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fast_chart,
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fqsn,
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vlm_chart,
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)
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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 = flume.symbol
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l1 = L1Labels(
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fast_pi,
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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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# TODO: this is just wrong now since we can have multiple L1-label
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# sets, so instead we should have the l1 associated with the
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# plotitem or y-axis likely?
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# fast_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 = symbol.tick_size
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tick_margin = 3 * tick_size
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fast_chart.show()
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last_quote_s = time.time()
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dss[fqsn] = ds = linked.display_state = DisplayState(**{
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'godwidget': godwidget,
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'quotes': {},
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'maxmin': maxmin,
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'flume': flume,
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'chart': fast_chart,
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'viz': fast_viz,
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'last_price_sticky': last_price_sticky,
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'hist_chart': hist_chart,
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'hist_viz': hist_viz,
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'hist_last_price_sticky': hist_last_price_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': 0,
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'i_last_append': 0,
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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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'globalz': globalz,
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})
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if vlm_chart:
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vlm_pi = vlm_chart._vizs['volume'].plot
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vlm_sticky = vlm_pi.getAxis('right')._stickies['volume']
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ds.vlm_chart = vlm_chart
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ds.vlm_sticky = vlm_sticky
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fast_chart.default_view()
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# ds.hist_vars.update({
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# 'i_last_append': 0,
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# 'i_last': 0,
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# })
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nurse.start_soon(
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increment_history_view,
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ds,
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)
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if ds.hist_vars['i_last'] < ds.hist_vars['i_last_append']:
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breakpoint()
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# main real-time quotes update loop
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stream: tractor.MsgStream
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async with feed.open_multi_stream() as stream:
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assert stream
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async for quotes in stream:
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quote_period = time.time() - last_quote_s
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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_s = time.time()
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for sym, quote in quotes.items():
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ds = dss[sym]
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ds.quotes = quote
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rt_pi, hist_pi = pis[sym]
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# chart isn't active/shown so skip render cycle and
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# pause feed(s)
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if (
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fast_chart.linked.isHidden()
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or not rt_pi.isVisible()
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):
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print(f'{fqsn} skipping update for HIDDEN CHART')
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fast_chart.pause_all_feeds()
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continue
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ic = fast_chart.view._ic
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if ic:
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fast_chart.pause_all_feeds()
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print(f'{fqsn} PAUSING DURING INTERACTION')
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await ic.wait()
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fast_chart.resume_all_feeds()
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# sync call to update all graphics/UX components.
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graphics_update_cycle(
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ds,
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quote,
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)
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def graphics_update_cycle(
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ds: DisplayState,
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quote: dict,
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wap_in_history: bool = False,
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trigger_all: bool = False, # flag used by prepend history updates
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prepend_update_index: Optional[int] = None,
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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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chart = ds.chart
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# TODO: just pass this as a direct ref to avoid so many attr accesses?
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hist_chart = ds.godwidget.hist_linked.chart
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flume = ds.flume
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sym = flume.symbol
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fqsn = sym.fqsn
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main_viz = chart._vizs[fqsn]
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index_field = main_viz.index_field
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profiler = Profiler(
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msg=f'Graphics loop cycle for: `{chart.name}`',
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delayed=True,
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disabled=not pg_profile_enabled(),
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# disabled=True,
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ms_threshold=ms_slower_then,
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# ms_threshold=1/12 * 1e3,
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)
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# unpack multi-referenced components
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vlm_chart = ds.vlm_chart
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# rt "HFT" chart
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l1 = ds.l1
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ohlcv = flume.rt_shm
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array = ohlcv.array
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varz = ds.vars
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tick_margin = varz['tick_margin']
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(
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uppx,
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liv,
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do_append,
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i_diff_t,
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append_diff,
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do_rt_update,
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should_tread,
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) = main_viz.incr_info(ds=ds)
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# TODO: we should only run mxmn when we know
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# an update is due via ``do_append`` above.
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(
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brange,
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mx_in_view,
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mn_in_view,
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mx_vlm_in_view,
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) = 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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profiler('`ds.maxmin()` call')
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# TODO: eventually we want to separate out the dark vlm and show
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# them as an additional graphic.
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clear_types = _tick_groups['clears']
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# update ohlc sampled price bars
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if (
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do_rt_update
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or do_append
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or trigger_all
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):
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chart.update_graphics_from_flow(
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fqsn,
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# chart.name,
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# do_append=do_append,
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)
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main_viz.draw_last(array_key=fqsn)
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hist_chart.update_graphics_from_flow(
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fqsn,
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# chart.name,
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# do_append=do_append,
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)
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# don't real-time "shift" the curve to the
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# left unless we get one of the following:
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if (
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(
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should_tread
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and do_append
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and liv
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)
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or trigger_all
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):
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chart.increment_view(datums=append_diff)
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main_viz.plot.vb._set_yrange()
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# NOTE: since vlm and ohlc charts are axis linked now we don't
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# need the double increment request?
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# if vlm_chart:
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# vlm_chart.increment_view(datums=append_diff)
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profiler('view incremented')
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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)}\n'
|
|
# f'framed: {pformat(frames_by_type)}\n'
|
|
# f'lasts: {pformat(lasts)}\n'
|
|
# )
|
|
# for typ, tick in lasts.items():
|
|
# ticks_frame = quote.get('ticks', ())
|
|
ticks_by_type = quote.get('tbt', {})
|
|
|
|
# for tick in ticks_frame:
|
|
for typ, ticks in ticks_by_type.items():
|
|
|
|
# NOTE: ticks are `.append()`-ed to the `ticks_by_type: dict` by the
|
|
# `._sampling.uniform_rate_send()` loop
|
|
tick = ticks[-1]
|
|
# typ = tick.get('type')
|
|
price = tick.get('price')
|
|
size = tick.get('size')
|
|
|
|
# compute max and min prices (including bid/ask) from
|
|
# tick frames to determine the y-range for chart
|
|
# auto-scaling.
|
|
# TODO: we need a streaming minmax algo here, see def above.
|
|
if liv:
|
|
mx = max(price + tick_margin, mx)
|
|
mn = min(price - tick_margin, mn)
|
|
|
|
if typ in clear_types:
|
|
# XXX: if we only wanted to update graphics from the
|
|
# "current"/"latest received" clearing price tick
|
|
# once (see alt iteration order above).
|
|
# if last_clear_updated:
|
|
# continue
|
|
|
|
# last_clear_updated = True
|
|
# we only want to update grahpics from the *last*
|
|
# tick event that falls under the "clearing price"
|
|
# set.
|
|
|
|
# update price sticky(s)
|
|
end_ic = array[-1][[
|
|
index_field,
|
|
'close',
|
|
]]
|
|
ds.last_price_sticky.update_from_data(*end_ic)
|
|
ds.hist_last_price_sticky.update_from_data(*end_ic)
|
|
|
|
if wap_in_history:
|
|
# update vwap overlay line
|
|
chart.update_graphics_from_flow('bar_wap')
|
|
|
|
# L1 book label-line updates
|
|
# XXX: is this correct for ib?
|
|
# if ticktype in ('trade', 'last'):
|
|
# if ticktype in ('last',): # 'size'):
|
|
if typ in ('last',): # 'size'):
|
|
|
|
label = {
|
|
l1.ask_label.fields['level']: l1.ask_label,
|
|
l1.bid_label.fields['level']: l1.bid_label,
|
|
}.get(price)
|
|
|
|
if (
|
|
label is not None
|
|
and liv
|
|
):
|
|
label.update_fields(
|
|
{'level': price, 'size': size}
|
|
)
|
|
|
|
# TODO: on trades should we be knocking down
|
|
# the relevant L1 queue?
|
|
# label.size -= size
|
|
|
|
elif (
|
|
typ in _tick_groups['asks']
|
|
# TODO: instead we could check if the price is in the
|
|
# y-view-range?
|
|
and liv
|
|
):
|
|
l1.ask_label.update_fields({'level': price, 'size': size})
|
|
|
|
elif (
|
|
typ in _tick_groups['bids']
|
|
# TODO: instead we could check if the price is in the
|
|
# y-view-range?
|
|
and liv
|
|
):
|
|
l1.bid_label.update_fields({'level': price, 'size': size})
|
|
|
|
# check for y-range re-size
|
|
if (mx > varz['last_mx']) or (mn < varz['last_mn']):
|
|
|
|
# fast chart resize case
|
|
if (
|
|
liv
|
|
and not chart._static_yrange == 'axis'
|
|
):
|
|
# main_vb = chart.view
|
|
main_vb = chart._vizs[fqsn].plot.vb
|
|
if (
|
|
main_vb._ic is None
|
|
or not main_vb._ic.is_set()
|
|
):
|
|
# print(f'updating range due to mxmn')
|
|
main_vb._set_yrange(
|
|
# TODO: we should probably scale
|
|
# the view margin based on the size
|
|
# of the true range? This way you can
|
|
# slap in orders outside the current
|
|
# L1 (only) book range.
|
|
# range_margin=0.1,
|
|
# yrange=(mn, mx),
|
|
)
|
|
|
|
# check if slow chart needs a resize
|
|
|
|
hist_viz = hist_chart._vizs[fqsn]
|
|
(
|
|
_,
|
|
hist_liv,
|
|
_,
|
|
_,
|
|
_,
|
|
_,
|
|
_,
|
|
) = hist_viz.incr_info(
|
|
ds=ds,
|
|
is_1m=True,
|
|
)
|
|
if hist_liv:
|
|
hist_viz.plot.vb._set_yrange()
|
|
|
|
# XXX: update this every draw cycle to make L1-always-in-view work.
|
|
varz['last_mx'], varz['last_mn'] = mx, mn
|
|
|
|
# run synchronous update on all linked viz
|
|
# TODO: should the "main" (aka source) viz be special?
|
|
for curve_name, viz in chart._vizs.items():
|
|
# update any overlayed fsp flows
|
|
if (
|
|
# curve_name != chart.data_key
|
|
curve_name != fqsn
|
|
and not viz.is_ohlc
|
|
):
|
|
update_fsp_chart(
|
|
chart,
|
|
viz,
|
|
curve_name,
|
|
array_key=curve_name,
|
|
)
|
|
|
|
# even if we're downsampled bigly
|
|
# draw the last datum in the final
|
|
# px column to give the user the mx/mn
|
|
# range of that set.
|
|
if (
|
|
liv
|
|
# and not do_append
|
|
# and not do_rt_update
|
|
):
|
|
viz.draw_last(
|
|
array_key=curve_name,
|
|
only_last_uppx=True,
|
|
)
|
|
|
|
# volume chart logic..
|
|
# TODO: can we unify this with the above loop?
|
|
if vlm_chart:
|
|
# print(f"DOING VLM {fqsn}")
|
|
vlm_vizs = vlm_chart._vizs
|
|
|
|
# always update y-label
|
|
ds.vlm_sticky.update_from_data(
|
|
*array[-1][[
|
|
index_field,
|
|
'volume',
|
|
]]
|
|
)
|
|
|
|
if (
|
|
(
|
|
do_rt_update
|
|
or do_append
|
|
and liv
|
|
)
|
|
or trigger_all
|
|
):
|
|
# TODO: make it so this doesn't have to be called
|
|
# once the $vlm is up?
|
|
vlm_chart.update_graphics_from_flow(
|
|
'volume',
|
|
# UGGGh, see ``maxmin()`` impl in `._fsp` for
|
|
# the overlayed plotitems... we need a better
|
|
# bay to invoke a maxmin per overlay..
|
|
render=False,
|
|
# XXX: ^^^^ THIS IS SUPER IMPORTANT! ^^^^
|
|
# without this, since we disable the
|
|
# 'volume' (units) chart after the $vlm starts
|
|
# up we need to be sure to enable this
|
|
# auto-ranging otherwise there will be no handler
|
|
# connected to update accompanying overlay
|
|
# graphics..
|
|
)
|
|
profiler('`vlm_chart.update_graphics_from_flow()`')
|
|
|
|
if (
|
|
mx_vlm_in_view != varz['last_mx_vlm']
|
|
):
|
|
yrange = (0, mx_vlm_in_view * 1.375)
|
|
vlm_chart.view._set_yrange(
|
|
yrange=yrange,
|
|
)
|
|
profiler('`vlm_chart.view._set_yrange()`')
|
|
# print(f'mx vlm: {last_mx_vlm} -> {mx_vlm_in_view}')
|
|
varz['last_mx_vlm'] = mx_vlm_in_view
|
|
|
|
# update all downstream FSPs
|
|
for curve_name, viz in vlm_vizs.items():
|
|
|
|
if (
|
|
curve_name not in {'volume', fqsn}
|
|
and viz.render
|
|
and (
|
|
liv and do_rt_update
|
|
or do_append
|
|
)
|
|
# and not viz.is_ohlc
|
|
# and curve_name != fqsn
|
|
):
|
|
update_fsp_chart(
|
|
vlm_chart,
|
|
viz,
|
|
curve_name,
|
|
array_key=curve_name,
|
|
# do_append=uppx < update_uppx,
|
|
# do_append=do_append,
|
|
)
|
|
# is this even doing anything?
|
|
# (pretty sure it's the real-time
|
|
# resizing from last quote?)
|
|
fvb = viz.plot.vb
|
|
fvb._set_yrange(
|
|
name=curve_name,
|
|
)
|
|
|
|
elif (
|
|
curve_name != 'volume'
|
|
and not do_append
|
|
and liv
|
|
and uppx >= 1
|
|
# even if we're downsampled bigly
|
|
# draw the last datum in the final
|
|
# px column to give the user the mx/mn
|
|
# range of that set.
|
|
):
|
|
# always update the last datum-element
|
|
# graphic for all vizs
|
|
# print(f'drawing last {viz.name}')
|
|
viz.draw_last(array_key=curve_name)
|
|
|
|
|
|
async def link_views_with_region(
|
|
rt_chart: ChartPlotWidget,
|
|
hist_chart: ChartPlotWidget,
|
|
flume: Flume,
|
|
|
|
) -> None:
|
|
|
|
# these value are be only pulled once during shm init/startup
|
|
izero_hist = flume.izero_hist
|
|
izero_rt = flume.izero_rt
|
|
|
|
# Add the LinearRegionItem to the ViewBox, but tell the ViewBox
|
|
# to exclude this item when doing auto-range calculations.
|
|
rt_pi = rt_chart.plotItem
|
|
hist_pi = hist_chart.plotItem
|
|
|
|
region = pg.LinearRegionItem(
|
|
movable=False,
|
|
# color scheme that matches sidepane styling
|
|
pen=pg.mkPen(hcolor('gunmetal')),
|
|
brush=pg.mkBrush(hcolor('default_darkest')),
|
|
)
|
|
|
|
region.setOpacity(0)
|
|
hist_pi.addItem(region, ignoreBounds=True)
|
|
region.setOpacity(6/16)
|
|
|
|
viz = rt_chart.get_viz(flume.symbol.fqsn)
|
|
assert viz
|
|
index_field = viz.index_field
|
|
|
|
# XXX: no idea why this doesn't work but it's causing
|
|
# a weird placement of the region on the way-far-left..
|
|
# region.setClipItem(viz.graphics)
|
|
|
|
if index_field == 'time':
|
|
|
|
# in the (epoch) index case we can map directly
|
|
# from the fast chart's x-domain values since they are
|
|
# on the same index as the slow chart.
|
|
|
|
def update_region_from_pi(
|
|
window,
|
|
viewRange: tuple[tuple, tuple],
|
|
is_manual: bool = True,
|
|
) -> None:
|
|
# put linear region "in front" in layer terms
|
|
region.setZValue(10)
|
|
|
|
# set the region on the history chart
|
|
# to the range currently viewed in the
|
|
# HFT/real-time chart.
|
|
rng = mn, mx = viewRange[0]
|
|
|
|
# hist_viz = hist_chart.get_viz(flume.symbol.fqsn)
|
|
# hist = hist_viz.shm.array[-3:]
|
|
# print(
|
|
# f'mn: {mn}\n'
|
|
# f'mx: {mx}\n'
|
|
# f'slow last 3 epochs: {list(hist["time"])}\n'
|
|
# f'slow last 3: {hist}\n'
|
|
# )
|
|
|
|
region.setRegion(rng)
|
|
|
|
else:
|
|
# poll for datums load and timestep detection
|
|
for _ in range(100):
|
|
try:
|
|
_, _, ratio = flume.get_ds_info()
|
|
break
|
|
except IndexError:
|
|
await trio.sleep(0.01)
|
|
continue
|
|
else:
|
|
raise RuntimeError(
|
|
'Failed to detect sampling periods from shm!?')
|
|
|
|
# sampling rate transform math:
|
|
# -----------------------------
|
|
# define the fast chart to slow chart as a linear mapping
|
|
# over the fast index domain `i` to the slow index domain
|
|
# `j` as:
|
|
#
|
|
# j = i - i_offset
|
|
# ------------ + j_offset
|
|
# j/i
|
|
#
|
|
# conversely the inverse function is:
|
|
#
|
|
# i = j/i * (j - j_offset) + i_offset
|
|
#
|
|
# Where `j_offset` is our ``izero_hist`` and `i_offset` is our
|
|
# `izero_rt`, the ``ShmArray`` offsets which correspond to the
|
|
# indexes in each array where the "current" time is indexed at init.
|
|
# AKA the index where new data is "appended to" and historical data
|
|
# if "prepended from".
|
|
#
|
|
# more practically (and by default) `i` is normally an index
|
|
# into 1s samples and `j` is an index into 60s samples (aka 1m).
|
|
# in the below handlers ``ratio`` is the `j/i` and ``mn``/``mx``
|
|
# are the low and high index input from the source index domain.
|
|
|
|
def update_region_from_pi(
|
|
window,
|
|
viewRange: tuple[tuple, tuple],
|
|
is_manual: bool = True,
|
|
|
|
) -> None:
|
|
# put linear region "in front" in layer terms
|
|
region.setZValue(10)
|
|
|
|
# set the region on the history chart
|
|
# to the range currently viewed in the
|
|
# HFT/real-time chart.
|
|
mn, mx = viewRange[0]
|
|
ds_mn = (mn - izero_rt)/ratio
|
|
ds_mx = (mx - izero_rt)/ratio
|
|
lhmn = ds_mn + izero_hist
|
|
lhmx = ds_mx + izero_hist
|
|
# print(
|
|
# f'rt_view_range: {(mn, mx)}\n'
|
|
# f'ds_mn, ds_mx: {(ds_mn, ds_mx)}\n'
|
|
# f'lhmn, lhmx: {(lhmn, lhmx)}\n'
|
|
# )
|
|
region.setRegion((
|
|
lhmn,
|
|
lhmx,
|
|
))
|
|
|
|
# TODO: if we want to have the slow chart adjust range to
|
|
# match the fast chart's selection -> results in the
|
|
# linear region expansion never can go "outside of view".
|
|
# hmn, hmx = hvr = hist_chart.view.state['viewRange'][0]
|
|
# print((hmn, hmx))
|
|
# if (
|
|
# hvr
|
|
# and (lhmn < hmn or lhmx > hmx)
|
|
# ):
|
|
# hist_pi.setXRange(
|
|
# lhmn,
|
|
# lhmx,
|
|
# padding=0,
|
|
# )
|
|
# hist_linked.graphics_cycle()
|
|
|
|
# connect region to be updated on plotitem interaction.
|
|
rt_pi.sigRangeChanged.connect(update_region_from_pi)
|
|
|
|
def update_pi_from_region():
|
|
region.setZValue(10)
|
|
mn, mx = region.getRegion()
|
|
# print(f'region_x: {(mn, mx)}')
|
|
rt_pi.setXRange(
|
|
((mn - izero_hist) * ratio) + izero_rt,
|
|
((mx - izero_hist) * ratio) + izero_rt,
|
|
padding=0,
|
|
)
|
|
|
|
# TODO BUG XXX: seems to cause a real perf hit and a recursion error
|
|
# (but used to work before generalizing for 1s ohlc offset?)..
|
|
# something to do with the label callback handlers?
|
|
|
|
# region.sigRegionChanged.connect(update_pi_from_region)
|
|
# region.sigRegionChangeFinished.connect(update_pi_from_region)
|
|
|
|
|
|
# force 0 to always be in view
|
|
def multi_maxmin(
|
|
chart: ChartPlotWidget,
|
|
names: list[str],
|
|
|
|
) -> tuple[float, float]:
|
|
'''
|
|
Viz "group" maxmin loop; assumes all named vizs
|
|
are in the same co-domain and thus can be sorted
|
|
as one set.
|
|
|
|
Iterates all the named vizs and calls the chart
|
|
api to find their range values and return.
|
|
|
|
TODO: really we should probably have a more built-in API
|
|
for this?
|
|
|
|
'''
|
|
mx = 0
|
|
for name in names:
|
|
ymn, ymx = chart.maxmin(name=name)
|
|
mx = max(mx, ymx)
|
|
|
|
return 0, mx
|
|
|
|
|
|
_quote_throttle_rate: int = 60 - 6
|
|
|
|
|
|
async def display_symbol_data(
|
|
godwidget: GodWidget,
|
|
fqsns: list[str],
|
|
loglevel: str,
|
|
order_mode_started: trio.Event,
|
|
|
|
) -> None:
|
|
'''
|
|
Spawn a real-time updated chart for ``symbol``.
|
|
|
|
Spawned ``LinkedSplits`` chart widgets can remain up but hidden so
|
|
that multiple symbols can be viewed and switched between extremely
|
|
fast from a cached watch-list.
|
|
|
|
'''
|
|
sbar = godwidget.window.status_bar
|
|
# historical data fetch
|
|
# brokermod = brokers.get_brokermod(provider)
|
|
|
|
# ohlc_status_done = sbar.open_status(
|
|
# 'retreiving OHLC history.. ',
|
|
# clear_on_next=True,
|
|
# group_key=loading_sym_key,
|
|
# )
|
|
|
|
for fqsn in fqsns:
|
|
loading_sym_key = sbar.open_status(
|
|
f'loading {fqsn} ->',
|
|
group_key=True
|
|
)
|
|
|
|
# TODO: ctl over update loop's maximum frequency.
|
|
# - load this from a config.toml!
|
|
# - allow dyanmic configuration from chart UI?
|
|
global _quote_throttle_rate
|
|
from ._window import main_window
|
|
display_rate = main_window().current_screen().refreshRate()
|
|
_quote_throttle_rate = floor(display_rate) - 6
|
|
|
|
feed: Feed
|
|
async with open_feed(
|
|
fqsns,
|
|
loglevel=loglevel,
|
|
|
|
# limit to at least display's FPS
|
|
# avoiding needless Qt-in-guest-mode context switches
|
|
tick_throttle=min(
|
|
round(_quote_throttle_rate/len(fqsns)),
|
|
22, # aka 6 + 16
|
|
),
|
|
|
|
) as feed:
|
|
|
|
# use expanded contract symbols passed back from feed layer.
|
|
fqsns = list(feed.flumes.keys())
|
|
|
|
# step_size_s = 1
|
|
# tf_key = tf_in_1s[step_size_s]
|
|
godwidget.window.setWindowTitle(
|
|
f'{fqsns} '
|
|
# f'tick:{symbol.tick_size} '
|
|
# f'step:{tf_key} '
|
|
)
|
|
# generate order mode side-pane UI
|
|
# A ``FieldsForm`` form to configure order entry
|
|
# and add as next-to-y-axis singleton pane
|
|
pp_pane: FieldsForm = mk_order_pane_layout(godwidget)
|
|
godwidget.pp_pane = pp_pane
|
|
|
|
# create top history view chart above the "main rt chart".
|
|
rt_linked = godwidget.rt_linked
|
|
hist_linked = godwidget.hist_linked
|
|
|
|
# NOTE: here we insert the slow-history chart set into
|
|
# the fast chart's splitter -> so it's a splitter of charts
|
|
# inside the first widget slot of a splitter of charts XD
|
|
rt_linked.splitter.insertWidget(0, hist_linked)
|
|
|
|
rt_chart: None | ChartPlotWidget = None
|
|
hist_chart: None | ChartPlotWidget = None
|
|
vlm_chart: None | ChartPlotWidget = None
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# TODO: I think some palette's based on asset group types
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# would be good, for eg:
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# - underlying and opts contracts
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# - index and underlyings + futures
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# - gradient in "lightness" based on liquidity, or lifetime in derivs?
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palette = itertools.cycle([
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# curve color, last bar curve color
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['grayest', 'i3'],
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['default_dark', 'default'],
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['grayer', 'bracket'],
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['i3', 'gray'],
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])
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pis: dict[str, list[pgo.PlotItem, pgo.PlotItem]] = {}
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# load in ohlc data to a common linked but split chart set.
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fitems: list[
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tuple[str, Flume]
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] = list(feed.flumes.items())
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# use array int-indexing when no aggregate feed overlays are
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# loaded.
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if len(fitems) == 1:
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from ._dataviz import Viz
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Viz._index_field = 'index'
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# for the "first"/selected symbol we create new chart widgets
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# and sub-charts for FSPs
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fqsn, flume = fitems[0]
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rt_linked._symbol = flume.symbol
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hist_linked._symbol = flume.symbol
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ohlcv: ShmArray = flume.rt_shm
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hist_ohlcv: ShmArray = flume.hist_shm
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symbol = flume.symbol
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brokername = symbol.brokers[0]
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fqsn = symbol.fqsn
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hist_chart = hist_linked.plot_ohlc_main(
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symbol,
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hist_ohlcv,
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flume,
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# in the case of history chart we explicitly set `False`
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# to avoid internal pane creation.
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# sidepane=False,
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sidepane=godwidget.search,
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)
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# ensure the last datum graphic is generated
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# for zoom-interaction purposes.
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hist_chart.get_viz(fqsn).draw_last(
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array_key=fqsn,
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# only_last_uppx=True,
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)
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pis.setdefault(fqsn, [None, None])[1] = hist_chart.plotItem
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# don't show when not focussed
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hist_linked.cursor.always_show_xlabel = False
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rt_chart = rt_linked.plot_ohlc_main(
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symbol,
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ohlcv,
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flume,
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# in the case of history chart we explicitly set `False`
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# to avoid internal pane creation.
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sidepane=pp_pane,
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)
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pis.setdefault(fqsn, [None, None])[0] = rt_chart.plotItem
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# for pause/resume on mouse interaction
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rt_chart.feed = feed
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async with trio.open_nursery() as ln:
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# if available load volume related built-in display(s)
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vlm_charts: dict[
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str,
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None | ChartPlotWidget
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] = {}.fromkeys(feed.flumes)
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if (
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not symbol.broker_info[brokername].get('no_vlm', False)
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and has_vlm(ohlcv)
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and vlm_chart is None
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):
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vlm_charts[fqsn] = await ln.start(
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open_vlm_displays,
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rt_linked,
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flume,
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)
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# load (user's) FSP set (otherwise known as "indicators")
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# from an input config.
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ln.start_soon(
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start_fsp_displays,
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rt_linked,
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flume,
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loading_sym_key,
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loglevel,
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)
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# XXX: FOR SOME REASON THIS IS CAUSING HANGZ!?!
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# plot historical vwap if available
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wap_in_history = False
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# if (
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# brokermod._show_wap_in_history
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# and 'bar_wap' in bars.dtype.fields
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# ):
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# wap_in_history = True
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# rt_chart.draw_curve(
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# name='bar_wap',
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# shm=ohlcv,
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# color='default_light',
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# add_label=False,
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# )
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for fqsn, flume in fitems[1:]:
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# get a new color from the palette
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bg_chart_color, bg_last_bar_color = next(palette)
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rt_linked._symbol = flume.symbol
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hist_linked._symbol = flume.symbol
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ohlcv: ShmArray = flume.rt_shm
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hist_ohlcv: ShmArray = flume.hist_shm
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symbol = flume.symbol
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fqsn = symbol.fqsn
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hist_pi = hist_chart.overlay_plotitem(
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name=fqsn,
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axis_title=fqsn,
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)
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hist_pi.hideAxis('left')
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hist_pi.hideAxis('bottom')
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viz = hist_chart.draw_curve(
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fqsn,
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hist_ohlcv,
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flume,
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array_key=fqsn,
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overlay=hist_pi,
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pi=hist_pi,
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is_ohlc=True,
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color=bg_chart_color,
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last_bar_color=bg_last_bar_color,
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)
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# ensure the last datum graphic is generated
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# for zoom-interaction purposes.
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viz.draw_last(
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array_key=fqsn,
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# only_last_uppx=True,
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)
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hist_pi.vb.maxmin = partial(
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hist_chart.maxmin,
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name=fqsn,
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)
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# TODO: we need a better API to do this..
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# specially store ref to shm for lookup in display loop
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# since only a placeholder of `None` is entered in
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# ``.draw_curve()``.
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viz = hist_chart._vizs[fqsn]
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assert viz.plot is hist_pi
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pis.setdefault(fqsn, [None, None])[1] = hist_pi
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rt_pi = rt_chart.overlay_plotitem(
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name=fqsn,
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axis_title=fqsn,
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)
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rt_pi.hideAxis('left')
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rt_pi.hideAxis('bottom')
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viz = rt_chart.draw_curve(
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fqsn,
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ohlcv,
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flume,
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array_key=fqsn,
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overlay=rt_pi,
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pi=rt_pi,
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is_ohlc=True,
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color=bg_chart_color,
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last_bar_color=bg_last_bar_color,
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)
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rt_pi.vb.maxmin = partial(
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rt_chart.maxmin,
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name=fqsn,
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)
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# TODO: we need a better API to do this..
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# specially store ref to shm for lookup in display loop
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# since only a placeholder of `None` is entered in
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# ``.draw_curve()``.
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viz = rt_chart._vizs[fqsn]
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assert viz.plot is rt_pi
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pis.setdefault(fqsn, [None, None])[0] = rt_pi
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rt_chart.setFocus()
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# NOTE: we must immediately tell Qt to show the OHLC chart
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|
# to avoid a race where the subplots get added/shown to
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# the linked set *before* the main price chart!
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|
rt_linked.show()
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rt_linked.focus()
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await trio.sleep(0)
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# XXX: if we wanted it at the bottom?
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# rt_linked.splitter.addWidget(hist_linked)
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rt_linked.focus()
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godwidget.resize_all()
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# add all additional symbols as overlays
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|
for fqsn, flume in feed.flumes.items():
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|
# size view to data prior to order mode init
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|
rt_chart.default_view()
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rt_linked.graphics_cycle()
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await trio.sleep(0)
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hist_chart.default_view(
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bars_from_y=int(len(hist_ohlcv.array)), # size to data
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y_offset=6116*2, # push it a little away from the y-axis
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)
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hist_linked.graphics_cycle()
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await trio.sleep(0)
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|
godwidget.resize_all()
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|
# trigger another view reset if no sub-chart
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|
hist_chart.default_view()
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|
rt_chart.default_view()
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|
# let qt run to render all widgets and make sure the
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# sidepanes line up vertically.
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|
await trio.sleep(0)
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# dynamic resize steps
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|
godwidget.resize_all()
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|
# TODO: look into this because not sure why it was
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|
# commented out / we ever needed it XD
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|
# NOTE: we pop the volume chart from the subplots set so
|
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# that it isn't double rendered in the display loop
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|
# above since we do a maxmin calc on the volume data to
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# determine if auto-range adjustements should be made.
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|
# rt_linked.subplots.pop('volume', None)
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|
|
# TODO: make this not so shit XD
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|
# close group status
|
|
# sbar._status_groups[loading_sym_key][1]()
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|
|
|
hist_linked.graphics_cycle()
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rt_chart.default_view()
|
|
await trio.sleep(0)
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|
|
bars_in_mem = int(len(hist_ohlcv.array))
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|
hist_chart.default_view(
|
|
bars_from_y=bars_in_mem, # size to data
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|
# push it 1/16th away from the y-axis
|
|
y_offset=round(bars_in_mem / 16),
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)
|
|
godwidget.resize_all()
|
|
|
|
await link_views_with_region(
|
|
rt_chart,
|
|
hist_chart,
|
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flume,
|
|
)
|
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|
|
# start graphics update loop after receiving first live quote
|
|
ln.start_soon(
|
|
graphics_update_loop,
|
|
ln,
|
|
godwidget,
|
|
feed,
|
|
pis,
|
|
wap_in_history,
|
|
vlm_charts,
|
|
)
|
|
|
|
mode: OrderMode
|
|
async with (
|
|
open_order_mode(
|
|
feed,
|
|
godwidget,
|
|
fqsns[-1],
|
|
order_mode_started
|
|
) as mode
|
|
):
|
|
rt_linked.mode = mode
|
|
|
|
rt_chart.default_view()
|
|
rt_chart.view.enable_auto_yrange()
|
|
hist_chart.default_view()
|
|
hist_chart.view.enable_auto_yrange()
|
|
|
|
await trio.sleep_forever() # let the app run.. bby
|