50 lines
1.5 KiB
Python
50 lines
1.5 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship of piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Fin-sig-proc for the peeps!
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'''
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from typing import AsyncIterator
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import numpy as np
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from ._engine import cascade
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__all__ = ['cascade']
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async def latency(
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source: 'TickStream[Dict[str, float]]', # noqa
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ohlcv: np.ndarray
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) -> AsyncIterator[np.ndarray]:
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"""Latency measurements, broker to piker.
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"""
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# TODO: do we want to offer yielding this async
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# before the rt data connection comes up?
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# deliver zeros for all prior history
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yield np.zeros(len(ohlcv))
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async for quote in source:
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ts = quote.get('broker_ts')
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if ts:
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# This is codified in the per-broker normalization layer
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# TODO: Add more measure points and diffs for full system
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# stack tracing.
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value = quote['brokerd_ts'] - quote['broker_ts']
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yield value
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