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OHLC debug facility

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This commit is contained in:
Tim
2024-03-20 14:48:38 -04:00
parent 3ad8c883e5
commit 00173a1d77
1 changed files with 10 additions and 3 deletions
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13
src/dexorder/ohlc.py
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@@ -16,6 +16,9 @@ from dexorder.util.shutdown import fatal
log = logging.getLogger(__name__) log = logging.getLogger(__name__)
OHLC_LIMIT_POOLS_DEBUG = None
# OHLC_LIMIT_POOLS_DEBUG = [('0xE4DC98552A7c79Cc8d79DE7D4285BBab613cd31e',timedelta(minutes=1))]
OHLC_PERIODS = [ OHLC_PERIODS = [
timedelta(minutes=1), timedelta(minutes=1),
timedelta(minutes=3), timedelta(minutes=5), timedelta(minutes=10), timedelta(minutes=15), timedelta(minutes=30), timedelta(minutes=3), timedelta(minutes=5), timedelta(minutes=10), timedelta(minutes=15), timedelta(minutes=30),
@@ -339,6 +342,8 @@ class OHLCRepository:
""" """
if price is None, then bars are advanced based on the time but no new price is added to the series. if price is None, then bars are advanced based on the time but no new price is added to the series.
""" """
if OHLC_LIMIT_POOLS_DEBUG is not None and (symbol,period) not in OHLC_LIMIT_POOLS_DEBUG:
return
# logname = f'{symbol} {period_name(period)}' # logname = f'{symbol} {period_name(period)}'
# log.debug(f'Updating OHLC {logname} {minutely(time)} {price}') # log.debug(f'Updating OHLC {logname} {minutely(time)} {price}')
if price is not None: if price is not None:
@@ -347,13 +352,13 @@ class OHLCRepository:
# recent_ohlcs holds a list of "recent" NativeOHLC's stored as blockdata. we try to keep the recent array long # recent_ohlcs holds a list of "recent" NativeOHLC's stored as blockdata. we try to keep the recent array long
# enough to extend prior the root block time # enough to extend prior the root block time
historical: Optional[list[NativeOHLC]] = recent_ohlcs.get(key) historical: Optional[list[NativeOHLC]] = recent_ohlcs.get(key)
# log.debug(f'got recent {historical}') log.debug(f'got recent {historical}')
if not historical: if not historical:
if create is False or price is None: if create is False or price is None:
return # do not track symbols which have not been explicity set up return # do not track symbols which have not been explicity set up
historical = [] historical = []
updated = [NativeOHLC(ohlc_start_time(time, period), price, price, price, price)] updated = [NativeOHLC(ohlc_start_time(time, period), price, price, price, price)]
# log.debug(f'\tcreated new bars {updated}') log.debug(f'\tcreated new bars {updated}')
else: else:
updated = update_ohlc(historical[-1], period, time, price) updated = update_ohlc(historical[-1], period, time, price)
# drop any historical bars that are older than we need # drop any historical bars that are older than we need
@@ -372,7 +377,7 @@ class OHLCRepository:
first_updated = updated[0].start first_updated = updated[0].start
overlap = (first_updated - last_bar) // period + 1 overlap = (first_updated - last_bar) // period + 1
updated = historical[:-overlap] + updated if overlap > 0 else historical + updated updated = historical[:-overlap] + updated if overlap > 0 else historical + updated
# log.debug(f'\tnew recents: {updated}') log.debug(f'\tnew recents: {updated}')
recent_ohlcs.setitem(key, updated) recent_ohlcs.setitem(key, updated)
return updated return updated
@@ -441,6 +446,8 @@ class FinalOHLCRepository (OHLCRepository):
def light_update(self, symbol: str, period: timedelta, time: datetime, price: Optional[dec] = None, def light_update(self, symbol: str, period: timedelta, time: datetime, price: Optional[dec] = None,
*, backfill=True): *, backfill=True):
if OHLC_LIMIT_POOLS_DEBUG is not None and (symbol,period) not in OHLC_LIMIT_POOLS_DEBUG:
return
if price is not None: if price is not None:
self.quotes[symbol] = timestamp(time), str(price) self.quotes[symbol] = timestamp(time), str(price)
start = ohlc_start_time(time, period) start = ohlc_start_time(time, period)