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ohlc bugfixes

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Tim
2024-01-25 19:39:58 -04:00
parent 5931dd5647
commit 64384c3d3a
2 changed files with 18 additions and 17 deletions
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2
src/dexorder/__init__.py
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@@ -11,7 +11,7 @@ def now():
return datetime.now(timezone.utc)
def timestamp():
return datetime.now().timestamp()
return int(datetime.now().timestamp())
def from_timestamp(ts):
return datetime.fromtimestamp(ts, timezone.utc)

33
src/dexorder/ohlc.py
View File

@@ -97,7 +97,7 @@ def update_ohlc(prev: OHLC, period: timedelta, time: datetime, price: Optional[d
break
result.append(cur.ohlc)
cur = NativeOHLC(end, None, None, None, cur.close)
log.debug(f'\tresult after finalization: {result}')
log.debug(f'\ttime advancements: {result}')
# if we are setting a price, update the current bar
if price is not None:
if cur.open is None:
@@ -149,29 +149,30 @@ class OHLCRepository:
log.debug(f'Updating OHLC {logname} {minutely(time)} {price}')
key = (symbol, period)
# bars is a list of "recent" OHLC's stored as blockdata. we try to keep the recent array long enough to extend before the root block time
bars: Optional[list[OHLC]] = recent_ohlcs.get(key)
if not bars:
historical: Optional[list[OHLC]] = recent_ohlcs.get(key)
if not historical:
if create is False or price is None:
return # do not track symbols which have not been explicity set up
p = str(price)
historical = []
updated = [OHLC((minutely(ohlc_start_time(time, period)), p, p, p, p))]
log.debug(f'\tcreated new bars {updated}')
else:
updated = update_ohlc(bars[-1], period, time, price)
# we need to retain enough recent history to at least cover the root block time, plus one previous finalized block
# first we construct the longest possible sequence
if not bars or not updated:
updated = (bars or []) + (updated or [])
updated = update_ohlc(historical[-1], period, time, price)
# drop any historical bars that are older than we need
oldest_needed = from_timestamp(current_block.get().timestamp) - period # cover the root block time plus one period prior
trim = (oldest_needed - from_isotime(historical[0][0])) // period
if trim > 0:
historical = historical[trim:]
# now overlap the updated data on top of the historical data
if not historical or not updated:
updated = historical + updated
else:
last_bar = from_isotime(bars[-1][0])
last_bar = from_isotime(historical[-1][0])
first_updated = from_isotime(updated[0][0])
overlap = (first_updated - last_bar) // period
updated = bars[:-overlap] + updated if overlap > 0 else bars + updated
# now we drop history that is older than we need
oldest_needed = from_timestamp(current_block.get().timestamp) - period # cover the root block time plus one period prior
trim = (oldest_needed - from_isotime(updated[0][0])) // period
if trim > 0:
updated = updated[trim:]
overlap = (first_updated - last_bar) // period + 1
updated = historical[:-overlap] + updated if overlap > 0 else historical + updated
log.debug(f'\tnew recents: {updated}')
recent_ohlcs.setitem(key, updated)
return updated