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OHLC fix

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This commit is contained in:
Tim
2024-03-19 13:40:59 -04:00
parent 31bf1da1db
commit 893b09b1ed
1 changed files with 16 additions and 9 deletions
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25
src/dexorder/ohlc.py
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@@ -6,7 +6,7 @@ from typing import Optional, NamedTuple, Reversible, Union, TypedDict
from cachetools import LFUCache from cachetools import LFUCache
from dexorder import dec, config, from_timestamp, timestamp, now from dexorder import dec, config, from_timestamp, timestamp, now, minutely
from dexorder.base.chain import current_chain from dexorder.base.chain import current_chain
from dexorder.blockstate import BlockDict, DiffItem, current_blockstate from dexorder.blockstate import BlockDict, DiffItem, current_blockstate
from dexorder.blockstate.diff import DiffEntryItem from dexorder.blockstate.diff import DiffEntryItem
@@ -18,9 +18,10 @@ log = logging.getLogger(__name__)
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), # TODO remove debug
timedelta(hours=1), timedelta(hours=2), timedelta(hours=4), timedelta(hours=8), timedelta(hours=12), # timedelta(minutes=3), timedelta(minutes=5), timedelta(minutes=10), timedelta(minutes=15), timedelta(minutes=30),
timedelta(days=1), timedelta(days=2), timedelta(days=3), timedelta(days=7) # timedelta(hours=1), timedelta(hours=2), timedelta(hours=4), timedelta(hours=8), timedelta(hours=12),
# timedelta(days=1), timedelta(days=2), timedelta(days=3), timedelta(days=7)
] ]
OHLC_DATE_ROOT = datetime(2009, 1, 4, tzinfo=timezone.utc) # Sunday before Bitcoin Genesis OHLC_DATE_ROOT = datetime(2009, 1, 4, tzinfo=timezone.utc) # Sunday before Bitcoin Genesis
@@ -93,11 +94,11 @@ class NativeOHLC:
self.high = max(self.high, price) self.high = max(self.high, price)
self.low = min(self.low, price) self.low = min(self.low, price)
if self._ohlc: if self._ohlc:
self._ohlc[1] = str(self.high) self._ohlc[2] = str(self.high)
self._ohlc[2] = str(self.low) self._ohlc[3] = str(self.low)
self.close = price self.close = price
if self._ohlc: if self._ohlc:
self._ohlc[3] = pstr self._ohlc[4] = pstr
self._json = None self._json = None
@@ -120,6 +121,12 @@ class NativeOHLC:
self._json = json.dumps(self.ohlc) self._json = json.dumps(self.ohlc)
return self._json return self._json
def __repr__(self):
return f'{{NativeOHLC {minutely(self.start)} o:{self.open} h:{self.high} l:{self.low} c:{self.close}}}'
def __str__(self):
return str(self.ohlc)
def period_name(period: timedelta) -> str: def period_name(period: timedelta) -> str:
return f'{period // timedelta(minutes=1)}m' if period < timedelta(hours=1) \ return f'{period // timedelta(minutes=1)}m' if period < timedelta(hours=1) \
@@ -146,7 +153,7 @@ def update_ohlc(prev: NativeOHLC, period: timedelta, time: datetime, price: Opti
returns an ordered list of OHLC's that have been created/modified by the new time/price returns an ordered list of OHLC's that have been created/modified by the new time/price
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.
""" """
# log.debug(f'\tupdating {prev} with {minutely(time)} {price}') log.debug(f'\tupdating {prev} with {minutely(time)} {price}')
cur = prev cur = prev
if time < cur.start: if time < cur.start:
# data corruption. just shut down # data corruption. just shut down
@@ -165,7 +172,7 @@ def update_ohlc(prev: NativeOHLC, period: timedelta, time: datetime, price: Opti
cur.update(price) cur.update(price)
result.append(cur) result.append(cur)
# log.debug(f'\tappended current bar: {cur.ohlc}') # log.debug(f'\tappended current bar: {cur.ohlc}')
# log.debug(f'\tupdate result: {result}') log.debug(f'\tupdate result: {result}')
return result return result
class OHLCKey (NamedTuple): class OHLCKey (NamedTuple):