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OHLC's use timestamps instead of string dates

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This commit is contained in:
Tim
2024-02-13 23:50:57 -04:00
parent c8f65a6306
commit 9b6a9c3cda
4 changed files with 18 additions and 38 deletions
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6
src/dexorder/__init__.py
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@@ -10,8 +10,10 @@ dec = Decimal
def now():
return datetime.now(timezone.utc)
def timestamp():
return int(datetime.now().timestamp())
def timestamp(when=None):
if when is None:
when = datetime.now()
return int(when.timestamp())
def from_timestamp(ts):
return datetime.fromtimestamp(ts, timezone.utc)

11
src/dexorder/configuration/load.py
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@@ -7,7 +7,6 @@ from omegaconf.errors import OmegaConfBaseException
from .schema import Config
from .standard_accounts import default_accounts_config
from .standard_tokens import default_token_config
schema = OmegaConf.structured(Config())
@@ -20,7 +19,6 @@ def load_config():
# noinspection PyTypeChecker
result:ConfigDict = OmegaConf.merge(
schema,
load_tokens(),
load_accounts(),
from_toml('pool.toml'),
from_toml('dexorder.toml'),
@@ -31,15 +29,6 @@ def load_config():
return result
def load_tokens():
token_conf = OmegaConf.create({'tokens': default_token_config})
try:
OmegaConf.merge(schema, token_conf)
return token_conf
except OmegaConfBaseException as _x:
raise ConfigException(f'Error while processing default tokens:\n{_x}')
def load_accounts():
accounts_conf = OmegaConf.create({'accounts': default_accounts_config})
try:

11
src/dexorder/configuration/schema.py
View File

@@ -21,19 +21,8 @@ class Config:
polling: float = 0 # seconds between queries for a new block. 0 disables polling and uses a websocket subscription on ws_url instead
backfill: int = 0 # if not 0, then runner will initialize an empty database by backfilling from the given block height
tokens: list['TokenConfig'] = field(default_factory=list)
account: Optional[str] = None # may be a private key or an account alias
accounts: Optional[dict[str,str]] = field(default_factory=dict) # account aliases
deployments: Optional[dict[str,str]] = field(default_factory=dict)
min_gas: str = '0'
@dataclass
class TokenConfig:
name: str
symbol: str
decimals: int
chain: str
address: str
abi: Optional[str] = None

28
src/dexorder/ohlc.py
View File

@@ -7,7 +7,7 @@ from typing import Optional, NamedTuple, Reversible, Union
from cachetools import LFUCache
from dexorder import dec, config, from_isotime, minutely, from_timestamp
from dexorder import dec, config, from_timestamp, timestamp
from dexorder.base.chain import current_chain
from dexorder.blockstate import BlockDict, DiffItem, current_blockstate
from dexorder.blockstate.diff import DiffEntryItem
@@ -24,16 +24,16 @@ OHLC_PERIODS = [
OHLC_DATE_ROOT = datetime(2009, 1, 4, tzinfo=timezone.utc) # Sunday before Bitcoin Genesis
# OHLC's are stored as [time, open, high, low, close] string values. If there was no data during the interval,
# then open, high, and low are None but the close value is carried over from the previous interval.
OHLC = list[str] # typedef
# OHLC's are stored as [timestamp, open, high, low, close] with prices as string values. If there was no data during
# the interval, then open, high, and low are None but the close value is carried over from the previous interval.
OHLC = list[Union[None,int,str]] # typedef
def opt_dec(v):
return None if v is None else dec(v)
def dt(v):
return v if isinstance(v, datetime) else from_isotime(v)
return v if isinstance(v, datetime) else from_timestamp(v)
@dataclass
class NativeOHLC:
@@ -50,7 +50,7 @@ class NativeOHLC:
@property
def ohlc(self) -> OHLC:
return [
minutely(self.start),
timestamp(self.start),
None if self.open is None else str(self.open),
None if self.high is None else str(self.high),
None if self.low is None else str(self.low),
@@ -154,13 +154,13 @@ class OHLCRepository:
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))]
updated = [OHLC((timestamp(ohlc_start_time(time, period)), p, p, p, p))]
# log.debug(f'\tcreated new bars {updated}')
else:
updated = update_ohlc(historical[-1], period, time, price)
# drop any historical bars that are older than we need
oldest_needed = from_timestamp(current_blockstate.get().root_block.timestamp) - period # cover the root block time plus one period prior
trim = (oldest_needed - from_isotime(historical[0][0])) // period
trim = (oldest_needed - from_timestamp(historical[0][0])) // period
if trim > 0:
historical = historical[trim:]
@@ -168,8 +168,8 @@ class OHLCRepository:
if not historical or not updated:
updated = historical + updated
else:
last_bar = from_isotime(historical[-1][0])
first_updated = from_isotime(updated[0][0])
last_bar = from_timestamp(historical[-1][0])
first_updated = from_timestamp(updated[0][0])
overlap = (first_updated - last_bar) // period + 1
updated = historical[:-overlap] + updated if overlap > 0 else historical + updated
# log.debug(f'\tnew recents: {updated}')
@@ -187,17 +187,17 @@ class OHLCRepository:
if not chunk:
chunk = [ohlc]
else:
start = from_isotime(chunk[0][0])
start = from_timestamp(chunk[0][0])
index = (time - start) // period
# log.debug(f'save {symbol} {ohlc_name(period)} chunk {start} index {index} <= {len(chunk)}')
if index > len(chunk):
log.error(f'chunk gap: {index} > {len(chunk)} {symbol} {period_name(period)} {ohlc}'+''.join(f'\n\t{c}' for c in chunk))
exit(1)
if index == len(chunk):
assert from_isotime(chunk[-1][0]) + period == time
assert from_timestamp(chunk[-1][0]) + period == time
chunk.append(ohlc)
else:
assert from_isotime(chunk[index][0]) == time
assert from_timestamp(chunk[index][0]) == time
chunk[index] = ohlc
self.save_chunk(symbol, period, chunk)
@@ -222,7 +222,7 @@ class OHLCRepository:
def save_chunk(self, symbol: str, period: timedelta, chunk: list[OHLC]):
if not chunk:
return
path = self.chunk_path(symbol, period, from_isotime(chunk[0][0]))
path = self.chunk_path(symbol, period, from_timestamp(chunk[0][0]))
for _ in range(2):
try:
with open(path, 'w') as file: