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initial diagonal work (unfinished)

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This commit is contained in:
Tim
2024-04-30 21:30:16 -04:00
parent 44fbbb7695
commit 7459d560c4
11 changed files with 357 additions and 165 deletions
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19
src/charts/chart.js
View File

@@ -27,6 +27,7 @@ function changeSymbol(symbol) {
lastSymbolChangedArgs = info
symbolChangedCbs.forEach((cb)=>cb(info))
co.selectedSymbol = info
co.meanRange = chartMeanRange()
}
@@ -364,3 +365,21 @@ export function deleteShapeId(id) {
// console.log('removing entity', id)
chart.removeEntity(id)
}
function chartMeanRange() {
let range = 0
const series = chart.getSeries()
const bars = series.data().bars();
const final = Math.max(bars.size() - 50, 0)
let count = 0
for (let barIndex = bars.size() - 1; barIndex >= final; barIndex--) {
count++
const [_time, _open, high, low, _close, _volume, _ms] = bars.valueAt(barIndex)
range += (high - low)
}
if (count > 0)
range /= count
else
range = 1
return range
}

123
src/charts/shape.js
View File

@@ -1,9 +1,9 @@
// noinspection JSPotentiallyInvalidUsageOfThis
import {invokeCallback, mixin} from "@/common.js";
import {chart, createShape, deleteShapeId, dragging, draggingShapeIds, drawShape, widget} from "@/charts/chart.js";
import {unique} from "@/misc.js";
import {allocationText, useChartOrderStore} from "@/orderbuild.js";
import {chart, createShape, deleteShapeId, draggingShapeIds, drawShape, widget} from "@/charts/chart.js";
import {pointsToOhlcStart, unique} from "@/misc.js";
import {allocationText} from "@/orderbuild.js";
import Color from "color";
@@ -203,11 +203,11 @@ export class Shape {
// createShape(this.type, this.points, {overrides:this.props}, new ShapeTVCallbacks(this))
options = {...options}
options['overrides'] = props
this.tvPoints = [...points]
this.tvPoints = pointsToOhlcStart(points)
this.tvCallbacks = new ShapeTVCallbacks(this);
const id = createShape(this.type, points, options, this.tvCallbacks)
const id = createShape(this.type, this.tvPoints, options, this.tvCallbacks)
// todo set id?
if (this.debug) console.log('created', this.type.name, points, id)
if (this.debug) console.log('created', this.type.name, this.tvPoints, id)
}
onCreate(points, props) {
@@ -241,23 +241,25 @@ export class Shape {
// setting points to null will delete the shape from the chart. setting points to a valid value will cause the
// shape to be drawn.
if (this.debug) console.log('setPoints', this.id, this.ourPoints, points)
const oldPoints = this.ourPoints
this.ourPoints = points
if (points === null || !points.length)
this.delete()
else {
if (this.id === null)
this.create()
else if (dirtyPoints(this.tvPoints, points)) {
const s = this.tvShape();
const lbe = s._model._lineBeingEdited
const lpbc = s._model._linePointBeingChanged
const lpbe = s._model._linePointBeingEdited
if (lpbc!==null)
s._model.endChangingLinetool(lbe, lpbc)
s.setPoints(points)
if (lpbc!==null)
s._model.startChangingLinetool(lbe, lpbc, lpbe)
else {
points = pointsToOhlcStart(points)
if (dirtyPoints(this.tvPoints, points)) {
const s = this.tvShape();
const lbe = s._model._lineBeingEdited
const lpbc = s._model._linePointBeingChanged
const lpbe = s._model._linePointBeingEdited
if (lpbc!==null)
s._model.endChangingLinetool(lbe, lpbc)
s.setPoints(points)
if (lpbc!==null)
s._model.startChangingLinetool(lbe, lpbc, lpbe)
}
}
}
}
@@ -376,15 +378,15 @@ class ShapeTVCallbacks {
onPoints(shapeId, _tvShape, points) {
if (!this.enabled) return // possible when shape is deleted and re-created
if (this.shape.debug) console.log('tvcb onPoints', points)
this.shape.tvPoints = points
this.shape.onPoints(points)
this.shape.tvPoints = points
}
onProps(shapeId, _tvShape, props) {
if (!this.enabled) return // possible when shape is deleted and re-created
if (this.shape.debug) console.log('tvOnProps', props)
this.shape.tvProps = props
this.shape.onProps(props)
this.shape.tvProps = props
}
onDraw() {
@@ -492,12 +494,6 @@ export class HLine extends Line {
}
function nearestOhlcStart(time) {
const period = useChartOrderStore().intervalSecs
return Math.round(time/period) * period
}
export class VLine extends Line {
constructor(model, onModel=null, onDelete=null, props=null) {
super(ShapeType.VLine, onModel, onDelete, props)
@@ -505,23 +501,12 @@ export class VLine extends Line {
// Model
this.model.time = null
// since VLines must be on the start of an OHLC boundry, we track that value separately
this.shapeTime = null
this.setModel(model) // call setModel at the end
}
doCreate(points, props, options = {}) {
this.shapeTime = nearestOhlcStart(points[0].time);
points = [{time: this.shapeTime, price:0}]
if (this.debug) console.log('VLine.doCreate', this.shapeTime, points)
super.doCreate(points, props, options);
}
delete() {
this.model.time = null
this.shapeTime = null
super.delete()
}
@@ -537,26 +522,9 @@ export class VLine extends Line {
}
}
setPoints(points) {
// if (this.debug) console.error('VLine setPoints...', points)
if (points !== null && points.length) {
// adjust shape to ohlc boundry
const time = nearestOhlcStart(points[0].time);
if (time !== this.shapeTime) {
this.shapeTime = time
super.setPoints([{time, price:0}]);
}
}
else {
this.shapeTime = null
super.setPoints(points);
}
// if (this.debug) console.error('VLine setPoints', points)
}
onPoints(points) {
const time = points[0].time;
if ( time !== this.shapeTime ) {
if ( time !== this.tvPoints[0].time ) {
super.onPoints(points);
this.updateModel({time: time})
}
@@ -564,3 +532,50 @@ export class VLine extends Line {
}
export class DLine extends Line {
constructor(model, onModel=null, onDelete=null, props=null) {
super(ShapeType.Line, onModel, onDelete, props)
this.debug = true // todo debug
// Model
this.model.pointA = null // {time:..., price:...}
this.model.pointB = null
// since VLines must be on the start of an OHLC boundry, we track those value separately
this.shapeTimes = null
this.setModel(model) // call setModel at the end
}
delete() {
this.model.pointA = null
this.model.pointB = null
super.delete();
}
setModel(model) {
super.setModel(model)
if (model.pointA === null || model.pointB === null)
this.delete()
else if (dirtyPoints(this.model.pointA, model.pointA) || dirtyPoints(this.model.pointB, model.pointB)) {
this.model.pointA = model.pointA
this.model.pointB = model.pointB
this.setPoints([model.pointA, model.pointB])
}
}
onPoints(points) {
let dirty = this.tvPoints === null
for (let i=0; !dirty && i<points.length; i++) {
if( points[i].time !== this.tvPoints[i].time)
dirty = true
}
if (dirty) {
super.onPoints(points);
this.updateModel({pointA: points[0], pointB: points[0]})
}
}
}

2
src/components/AbsoluteTimeEntry.vue
View File

@@ -23,7 +23,7 @@ const emit = defineEmits(['update:modelValue'])
const hideDetails = true
const now = computed(()=>{console.log('ate now',props.modelValue); return DateTime.fromSeconds(props.modelValue).setZone(s.timeZone)})
const now = computed(()=>DateTime.fromSeconds(props.modelValue).setZone(s.timeZone))
const year = computed({
get() { return now.value.year },

1
src/components/chart/DCABuilder.vue
View File

@@ -129,7 +129,6 @@ watchEffect(()=>{
const absTimeA = computed({
get() { return _timeEndpoints.value[0] },
set(v) {
console.log('set A', v)
if (v!==null)
v = Number(v)
updateA(v)

181
src/components/chart/DiagonalBuilder.vue Normal file
View File

@@ -0,0 +1,181 @@
<template>
<rung-builder name="Diagonal" :order="order" :builder="builder" v-model="endpoints"
:shape="DLine" :mode="0"
:get-model-value="getModelValue" :set-model-value="setModelValue"
:get-points-value="getPointsValue"
:set-values="setLines" :set-weights="setWeights"
:std-width="stdWidth" :build-tranches="buildTranches">
<table>
<tbody>
<template v-if="prices.length>1">
<tr>
<td>
<v-text-field type="number" v-model="higherPrice" min="0"
density="compact" hide-details class="mx-1 my-2" variant="outlined"
label="Price"
:color="color" :base-color="color"
style="flex: 6em"
/>
</td>
<td class="weight">{{ allocationText(weights[higherIndex]) }}</td>
</tr>
<tr v-for="i in innerIndexes" class="ml-5">
<td class="pl-5">{{ prices[i] }}</td>
<td class="weight">{{ allocationText(weights[i]) }}</td>
</tr>
</template>
<tr>
<td>
<v-text-field type="number" v-model="lowerPrice" min="0"
density="compact" hide-details class="mx-1 my-2" variant="outlined"
label="Price"
:color="color" :base-color="color"
style="flex: 6em"
/>
</td>
<td class="weight">{{ weights.length ? allocationText(weights[lowerIndex]) : '' }}</td>
</tr>
</tbody>
</table>
</rung-builder>
</template>
<script setup>
import {allocationText, applyLine, applyLinePoints, builderDefaults, useChartOrderStore} from "@/orderbuild.js";
import {interpolate, sideColor} from "@/misc.js";
import {useOrderStore, useStore} from "@/store/store.js";
import {MAX_FRACTION, newTranche} from "@/blockchain/orderlib.js";
import RungBuilder from "@/components/chart/RungBuilder.vue";
import {computed, ref} from "vue";
import {DLine} from "@/charts/shape.js";
import {vectorInterpolate} from "@/vector.js";
const s = useStore()
const os = useOrderStore()
const co = useChartOrderStore()
const props = defineProps(['order', 'builder'])
const emit = defineEmits(['update:builder'])
function computeDefaultColor() {
const index = props.order.builders.indexOf(props.builder)
return sideColor(props.order.buy, index)
}
const defaultColor = computeDefaultColor()
// Fields must be defined in order to be reactive
builderDefaults(props.builder, {
lineA: [null, null], // [{time, price}, {time, price}]
lineB: [null, null],
rungs: 1,
skew: 0,
color: defaultColor,
})
function buildTranches() {
throw Error('unimplemented') // todo
const order = props.order
const builder = props.builder
const tranches = []
console.log('buildTranches', builder, order, tranches)
const la = buildLine(_endpoints[0])
const lb = buildLine(_endpoints[1])
const ws = weights.value
for (let i = 0; i < ws.length; i++) {
const w = ws[i]
const line = vectorInterpolate(la, lb, i/(ws.length-1))
const t = newTranche({fraction: w * MAX_FRACTION})
const symbol = co.selectedSymbol
console.log('symbol', symbol)
applyLinePoints(t, order.buy, ...line, symbol.decimals, symbol.inverted)
tranches.push(t)
}
return tranches
}
function flattenLine(l) {
return l === null ? [null, null, null, null] : [l[0].time, l[0].price, l[1].time, l[1].price]
}
function buildLine(f) {
return f[0] === null ? null : [{time: f[0], price: f[1]}, {time: f[2], price: f[3]}]
}
const _endpoints = ref([flattenLine(props.builder.lineA), flattenLine(props.builder.lineB)])
const endpoints = computed({
get() {
return _endpoints.value
},
set(v) {
const [a, b] = v
update(a, b)
}
})
function update(a, b) { // a and b are lines of two points
_endpoints.value = [flattenLine(a), flattenLine(b)]
const newBuilder = {...props.builder}
newBuilder.lineA = a
newBuilder.lineB = b
emit('update:builder', newBuilder)
}
const innerIndexes = computed(() => {
const n = flatLines.value.length
const result = []
for (let i = 1; i < n - 1; i++)
result.push(n - 1 - i)
return result
})
const flatLines = ref([])
const weights = ref([])
function setLines(ls) {
flatLines.value = ls
}
function setWeights(ws) {
weights.value = ws
}
const color = computed(() => props.builder.color ? props.builder.color : defaultColor)
const stdWidth = [2 * co.meanRange, 2 * co.meanRange]
function getModelValue(model) {
if (!model)
return null
return [flattenLine(model.lineA), flattenLine(model.lineB)]
}
function getPointsValue(points) {
return points[0].price
}
function setModelValue(model, value) {
// console.log('setModelValue->', model.price, value)
if (model.price !== value)
model.price = value
}
</script>
<style scoped lang="scss">
td.weight {
width: 11em;
padding-left: 0.5em;
padding-right: 0.5em;
text-align: right;
}
</style>

44
src/components/chart/LimitBuilder.vue
View File

@@ -1,7 +1,7 @@
<template>
<rung-builder :name="prices.length>1?'Ladder':'Limit'" :order="order" :builder="builder"
v-model="priceEndpoints" :mode="0" :flip="flipped"
:shape="HLine"
:shape="HLine"
:get-model-value="getModelValue" :set-model-value="setModelValue"
:get-points-value="getPointsValue"
:set-values="setPrices" :set-weights="setWeights"
@@ -42,14 +42,13 @@
</template>
<script setup>
import {applyLine2, builderDefaults, useChartOrderStore} from "@/orderbuild.js";
import {allocationText, applyLine, builderDefaults, useChartOrderStore} from "@/orderbuild.js";
import {sideColor} from "@/misc.js";
import {useTheme} from "vuetify";
import {useOrderStore, useStore} from "@/store/store.js";
import {MAX_FRACTION, newTranche} from "@/blockchain/orderlib.js";
import RungBuilder from "@/components/chart/RungBuilder.vue";
import {computed, ref, watchEffect} from "vue";
import {chart} from "@/charts/chart.js";
import {computed, ref} from "vue";
import {chartMeanRange} from "@/charts/chart.js";
import {HLine} from "@/charts/shape.js";
const s = useStore()
@@ -93,7 +92,7 @@ function buildTranches() {
})
const symbol = co.selectedSymbol
console.log('symbol', symbol)
applyLine2(t, !order.buy, p, 0, symbol.decimals, symbol.inverted)
applyLine(t, , p, 0, symbol.decimals, symbol.inverted)
tranches.push(t)
}
return tranches
@@ -195,39 +194,8 @@ function setWeights(ws) { weights.value = ws }
const color = computed(()=>props.builder.color ? props.builder.color : defaultColor)
function computeRange() {
let range = 0
const series = chart.getSeries()
const bars = series.data().bars();
const final = Math.max(bars.size() - 50, 0)
let count = 0
for (let barIndex = bars.size() - 1; barIndex >= final; barIndex--) {
count++
const [_time, _open, high, low, _close, _volume, _ms] = bars.valueAt(barIndex)
range += (high - low)
}
if (count > 0)
range /= count
else
range = 1
return range
}
const stdWidth = 2*co.meanRange
const stdWidth = 2*computeRange() // todo make reactive
const amountSymbol = computed(()=>props.order.amountIsTokenA ? co.selectedSymbol.base.s : co.selectedSymbol.quote.s )
// todo move into misc and use in shape as well
function allocationText(weight) {
const alloc = props.builder.allocation
if (alloc===null) return ''
const w = weight * alloc
// console.log('weight', weight, alloc, props.amount)
const a = props.order.amount * w
return `${(w*100).toFixed(1)}% = ${a.toLocaleString('fullwide')} ${amountSymbol.value}`
}
function getModelValue(model) {
if(!model)

25
src/components/chart/RungBuilder.vue
View File

@@ -41,7 +41,16 @@ import {linspace, sideColor} from "@/misc.js";
import {computed, watchEffect} from "vue";
import Color from "color";
import {cancelDrawing} from "@/charts/chart.js";
import {devectorize, vectorAdd, vectorDiv, vectorMul, vectorSub, vectorIsNull, vectorize} from "@/vector.js";
import {
devectorize,
vectorAdd,
vectorDiv,
vectorMul,
vectorSub,
vectorIsNull,
vectorize,
vectorIsZero
} from "@/vector.js";
const os = useOrderStore()
const co = useChartOrderStore()
@@ -99,9 +108,8 @@ const rungs = computed({
r = Number(r)
const prevR = Number(props.builder.rungs)
props.builder.rungs = r
console.log('set rungs', prevR, r, a, b)
// console.log('set rungs', prevR, r, a, b)
if ( r > 0 && vectorIsNull(b) ) {
console.log('convert to range')
// convert single shape to a range
if (props.mode===0) {
const width = props.stdWidth
@@ -126,7 +134,6 @@ const rungs = computed({
else {
// from multi to multi
if (props.mode===1) {
console.log('multi-multi mode 1')
const width = vectorDiv(vectorSub(b, a), (prevR-1))
b = vectorAdd(a, vectorMul(width, (r-1)))
setEndpoints(a,b)
@@ -222,18 +229,18 @@ function translateOnModel(shape) {
const oldOnModel = shape.onModel
shape.onModel = function (model, oldModel) {
oldOnModel.call(this, ...arguments)
// console.log('translateOnDrag', this.beingDragged(), shape.ourPoints)
if (!this.beingDragged())
return
const prev = getModelValue(oldModel)
const cur = getModelValue(this.model)
const delta = cur - prev
const cur = vectorize(getModelValue(this.model))
const delta = vectorSub(cur, prev)
// console.log('delta', shape.id, prev, cur, delta)
let [a, b] = endpoints.value
if (delta !== 0) {
a = vectorize(a)
if (!vectorIsZero(delta)) {
a = vectorAdd(a, delta)
if (rungs.value > 1)
b = vectorAdd(b, delta)
b = vectorAdd(vectorize(b), delta)
setEndpoints(a,b)
}
}

2
src/layouts/chart/MainView.vue
View File

@@ -1,6 +1,6 @@
<template>
<v-main>
<v-alert text="WARNING! TESTNET! FAKE COINS!&nbsp;&nbsp;&nbsp;&nbsp;• UNI • ARB • WETH • WBTC • LINK • USDC •"
<v-alert text="TESTNET FAKE COINS&nbsp;&nbsp;&nbsp;&nbsp;• UNI • ARB • WETH • WBTC • LINK • USDC •"
color="red" :closable="false" rounded="0" height="0"/>
<Alerts/>
<chart-view/>

18
src/misc.js
View File

@@ -4,6 +4,7 @@ import {token} from "@/blockchain/token.js";
import Color from "color";
import {DateTime} from "luxon";
import router from "@/router/index.js";
import {useChartOrderStore} from "@/orderbuild.js";
export function nav(name) {
// noinspection JSIgnoredPromiseFromCall
@@ -250,3 +251,20 @@ export function intervalToSeconds(interval) {
: 60 // if no unit char, then it's minutes
}
function nearestOhlcStart(time) {
// todo subtract OHLC root time
const period = useChartOrderStore().intervalSecs
return Math.round(time / period) * period
}
export function pointsToOhlcStart(points) {
return points === null ? null : points.map((p)=>{return{time:nearestOhlcStart(p.time), price:p.price}})
}
export function interpolate(a, b, zeroToOne) {
const d = (b-a)
return a + d * zeroToOne
}

42
src/orderbuild.js
View File

@@ -1,10 +1,11 @@
import {routeInverted, timestamp, uuid} from "@/misc.js";
import {timestamp, uuid} from "@/misc.js";
import {MAX_FRACTION, newTranche} from "@/blockchain/orderlib.js";
import {useOrderStore, useStore} from "@/store/store.js";
import {encodeIEE754} from "@/common.js";
import {defineStore} from "pinia";
import {computed, ref} from "vue";
import Color from "color";
import {chartMeanRange} from "@/charts/chart.js";
export const MIN_EXECUTION_TIME = 60 // give at least one full minute for each tranche to trigger
@@ -64,6 +65,7 @@ export const useChartOrderStore = defineStore('chart_orders', () => {
return result
})
const meanRange = ref(1)
const drawing = ref(false)
@@ -95,7 +97,7 @@ export const useChartOrderStore = defineStore('chart_orders', () => {
return {
chartReady, selectedSymbol, selectedPool, intervalSecs, baseToken, quoteToken, price,
orders, drawing, newOrder, removeOrder, resetOrders,
orders, drawing, newOrder, removeOrder, resetOrders, meanRange,
}
})
@@ -138,40 +140,13 @@ export function linePointsValue(time0, price0, time1, price1, unixTime = null) {
}
export function applyLinePoints(tranche, time0, price0, time1, price1, isMinimum = null) {
export function applyLinePoints(tranche, buy, time0, price0, time1, price1, poolDecimals, inverted) {
const [intercept, slope] = computeInterceptSlope(time0, price0, time1, price1);
applyLine(tranche, intercept, slope, isMinimum)
applyLine(tranche, buy, intercept, slope, poolDecimals, inverted)
}
export function applyLine(tranche, intercept, slope, isMinimum = null) {
console.log('intercept, slope', intercept, slope)
// intercept and slope are still in "human" units of decimal-adjusted prices
const os = useOrderStore()
const route = os.route
const inverted = routeInverted(route)
const scale = 10 ** (os.tokenA.d - os.tokenB.d)
let m = inverted ? -scale / slope : slope / scale
let b = inverted ? scale / intercept : intercept / scale
const cur = b + timestamp() * m
console.log('inverted b, m, cur', inverted, b, m, cur)
m = encodeIEE754(m)
b = encodeIEE754(b)
if (isMinimum === null)
isMinimum = os.limitIsMinimum
console.log('limit is minimum', isMinimum)
if (isMinimum) {
tranche.minIntercept = b;
tranche.minSlope = m;
} else {
tranche.maxIntercept = b;
tranche.maxSlope = m;
}
tranche.marketOrder = false;
}
export function applyLine2(tranche, isMinimum, intercept, slope, poolDecimals, inverted) {
export function applyLine(tranche, buy, intercept, slope, poolDecimals, inverted) {
console.log('intercept, slope', intercept, slope)
// intercept and slope are still in "human" units of decimal-adjusted prices
const scale = 10 ** -poolDecimals
@@ -181,8 +156,7 @@ export function applyLine2(tranche, isMinimum, intercept, slope, poolDecimals, i
console.log('inverted b, m, cur', inverted, b, m, cur)
m = encodeIEE754(m)
b = encodeIEE754(b)
if (inverted)
isMinimum = !isMinimum
let isMinimum = !(buy ^ inverted)
if (isMinimum) {
tranche.minIntercept = b;
tranche.minSlope = m;

65
src/vector.js
View File

@@ -11,48 +11,59 @@ export function vectorize(value) {
}
export function devectorize(value) {
return value === null || value.length === 0 ? null : value.length === 1 ? value[0] : value
return value === null || value.length === 0 ? null : value.length === 1 ? value[0] : value
}
export function vectorIsNull(value) {
console.log('vectorIsNull', value, value === null || value.length === 1 && value[0] === null)
return value === null || value.length === 1 && value[0] === null
return value === null || value.length === 1 && value[0] === null
}
export function vectorIsZero(value) {
for (let i = 0; i < value.length; i++)
if (value[i] !== 0)
return false
return true
}
export function vectorAdd(a, b) {
const result = []
const scalarB = b.length === undefined
for( let i=0; i<a.length; i++ )
result.push(a[i]+(scalarB ? b : b[i]))
console.log('vectorAdd', a, b, result)
return result
const result = []
const scalarB = b.length === undefined
for (let i = 0; i < a.length; i++)
result.push(a[i] + (scalarB ? b : b[i]))
return result
}
export function vectorSub(a, b) {
const result = []
const scalarB = b.length === undefined
for( let i=0; i<a.length; i++ )
result.push(a[i]-(scalarB ? b : b[i]))
console.log('vectorSub', a, b, result)
return result
const result = []
const scalarB = b.length === undefined
for (let i = 0; i < a.length; i++)
result.push(a[i] - (scalarB ? b : b[i]))
return result
}
export function vectorMul(a, b) {
const result = []
const scalarB = b.length === undefined
for( let i=0; i<a.length; i++ )
result.push(a[i]*(scalarB ? b : b[i]))
console.log('vectorMul', a, b, result)
return result
const result = []
const scalarB = b.length === undefined
for (let i = 0; i < a.length; i++)
result.push(a[i] * (scalarB ? b : b[i]))
return result
}
export function vectorDiv(a, b) {
const result = []
const scalarB = b.length === undefined
for( let i=0; i<a.length; i++ )
result.push(a[i]/(scalarB ? b : b[i]))
console.log('vectorDiv', a, b, result)
return result
const result = []
const scalarB = b.length === undefined
for (let i = 0; i < a.length; i++)
result.push(a[i] / (scalarB ? b : b[i]))
return result
}
export function vectorInterpolate(a, b, zeroToOne) {
const d = vectorSub(b, a)
const offset = vectorMul(d, zeroToOne)
return vectorAdd(a, offset)
}