54 lines
2.1 KiB
Python
54 lines
2.1 KiB
Python
from collections import defaultdict, deque
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from typing import Protocol
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from app.bars.models import Bar, Timeframe
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from app.config import DEFAULT_MAX_BARS_PER_TF
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class BarStore(Protocol):
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def put(self, bar: Bar) -> None: ...
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def get(self, tf: Timeframe, limit: int | None = None) -> list[Bar]: ...
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class InMemoryBarStore:
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def __init__(self, max_bars_per_tf: int = DEFAULT_MAX_BARS_PER_TF):
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self._bars: dict[Timeframe, deque[Bar]] = defaultdict(
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lambda: deque(maxlen=max_bars_per_tf)
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)
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# How far back from the tail a late bar may still land. A closed minute bar
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# arrives a beat after the ticks that opened the next minute, so it is
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# rarely more than a bucket or two behind.
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LATE_BAR_LOOKBACK = 8
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def put(self, bar: Bar) -> None:
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"""Store a bar, replacing the bucket it belongs to.
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Matching only the tail was enough while one closed bar arrived per
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minute. With tick-built bars a minute's authoritative bar shows up
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*after* ticks have already opened the next one, so the exchange's own
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figures were being dropped and the approximation left in place forever.
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"""
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bars = self._bars[bar.tf]
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if not bars or bar.t > bars[-1].t:
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bars.append(bar)
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return
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for index in range(len(bars) - 1, max(-1, len(bars) - self.LATE_BAR_LOOKBACK - 1), -1):
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if bars[index].t == bar.t:
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# A provisional bar must never overwrite a settled one: ticks
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# keep arriving for a minute the exchange has already closed.
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if bars[index].closed and not bar.closed:
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return
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bars[index] = bar
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return
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if bars[index].t < bar.t:
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# Buckets are ordered, so nothing further back can match.
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return
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def get(self, tf: Timeframe, limit: int | None = None) -> list[Bar]:
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bars = list(self._bars[tf])
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return bars[-limit:] if limit is not None else bars
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def counts(self) -> dict[str, int]:
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return {tf.value: len(self._bars[tf]) for tf in Timeframe}
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