71 lines
2.8 KiB
Python
71 lines
2.8 KiB
Python
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import logging
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from typing import List, Any, Dict, Tuple
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from viz_io import add_ohlc_bar, upsert_ohlc_bar, _atomic_write_json, DEPTH_FILE
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from db_interpreter import OrderbookUpdate
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from level_parser import normalize_levels, parse_levels_including_zeros
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from orderbook_manager import OrderbookManager
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from metrics_calculator import MetricsCalculator
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class OHLCProcessor:
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"""
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Processes trade data and orderbook updates into OHLC bars and depth snapshots.
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This class aggregates individual trades into time-windowed OHLC (Open, High, Low, Close)
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bars and maintains an in-memory orderbook state for depth visualization. It also
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calculates Order Book Imbalance (OBI) and Cumulative Volume Delta (CVD) metrics.
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The processor uses throttled updates to balance visualization responsiveness with
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I/O efficiency, emitting intermediate updates during active windows.
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Attributes:
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window_seconds: Time window duration for OHLC aggregation
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depth_levels_per_side: Number of top price levels to maintain per side
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trades_processed: Total number of trades processed
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bars_created: Total number of OHLC bars created
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cvd_cumulative: Running cumulative volume delta (via metrics calculator)
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"""
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def __init__(self) -> None:
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self.current_bar = None
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self.trades_processed = 0
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self._orderbook = OrderbookManager()
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self._metrics = MetricsCalculator()
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@property
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def cvd_cumulative(self) -> float:
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"""Access cumulative CVD from metrics calculator."""
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return self._metrics.cvd_cumulative
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def process_trades(self, trades: List[Tuple[Any, ...]]) -> None:
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for trade in trades:
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trade_id, trade_id_str, price, size, side, timestamp_ms = trade[:6]
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timestamp_ms = int(timestamp_ms)
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self._metrics.update_cvd_from_trade(side, size)
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if not self.current_bar:
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self.current_bar = {
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'open': float(price),
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'high': float(price),
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'low': float(price),
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'close': float(price)
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}
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self.current_bar['high'] = max(self.current_bar['high'], float(price))
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self.current_bar['low'] = min(self.current_bar['low'], float(price))
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self.current_bar['close'] = float(price)
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self.current_bar['volume'] += float(size)
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def update_orderbook(self, ob_update: OrderbookUpdate) -> None:
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bids_updates = parse_levels_including_zeros(ob_update.bids)
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asks_updates = parse_levels_including_zeros(ob_update.asks)
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self._orderbook.apply_updates(bids_updates, asks_updates)
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total_bids, total_asks = self._orderbook.get_total_volume()
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self._metrics.update_obi_from_book(total_bids, total_asks)
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