236 lines
9.1 KiB
Python
236 lines
9.1 KiB
Python
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#!/usr/bin/env python3
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"""
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Example: Complete Time Series Aggregation
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This example shows how to modify the aggregation system to emit candles
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for every time period, even when there are no trades.
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"""
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import asyncio
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from datetime import datetime, timezone, timedelta
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from decimal import Decimal
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from typing import Dict, List, Optional
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from data.common.data_types import StandardizedTrade, OHLCVCandle, CandleProcessingConfig
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from data.common.aggregation import RealTimeCandleProcessor
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class CompleteSeriesProcessor(RealTimeCandleProcessor):
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"""
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Extended processor that emits candles for every time period,
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filling gaps with previous close prices when no trades occur.
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"""
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def __init__(self, *args, **kwargs):
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super().__init__(*args, **kwargs)
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self.last_prices = {} # Track last known price for each timeframe
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self.timers = {} # Timer tasks for each timeframe
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async def start_time_based_emission(self):
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"""Start timers to emit candles on time boundaries regardless of trades."""
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for timeframe in self.config.timeframes:
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self.timers[timeframe] = asyncio.create_task(
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self._time_based_candle_emitter(timeframe)
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)
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async def stop_time_based_emission(self):
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"""Stop all timers."""
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for task in self.timers.values():
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task.cancel()
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self.timers.clear()
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async def _time_based_candle_emitter(self, timeframe: str):
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"""Emit candles on time boundaries for a specific timeframe."""
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try:
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while True:
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# Calculate next boundary
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now = datetime.now(timezone.utc)
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next_boundary = self._get_next_time_boundary(now, timeframe)
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# Wait until next boundary
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wait_seconds = (next_boundary - now).total_seconds()
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if wait_seconds > 0:
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await asyncio.sleep(wait_seconds)
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# Check if we have an active bucket with trades
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current_bucket = self.current_buckets.get(timeframe)
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if current_bucket is None or current_bucket.trade_count == 0:
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# No trades during this period - create empty candle
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await self._emit_empty_candle(timeframe, next_boundary)
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# If there are trades, they will be handled by normal trade processing
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except asyncio.CancelledError:
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pass # Timer was cancelled
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async def _emit_empty_candle(self, timeframe: str, end_time: datetime):
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"""Emit an empty candle when no trades occurred during the period."""
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try:
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# Calculate start time
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start_time = self._get_bucket_start_time(end_time - timedelta(seconds=1), timeframe)
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# Use last known price or default
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last_price = self.last_prices.get(timeframe, Decimal('0'))
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# Create empty candle with last known price as OHLC
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empty_candle = OHLCVCandle(
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symbol=self.symbol,
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timeframe=timeframe,
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start_time=start_time,
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end_time=end_time,
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open=last_price,
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high=last_price,
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low=last_price,
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close=last_price,
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volume=Decimal('0'),
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trade_count=0,
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exchange=self.exchange,
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is_complete=True,
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first_trade_time=None,
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last_trade_time=None
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)
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# Emit the empty candle
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self._emit_candle(empty_candle)
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if self.logger:
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self.logger.info(
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f"⭕ {timeframe.upper()} EMPTY CANDLE at {end_time.strftime('%H:%M:%S')}: "
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f"No trades, using last price ${last_price}"
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)
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except Exception as e:
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if self.logger:
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self.logger.error(f"Error emitting empty candle: {e}")
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def _emit_candle(self, candle: OHLCVCandle) -> None:
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"""Override to track last prices."""
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# Update last known price
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if candle.close > 0:
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self.last_prices[candle.timeframe] = candle.close
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# Call parent implementation
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super()._emit_candle(candle)
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def _get_next_time_boundary(self, current_time: datetime, timeframe: str) -> datetime:
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"""Calculate the next time boundary for a timeframe."""
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if timeframe == '1s':
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# Next second boundary
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return (current_time + timedelta(seconds=1)).replace(microsecond=0)
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elif timeframe == '5s':
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# Next 5-second boundary
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next_sec = (current_time.second // 5 + 1) * 5
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if next_sec >= 60:
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return current_time.replace(second=0, microsecond=0, minute=current_time.minute + 1)
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return current_time.replace(second=next_sec, microsecond=0)
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elif timeframe == '10s':
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# Next 10-second boundary
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next_sec = (current_time.second // 10 + 1) * 10
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if next_sec >= 60:
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return current_time.replace(second=0, microsecond=0, minute=current_time.minute + 1)
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return current_time.replace(second=next_sec, microsecond=0)
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elif timeframe == '15s':
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# Next 15-second boundary
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next_sec = (current_time.second // 15 + 1) * 15
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if next_sec >= 60:
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return current_time.replace(second=0, microsecond=0, minute=current_time.minute + 1)
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return current_time.replace(second=next_sec, microsecond=0)
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elif timeframe == '30s':
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# Next 30-second boundary
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next_sec = (current_time.second // 30 + 1) * 30
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if next_sec >= 60:
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return current_time.replace(second=0, microsecond=0, minute=current_time.minute + 1)
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return current_time.replace(second=next_sec, microsecond=0)
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elif timeframe == '1m':
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# Next minute boundary
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return (current_time + timedelta(minutes=1)).replace(second=0, microsecond=0)
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elif timeframe == '5m':
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# Next 5-minute boundary
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next_min = (current_time.minute // 5 + 1) * 5
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if next_min >= 60:
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return current_time.replace(minute=0, second=0, microsecond=0, hour=current_time.hour + 1)
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return current_time.replace(minute=next_min, second=0, microsecond=0)
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else:
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# For other timeframes, add appropriate logic
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return current_time + timedelta(minutes=1)
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# Example usage
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async def demo_complete_series():
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"""Demonstrate complete time series aggregation."""
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print("🕐 Complete Time Series Aggregation Demo")
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print("This will emit candles even when no trades occur\n")
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# Create processor with complete series capability
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config = CandleProcessingConfig(timeframes=['1s', '5s', '30s'])
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processor = CompleteSeriesProcessor(
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symbol="BTC-USDT",
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exchange="demo",
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config=config,
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component_name="complete_series_demo"
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)
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# Set initial price
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processor.last_prices = {'1s': Decimal('50000'), '5s': Decimal('50000'), '30s': Decimal('50000')}
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# Add callback to see emitted candles
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def on_candle(candle: OHLCVCandle):
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candle_type = "TRADE" if candle.trade_count > 0 else "EMPTY"
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print(f"📊 {candle_type} {candle.timeframe.upper()} at {candle.end_time.strftime('%H:%M:%S')}: "
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f"${candle.close} (T={candle.trade_count})")
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processor.add_candle_callback(on_candle)
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# Start time-based emission
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await processor.start_time_based_emission()
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try:
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# Simulate some trades with gaps
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print("Simulating trades with gaps...\n")
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base_time = datetime.now(timezone.utc)
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# Trade at T+0
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trade1 = StandardizedTrade(
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symbol="BTC-USDT",
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trade_id="1",
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price=Decimal('50100'),
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size=Decimal('0.1'),
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side="buy",
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timestamp=base_time,
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exchange="demo"
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)
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processor.process_trade(trade1)
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# Wait 3 seconds (should see empty candles for missing periods)
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await asyncio.sleep(3)
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# Trade at T+3
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trade2 = StandardizedTrade(
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symbol="BTC-USDT",
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trade_id="2",
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price=Decimal('50200'),
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size=Decimal('0.2'),
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side="sell",
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timestamp=base_time + timedelta(seconds=3),
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exchange="demo"
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)
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processor.process_trade(trade2)
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# Wait more to see more empty candles
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await asyncio.sleep(5)
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print("\n✅ Demo completed - You can see both trade candles and empty candles")
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finally:
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await processor.stop_time_based_emission()
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if __name__ == "__main__":
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print("Complete Time Series Aggregation Example")
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print("=" * 50)
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print("This shows how to emit candles even when no trades occur.")
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print("Uncomment the line below to run the demo:\n")
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# Uncomment to run the demo:
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# asyncio.run(demo_complete_series())
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