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This commit is contained in:
Oleg Sheynin
2026-01-22 23:52:17 +00:00
parent 170e48d646
commit e6ae62ebb6
5 changed files with 24 additions and 19 deletions
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lib/pt_strategy/live/live_strategy.py
+18 -8
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@@ -9,7 +9,7 @@ from cvttpy_tools.base import NamedObject
from cvttpy_tools.app import App
from cvttpy_tools.config import Config
from cvttpy_tools.settings.cvtt_types import IntervalSecT
from cvttpy_tools.timeutils import SecPerHour, current_nanoseconds, NanoPerSec
from cvttpy_tools.timeutils import NanosT, SecPerHour, current_nanoseconds, NanoPerSec, format_nanos_utc
from cvttpy_tools.logger import Log
# ---
@@ -132,16 +132,26 @@ class PtLiveStrategy(NamedObject):
await self._send_trading_instructions(trading_instructions)
def _is_md_actual(self, hist_aggr: List[MdTradesAggregate]) -> bool:
curr_ns = current_nanoseconds()
LAG_THRESHOLD = 5 * NanoPerSec
if len(hist_aggr) == 0:
Log.warning(f"{self.fname()} list of aggregates IS EMPTY")
return False
ALLOWED_LAG_SEC = 5.0
curr_ns = current_nanoseconds()
LAG_THRESHOLD = NanosT((self.interval_sec() + ALLOWED_LAG_SEC) * NanoPerSec)
# MAYBE check market data length
lag_ns = curr_ns - hist_aggr[-1].time_ns_
lag_ns = curr_ns - hist_aggr[-1].aggr_time_ns_
if lag_ns > LAG_THRESHOLD:
Log.warning(f"{self.fname()} {hist_aggr[-1].exch_inst_.details_short()} Lagging {int(lag_ns/NanoPerSec)} seconds")
Log.warning(
f"{self.fname()} {hist_aggr[-1].exch_inst_.details_short()}"
f" Lagging {int(lag_ns/NanoPerSec)} seconds:"
f"\n{len(hist_aggr)} records"
f"\n{hist_aggr[-1].exch_inst_.base_asset_id_}: {hist_aggr[-1].tstamp()}"
f"\n{hist_aggr[-2].exch_inst_.base_asset_id_}: {hist_aggr[-2].tstamp()}"
# f" {hist_aggr[-1].exch_inst_.base_asset_id_}: {format_nanos_utc(hist_aggr[-1].aggr_time_ns_)}"
# f" {hist_aggr[-2].exch_inst_.base_asset_id_}: {format_nanos_utc(hist_aggr[-2].aggr_time_ns_)}"
)
return False
return True
@@ -163,8 +173,8 @@ class PtLiveStrategy(NamedObject):
rows.append(
{
# convert nanoseconds → tz-aware pandas timestamp
"tstamp": pd.to_datetime(aggr.time_ns_, unit="ns", utc=True),
"time_ns": aggr.time_ns_,
"tstamp": pd.to_datetime(aggr.aggr_time_ns_, unit="ns", utc=True),
"time_ns": aggr.aggr_time_ns_,
"symbol": exch_inst.instrument_id().split("-", 1)[1],
"exchange_id": exch_inst.exchange_id_,
"instrument_id": exch_inst.instrument_id(),