flowsurface_data/chart/

kline.rs

use crate::aggr::time::DataPoint;
use exchange::{
    Kline, Trade, UnixMs,
    unit::price::{Price, PriceStep},
    unit::qty::Qty,
};

use rustc_hash::FxHashMap;
use serde::{Deserialize, Serialize};

#[derive(Clone)]
pub struct KlineDataPoint {
    pub kline: Kline,
    pub footprint: KlineTrades,
}

impl KlineDataPoint {
    pub fn max_cluster_qty(&self, cluster_kind: ClusterKind, highest: Price, lowest: Price) -> Qty {
        self.footprint
            .max_cluster_qty(cluster_kind, highest, lowest)
    }

    pub fn add_trade(&mut self, trade: &Trade, step: PriceStep) {
        self.footprint.add_trade_to_nearest_bin(trade, step);
    }

    pub fn poc_price(&self) -> Option<Price> {
        self.footprint.poc_price()
    }

    pub fn set_poc_status(&mut self, status: NPoc) {
        self.footprint.set_poc_status(status);
    }

    pub fn clear_trades(&mut self) {
        self.footprint.clear();
    }

    pub fn calculate_poc(&mut self) {
        self.footprint.calculate_poc();
    }

    pub fn last_trade_time(&self) -> Option<UnixMs> {
        self.footprint.last_trade_t()
    }

    pub fn first_trade_time(&self) -> Option<UnixMs> {
        self.footprint.first_trade_t()
    }

    pub fn volume_delta(&self) -> Qty {
        if self.kline.volume.is_directional() {
            self.kline.volume.delta()
        } else if !self.footprint.trades.is_empty() {
            self.footprint
                .trades
                .values()
                .fold(Qty::ZERO, |acc, group| acc + group.delta_qty())
        } else {
            Qty::ZERO
        }
    }

    /// Whether this datapoint has directional (buy vs sell) data.
    pub fn is_directional(&self) -> bool {
        !self.footprint.trades.is_empty() || self.kline.volume.is_directional()
    }
}

impl DataPoint for KlineDataPoint {
    fn add_trade(&mut self, trade: &Trade, step: PriceStep) {
        self.add_trade(trade, step);
    }

    fn clear_trades(&mut self) {
        self.clear_trades();
    }

    fn last_trade_time(&self) -> Option<UnixMs> {
        self.last_trade_time()
    }

    fn first_trade_time(&self) -> Option<UnixMs> {
        self.first_trade_time()
    }

    fn last_price(&self) -> Price {
        self.kline.close
    }

    fn kline(&self) -> Option<&Kline> {
        Some(&self.kline)
    }

    fn value_high(&self) -> Price {
        self.kline.high
    }

    fn value_low(&self) -> Price {
        self.kline.low
    }
}

#[derive(Debug, Clone, Default)]
pub struct GroupedTrades {
    pub buy_qty: Qty,
    pub sell_qty: Qty,
    pub first_time: UnixMs,
    pub last_time: UnixMs,
    pub buy_count: usize,
    pub sell_count: usize,
}

impl GroupedTrades {
    fn new(trade: &Trade) -> Self {
        Self {
            buy_qty: if trade.is_sell {
                Qty::default()
            } else {
                trade.qty
            },
            sell_qty: if trade.is_sell {
                trade.qty
            } else {
                Qty::default()
            },
            first_time: trade.time,
            last_time: trade.time,
            buy_count: if trade.is_sell { 0 } else { 1 },
            sell_count: if trade.is_sell { 1 } else { 0 },
        }
    }

    fn add_trade(&mut self, trade: &Trade) {
        if trade.is_sell {
            self.sell_qty += trade.qty;
            self.sell_count += 1;
        } else {
            self.buy_qty += trade.qty;
            self.buy_count += 1;
        }
        self.last_time = trade.time;
    }

    pub fn total_qty(&self) -> Qty {
        self.buy_qty + self.sell_qty
    }

    pub fn delta_qty(&self) -> Qty {
        self.buy_qty - self.sell_qty
    }

    pub fn max_cluster_qty(&self, cluster_kind: ClusterKind) -> Qty {
        match cluster_kind {
            ClusterKind::BidAsk => self.buy_qty.max(self.sell_qty),
            ClusterKind::DeltaProfile => self.buy_qty.abs_diff(self.sell_qty),
            ClusterKind::VolumeProfile => self.total_qty(),
        }
    }
}

#[derive(Debug, Clone, Default)]
pub struct KlineTrades {
    pub trades: FxHashMap<Price, GroupedTrades>,
    pub poc: Option<PointOfControl>,
}

impl KlineTrades {
    pub fn new() -> Self {
        Self {
            trades: FxHashMap::default(),
            poc: None,
        }
    }

    pub fn first_trade_t(&self) -> Option<UnixMs> {
        self.trades.values().map(|group| group.first_time).min()
    }

    pub fn last_trade_t(&self) -> Option<UnixMs> {
        self.trades.values().map(|group| group.last_time).max()
    }

    /// Add trade to the bin at the step multiple computed with side-based rounding.
    /// Intended for order-book ladder/quotes; Floor for sells, ceil for buys.
    /// Introduces side bias at bin edges and should not be used for OHLC/footprint aggregation
    pub fn add_trade_to_side_bin(&mut self, trade: &Trade, step: PriceStep) {
        let price = trade.price.round_to_side_step(trade.is_sell, step);

        self.trades
            .entry(price)
            .and_modify(|group| group.add_trade(trade))
            .or_insert_with(|| GroupedTrades::new(trade));
    }

    /// Add trade to the bin at the nearest step multiple (side-agnostic).
    /// Ties (exactly half a step) round up to the higher multiple.
    /// Intended for footprint/OHLC trade aggregation
    pub fn add_trade_to_nearest_bin(&mut self, trade: &Trade, step: PriceStep) {
        let price = trade.price.round_to_step(step);

        self.trades
            .entry(price)
            .and_modify(|group| group.add_trade(trade))
            .or_insert_with(|| GroupedTrades::new(trade));
    }

    pub fn max_qty_by<F>(&self, highest: Price, lowest: Price, f: F) -> Qty
    where
        F: Fn(&GroupedTrades) -> Qty,
    {
        let mut max_qty = Qty::default();
        for (price, group) in &self.trades {
            if *price >= lowest && *price <= highest {
                max_qty = max_qty.max(f(group));
            }
        }
        max_qty
    }

    pub fn max_cluster_qty(&self, cluster_kind: ClusterKind, highest: Price, lowest: Price) -> Qty {
        self.max_qty_by(highest, lowest, |group| group.max_cluster_qty(cluster_kind))
    }

    pub fn calculate_poc(&mut self) {
        if self.trades.is_empty() {
            return;
        }

        let mut max_volume = Qty::ZERO;
        let mut poc_price = Price::from_f32(0.0);

        for (price, group) in &self.trades {
            let total_volume = group.total_qty();
            if total_volume > max_volume {
                max_volume = total_volume;
                poc_price = *price;
            }
        }

        self.poc = Some(PointOfControl {
            price: poc_price,
            volume: max_volume,
            status: NPoc::default(),
        });
    }

    pub fn set_poc_status(&mut self, status: NPoc) {
        if let Some(poc) = &mut self.poc {
            poc.status = status;
        }
    }

    pub fn poc_price(&self) -> Option<Price> {
        self.poc.map(|poc| poc.price)
    }

    pub fn clear(&mut self) {
        self.trades.clear();
        self.poc = None;
    }
}

#[derive(Debug, Clone, PartialEq, Eq, Default, Deserialize, Serialize)]
pub enum KlineChartKind {
    #[default]
    Candles,
    Footprint {
        clusters: ClusterKind,
        #[serde(default)]
        scaling: ClusterScaling,
        studies: Vec<FootprintStudy>,
    },
}

impl KlineChartKind {
    pub fn min_scaling(&self) -> f32 {
        match self {
            KlineChartKind::Footprint { .. } => 0.4,
            KlineChartKind::Candles => 0.6,
        }
    }

    pub fn max_scaling(&self) -> f32 {
        match self {
            KlineChartKind::Footprint { .. } => 1.2,
            KlineChartKind::Candles => 2.5,
        }
    }

    pub fn max_cell_width(&self) -> f32 {
        match self {
            KlineChartKind::Footprint { .. } => 360.0,
            KlineChartKind::Candles => 16.0,
        }
    }

    pub fn min_cell_width(&self) -> f32 {
        match self {
            KlineChartKind::Footprint { .. } => 80.0,
            KlineChartKind::Candles => 1.0,
        }
    }

    pub fn max_cell_height(&self) -> f32 {
        match self {
            KlineChartKind::Footprint { .. } => 90.0,
            KlineChartKind::Candles => 8.0,
        }
    }

    pub fn min_cell_height(&self) -> f32 {
        match self {
            KlineChartKind::Footprint { .. } => 1.0,
            KlineChartKind::Candles => 0.001,
        }
    }

    pub fn default_cell_width(&self) -> f32 {
        match self {
            KlineChartKind::Footprint { .. } => 80.0,
            KlineChartKind::Candles => 4.0,
        }
    }
}

#[derive(Debug, Copy, Clone, PartialEq, Eq, Default, Deserialize, Serialize)]
pub enum ClusterKind {
    #[default]
    BidAsk,
    VolumeProfile,
    DeltaProfile,
}

impl ClusterKind {
    pub const ALL: [ClusterKind; 3] = [
        ClusterKind::BidAsk,
        ClusterKind::VolumeProfile,
        ClusterKind::DeltaProfile,
    ];
}

impl std::fmt::Display for ClusterKind {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        match self {
            ClusterKind::BidAsk => write!(f, "Bid/Ask"),
            ClusterKind::VolumeProfile => write!(f, "Volume Profile"),
            ClusterKind::DeltaProfile => write!(f, "Delta Profile"),
        }
    }
}

#[derive(Debug, Default, Copy, Clone, PartialEq, Deserialize, Serialize)]
#[serde(default)]
pub struct Config {
    // Whether to show last value labels on top right/left when not hovering
    // e.g. OHLC/bar change values for the main chart, or last value of an indicator series
    pub data_labels_always_visible: bool,
}

#[derive(Default, Clone, Copy, Debug, PartialEq, Deserialize, Serialize)]
pub enum ClusterScaling {
    #[default]
    /// Scale based on the maximum quantity in the visible range.
    VisibleRange,
    /// Blend global VisibleRange and per-cluster Individual using a weight in [0.0, 1.0].
    /// weight = fraction of global contribution (1.0 == all-global, 0.0 == all-individual).
    Hybrid { weight: f32 },
    /// Scale based only on the maximum quantity inside the datapoint (per-candle).
    Datapoint,
}

impl ClusterScaling {
    pub const ALL: [ClusterScaling; 3] = [
        ClusterScaling::VisibleRange,
        ClusterScaling::Hybrid { weight: 0.2 },
        ClusterScaling::Datapoint,
    ];
}

impl std::fmt::Display for ClusterScaling {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        match self {
            ClusterScaling::VisibleRange => write!(f, "Visible Range"),
            ClusterScaling::Hybrid { weight } => write!(f, "Hybrid (weight: {:.2})", weight),
            ClusterScaling::Datapoint => write!(f, "Per-candle"),
        }
    }
}

impl std::cmp::Eq for ClusterScaling {}

#[derive(Debug, Clone, Copy, PartialEq, Eq, Deserialize, Serialize)]
pub enum FootprintStudy {
    NPoC {
        lookback: usize,
    },
    Imbalance {
        threshold: usize,
        color_scale: Option<usize>,
        ignore_zeros: bool,
    },
}

impl FootprintStudy {
    pub fn is_same_type(&self, other: &Self) -> bool {
        matches!(
            (self, other),
            (FootprintStudy::NPoC { .. }, FootprintStudy::NPoC { .. })
                | (
                    FootprintStudy::Imbalance { .. },
                    FootprintStudy::Imbalance { .. }
                )
        )
    }
}

impl FootprintStudy {
    pub const ALL: [FootprintStudy; 2] = [
        FootprintStudy::NPoC { lookback: 80 },
        FootprintStudy::Imbalance {
            threshold: 200,
            color_scale: Some(400),
            ignore_zeros: true,
        },
    ];
}

impl std::fmt::Display for FootprintStudy {
    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
        match self {
            FootprintStudy::NPoC { .. } => write!(f, "Naked Point of Control"),
            FootprintStudy::Imbalance { .. } => write!(f, "Imbalance"),
        }
    }
}

#[derive(Debug, Clone, Copy)]
pub struct PointOfControl {
    pub price: Price,
    pub volume: Qty,
    pub status: NPoc,
}

impl Default for PointOfControl {
    fn default() -> Self {
        Self {
            price: Price::from_f32(0.0),
            volume: Qty::ZERO,
            status: NPoc::default(),
        }
    }
}

#[derive(Debug, Default, Clone, Copy, PartialEq, Eq)]
pub enum NPoc {
    #[default]
    None,
    Naked,
    Filled {
        at: u64,
    },
}

impl NPoc {
    pub fn filled(&mut self, at: u64) {
        *self = NPoc::Filled { at };
    }

    pub fn unfilled(&mut self) {
        *self = NPoc::Naked;
    }
}