COB heatmap WIP
This commit is contained in:
Dobromir Popov
@ -1473,7 +1473,7 @@ class CleanTradingDashboard:
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def update_cob_heatmap_eth(n):
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"""Render ETH COB 1s heatmap (±10 buckets, last 5 minutes)."""
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try:
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# Unified heatmap source from provider
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# Unified heatmap source from provider (show last 300s)
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times, prices, matrix = [], [], []
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if hasattr(self.data_provider, 'get_cob_heatmap_matrix'):
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times, prices, matrix, mids = self.data_provider.get_cob_heatmap_matrix('ETH/USDT', seconds=300, bucket_radius=10, metric='liquidity')
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@ -1483,13 +1483,13 @@ class CleanTradingDashboard:
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fig.update_layout(margin=dict(l=10, r=10, t=20, b=10))
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return fig
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z = np.array(matrix, dtype=float)
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# Normalize per-column for visualization stability (visual only)
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# Normalize per-time column (visual only) and transpose to [buckets x time]
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col_max = np.maximum(z.max(axis=0), 1e-9)
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zn = z / col_max
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zn = (z / col_max).T
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fig = go.Figure(data=go.Heatmap(
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z=zn.T,
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x=[t.strftime('%H:%M:%S') for t in times],
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y=[f"{p:.2f}" for p in prices],
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z=zn,
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x=times,
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y=prices,
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colorscale='Turbo',
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colorbar=dict(title='Norm'),
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zmin=0.0,
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@ -1523,7 +1523,8 @@ class CleanTradingDashboard:
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fig.update_layout(
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title="ETH COB Heatmap (liquidity, per-bucket normalized)",
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xaxis_title="Time",
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yaxis_title="Price",
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yaxis_title="Price (USD)",
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xaxis_type='date',
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margin=dict(l=10, r=10, t=30, b=10)
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)
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return fig
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@ -1540,7 +1541,7 @@ class CleanTradingDashboard:
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)
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def update_cob_heatmap_btc(n):
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try:
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# Unified heatmap source from provider
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# Unified heatmap source from provider (show last 300s)
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times, prices, matrix = [], [], []
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if hasattr(self.data_provider, 'get_cob_heatmap_matrix'):
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times, prices, matrix, mids = self.data_provider.get_cob_heatmap_matrix('BTC/USDT', seconds=300, bucket_radius=10, metric='liquidity')
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@ -1551,11 +1552,11 @@ class CleanTradingDashboard:
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return fig
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z = np.array(matrix, dtype=float)
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col_max = np.maximum(z.max(axis=0), 1e-9)
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zn = z / col_max
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zn = (z / col_max).T
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fig = go.Figure(data=go.Heatmap(
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z=zn.T,
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x=[t.strftime('%H:%M:%S') for t in times],
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y=[f"{p:.2f}" for p in prices],
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z=zn,
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x=times,
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y=prices,
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colorscale='Turbo',
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colorbar=dict(title='Norm'),
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zmin=0.0,
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@ -1586,7 +1587,8 @@ class CleanTradingDashboard:
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fig.update_layout(
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title="BTC COB Heatmap (liquidity, per-bucket normalized)",
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xaxis_title="Time",
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yaxis_title="Price",
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yaxis_title="Price (USD)",
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xaxis_type='date',
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margin=dict(l=10, r=10, t=30, b=10)
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)
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return fig
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@ -2189,7 +2191,20 @@ class CleanTradingDashboard:
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if symbol in self.current_prices and self.current_prices[symbol] > 0:
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return self.current_prices[symbol]
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# Return None instead of hardcoded fallbacks - let the UI handle missing data
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# FINAL FALLBACK: Use latest COB mid_price (real data) if available
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try:
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if hasattr(self.data_provider, 'get_latest_cob_data'):
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snap = self.data_provider.get_latest_cob_data(symbol)
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if snap and isinstance(snap.get('stats'), dict):
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mid = float(snap['stats'].get('mid_price', 0) or 0)
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if mid > 0:
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self.current_prices[symbol] = mid
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logger.info(f"Using COB mid_price as current price for {symbol}: ${mid:.2f}")
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return mid
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except Exception as _:
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pass
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# Return None if absolutely nothing available
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return None
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def _create_price_chart(self, symbol: str) -> go.Figure:
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@ -2422,50 +2437,7 @@ class CleanTradingDashboard:
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# Mini 1-second chart (if available)
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if has_mini_chart and ws_data_1s is not None:
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# Overlay COB heatmap (up to 5 minutes) behind the 1s price line
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try:
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hm_seconds = 300 # 5 minutes
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bucket_radius = 10 # ±10 buckets
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# Prefer raw liquidity for visual; models can still use normalized features internally
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times, prices, matrix, mids = self.data_provider.get_cob_heatmap_matrix(
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symbol=symbol,
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seconds=hm_seconds,
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bucket_radius=bucket_radius,
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metric='liquidity'
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)
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if times and prices and matrix:
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# Align times to local tz-naive to match chart
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try:
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_local_tz = datetime.now().astimezone().tzinfo
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except Exception:
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_local_tz = None
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x_vals = []
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for t in times:
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try:
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if hasattr(t, 'tzinfo') and t.tzinfo is not None:
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tt = t.astimezone(_local_tz) if _local_tz else t
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tt = tt.replace(tzinfo=None)
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else:
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tt = t
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x_vals.append(tt)
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except Exception:
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x_vals.append(t)
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# Plot heatmap beneath the 1s price line
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fig.add_trace(
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go.Heatmap(
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x=x_vals,
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y=prices, # numeric prices to share axis with 1s line
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z=matrix,
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colorscale='Turbo',
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showscale=False,
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zsmooth='best',
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opacity=0.8,
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name='COB Liquidity'
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),
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row=2, col=1
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)
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except Exception as e:
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logger.debug(f"COB heatmap overlay skipped: {e}")
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# Removed COB heatmap overlay on the mini 1s chart per request
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# Align mini chart to local tz-naive
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try:
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if hasattr(ws_data_1s.index, 'tz') and ws_data_1s.index.tz is not None:
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