COB cummilative stats
This commit is contained in:
Dobromir Popov
File diff suppressed because it is too large
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@ -247,8 +247,8 @@ class DashboardComponentManager:
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logger.error(f"Error formatting system status: {e}")
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return [html.P(f"Error: {str(e)}", className="text-danger small")]
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def format_cob_data(self, cob_snapshot, symbol):
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"""Format COB data into a ladder display with volume bars"""
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def format_cob_data(self, cob_snapshot, symbol, cumulative_imbalance_stats=None):
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"""Format COB data into a split view with summary, imbalance stats, and a compact ladder."""
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try:
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if not cob_snapshot or not hasattr(cob_snapshot, 'stats'):
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return html.Div([
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@ -259,8 +259,6 @@ class DashboardComponentManager:
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stats = cob_snapshot.stats if hasattr(cob_snapshot, 'stats') else {}
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mid_price = stats.get('mid_price', 0)
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spread_bps = stats.get('spread_bps', 0)
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total_bid_liquidity = stats.get('total_bid_liquidity', 0)
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total_ask_liquidity = stats.get('total_ask_liquidity', 0)
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imbalance = stats.get('imbalance', 0)
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bids = getattr(cob_snapshot, 'consolidated_bids', [])
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asks = getattr(cob_snapshot, 'consolidated_asks', [])
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@ -271,85 +269,145 @@ class DashboardComponentManager:
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html.P("Awaiting valid order book data...", className="text-muted small")
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])
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# Header with summary stats
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imbalance_text = f"Bid Heavy ({imbalance:.3f})" if imbalance > 0 else f"Ask Heavy ({imbalance:.3f})"
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imbalance_color = "text-success" if imbalance > 0 else "text-danger"
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# --- Left Panel: Overview and Stats ---
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overview_panel = self._create_cob_overview_panel(symbol, stats, cumulative_imbalance_stats)
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header = html.Div([
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html.H6(f"{symbol} - COB Ladder", className="mb-1"),
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html.Div([
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html.Span(f"Mid: ${mid_price:,.2f}", className="me-3"),
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html.Span(f"Spread: {spread_bps:.1f} bps", className="me-3"),
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html.Span(f"Imbalance: ", className="small"),
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html.Span(imbalance_text, className=f"fw-bold {imbalance_color}")
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], className="small text-muted")
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], className="mb-2")
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# --- Right Panel: Compact Ladder ---
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ladder_panel = self._create_cob_ladder_panel(bids, asks, mid_price)
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# --- Ladder Creation ---
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bucket_size = 10 # $10 price buckets
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num_levels = 5 # 5 levels above and below
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# Aggregate bids and asks into buckets
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def aggregate_buckets(orders, mid_price, bucket_size):
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buckets = {}
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for order in orders:
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price = order.get('price', 0)
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size = order.get('size', 0)
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if price > 0:
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bucket_key = round(price / bucket_size) * bucket_size
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if bucket_key not in buckets:
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buckets[bucket_key] = 0
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buckets[bucket_key] += size * price # Volume in quote currency (USD)
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return buckets
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bid_buckets = aggregate_buckets(bids, mid_price, bucket_size)
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ask_buckets = aggregate_buckets(asks, mid_price, bucket_size)
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all_volumes = list(bid_buckets.values()) + list(ask_buckets.values())
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max_volume = max(all_volumes) if all_volumes else 1
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# Determine ladder price levels
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center_bucket = round(mid_price / bucket_size) * bucket_size
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ask_levels = [center_bucket + i * bucket_size for i in range(1, num_levels + 1)]
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bid_levels = [center_bucket - i * bucket_size for i in range(num_levels)]
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# Create ladder rows
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ask_rows = []
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for price in sorted(ask_levels, reverse=True):
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volume = ask_buckets.get(price, 0)
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progress = (volume / max_volume) * 100
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ask_rows.append(html.Tr([
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html.Td(f"${price:,.2f}", className="text-danger price-level"),
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html.Td(f"${volume:,.0f}", className="volume-level"),
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html.Td(dbc.Progress(value=progress, color="danger", className="vh-25"), className="progress-cell")
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]))
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bid_rows = []
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for price in sorted(bid_levels, reverse=True):
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volume = bid_buckets.get(price, 0)
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progress = (volume / max_volume) * 100
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bid_rows.append(html.Tr([
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html.Td(f"${price:,.2f}", className="text-success price-level"),
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html.Td(f"${volume:,.0f}", className="volume-level"),
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html.Td(dbc.Progress(value=progress, color="success", className="vh-25"), className="progress-cell")
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]))
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# Mid-price separator
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mid_row = html.Tr([
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html.Td(f"${mid_price:,.2f}", colSpan=3, className="text-center fw-bold text-white bg-secondary")
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])
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ladder_table = html.Table([
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html.Thead(html.Tr([html.Th("Price (USD)"), html.Th("Volume (USD)"), html.Th("Total")])),
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html.Tbody(ask_rows + [mid_row] + bid_rows)
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], className="table table-sm table-dark cob-ladder-table")
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return html.Div([header, ladder_table])
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return dbc.Row([
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dbc.Col(overview_panel, width=5, className="pe-1"),
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dbc.Col(ladder_panel, width=7, className="ps-1")
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], className="g-0") # g-0 removes gutters
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except Exception as e:
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logger.error(f"Error formatting COB data ladder: {e}")
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logger.error(f"Error formatting split COB data: {e}")
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return html.P(f"Error: {str(e)}", className="text-danger small")
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def _create_cob_overview_panel(self, symbol, stats, cumulative_imbalance_stats):
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"""Creates the left panel with summary and imbalance stats."""
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mid_price = stats.get('mid_price', 0)
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spread_bps = stats.get('spread_bps', 0)
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total_bid_liquidity = stats.get('total_bid_liquidity', 0)
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total_ask_liquidity = stats.get('total_ask_liquidity', 0)
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bid_levels = stats.get('bid_levels', 0)
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ask_levels = stats.get('ask_levels', 0)
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imbalance = stats.get('imbalance', 0)
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imbalance_text = f"Bid Heavy ({imbalance:.3f})" if imbalance > 0 else f"Ask Heavy ({imbalance:.3f})"
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imbalance_color = "text-success" if imbalance > 0 else "text-danger"
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imbalance_stats_display = []
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if cumulative_imbalance_stats:
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imbalance_stats_display.append(html.H6("Cumulative Imbalance", className="mt-3 mb-2 small text-muted text-uppercase"))
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for period, value in cumulative_imbalance_stats.items():
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imbalance_stats_display.append(self._create_imbalance_stat_row(period, value))
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return html.Div([
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html.H6(f"{symbol} - COB Overview", className="mb-2"),
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html.Div([
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self._create_stat_card("Mid Price", f"${mid_price:,.2f}", "fas fa-dollar-sign"),
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self._create_stat_card("Spread", f"{spread_bps:.1f} bps", "fas fa-arrows-alt-h")
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], className="d-flex justify-content-between mb-2"),
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html.Div([
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html.Strong("Snapshot Imbalance: ", className="small"),
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html.Span(imbalance_text, className=f"fw-bold small {imbalance_color}")
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]),
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html.Div(imbalance_stats_display),
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html.Hr(className="my-2"),
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html.Table([
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html.Tbody([
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html.Tr([html.Td("Bid Liq.", className="small text-muted"), html.Td(f"${total_bid_liquidity/1e6:.2f}M", className="text-end small")]),
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html.Tr([html.Td("Ask Liq.", className="small text-muted"), html.Td(f"${total_ask_liquidity/1e6:.2f}M", className="text-end small")]),
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html.Tr([html.Td("Bid Levels", className="small text-muted"), html.Td(f"{bid_levels}", className="text-end small")]),
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html.Tr([html.Td("Ask Levels", className="small text-muted"), html.Td(f"{ask_levels}", className="text-end small")])
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])
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], className="table table-sm table-borderless")
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], className="p-2 border rounded", style={"backgroundColor": "rgba(255,255,255,0.03)"})
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def _create_imbalance_stat_row(self, period, value):
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"""Helper to format a single row of cumulative imbalance."""
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color = "text-success" if value > 0 else "text-danger" if value < 0 else "text-muted"
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icon = "fas fa-chevron-up" if value > 0 else "fas fa-chevron-down" if value < 0 else "fas fa-minus"
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return html.Div([
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html.Span(f"{period}:", className="small text-muted", style={"width": "35px", "display": "inline-block"}),
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html.Span([
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html.I(className=f"{icon} me-1 {color}"),
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html.Span(f"{value:+.3f}", className=f"fw-bold small {color}")
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])
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], className="d-flex align-items-center mb-1")
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def _create_stat_card(self, title, value, icon):
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"""Helper for creating small stat cards."""
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return html.Div([
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html.Div(title, className="small text-muted"),
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html.Div(value, className="fw-bold")
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], className="text-center")
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def _create_cob_ladder_panel(self, bids, asks, mid_price):
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"""Creates the right panel with the compact COB ladder."""
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bucket_size = 10
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num_levels = 5
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def aggregate_buckets(orders):
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buckets = {}
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for order in orders:
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price = order.get('price', 0)
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size = order.get('size', 0)
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if price > 0:
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bucket_key = round(price / bucket_size) * bucket_size
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if bucket_key not in buckets:
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buckets[bucket_key] = 0
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buckets[bucket_key] += size * price
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return buckets
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bid_buckets = aggregate_buckets(bids)
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ask_buckets = aggregate_buckets(asks)
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all_volumes = list(bid_buckets.values()) + list(ask_buckets.values())
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max_volume = max(all_volumes) if all_volumes else 1
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center_bucket = round(mid_price / bucket_size) * bucket_size
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ask_levels = [center_bucket + i * bucket_size for i in range(1, num_levels + 1)]
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bid_levels = [center_bucket - i * bucket_size for i in range(num_levels)]
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def create_ladder_row(price, volume, max_vol, row_type):
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progress = (volume / max_vol) * 100 if max_vol > 0 else 0
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color = "danger" if row_type == 'ask' else "success"
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text_color = "text-danger" if row_type == 'ask' else "text-success"
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vol_str = f"${volume/1e3:.0f}K" if volume > 1e3 else f"${volume:,.0f}"
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return html.Tr([
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html.Td(f"${price:,.2f}", className=f"{text_color} price-level"),
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html.Td(
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dbc.Progress(value=progress, color=color, className="vh-25 compact-progress"),
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className="progress-cell"
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),
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html.Td(vol_str, className="volume-level text-end")
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], className="compact-ladder-row")
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ask_rows = [create_ladder_row(p, ask_buckets.get(p, 0), max_volume, 'ask') for p in sorted(ask_levels, reverse=True)]
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bid_rows = [create_ladder_row(p, bid_buckets.get(p, 0), max_volume, 'bid') for p in sorted(bid_levels, reverse=True)]
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mid_row = html.Tr([
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html.Td(f"${mid_price:,.2f}", colSpan=3, className="text-center fw-bold small mid-price-row")
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])
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ladder_table = html.Table([
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html.Thead(html.Tr([
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html.Th("Price", className="small"),
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html.Th("Volume", className="small"),
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html.Th("Total", className="small text-end")
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])),
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html.Tbody(ask_rows + [mid_row] + bid_rows)
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], className="table table-sm table-borderless cob-ladder-table-compact m-0 p-0") # Compact classes
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return ladder_table
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def format_cob_data_with_buckets(self, cob_snapshot, symbol, price_buckets, memory_stats, bucket_size=1.0):
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"""Format COB data with price buckets for high-frequency display"""
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try:
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