feat: visual e coleta de dados do footprint chart

- Footprint bars bid/ask por nível com cor dominante
- Painel inferior duplo: volume (barras) + delta (blocos azul/laranja)
- Linha de preço atual ciano dashed com tag no eixo
- Timestamp por cluster no eixo X
- Drag no eixo de tempo para zoom horizontal
- Drag no eixo de preço para ajustar step multiplier
- Coleta de volume via price-step method para delta correto
- Guard is_live para evitar flood de WebSocket no replay histórico
- total_ticks adicionado ao aggregator

Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
This commit is contained in:
rufinomec-afk
2026-06-06 14:57:02 -03:00
parent 0a185c0223
commit 11a0921e20
7 changed files with 464 additions and 258 deletions
+28 -22
View File
@@ -17,6 +17,7 @@ class FootprintCluster:
self.poc: Optional[float] = None
self.total_delta: float = 0.0
self.total_volume: float = 0.0
self.total_ticks: int = 0
# levels: price_float -> { 'ask': float, 'bid': float }
# internally we keep float keys to make sorting and arithmetic easy
@@ -39,7 +40,8 @@ class FootprintCluster:
self.open_price = price
self.close_price = price
self.total_ticks += 1
# Round price to the nearest tick_size to avoid float precision issues
rounded_price = round(price / self.tick_size) * self.tick_size
@@ -259,29 +261,32 @@ class FootprintCluster:
self.advanced_metrics["delta_divergence"] = True
def should_close(self, current_time_msc: int) -> Optional[str]:
# Check range
if self.high is not None and self.low is not None:
points = self.high - self.low
# If tick_size is 1.0, range is in points. Let's compare directly.
# (or points/tick_size >= CLUSTER_RANGE_POINTS)
# Standard MT5 points. If range in points exceeds setting:
if points >= settings.CLUSTER_RANGE_POINTS:
return "range"
# Check volume
mode = settings.CLUSTER_CLOSE_MODE
# Volume safety cap — always applied (prevents runaway cluster if market halts)
if self.total_volume >= settings.CLUSTER_VOLUME_MAX:
return "volume"
# Check delta
if abs(self.total_delta) >= settings.CLUSTER_DELTA_MAX:
return "delta"
# Check time
if self.open_time is not None:
elapsed = (current_time_msc - self.open_time) / 1000.0
if elapsed >= settings.CLUSTER_TIME_SECONDS:
return "time"
# Primary closing condition based on configured mode
if mode == "delta":
if abs(self.total_delta) >= settings.CLUSTER_DELTA_MAX:
return "delta"
elif mode == "range":
if self.high is not None and self.low is not None:
if (self.high - self.low) >= settings.CLUSTER_RANGE_POINTS:
return "range"
elif mode == "time":
if self.open_time is not None:
elapsed = (current_time_msc - self.open_time) / 1000.0
if elapsed >= settings.CLUSTER_TIME_SECONDS:
return "time"
elif mode == "volume":
if self.total_volume >= settings.CLUSTER_VOLUME_MAX:
return "volume"
return None
def close(self, reason: str) -> None:
@@ -313,6 +318,7 @@ class FootprintCluster:
"poc": float(self.poc) if self.poc is not None else None,
"total_delta": float(self.total_delta),
"total_volume": float(self.total_volume),
"total_ticks": int(self.total_ticks),
"levels": levels_str,
"stacked": {
"buy": bool(self.stacked.get("buy", False)),
+43 -12
View File
@@ -23,6 +23,8 @@ class MT5Collector:
self.connected = False
self.last_tick_time_msc = 0
self.seen_ticks_buffer = set()
self.last_mid_price = 0.0
self.last_is_buy = True
async def connect_mt5(self) -> bool:
"""
@@ -30,8 +32,8 @@ class MT5Collector:
All MT5 calls are blocking, so they run in a thread executor.
"""
try:
mt5_path = r"C:\Program Files\MetaTrader 5\terminal64.exe"
initialized = await asyncio.to_thread(mt5.initialize, path=mt5_path)
# Try to connect to any running MT5 terminal without specifying path
initialized = await asyncio.to_thread(mt5.initialize)
if not initialized:
err = await asyncio.to_thread(mt5.last_error)
logger.error(f"MT5 initialize failed: {err}")
@@ -98,9 +100,9 @@ class MT5Collector:
else:
backoff = 1.0
# Fetch from 6 hours ago so the chart isn't empty when started
# Fetch from 48 hours ago so the chart isn't empty when started (covers weekends)
from datetime import datetime, timedelta
start_time_dt = datetime.now() - timedelta(hours=6)
start_time_dt = datetime.now() - timedelta(hours=48)
ticks = await asyncio.to_thread(
mt5.copy_ticks_from, self.symbol, start_time_dt, 100000, mt5.COPY_TICKS_ALL
)
@@ -146,20 +148,49 @@ class MT5Collector:
self.seen_ticks_buffer.add(tick_id)
price = tick['last'] if tick['last'] > 0 else (tick['bid'] if tick['bid'] > 0 else tick['ask'])
volume = tick['volume_real'] if tick['volume_real'] > 0 else float(tick['volume'])
flags = tick['flags']
flags = int(tick['flags'])
bid_price = float(tick['bid'])
ask_price = float(tick['ask'])
last_price = float(tick['last'])
# Forex ticks often have volume=0 (they are just quote updates).
# We count each quote update as 1 unit of tick volume to build the footprint.
if volume == 0:
mid_price = (bid_price + ask_price) / 2.0 if (bid_price > 0 and ask_price > 0) else 0.0
prev_mid = self.last_mid_price
# Update direction tracker from mid movement
if mid_price > 0:
if mid_price > self.last_mid_price:
self.last_is_buy = True
elif mid_price < self.last_mid_price:
self.last_is_buy = False
self.last_mid_price = mid_price
# Determine price (use mid as best proxy for CFD quote feed)
price = last_price if last_price > 0 else (mid_price if mid_price > 0 else (bid_price if bid_price > 0 else ask_price))
# Volume = price movement in tick-size units (how the YuCluster measures activity)
tick_sz = self.aggregator.tick_size if self.aggregator.tick_size > 0 else 0.01
if prev_mid > 0 and mid_price > 0:
price_steps = abs(mid_price - prev_mid) / tick_sz
volume = max(price_steps, 1.0)
else:
volume = 1.0
is_buy = classify_tick(price, tick['bid'], tick['ask'], flags)
# Determine direction
if flags & 32:
is_buy = True
elif flags & 64:
is_buy = False
else:
is_buy = self.last_is_buy
active_json, closed_json = self.aggregator.process_tick(price, volume, is_buy, msc)
self.on_update_callback(active_json, closed_json)
# Only broadcast during live trading (within 10s of now) to avoid
# flooding the WebSocket during historical replay
import time as _time
is_live = ((_time.time() * 1000) - msc) < 10_000
if is_live:
self.on_update_callback(active_json, closed_json)
await asyncio.sleep(0.1)
+43 -5
View File
@@ -5,6 +5,7 @@ import os
from contextlib import asynccontextmanager
from fastapi import FastAPI, WebSocket, WebSocketDisconnect
from fastapi.middleware.cors import CORSMiddleware
from pydantic import BaseModel
from typing import Set, Dict, Any, Optional
# Add project root to sys.path
@@ -25,18 +26,23 @@ collector_task: Optional[asyncio.Task] = None
def broadcast_update(active_json: dict, closed_json: Optional[dict]):
"""
Callback executed by MT5Collector when a new tick is processed.
Schedules WebSocket sends on the event loop.
Only broadcasts when a cluster closes (not every tick) to avoid flooding during replay.
Removes dead connections automatically.
"""
if not active_connections or closed_json is None:
return
message = {
"type": "tick",
"active": active_json,
"closed": closed_json
}
for connection in list(active_connections):
async def safe_send(ws: WebSocket, msg: dict):
try:
asyncio.create_task(connection.send_json(message))
except Exception as e:
logger.error(f"Error sending update to client: {e}")
await ws.send_json(msg)
except Exception:
active_connections.discard(ws)
for connection in list(active_connections):
asyncio.create_task(safe_send(connection, message))
# Initialize MT5 Collector
collector = MT5Collector(aggregator, on_update_callback=broadcast_update)
@@ -75,6 +81,38 @@ app.add_middleware(
allow_headers=["*"],
)
class ConfigUpdate(BaseModel):
close_mode: Optional[str] = None
delta_max: Optional[float] = None
volume_max: Optional[float] = None
range_points: Optional[float] = None
time_seconds: Optional[float] = None
@app.get("/config")
async def get_config():
return {
"close_mode": settings.CLUSTER_CLOSE_MODE,
"delta_max": settings.CLUSTER_DELTA_MAX,
"volume_max": settings.CLUSTER_VOLUME_MAX,
"range_points": settings.CLUSTER_RANGE_POINTS,
"time_seconds": settings.CLUSTER_TIME_SECONDS,
}
@app.post("/config")
async def update_config(update: ConfigUpdate):
if update.close_mode is not None:
settings.CLUSTER_CLOSE_MODE = update.close_mode
if update.delta_max is not None:
settings.CLUSTER_DELTA_MAX = update.delta_max
if update.volume_max is not None:
settings.CLUSTER_VOLUME_MAX = update.volume_max
if update.range_points is not None:
settings.CLUSTER_RANGE_POINTS = update.range_points
if update.time_seconds is not None:
settings.CLUSTER_TIME_SECONDS = update.time_seconds
logger.info(f"Config updated: mode={settings.CLUSTER_CLOSE_MODE}, delta_max={settings.CLUSTER_DELTA_MAX}")
return {"ok": True}
@app.get("/history")
async def get_history():
"""Returns the buffer of historical closed clusters."""
+7 -7
View File
@@ -4,14 +4,14 @@ import os
MT5_LOGIN = int(os.environ.get("MT5_LOGIN", 0)) # seu número de conta
MT5_PASSWORD = os.environ.get("MT5_PASSWORD", "") # sua senha
MT5_SERVER = os.environ.get("MT5_SERVER", "") # nome do servidor (ex: "XPInvestimentos-Real")
MT5_SYMBOL = os.environ.get("MT5_SYMBOL", "EURUSD") # símbolo padrão
MT5_SYMBOL = os.environ.get("MT5_SYMBOL", "USTEC") # símbolo padrão
# Cluster
CLUSTER_RANGE_POINTS = int(os.environ.get("CLUSTER_RANGE_POINTS", 10))
CLUSTER_VOLUME_MAX = float(os.environ.get("CLUSTER_VOLUME_MAX", 1000))
CLUSTER_DELTA_MAX = float(os.environ.get("CLUSTER_DELTA_MAX", 500))
CLUSTER_TIME_SECONDS = float(os.environ.get("CLUSTER_TIME_SECONDS", 60))
CLUSTER_CLOSE_MODE = os.environ.get("CLUSTER_CLOSE_MODE", "range") # "range" | "volume" | "delta" | "time"
CLUSTER_RANGE_POINTS = float(os.environ.get("CLUSTER_RANGE_POINTS", 50.0))
CLUSTER_VOLUME_MAX = float(os.environ.get("CLUSTER_VOLUME_MAX", 100000))
CLUSTER_DELTA_MAX = float(os.environ.get("CLUSTER_DELTA_MAX", 800))
CLUSTER_TIME_SECONDS = float(os.environ.get("CLUSTER_TIME_SECONDS", 300))
CLUSTER_CLOSE_MODE = os.environ.get("CLUSTER_CLOSE_MODE", "delta") # "range" | "volume" | "delta" | "time"
# Imbalance
IMBALANCE_RATIO = float(os.environ.get("IMBALANCE_RATIO", 3.0))
@@ -19,4 +19,4 @@ STACKED_MIN_COUNT = int(os.environ.get("STACKED_MIN_COUNT", 3))
# WebSocket
WS_PORT = int(os.environ.get("WS_PORT", 6002))
HISTORY_BUFFER_SIZE = int(os.environ.get("HISTORY_BUFFER_SIZE", 50))
HISTORY_BUFFER_SIZE = int(os.environ.get("HISTORY_BUFFER_SIZE", 500))
+96 -12
View File
@@ -11,11 +11,16 @@ export default function App() {
const [history, setHistory] = useState([]);
const [activeCluster, setActiveCluster] = useState(null);
const [lastTickTime, setLastTickTime] = useState(null);
// Phase 2 & 4 Settings
const [stepMultiplier, setStepMultiplier] = useState(1);
const [stepMultiplier, setStepMultiplier] = useState(75);
const [viewMode, setViewMode] = useState('bidask'); // 'bidask' or 'delta'
const [imbalanceRatio, setImbalanceRatio] = useState(300); // percentage
// Cluster aggregator config
const [closeMode, setCloseMode] = useState('delta');
const [deltaMax, setDeltaMax] = useState(800);
const [configDirty, setConfigDirty] = useState(false);
// Toasts
const [toasts, setToasts] = useState([]);
@@ -28,6 +33,30 @@ export default function App() {
}, 5000);
}, []);
// Fetch config from backend on load
const fetchConfig = useCallback(async () => {
try {
const res = await fetch(`${API_URL}/config`);
if (res.ok) {
const data = await res.json();
setCloseMode(data.close_mode || 'delta');
setDeltaMax(data.delta_max || 2418);
}
} catch (e) {}
}, []);
// Push config update to backend
const applyConfig = useCallback(async (mode, delta) => {
try {
await fetch(`${API_URL}/config`, {
method: 'POST',
headers: { 'Content-Type': 'application/json' },
body: JSON.stringify({ close_mode: mode, delta_max: delta }),
});
setConfigDirty(false);
} catch (e) {}
}, []);
// Fetch initial history when backend becomes reachable
const fetchHistory = useCallback(async () => {
try {
@@ -54,7 +83,7 @@ export default function App() {
if (msg.closed) {
setHistory(prev => {
const updated = [...prev, msg.closed];
if (updated.length > 50) {
if (updated.length > 500) {
updated.shift();
}
return updated;
@@ -70,7 +99,8 @@ export default function App() {
useEffect(() => {
fetchHistory();
}, [fetchHistory, wsStatus]);
fetchConfig();
}, [fetchHistory, fetchConfig, wsStatus]);
// Aggregate stats from history
const totalVolume = history.reduce((acc, c) => acc + (c.total_volume || 0), 0) + (activeCluster?.total_volume || 0);
@@ -78,7 +108,10 @@ export default function App() {
const allClusters = [...history];
if (activeCluster) allClusters.push(activeCluster);
// Use tick_size from the latest cluster data (set by MT5 backend)
const dynamicTickSize = allClusters.length > 0 ? (allClusters[allClusters.length - 1].tick_size || 0.01) : 0.01;
return (
<div className="flex flex-col h-full bg-[#0B0E14] text-slate-100 relative">
{/* Toast Container */}
@@ -139,12 +172,13 @@ export default function App() {
<main className="flex-1 flex overflow-hidden p-6 gap-6">
{/* Footprint Chart Panel */}
<div className="flex-1 flex flex-col h-full bg-[#151B26]/30 rounded-xl overflow-hidden">
<FootprintCanvas
clusters={allClusters}
tickSize={0.00001}
<FootprintCanvas
clusters={allClusters}
tickSize={dynamicTickSize}
stepMultiplier={stepMultiplier}
viewMode={viewMode}
imbalanceRatio={imbalanceRatio}
onStepChange={setStepMultiplier}
/>
</div>
@@ -160,7 +194,7 @@ export default function App() {
<div className="flex justify-between items-center text-xs">
<span className="text-slate-400">Target Symbol:</span>
<span className="font-mono font-semibold text-[#00B0FF] bg-[#00B0FF]/10 px-2 py-0.5 rounded">
EURUSD
USTEC
</span>
</div>
<div className="flex flex-col sm:flex-row items-center gap-6">
@@ -181,9 +215,9 @@ export default function App() {
<div className="flex flex-col">
<span className="text-[10px] text-slate-500 font-bold mb-1">PRICE STEP</span>
<div className="flex items-center bg-[#151B26] border border-slate-700 rounded-md overflow-hidden">
<button onClick={() => setStepMultiplier(Math.max(1, stepMultiplier - 1))} className="px-2 py-1 text-slate-400 hover:text-white hover:bg-slate-800">-</button>
<div className="px-3 py-1 text-sm font-bold text-white min-w-[30px] text-center">{stepMultiplier}</div>
<button onClick={() => setStepMultiplier(stepMultiplier + 1)} className="px-2 py-1 text-slate-400 hover:text-white hover:bg-slate-800">+</button>
<button onClick={() => setStepMultiplier(s => Math.max(25, s - 25))} className="px-2 py-1 text-slate-400 hover:text-white hover:bg-slate-800">-</button>
<div className="px-3 py-1 text-sm font-bold text-white min-w-[52px] text-center">{(stepMultiplier * dynamicTickSize).toFixed(2)} pts</div>
<button onClick={() => setStepMultiplier(s => s + 25)} className="px-2 py-1 text-slate-400 hover:text-white hover:bg-slate-800">+</button>
</div>
</div>
@@ -231,6 +265,56 @@ export default function App() {
</div>
</section>
{/* Cluster Formation Config */}
<section className="bg-[#151B26] border border-slate-800 rounded-xl p-5 shadow-lg">
<h2 className="text-sm font-semibold text-slate-300 mb-4 border-b border-slate-800 pb-2">
Cluster Formation
</h2>
<div className="space-y-4 text-xs">
{/* Close mode */}
<div>
<span className="text-[10px] text-slate-500 font-bold block mb-1">CLOSE MODE</span>
<div className="flex bg-[#0B0E14] border border-slate-700 rounded-md overflow-hidden">
{['delta', 'range', 'time', 'volume'].map(m => (
<button
key={m}
onClick={() => { setCloseMode(m); setConfigDirty(true); }}
className={`flex-1 py-1 text-[10px] font-semibold uppercase ${closeMode === m ? 'bg-[#00E676] text-slate-900' : 'text-slate-400 hover:bg-slate-800'}`}
>{m}</button>
))}
</div>
</div>
{/* Delta threshold — only relevant when mode=delta */}
{closeMode === 'delta' && (
<div>
<div className="flex justify-between mb-1">
<span className="text-[10px] text-slate-500 font-bold">DELTA THRESHOLD</span>
<span className="text-[10px] font-mono text-slate-300">{deltaMax.toLocaleString()}</span>
</div>
<input
type="range" min="100" max="10000" step="50"
value={deltaMax}
onChange={e => { setDeltaMax(Number(e.target.value)); setConfigDirty(true); }}
className="w-full accent-[#00E676] bg-slate-800 rounded-lg h-1.5 appearance-none cursor-pointer"
/>
<div className="flex justify-between text-[9px] text-slate-600 mt-0.5">
<span>100</span><span>10 000</span>
</div>
</div>
)}
{/* Apply button */}
<button
onClick={() => applyConfig(closeMode, deltaMax)}
disabled={!configDirty}
className={`w-full py-1.5 rounded-md text-xs font-semibold transition ${configDirty ? 'bg-[#00E676] text-slate-900 hover:bg-[#00c853]' : 'bg-slate-800 text-slate-600 cursor-not-allowed'}`}
>
{configDirty ? 'Apply' : 'Applied'}
</button>
</div>
</section>
{/* Aggregator Settings Rules Indicator */}
<section className="bg-[#151B26] border border-slate-800 rounded-xl p-5 shadow-lg flex-1">
<h2 className="text-sm font-semibold text-slate-300 mb-4 border-b border-slate-800 pb-2">
+242 -200
View File
@@ -1,14 +1,25 @@
import React, { useRef, useEffect, useState } from 'react';
export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultiplier = 1, viewMode = 'bidask', imbalanceRatio = 300 }) {
export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultiplier = 1, viewMode = 'bidask', imbalanceRatio = 300, onStepChange }) {
const canvasRef = useRef(null);
// Navigation & Scale State
const [scrollOffset, setScrollOffset] = useState({ x: 50, y: 0 }); // X: horizontal offset, Y: vertical offset
const [zoom, setZoom] = useState(1); // Zoom level
const [isDragging, setIsDragging] = useState(false);
const [cursor, setCursor] = useState('grab');
const dragStart = useRef({ x: 0, y: 0 });
const dragOffsetStart = useRef({ x: 0, y: 0 });
// Price axis drag (scale) state
const isDraggingAxis = useRef(false);
const axisDragStartY = useRef(0);
const axisDragStartStep = useRef(0);
// Time axis drag (horizontal zoom) state
const isDraggingTimeAxis = useRef(false);
const timeAxisDragStartX = useRef(0);
const timeAxisDragStartZoom = useRef(1);
// Apply zoom to sizes
const colWidth = 140 * zoom; // width of each cluster column
@@ -16,17 +27,20 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
const rowHeight = 26 * zoom; // height of each price cell
const axisWidth = 70; // width of the vertical price axis on the right
// Handle auto-scroll to the right (most recent cluster) on new cluster load
// Auto-scroll to keep latest cluster visible whenever clusters or zoom changes
const lastClusterCount = useRef(0);
useEffect(() => {
if (clusters && clusters.length > lastClusterCount.current && canvasRef.current) {
if (clusters && canvasRef.current) {
const canvas = canvasRef.current;
// Scroll to show the active cluster at the right side
const rightmostX = canvas.width - axisWidth - (clusters.length * (colWidth + colGap)) - 50;
setScrollOffset(prev => ({ ...prev, x: Math.min(160, rightmostX) }));
const rect = canvas.getBoundingClientRect();
const visibleWidth = rect.width - axisWidth - 160; // leave space for vol profile
const totalClustersWidth = clusters.length * (colWidth + colGap);
// Pin latest cluster to right side of visible area
const newX = visibleWidth - totalClustersWidth;
setScrollOffset(prev => ({ ...prev, x: newX }));
lastClusterCount.current = clusters.length;
}
}, [clusters?.length]);
}, [clusters?.length, zoom]);
// Main Render Loop
useEffect(() => {
@@ -96,7 +110,30 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
};
// Cumulative Delta Tracking
let cumulativeDelta = 0;
// Max volume across all clusters (for proportional volume bars in bottom panel)
const maxClusterVolume = Math.max(...clusters.map(c => c.total_volume || 1), 1);
// Bottom panel layout
const bottomPanelH = bottomPanelHeight;
const volRowH = Math.round(bottomPanelH * 0.55);
const deltaRowH = bottomPanelH - volRowH;
// Draw bottom panel background BEFORE cluster loop so bars render on top
const panelBaseY = height - bottomPanelH;
ctx.fillStyle = '#0B0E14';
ctx.fillRect(0, panelBaseY, width, bottomPanelH);
ctx.strokeStyle = '#1E293B';
ctx.lineWidth = 2;
ctx.beginPath();
ctx.moveTo(0, panelBaseY);
ctx.lineTo(width, panelBaseY);
ctx.stroke();
ctx.strokeStyle = 'rgba(30, 41, 59, 0.8)';
ctx.lineWidth = 1;
ctx.beginPath();
ctx.moveTo(0, panelBaseY + volRowH);
ctx.lineTo(width, panelBaseY + volRowH);
ctx.stroke();
// Draw Columns (Clusters)
clusters.forEach((cluster, index) => {
@@ -174,165 +211,101 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
}
}
// Draw Cluster Header (Info Card at the top)
const headerY = getPriceY(highestPrice) - rowHeight - 35;
// Header Background
ctx.fillStyle = 'rgba(21, 27, 38, 0.85)';
ctx.strokeStyle = cluster.status === 'active' ? 'rgba(0, 230, 118, 0.4)' : '#2A364F';
ctx.lineWidth = 1.5;
ctx.beginPath();
ctx.roundRect(colX, headerY, colWidth, 45, 6);
ctx.fill();
ctx.stroke();
// Header Text
ctx.fillStyle = '#94A3B8';
ctx.font = '10px JetBrains Mono, monospace';
ctx.textAlign = 'left';
const pattern = cluster.advanced_metrics?.pattern;
const divergence = cluster.advanced_metrics?.delta_divergence;
let patternTag = '';
if (pattern === 'P') patternTag = '[P] ';
if (pattern === 'B') patternTag = '[B] ';
// Divergence Tag
if (divergence) patternTag += '⚠️ ';
// Volume & Delta
const volK = (cluster.total_volume || 0).toFixed(0);
const deltaStr = (cluster.total_delta >= 0 ? '+' : '') + (cluster.total_delta || 0).toFixed(0);
ctx.fillText(`${patternTag}VOL: ${volK}`, colX + 8, headerY + 18);
ctx.fillStyle = cluster.total_delta >= 0 ? '#00E676' : '#FF1744';
ctx.fillText(`DEL: ${deltaStr}`, colX + 8, headerY + 32);
// OHLC body range — levels outside = wicks (just a line)
const bodyHigh = (cluster.open_price !== undefined && cluster.close_price !== undefined)
? Math.max(cluster.open_price, cluster.close_price)
: highestPrice;
const bodyLow = (cluster.open_price !== undefined && cluster.close_price !== undefined)
? Math.min(cluster.open_price, cluster.close_price)
: lowestPrice;
const isBull = cluster.close_price >= cluster.open_price;
// Time or reason
ctx.fillStyle = '#64748B';
const timeStr = cluster.open_time ? new Date(cluster.open_time).toLocaleTimeString([], { hour: '2-digit', minute: '2-digit', second: '2-digit' }) : '--:--:--';
ctx.fillText(timeStr, colX + colWidth - 55, headerY + 18);
// Find max volume in this cluster to calculate relative opacities
const maxTotalVolumeInCluster = Math.max(...Object.values(levels).map(l => l.total || 1));
// OHLC Candlestick Skeleton (Background)
// OHLC body border rectangle
if (cluster.open_price !== undefined && cluster.close_price !== undefined) {
const isBull = cluster.close_price >= cluster.open_price;
ctx.strokeStyle = isBull ? 'rgba(0, 230, 118, 0.4)' : 'rgba(255, 23, 68, 0.4)';
ctx.fillStyle = isBull ? 'rgba(0, 230, 118, 0.1)' : 'rgba(255, 23, 68, 0.1)';
ctx.lineWidth = 1;
const openY = getPriceY(cluster.open_price);
const closeY = getPriceY(cluster.close_price);
const highY = getPriceY(highestPrice);
const lowY = getPriceY(lowestPrice);
const candleTop = Math.min(openY, closeY) - rowHeight / 2;
const candleBottom = Math.max(openY, closeY) + rowHeight / 2;
const bodyHeight = Math.max(2, candleBottom - candleTop);
// Draw Wick (Pavio)
ctx.beginPath();
ctx.moveTo(colX + colWidth / 2, highY - rowHeight / 2);
ctx.lineTo(colX + colWidth / 2, lowY + rowHeight / 2);
ctx.stroke();
// Draw Body Background
ctx.fillRect(colX - 4, candleTop, colWidth + 8, bodyHeight);
ctx.strokeRect(colX - 4, candleTop, colWidth + 8, bodyHeight);
const openY = getPriceY(cluster.open_price);
const closeY = getPriceY(cluster.close_price);
const candleTop = Math.min(openY, closeY) - rowHeight / 2;
const candleBottom = Math.max(openY, closeY) + rowHeight / 2;
ctx.strokeStyle = isBull ? 'rgba(0, 230, 118, 0.55)' : 'rgba(255, 23, 68, 0.55)';
ctx.lineWidth = 1.5;
ctx.strokeRect(colX - 2, candleTop, colWidth + 4, Math.max(2, candleBottom - candleTop));
// Wick lines (thin center line above body to high, below body to low)
const highY = getPriceY(highestPrice);
const lowY = getPriceY(lowestPrice);
ctx.strokeStyle = isBull ? 'rgba(0, 230, 118, 0.4)' : 'rgba(255, 23, 68, 0.4)';
ctx.lineWidth = 1;
if (highestPrice > bodyHigh) {
ctx.beginPath();
ctx.moveTo(colX + colWidth / 2, highY);
ctx.lineTo(colX + colWidth / 2, candleTop);
ctx.stroke();
}
if (lowestPrice < bodyLow) {
ctx.beginPath();
ctx.moveTo(colX + colWidth / 2, candleBottom);
ctx.lineTo(colX + colWidth / 2, lowY + rowHeight);
ctx.stroke();
}
}
// Draw Cells
const fmtK = (v) => {
const n = Math.abs(v);
if (n >= 1000) return (v / 1000).toFixed(1) + 'K';
return v.toFixed(0);
};
// Max volume in cluster for proportional bars
const maxVol = Math.max(...Object.values(levels).map(l => Math.max(l.ask || 0, l.bid || 0)), 1);
const fontSize = Math.max(6, 11 * zoom);
ctx.font = `bold ${fontSize}px JetBrains Mono, monospace`;
ctx.textBaseline = 'middle';
// Draw Cells — one color per level (dominant side), number only at POC
pricesStr.forEach((priceStr, i) => {
const price = Number(priceStr);
const cellData = levels[priceStr];
const cellY = getPriceY(price) - rowHeight / 2;
// Skip if vertically out of bounds
if (cellY + rowHeight < 0 || cellY > height) return;
const isWick = price < bodyLow - actualTickSize * 0.5 || price > bodyHigh + actualTickSize * 0.5;
const alpha = isWick ? 0.4 : 0.85;
const bid = cellData.bid || 0;
const ask = cellData.ask || 0;
const total = cellData.total || 0;
// Dynamic Imbalance Calculation (Frontend)
const ratio = imbalanceRatio / 100.0;
let dynImbalance = null;
// ask vs lower bid
const lowerData = i + 1 < pricesStr.length ? levels[pricesStr[i + 1]] : null;
const lowerBid = lowerData ? (lowerData.bid || 0) : 0;
const isBuyImbalance = ask >= lowerBid * ratio && ask > 0;
// bid vs higher ask
const upperData = i - 1 >= 0 ? levels[pricesStr[i - 1]] : null;
const upperAsk = upperData ? (upperData.ask || 0) : 0;
const isSellImbalance = bid >= upperAsk * ratio && bid > 0;
if (isBuyImbalance && isSellImbalance) dynImbalance = 'both';
else if (isBuyImbalance) dynImbalance = 'buy';
else if (isSellImbalance) dynImbalance = 'sell';
const dominant = ask >= bid ? 'ask' : 'bid';
const dominantVal = Math.max(ask, bid);
// Volume-based opacity
const relOpacity = maxTotalVolumeInCluster > 0 ? (total / maxTotalVolumeInCluster) : 0;
// Base fill color with opacity
let cellColor = `rgba(59, 130, 246, ${0.05 + relOpacity * 0.25})`; // Dark Slate Blue default
if (ask >= bid * ratio && ask > 0) {
cellColor = `rgba(0, 230, 118, ${0.2 + relOpacity * 0.5})`; // Strong Green Heatmap (Horizontal)
} else if (bid >= ask * ratio && bid > 0) {
cellColor = `rgba(255, 23, 68, ${0.2 + relOpacity * 0.5})`; // Strong Red Heatmap (Horizontal)
} else if (dynImbalance === 'buy') {
cellColor = `rgba(0, 230, 118, ${0.1 + relOpacity * 0.35})`; // Neon Green tint
} else if (dynImbalance === 'sell') {
cellColor = `rgba(255, 23, 68, ${0.1 + relOpacity * 0.35})`; // Neon Red tint
} else if (dynImbalance === 'both') {
cellColor = `rgba(168, 85, 247, ${0.1 + relOpacity * 0.35})`; // Purple
}
// Single proportional bar — dominant color only, grows left to right
const barW = Math.min((dominantVal / maxVol) * colWidth, colWidth);
ctx.fillStyle = dominant === 'ask'
? `rgba(236, 72, 153, ${alpha})`
: `rgba(59, 130, 246, ${alpha})`;
ctx.fillRect(colX, cellY + 1, barW, rowHeight - 3);
ctx.fillStyle = cellColor;
ctx.fillRect(colX, cellY, colWidth, rowHeight - 2);
// Imbalance border outline
if (dynImbalance === 'buy') {
ctx.strokeStyle = 'rgba(0, 230, 118, 0.8)';
ctx.lineWidth = 1;
ctx.strokeRect(colX + 0.5, cellY + 0.5, colWidth - 1, rowHeight - 3);
} else if (dynImbalance === 'sell') {
ctx.strokeStyle = 'rgba(255, 23, 68, 0.8)';
ctx.lineWidth = 1;
ctx.strokeRect(colX + 0.5, cellY + 0.5, colWidth - 1, rowHeight - 3);
}
// Draw POC outline (Thick Gold Border)
if (price === cluster.poc) {
// POC border (rectangle only at POC level)
if (!isWick && price === cluster.poc) {
ctx.strokeStyle = '#FFD600';
ctx.lineWidth = 2;
ctx.strokeRect(colX + 1, cellY + 1, colWidth - 2, rowHeight - 4);
}
// Draw Text (Bid x Ask OR Delta)
const fontSize = Math.max(6, 11 * zoom);
ctx.font = `${fontSize}px JetBrains Mono, monospace`;
ctx.textAlign = 'center';
ctx.textBaseline = 'middle';
if (dynImbalance === 'buy') {
ctx.fillStyle = '#00E676';
} else if (dynImbalance === 'sell') {
ctx.fillStyle = '#FF1744';
} else {
ctx.fillStyle = '#E2E8F0';
}
// Hide text if zoomed out too much to avoid clutter
if (zoom >= 0.5) {
// Number only at POC (inside bar, right-aligned)
if (zoom >= 0.5 && !isWick && price === cluster.poc) {
const cy = cellY + rowHeight / 2;
if (viewMode === 'delta') {
const deltaStr = (cellData.delta >= 0 ? '+' : '') + (cellData.delta || 0).toFixed(0);
ctx.fillText(deltaStr, colX + colWidth / 2, cellY + rowHeight / 2);
const d = cellData.delta || 0;
ctx.fillStyle = d >= 0 ? '#00E676' : '#FF1744';
ctx.textAlign = 'right';
ctx.fillText((d >= 0 ? '+' : '') + fmtK(d), colX + colWidth - 4, cy);
} else {
ctx.fillText(`${bid.toFixed(0)} × ${ask.toFixed(0)}`, colX + colWidth / 2, cellY + rowHeight / 2);
ctx.fillStyle = 'rgba(255,255,255,0.95)';
ctx.textAlign = 'right';
ctx.fillText(fmtK(dominantVal), colX + colWidth - 4, cy);
}
}
});
@@ -384,28 +357,45 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
}
}
// Calculate Cumulative Delta for bottom panel
cumulativeDelta += (cluster.total_delta || 0);
// Bottom Panel (Delta Histogram)
const panelY = height - bottomPanelHeight;
const cvdBaseline = panelY + bottomPanelHeight / 2;
// Delta cluster bar
const deltaVol = cluster.total_delta || 0;
const deltaColor = deltaVol >= 0 ? 'rgba(0, 230, 118, 0.7)' : 'rgba(255, 23, 68, 0.7)';
ctx.fillStyle = deltaColor;
// Scale: 1000 volume = 20px
const scaleFactor = 30 / 1000;
const barH = Math.min(Math.abs(deltaVol) * scaleFactor, bottomPanelHeight / 2 - 5);
const startY = deltaVol >= 0 ? cvdBaseline - barH : cvdBaseline;
ctx.fillRect(colX + 5, startY, colWidth - 10, barH);
// CVD line (Cumulative Delta)
ctx.fillStyle = cumulativeDelta >= 0 ? '#00E676' : '#FF1744';
ctx.font = '10px JetBrains Mono, monospace';
ctx.fillText(`CVD: ${cumulativeDelta.toFixed(0)}`, colX + colWidth / 2, panelY + 15);
// Bottom Panel — two rows: Volume (top) + Delta (bottom)
const panelY = height - bottomPanelH;
// --- Volume row ---
const totalVol = cluster.total_volume || 0;
const volBarMaxH = volRowH - 16;
const volBarH = Math.max(3, (totalVol / maxClusterVolume) * volBarMaxH);
const volBarColor = (cluster.total_delta || 0) >= 0 ? 'rgba(30, 80, 150, 0.9)' : 'rgba(110, 30, 50, 0.9)';
ctx.fillStyle = volBarColor;
ctx.fillRect(colX + 2, panelY + volRowH - volBarH, colWidth - 4, volBarH);
// Volume label above the bar
const volLabel = totalVol >= 1000 ? (totalVol / 1000).toFixed(1) + 'K' : totalVol.toFixed(0);
ctx.fillStyle = '#CBD5E1';
ctx.font = 'bold 12px JetBrains Mono, monospace';
ctx.textAlign = 'center';
ctx.textBaseline = 'bottom';
ctx.fillText(volLabel, colX + colWidth / 2, panelY + volRowH - volBarH - 2);
// --- Delta row ---
const delta = cluster.total_delta || 0;
ctx.fillStyle = delta >= 0 ? '#1565C0' : '#C84B00';
ctx.fillRect(colX + 1, panelY + volRowH + 1, colWidth - 2, deltaRowH - 2);
ctx.fillStyle = '#FFFFFF';
ctx.font = 'bold 12px JetBrains Mono, monospace';
ctx.textAlign = 'center';
ctx.textBaseline = 'middle';
ctx.fillText(delta.toFixed(0), colX + colWidth / 2, panelY + volRowH + deltaRowH / 2);
// Timestamp on X axis
if (cluster.open_time) {
const timeStr = new Date(cluster.open_time).toLocaleTimeString([], { hour: '2-digit', minute: '2-digit', second: '2-digit' });
ctx.fillStyle = '#FFFFFF';
ctx.font = '9px JetBrains Mono, monospace';
ctx.textAlign = 'center';
ctx.textBaseline = 'top';
ctx.fillText(timeStr, colX + colWidth / 2, height - 14);
}
});
@@ -534,6 +524,36 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
ctx.fillText('VOL PROFILE', volProfileWidth / 2, 20);
}
// Current Price Line (latest close_price from active cluster)
const currentPrice = latestCluster.close_price;
if (currentPrice) {
const priceY = getPriceY(currentPrice);
if (priceY >= 0 && priceY <= chartHeight) {
// Horizontal line across chart (skip volume profile area)
ctx.strokeStyle = 'rgba(0, 229, 255, 0.85)';
ctx.lineWidth = 1.5;
ctx.setLineDash([6, 4]);
ctx.beginPath();
ctx.moveTo(volProfileWidth, priceY);
ctx.lineTo(width - axisWidth, priceY);
ctx.stroke();
ctx.setLineDash([]);
// Price tag on axis
const decimals = tickSize < 1 ? Math.max(0, -Math.floor(Math.log10(tickSize))) : 2;
const priceLabel = currentPrice.toFixed(decimals);
const tagH = 18;
const tagW = axisWidth - 4;
ctx.fillStyle = '#00E5FF';
ctx.fillRect(width - axisWidth + 2, priceY - tagH / 2, tagW, tagH);
ctx.fillStyle = '#000';
ctx.font = 'bold 10px JetBrains Mono, monospace';
ctx.textAlign = 'center';
ctx.textBaseline = 'middle';
ctx.fillText(priceLabel, width - axisWidth + 2 + tagW / 2, priceY);
}
}
// Draw Vertical Price Axis (Right Side)
ctx.fillStyle = 'rgba(11, 14, 20, 0.95)';
ctx.fillRect(width - axisWidth, 0, axisWidth, chartHeight);
@@ -575,34 +595,6 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
ctx.fillText(`${roundedPrice.toFixed(decimals)}`, width - axisWidth + 8, labelY);
}
// Bottom Panel separator
const panelY = height - bottomPanelHeight;
ctx.fillStyle = '#111827';
ctx.fillRect(0, panelY, width, bottomPanelHeight);
ctx.strokeStyle = '#1E293B';
ctx.lineWidth = 2;
ctx.beginPath();
ctx.moveTo(0, panelY);
ctx.lineTo(width, panelY);
ctx.stroke();
// Draw CVD zero line
const cvdBaseline = panelY + bottomPanelHeight / 2;
ctx.strokeStyle = 'rgba(255, 255, 255, 0.1)';
ctx.lineWidth = 1;
ctx.setLineDash([5, 5]);
ctx.beginPath();
ctx.moveTo(0, cvdBaseline);
ctx.lineTo(width, cvdBaseline);
ctx.stroke();
ctx.setLineDash([]);
// CVD Label
ctx.fillStyle = '#94A3B8';
ctx.font = '12px Outfit, sans-serif';
ctx.textAlign = 'right';
ctx.fillText('CVD / Delta', width - 20, panelY + 20);
}, [clusters, scrollOffset]);
@@ -611,21 +603,68 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
const rect = canvasRef.current.getBoundingClientRect();
const x = e.clientX - rect.left;
const y = e.clientY - rect.top;
// Clicking on price axis → enter scale drag mode
if (x > rect.width - axisWidth) {
isDraggingAxis.current = true;
axisDragStartY.current = y;
axisDragStartStep.current = stepMultiplier;
setCursor('ns-resize');
return;
}
// Clicking on time axis (bottom panel) → horizontal zoom drag
const chartH = rect.height - 100;
if (y > chartH) {
isDraggingTimeAxis.current = true;
timeAxisDragStartX.current = x;
timeAxisDragStartZoom.current = zoom;
setCursor('ew-resize');
return;
}
setIsDragging(true);
dragStart.current = { x, y };
dragOffsetStart.current = { ...scrollOffset };
setCursor('grabbing');
};
const handleMouseMove = (e) => {
if (!isDragging) return;
const rect = canvasRef.current.getBoundingClientRect();
const x = e.clientX - rect.left;
const y = e.clientY - rect.top;
// Cursor hover logic
if (!isDragging && !isDraggingAxis.current && !isDraggingTimeAxis.current) {
const chartH = rect.height - 100;
if (x > rect.width - axisWidth) setCursor('ns-resize');
else if (y > chartH) setCursor('ew-resize');
else setCursor('grab');
}
// Price axis drag → adjust stepMultiplier
if (isDraggingAxis.current && onStepChange) {
const dy = axisDragStartY.current - y;
const sensitivity = 4;
const newStep = Math.max(25, Math.round((axisDragStartStep.current + dy * sensitivity) / 25) * 25);
onStepChange(newStep);
return;
}
// Time axis drag → adjust horizontal zoom
if (isDraggingTimeAxis.current) {
const dx = x - timeAxisDragStartX.current;
const sensitivity = 0.005;
const newZoom = Math.max(0.1, Math.min(3.0, timeAxisDragStartZoom.current + dx * sensitivity));
setZoom(newZoom);
return;
}
if (!isDragging) return;
const dx = x - dragStart.current.x;
const dy = y - dragStart.current.y;
setScrollOffset({
x: dragOffsetStart.current.x + dx,
y: dragOffsetStart.current.y + dy
@@ -634,6 +673,9 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
const handleMouseUp = () => {
setIsDragging(false);
isDraggingAxis.current = false;
isDraggingTimeAxis.current = false;
setCursor('grab');
};
// Wheel interaction for scrolling and zooming
@@ -656,7 +698,7 @@ export default function FootprintCanvas({ clusters, tickSize = 1.0, stepMultipli
};
return (
<div className="relative w-full h-full cursor-grab active:cursor-grabbing select-none overflow-hidden rounded-xl border border-slate-800 bg-darkBg shadow-2xl">
<div className="relative w-full h-full select-none overflow-hidden rounded-xl border border-slate-800 bg-darkBg shadow-2xl" style={{ cursor }}>
<canvas
ref={canvasRef}
className="w-full h-full block"
+5
View File
@@ -22,10 +22,15 @@ class AlertEngine {
processClusters(clusters, pushToast) {
if (!clusters || clusters.length === 0) return;
const fiveMinutesAgo = Date.now() - 5 * 60 * 1000;
clusters.forEach(cluster => {
// Only alert on closed clusters that we haven't processed yet
if (cluster.status === 'closed' && cluster.open_time && !this.processedClusters.has(cluster.open_time)) {
this.processedClusters.add(cluster.open_time);
// Skip historical clusters — only alert for recent data
if (cluster.open_time < fiveMinutesAgo) return;
const adv = cluster.advanced_metrics;
if (!adv) return;