Factor out ws msg hearbeat and error handling
Move the core ws message handling into `stream_messages()` and call that from 2 new stream processors: `process_data_feed_msgs()` and `process_order_msgs()`. Add comments for hints on how to implement the order msg parsing as well as `pprint` received msgs to console for now.kraken_orders
Tyler Goodlet
Konstantine Tsafatinos
parent
0c905920e2
commit
0122669dd4
|
|
@ -40,17 +40,17 @@ from .._cacheables import open_cached_client
|
|||
from ._util import resproc, SymbolNotFound, BrokerError
|
||||
from ..log import get_logger, get_console_log
|
||||
from ..data import ShmArray
|
||||
from ..data._web_bs import open_autorecon_ws
|
||||
from ..data._web_bs import open_autorecon_ws, NoBsWs
|
||||
from ..clearing._messages import (
|
||||
BrokerdPosition, BrokerdOrder, BrokerdStatus,
|
||||
BrokerdOrderAck, BrokerdError, BrokerdCancel, BrokerdFill
|
||||
BrokerdOrderAck, BrokerdError, BrokerdCancel,
|
||||
BrokerdFill,
|
||||
)
|
||||
|
||||
import urllib.parse
|
||||
import hashlib
|
||||
import hmac
|
||||
import base64
|
||||
import pandas as pd
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
@ -686,76 +686,27 @@ async def trades_dialogue(
|
|||
):
|
||||
## TODO: maybe add multiple accounts
|
||||
n.start_soon(handle_order_requests, client, ems_stream)
|
||||
|
||||
async with open_autorecon_ws(
|
||||
'wss://ws-auth.kraken.com/',
|
||||
fixture=subscribe,
|
||||
token=token,
|
||||
) as ws:
|
||||
|
||||
while True:
|
||||
with trio.move_on_after(5) as cs:
|
||||
msg = await ws.recv_msg()
|
||||
print(msg)
|
||||
|
||||
## pull a first quote and deliver
|
||||
#msg_gen = stream_messages(ws)
|
||||
|
||||
## TODO: use ``anext()`` when it lands in 3.10!
|
||||
#typ, ohlc_last = await msg_gen.__anext__()
|
||||
|
||||
#topic, quote = normalize(ohlc_last)
|
||||
|
||||
#first_quote = {topic: quote}
|
||||
#task_status.started((init_msgs, first_quote))
|
||||
|
||||
## lol, only "closes" when they're margin squeezing clients ;P
|
||||
#feed_is_live.set()
|
||||
|
||||
## keep start of last interval for volume tracking
|
||||
#last_interval_start = ohlc_last.etime
|
||||
|
||||
## start streaming
|
||||
#async for typ, ohlc in msg_gen:
|
||||
|
||||
# if typ == 'ohlc':
|
||||
|
||||
# # TODO: can get rid of all this by using
|
||||
# # ``trades`` subscription...
|
||||
|
||||
# # generate tick values to match time & sales pane:
|
||||
# # https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
|
||||
# volume = ohlc.volume
|
||||
|
||||
# # new OHLC sample interval
|
||||
# if ohlc.etime > last_interval_start:
|
||||
# last_interval_start = ohlc.etime
|
||||
# tick_volume = volume
|
||||
|
||||
# else:
|
||||
# # this is the tick volume *within the interval*
|
||||
# tick_volume = volume - ohlc_last.volume
|
||||
|
||||
# ohlc_last = ohlc
|
||||
# last = ohlc.close
|
||||
|
||||
# if tick_volume:
|
||||
# ohlc.ticks.append({
|
||||
# 'type': 'trade',
|
||||
# 'price': last,
|
||||
# 'size': tick_volume,
|
||||
# })
|
||||
|
||||
# topic, quote = normalize(ohlc)
|
||||
|
||||
# elif typ == 'l1':
|
||||
# quote = ohlc
|
||||
# topic = quote['symbol'].lower()
|
||||
|
||||
# await send_chan.send({topic: quote})
|
||||
from pprint import pprint
|
||||
async for msg in process_order_msgs(ws):
|
||||
pprint(msg)
|
||||
|
||||
|
||||
async def stream_messages(ws):
|
||||
async def stream_messages(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Message stream parser and heartbeat handler.
|
||||
|
||||
Deliver ws subscription messages as well as handle heartbeat logic
|
||||
though a single async generator.
|
||||
|
||||
'''
|
||||
too_slow_count = last_hb = 0
|
||||
|
||||
while True:
|
||||
|
|
@ -793,39 +744,76 @@ async def stream_messages(ws):
|
|||
if err:
|
||||
raise BrokerError(err)
|
||||
else:
|
||||
chan_id, *payload_array, chan_name, pair = msg
|
||||
yield msg
|
||||
|
||||
if 'ohlc' in chan_name:
|
||||
|
||||
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
||||
async def process_data_feed_msgs(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Parse and pack data feed messages.
|
||||
|
||||
elif 'spread' in chan_name:
|
||||
'''
|
||||
async for msg in stream_messages(ws):
|
||||
|
||||
bid, ask, ts, bsize, asize = map(float, payload_array[0])
|
||||
chan_id, *payload_array, chan_name, pair = msg
|
||||
|
||||
# TODO: really makes you think IB has a horrible API...
|
||||
quote = {
|
||||
'symbol': pair.replace('/', ''),
|
||||
'ticks': [
|
||||
{'type': 'bid', 'price': bid, 'size': bsize},
|
||||
{'type': 'bsize', 'price': bid, 'size': bsize},
|
||||
if 'ohlc' in chan_name:
|
||||
|
||||
{'type': 'ask', 'price': ask, 'size': asize},
|
||||
{'type': 'asize', 'price': ask, 'size': asize},
|
||||
],
|
||||
}
|
||||
yield 'l1', quote
|
||||
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
||||
|
||||
# elif 'book' in msg[-2]:
|
||||
# chan_id, *payload_array, chan_name, pair = msg
|
||||
# print(msg)
|
||||
elif 'spread' in chan_name:
|
||||
|
||||
else:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
bid, ask, ts, bsize, asize = map(float, payload_array[0])
|
||||
|
||||
# TODO: really makes you think IB has a horrible API...
|
||||
quote = {
|
||||
'symbol': pair.replace('/', ''),
|
||||
'ticks': [
|
||||
{'type': 'bid', 'price': bid, 'size': bsize},
|
||||
{'type': 'bsize', 'price': bid, 'size': bsize},
|
||||
|
||||
{'type': 'ask', 'price': ask, 'size': asize},
|
||||
{'type': 'asize', 'price': ask, 'size': asize},
|
||||
],
|
||||
}
|
||||
yield 'l1', quote
|
||||
|
||||
# elif 'book' in msg[-2]:
|
||||
# chan_id, *payload_array, chan_name, pair = msg
|
||||
# print(msg)
|
||||
|
||||
else:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
yield msg
|
||||
|
||||
|
||||
async def process_order_msgs(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Parse and pack data feed messages.
|
||||
|
||||
'''
|
||||
async for msg in stream_messages(ws):
|
||||
|
||||
# TODO: write your order event parser here!
|
||||
# HINT: create a ``pydantic.BaseModel`` to parse and validate
|
||||
# and then in the caller recast to our native ``BrokerdX`` msg types.
|
||||
|
||||
# form of order msgs:
|
||||
# [{'OIZACU-HB2JZ-YA2QEF': {'lastupdated': '1644595511.768544',
|
||||
# 'status': 'canceled', 'vol_exec': '0.00000000', 'cost':
|
||||
# '0.00000000', 'fee': '0.00000000', 'avg_price':
|
||||
# '0.00000000', 'userref': 1, 'cancel_reason': 'User
|
||||
# requested'}}], 'openOrders', {'sequence': 4}]
|
||||
|
||||
yield msg
|
||||
|
||||
|
||||
def normalize(
|
||||
ohlc: OHLC,
|
||||
|
||||
) -> dict:
|
||||
quote = asdict(ohlc)
|
||||
quote['broker_ts'] = quote['time']
|
||||
|
|
@ -966,13 +954,14 @@ async def stream_quotes(
|
|||
|
||||
# see the tips on reconnection logic:
|
||||
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
||||
ws: NoBsWs
|
||||
async with open_autorecon_ws(
|
||||
'wss://ws.kraken.com/',
|
||||
fixture=subscribe,
|
||||
) as ws:
|
||||
|
||||
# pull a first quote and deliver
|
||||
msg_gen = stream_messages(ws)
|
||||
msg_gen = process_data_feed_msgs(ws)
|
||||
|
||||
# TODO: use ``anext()`` when it lands in 3.10!
|
||||
typ, ohlc_last = await msg_gen.__anext__()
|
||||
|
|
@ -1031,6 +1020,7 @@ async def stream_quotes(
|
|||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> Client:
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue