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_gb
Tyler Goodlet
parent
37df05c260
commit
30fdf550d7
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@ -40,17 +40,17 @@ from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound, BrokerError
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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from ..clearing._messages import (
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BrokerdPosition, BrokerdOrder, BrokerdStatus,
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BrokerdOrderAck, BrokerdError, BrokerdCancel, BrokerdFill
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BrokerdOrderAck, BrokerdError, BrokerdCancel,
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BrokerdFill,
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)
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import urllib.parse
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import hashlib
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import hmac
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import base64
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import pandas as pd
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log = get_logger(__name__)
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@ -157,7 +157,7 @@ def get_config() -> dict[str, Any]:
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def get_kraken_signature(
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urlpath: str,
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data: Dict[str, Any],
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data: Dict[str, Any],
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secret: str
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) -> str:
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postdata = urllib.parse.urlencode(data)
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@ -171,9 +171,9 @@ def get_kraken_signature(
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class InvalidKey(ValueError):
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"""EAPI:Invalid key
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This error is returned when the API key used for the call is
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either expired or disabled, please review the API key in your
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Settings -> API tab of account management or generate a new one
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This error is returned when the API key used for the call is
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either expired or disabled, please review the API key in your
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Settings -> API tab of account management or generate a new one
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and update your application."""
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@ -686,76 +686,27 @@ async def trades_dialogue(
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):
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## TODO: maybe add multiple accounts
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n.start_soon(handle_order_requests, client, ems_stream)
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async with open_autorecon_ws(
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'wss://ws-auth.kraken.com/',
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fixture=subscribe,
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token=token,
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) as ws:
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while True:
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with trio.move_on_after(5) as cs:
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msg = await ws.recv_msg()
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print(msg)
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## pull a first quote and deliver
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#msg_gen = stream_messages(ws)
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## TODO: use ``anext()`` when it lands in 3.10!
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#typ, ohlc_last = await msg_gen.__anext__()
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#topic, quote = normalize(ohlc_last)
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#first_quote = {topic: quote}
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#task_status.started((init_msgs, first_quote))
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## lol, only "closes" when they're margin squeezing clients ;P
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#feed_is_live.set()
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## keep start of last interval for volume tracking
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#last_interval_start = ohlc_last.etime
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## start streaming
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#async for typ, ohlc in msg_gen:
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# if typ == 'ohlc':
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# # TODO: can get rid of all this by using
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# # ``trades`` subscription...
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# # generate tick values to match time & sales pane:
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# # https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
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# volume = ohlc.volume
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# # new OHLC sample interval
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# if ohlc.etime > last_interval_start:
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# last_interval_start = ohlc.etime
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# tick_volume = volume
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# else:
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# # this is the tick volume *within the interval*
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# tick_volume = volume - ohlc_last.volume
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# ohlc_last = ohlc
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# last = ohlc.close
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# if tick_volume:
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# ohlc.ticks.append({
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# 'type': 'trade',
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# 'price': last,
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# 'size': tick_volume,
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# })
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# topic, quote = normalize(ohlc)
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# elif typ == 'l1':
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# quote = ohlc
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# topic = quote['symbol'].lower()
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# await send_chan.send({topic: quote})
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from pprint import pprint
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async for msg in process_order_msgs(ws):
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pprint(msg)
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async def stream_messages(ws):
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async def stream_messages(
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ws: NoBsWs,
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):
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'''
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Message stream parser and heartbeat handler.
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Deliver ws subscription messages as well as handle heartbeat logic
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though a single async generator.
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'''
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too_slow_count = last_hb = 0
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while True:
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@ -793,39 +744,76 @@ async def stream_messages(ws):
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if err:
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raise BrokerError(err)
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else:
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chan_id, *payload_array, chan_name, pair = msg
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yield msg
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if 'ohlc' in chan_name:
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yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
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async def process_data_feed_msgs(
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ws: NoBsWs,
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):
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'''
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Parse and pack data feed messages.
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elif 'spread' in chan_name:
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'''
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async for msg in stream_messages(ws):
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bid, ask, ts, bsize, asize = map(float, payload_array[0])
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chan_id, *payload_array, chan_name, pair = msg
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# TODO: really makes you think IB has a horrible API...
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quote = {
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'symbol': pair.replace('/', ''),
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'ticks': [
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{'type': 'bid', 'price': bid, 'size': bsize},
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{'type': 'bsize', 'price': bid, 'size': bsize},
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if 'ohlc' in chan_name:
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{'type': 'ask', 'price': ask, 'size': asize},
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{'type': 'asize', 'price': ask, 'size': asize},
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],
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}
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yield 'l1', quote
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yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
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# elif 'book' in msg[-2]:
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# chan_id, *payload_array, chan_name, pair = msg
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# print(msg)
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elif 'spread' in chan_name:
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else:
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print(f'UNHANDLED MSG: {msg}')
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bid, ask, ts, bsize, asize = map(float, payload_array[0])
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# TODO: really makes you think IB has a horrible API...
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quote = {
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'symbol': pair.replace('/', ''),
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'ticks': [
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{'type': 'bid', 'price': bid, 'size': bsize},
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{'type': 'bsize', 'price': bid, 'size': bsize},
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{'type': 'ask', 'price': ask, 'size': asize},
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{'type': 'asize', 'price': ask, 'size': asize},
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],
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}
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yield 'l1', quote
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# elif 'book' in msg[-2]:
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# chan_id, *payload_array, chan_name, pair = msg
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# print(msg)
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else:
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print(f'UNHANDLED MSG: {msg}')
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yield msg
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async def process_order_msgs(
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ws: NoBsWs,
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):
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'''
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Parse and pack data feed messages.
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'''
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async for msg in stream_messages(ws):
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# TODO: write your order event parser here!
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# HINT: create a ``pydantic.BaseModel`` to parse and validate
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# and then in the caller recast to our native ``BrokerdX`` msg types.
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# form of order msgs:
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# [{'OIZACU-HB2JZ-YA2QEF': {'lastupdated': '1644595511.768544',
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# 'status': 'canceled', 'vol_exec': '0.00000000', 'cost':
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# '0.00000000', 'fee': '0.00000000', 'avg_price':
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# '0.00000000', 'userref': 1, 'cancel_reason': 'User
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# requested'}}], 'openOrders', {'sequence': 4}]
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yield msg
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def normalize(
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ohlc: OHLC,
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) -> dict:
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quote = asdict(ohlc)
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quote['broker_ts'] = quote['time']
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@ -967,13 +955,14 @@ async def stream_quotes(
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# see the tips on reconnection logic:
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# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
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ws: NoBsWs
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async with open_autorecon_ws(
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'wss://ws.kraken.com/',
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fixture=subscribe,
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) as ws:
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# pull a first quote and deliver
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msg_gen = stream_messages(ws)
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msg_gen = process_data_feed_msgs(ws)
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# TODO: use ``anext()`` when it lands in 3.10!
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typ, ohlc_last = await msg_gen.__anext__()
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@ -1032,6 +1021,7 @@ async def stream_quotes(
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@tractor.context
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async def open_symbol_search(
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ctx: tractor.Context,
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) -> Client:
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async with open_cached_client('kraken') as client:
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