Add L1 data feed and correct history issue
parent
79956abc5e
commit
480b8c591a
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@ -1,4 +1,3 @@
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# piker: trading gear for hackers
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# Copyright (C) Jared Goldman (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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@ -127,19 +126,29 @@ class KucoinTrade(Struct, frozen=True):
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time: float
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class KucoinL2(Struct, frozen=True):
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'''
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Real-time L2 order book format
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'''
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asks: list[list[float]]
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bids: list[list[float]]
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timestamp: float
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class KucoinMsg(Struct, frozen=True):
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type: str
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topic: str
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subject: str
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data: list[KucoinTrade | KucoinL2]
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class BrokerConfig(Struct, frozen=True):
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key_id: str
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key_secret: str
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key_passphrase: str
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class KucoinTradeMsg(Struct, frozen=True):
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type: str
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topic: str
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subject: str
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data: list[KucoinTrade]
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def get_config() -> BrokerConfig | None:
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conf, path = config.load()
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@ -182,6 +191,7 @@ class Client:
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https://docs.kucoin.com/#authentication
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'''
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breakpoint()
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now = int(time.time() * 1000)
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path = f"/api/{api_v}{endpoint}"
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str_to_sign = str(now) + action + path
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@ -327,22 +337,22 @@ class Client:
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'''
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# Generate generic end and start time if values not passed
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# Currently gives us 12hrs of data
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if end_dt is None:
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end_dt = pendulum.now("UTC").add(minutes=1)
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if start_dt is None:
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start_dt = end_dt.start_of("minute").subtract(minutes=limit)
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# Format datetime to unix timestamp
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start_dt = math.trunc(time.mktime(start_dt.timetuple()))
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end_dt = math.trunc(time.mktime(end_dt.timetuple()))
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start_dt = int(start_dt.timestamp())
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end_dt = int(end_dt.timestamp())
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kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
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url = f"/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}"
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bars = []
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for i in range(10):
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data = await self._request(
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"GET",
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url,
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@ -375,7 +385,7 @@ class Client:
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}
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row = []
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for j, (field_name, field_type) in enumerate(_ohlc_dtype):
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for _, (field_name, field_type) in enumerate(_ohlc_dtype):
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value = data[field_name]
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@ -383,16 +393,21 @@ class Client:
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case "index":
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row.append(int(value))
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case "time":
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# row.append(int(value) + (3600 * 4))
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row.append(value)
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case _:
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row.append(float(value))
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new_bars.append(tuple(row))
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self._bars = array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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return array
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def kucoin_timestamp(dt: datetime):
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return math.trunc(time.mktime(dt.timetuple()))
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def fqsn_to_kucoin_sym(
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fqsn: str,
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pairs: dict[str, KucoinMktPair]
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@ -474,8 +489,8 @@ async def stream_quotes(
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@acm
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async def open_ping_task(ws: wsproto.WSConnection):
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'''
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Spawn a non-blocking task that pings the ws
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server every ping_interval so Kucoin doesn't drop
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Spawn a non-blocking task that pings the ws
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server every ping_interval so Kucoin doesn't drop
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our connection
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'''
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@ -496,7 +511,9 @@ async def stream_quotes(
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async with open_ping_task(ws) as ws:
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# subscribe to market feedz here
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log.info(f'Subscribing to {kucoin_sym} feed')
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l1_sub = make_sub(kucoin_sym, connect_id)
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trade_sub = make_sub(kucoin_sym, connect_id, level='l3')
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l1_sub = make_sub(kucoin_sym, connect_id, level='l1')
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await ws.send_msg(trade_sub)
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await ws.send_msg(l1_sub)
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yield
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@ -520,7 +537,7 @@ async def stream_quotes(
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) as ws:
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msg_gen = stream_messages(ws, sym)
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typ, quote = await msg_gen.__anext__()
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#
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while typ != "trade":
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# TODO: use ``anext()`` when it lands in 3.10!
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typ, quote = await msg_gen.__anext__()
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@ -532,14 +549,26 @@ async def stream_quotes(
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await send_chan.send({sym: msg})
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def make_sub(sym, connect_id) -> dict[str, str | bool]:
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return {
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"id": connect_id,
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"type": "subscribe",
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"topic": f"/market/ticker:{sym}",
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"privateChannel": False,
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"response": True,
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}
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def make_sub(sym, connect_id, level='l1') -> dict[str, str | bool]:
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match level:
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case 'l1':
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return {
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"id": connect_id,
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"type": "subscribe",
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"topic": f"/spotMarket/level2Depth5:{sym}",
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"privateChannel": False,
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"response": True,
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}
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case 'l3':
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return {
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"id": connect_id,
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"type": "subscribe",
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"topic": f"/market/ticker:{sym}",
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"privateChannel": False,
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"response": True,
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}
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case _:
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return {}
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async def stream_messages(
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@ -560,28 +589,43 @@ async def stream_messages(
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continue
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if "subject" in msg and msg["subject"] == "trade.ticker":
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if msg.get("subject") != None:
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trade_msg = KucoinTradeMsg(**msg)
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trade_data = KucoinTrade(**trade_msg.data)
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msg = KucoinMsg(**msg)
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yield "trade", {
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"symbol": sym,
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"last": trade_data.price,
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"brokerd_ts": trade_data.time,
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"ticks": [
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{
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"type": "trade",
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"price": float(trade_data.price),
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"size": float(trade_data.size),
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"broker_ts": trade_data.time,
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match msg.subject:
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case "trade.ticker":
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trade_data = KucoinTrade(**msg.data)
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yield "trade", {
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"symbol": sym,
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"last": trade_data.price,
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"brokerd_ts": trade_data.time,
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"ticks": [
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{
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"type": "trade",
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"price": float(trade_data.price),
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"size": float(trade_data.size),
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"broker_ts": trade_data.time,
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}
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],
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}
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],
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}
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else:
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continue
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case "level2":
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l2_data = KucoinL2(**msg.data)
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ticks = []
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for trade in l2_data.bids:
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tick = {'type': 'bid', 'price': float(trade[0]), 'size': float(trade[1])}
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ticks.append(tick)
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for trade in l2_data.asks:
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tick = {'type': 'ask', 'price': float(trade[0]), 'size': float(trade[1])}
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ticks.append(tick)
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yield 'l1', {
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'symbol': sym,
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'ticks': ticks,
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}
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@acm
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async def open_history_client(
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@ -609,7 +653,6 @@ async def open_history_client(
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)
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times = array["time"]
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if end_dt is None:
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inow = round(time.time())
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@ -620,10 +663,13 @@ async def open_history_client(
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if (inow - times[-1]) > 60:
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await tractor.breakpoint()
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start_dt = pendulum.from_timestamp(times[0])
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end_dt = pendulum.from_timestamp(times[-1])
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log.info('History succesfully fetched baby')
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# breakpoint()
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# print(f'OUTPUTTED END TIME: {time.ctime(kucoin_timestamp(end_dt))}')
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# print(f'OUTPUTTED START TIME: {time.ctime(kucoin_timestamp(start_dt))}')
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# print(f'DIFFERENCE IN MINUTES {(end_dt - start_dt).in_minutes()}')
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return array, start_dt, end_dt
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yield get_ohlc_history, {"erlangs": 3, "rate": 3}
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yield get_ohlc_history, {}
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