Convert to stream, parse into dataclass

piker/brokers/kraken.py

@@ -1,32 +1,33 @@
 """
 Kraken backend.
 """
+from dataclasses import dataclass, asdict
 from typing import List
 import json
 
-import trio
 import tractor
 from trio_websocket import open_websocket_url
 
 
-if __name__ == '__main__':
+async def stream_quotes(
+    pairs: List[str] = ['BTC/USD', 'XRP/USD'],
+    sub_type: str = 'ohlc',
+) -> None:
+    """Subscribe for ohlc stream of quotes for ``pairs``.
 
-    async def stream_quotes(
-        pairs: List[str] = ['BTC/USD'],
-    ) -> None:
-        """Subscribe ohlc quotes for ``pairs``.
-
-        ``pairs`` must be formatted like `crypto/fiat`.
+    ``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
     """
     async with open_websocket_url(
         'wss://ws.kraken.com',
     ) as ws:
         # setup subs
+        # see: https://docs.kraken.com/websockets/#message-subscribe
         subs = {
-                'event': 'subscribe',
             'pair': pairs,
+            'event': 'subscribe',
             'subscription': {
-                    'name': 'ohlc',
+                'name': sub_type,
+                'interval': 1,  # 1 min
                 # 'name': 'ticker',
                 # 'name': 'openOrders',
                 # 'depth': '25',
@@ -34,11 +35,39 @@ if __name__ == '__main__':
         }
         await ws.send_message(json.dumps(subs))
 
+        async def recv():
+            return json.loads(await ws.get_message())
+
+        @dataclass
+        class OHLC:
+            chan_id: int  # internal kraken id
+            chan_name: str  # eg. ohlc-1  (name-interval)
+            pair: str  # fx pair
+            time: float  # Begin time of interval, in seconds since epoch
+            etime: float  # End time of interval, in seconds since epoch
+            open: float  # Open price of interval
+            high: float  # High price within interval
+            low: float  # Low price within interval
+            close: float  # Close price of interval
+            vwap: float  # Volume weighted average price within interval
+            volume: int  # Accumulated volume within interval
+            count: int  # Number of trades within interval
+
         while True:
-                msg = json.loads(await ws.get_message())
-                if isinstance(msg, dict) and msg.get('event') == 'heartbeat':
+            msg = await recv()
+            if isinstance(msg, dict):
+                if msg.get('event') == 'heartbeat':
                     continue
+            else:
+                chan_id, ohlc_array, chan_name, pair = msg
+                ohlc = OHLC(chan_id, chan_name, pair, *ohlc_array)
+                yield ohlc
 
-                print(msg)
 
-    trio.run(stream_quotes)
+if __name__ == '__main__':
+
+    async def stream_ohlc():
+        async for msg in stream_quotes():
+            print(asdict(msg))
+
+    tractor.run(stream_ohlc)