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`kraken`: heh, use `trio_util` for trades streamz tooo XD

rekt_pps
Tyler Goodlet 2023-03-22 19:15:13 -04:00
parent c59ec77d9c
commit 59b095b2d5
2 changed files with 52 additions and 53 deletions
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5
piker/brokers/kraken/broker.py
View File

@ -34,7 +34,6 @@ from typing import (
Union,
)
from async_generator import aclosing
from bidict import bidict
import pendulum
import trio
@ -672,11 +671,9 @@ async def trades_dialogue(
token=token,
),
) as ws,
aclosing(stream_messages(ws)) as stream,
stream_messages(ws) as stream,
trio.open_nursery() as nurse,
):
stream = stream_messages(ws)
# task for processing inbound requests from ems
nurse.start_soon(
handle_order_requests,

100
piker/brokers/kraken/feed.py
View File

@ -78,6 +78,7 @@ class OHLC(Struct):
ticks: list[Any] = []
@trio_async_generator
async def stream_messages(
ws: NoBsWs,
):
@ -133,63 +134,64 @@ async def process_data_feed_msgs(
Parse and pack data feed messages.
'''
async for msg in stream_messages(ws):
match msg:
case {
'errorMessage': errmsg
}:
raise BrokerError(errmsg)
async with stream_messages(ws) as ws_stream:
async for msg in ws_stream:
match msg:
case {
'errorMessage': errmsg
}:
raise BrokerError(errmsg)
case {
'event': 'subscriptionStatus',
} as sub:
log.info(
'WS subscription is active:\n'
f'{sub}'
)
continue
case [
chan_id,
*payload_array,
chan_name,
pair
]:
if 'ohlc' in chan_name:
ohlc = OHLC(
chan_id,
chan_name,
pair,
*payload_array[0]
case {
'event': 'subscriptionStatus',
} as sub:
log.info(
'WS subscription is active:\n'
f'{sub}'
)
ohlc.typecast()
yield 'ohlc', ohlc
continue
elif 'spread' in chan_name:
case [
chan_id,
*payload_array,
chan_name,
pair
]:
if 'ohlc' in chan_name:
ohlc = OHLC(
chan_id,
chan_name,
pair,
*payload_array[0]
)
ohlc.typecast()
yield 'ohlc', ohlc
bid, ask, ts, bsize, asize = map(
float, payload_array[0])
elif 'spread' in chan_name:
# 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},
bid, ask, ts, bsize, asize = map(
float, payload_array[0])
{'type': 'ask', 'price': ask, 'size': asize},
{'type': 'asize', 'price': ask, 'size': asize},
],
}
yield 'l1', quote
# 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},
# elif 'book' in msg[-2]:
# chan_id, *payload_array, chan_name, pair = msg
# print(msg)
{'type': 'ask', 'price': ask, 'size': asize},
{'type': 'asize', 'price': ask, 'size': asize},
],
}
yield 'l1', quote
case _:
print(f'UNHANDLED MSG: {msg}')
# yield msg
# elif 'book' in msg[-2]:
# chan_id, *payload_array, chan_name, pair = msg
# print(msg)
case _:
print(f'UNHANDLED MSG: {msg}')
# yield msg
def normalize(