pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Use our struct in binance backend

drop_pydantic
Tyler Goodlet 2022-07-06 08:58:07 -04:00
parent f5236f658b
commit 5cc4b19a7c
1 changed files with 11 additions and 7 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

18
piker/brokers/binance.py
View File

@ -34,13 +34,13 @@ from fuzzywuzzy import process as fuzzy
import numpy as np import numpy as np
import tractor import tractor
from pydantic.dataclasses import dataclass from pydantic.dataclasses import dataclass
from pydantic import BaseModel
import wsproto import wsproto
from .._cacheables import open_cached_client from .._cacheables import open_cached_client
from ._util import resproc, SymbolNotFound from ._util import resproc, SymbolNotFound
from ..log import get_logger, get_console_log from ..log import get_logger, get_console_log
from ..data import ShmArray from ..data import ShmArray
from ..data.types import Struct
from ..data._web_bs import open_autorecon_ws, NoBsWs from ..data._web_bs import open_autorecon_ws, NoBsWs
log = get_logger(__name__) log = get_logger(__name__)
@ -79,12 +79,14 @@ _show_wap_in_history = False
# https://binance-docs.github.io/apidocs/spot/en/#exchange-information # https://binance-docs.github.io/apidocs/spot/en/#exchange-information
class Pair(BaseModel): class Pair(Struct, frozen=True):
symbol: str symbol: str
status: str status: str
baseAsset: str baseAsset: str
baseAssetPrecision: int baseAssetPrecision: int
cancelReplaceAllowed: bool
allowTrailingStop: bool
quoteAsset: str quoteAsset: str
quotePrecision: int quotePrecision: int
quoteAssetPrecision: int quoteAssetPrecision: int
@ -287,7 +289,7 @@ async def get_client() -> Client:
# validation type # validation type
class AggTrade(BaseModel): class AggTrade(Struct):
e: str # Event type e: str # Event type
E: int # Event time E: int # Event time
s: str # Symbol s: str # Symbol
@ -341,7 +343,9 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
elif msg.get('e') == 'aggTrade': elif msg.get('e') == 'aggTrade':
# validate # NOTE: this is purely for a definition, ``msgspec.Struct``
# does not runtime-validate until you decode/encode.
# see: https://jcristharif.com/msgspec/structs.html#type-validation
msg = AggTrade(**msg) msg = AggTrade(**msg)
# TODO: type out and require this quote format # TODO: type out and require this quote format
@ -352,8 +356,8 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
'brokerd_ts': time.time(), 'brokerd_ts': time.time(),
'ticks': [{ 'ticks': [{
'type': 'trade', 'type': 'trade',
'price': msg.p, 'price': float(msg.p),
'size': msg.q, 'size': float(msg.q),
'broker_ts': msg.T, 'broker_ts': msg.T,
}], }],
} }
@ -448,7 +452,7 @@ async def stream_quotes(
d = cache[sym.upper()] d = cache[sym.upper()]
syminfo = Pair(**d) # validation syminfo = Pair(**d) # validation
si = sym_infos[sym] = syminfo.dict() si = sym_infos[sym] = syminfo.to_dict()
# XXX: after manually inspecting the response format we # XXX: after manually inspecting the response format we
# just directly pick out the info we need # just directly pick out the info we need