Got rid of websocket OHLC API, and added l1 tick streaming
Guillermo Rodriguez
parent
7e493625f6
commit
604e195bc0
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@ -55,28 +55,6 @@ log = get_logger(__name__)
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_url = 'https://api.binance.com'
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# Broker specific ohlc schema (websocket)
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_websocket_ohlc_dtype = [
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('index', int),
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('time', int),
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('close_time', int),
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('symbol', str),
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('interval', str),
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('first_trade_id', int),
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('last_trade_id', int),
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('open', float),
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('close', float),
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('high', float),
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('low', float),
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('volume', float),
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('num_trades', int),
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('closed', bool),
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('quote_asset_volume', float),
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('taker_buy_base_asset_volume', float),
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('taker_buy_quote_asset_volume', float),
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('ignore', int)
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]
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# Broker specific ohlc schema (rest)
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_ohlc_dtype = [
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('index', int),
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@ -150,6 +128,8 @@ class OHLC:
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buy_base_vol: float
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buy_quote_vol: float
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ignore: int
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# (sampled) generated tick data
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ticks: List[Any] = field(default_factory=list)
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# convert arrow timestamp to unixtime in miliseconds
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@ -235,30 +215,29 @@ async def get_client() -> Client:
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async def stream_messages(ws):
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too_slow_count = last_hb = 0
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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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if msg.get('e') == 'kline':
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# for l1 streams binance doesn't add an event type field so
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# identify those messages by matching keys
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if list(msg.keys()) == ['u', 's', 'b', 'B', 'a', 'A']:
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sym = msg['s']
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bid = float(msg['b'])
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bsize = float(msg['B'])
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ask = float(msg['a'])
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asize = float(msg['A'])
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yield 'ohlc', OHLC(*msg['k'].values())
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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['start_time']
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quote['brokerd_ts'] = time.time()
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quote['last'] = quote['close']
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quote['time'] = quote['start_time']
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# print(quote)
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return ohlc.symbol, quote
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yield 'l1', {
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'symbol': sym,
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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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def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
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@ -389,10 +368,6 @@ async def stream_quotes(
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task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
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) -> None:
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"""Subscribe for ohlc stream of quotes for ``pairs``.
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``pairs`` must be formatted <crypto_symbol><fiat_symbol>.
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"""
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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@ -421,14 +396,9 @@ async def stream_quotes(
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async with open_autorecon_ws('wss://stream.binance.com/ws') as ws:
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# XXX: setup subs
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ohlc_sub = make_sub(symbols, 'kline_1m', uid)
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uid += 1
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await ws.send_msg(ohlc_sub)
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res = await ws.recv_msg()
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# trade data (aka L1)
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l1_sub = make_sub(symbols, 'trade', uid)
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l1_sub = make_sub(symbols, 'bookTicker', uid)
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uid += 1
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await ws.send_msg(l1_sub)
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@ -438,56 +408,18 @@ async def stream_quotes(
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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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typ, tick = 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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first_quote = {tick['symbol']: tick}
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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.end_time
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# start streaming
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async for typ, ohlc in msg_gen:
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...
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# if typ == 'ohlc':
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async for typ, msg in msg_gen:
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# # TODO: can get rid of all this by using
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# # ``trades`` subscription...
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if typ == 'l1':
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topic = msg['symbol']
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quote = msg
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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']
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# # XXX: format required by ``tractor.msg.pub``
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# # requires a ``Dict[topic: str, quote: dict]``
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# await send_chan.send({topic: quote})
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await send_chan.send({topic: quote})
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