Convert to stream, parse into dataclass

unleash_the_kraken
Tyler Goodlet 2020-07-05 11:43:58 -04:00
parent 2738b54851
commit 7bccfc7b10
1 changed files with 60 additions and 31 deletions

View File

@ -1,44 +1,73 @@
"""
Kraken backend.
"""
from dataclasses import dataclass, asdict
from typing import List
import json
import trio
import tractor
from trio_websocket import open_websocket_url
async def stream_quotes(
pairs: List[str] = ['BTC/USD', 'XRP/USD'],
sub_type: str = 'ohlc',
) -> None:
"""Subscribe for ohlc stream of quotes for ``pairs``.
``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 = {
'pair': pairs,
'event': 'subscribe',
'subscription': {
'name': sub_type,
'interval': 1, # 1 min
# 'name': 'ticker',
# 'name': 'openOrders',
# 'depth': '25',
},
}
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 = 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
if __name__ == '__main__':
async def stream_quotes(
pairs: List[str] = ['BTC/USD'],
) -> None:
"""Subscribe ohlc quotes for ``pairs``.
async def stream_ohlc():
async for msg in stream_quotes():
print(asdict(msg))
``pairs`` must be formatted like `crypto/fiat`.
"""
async with open_websocket_url(
'wss://ws.kraken.com',
) as ws:
# setup subs
subs = {
'event': 'subscribe',
'pair': pairs,
'subscription': {
'name': 'ohlc',
# 'name': 'ticker',
# 'name': 'openOrders',
# 'depth': '25',
},
}
await ws.send_message(json.dumps(subs))
while True:
msg = json.loads(await ws.get_message())
if isinstance(msg, dict) and msg.get('event') == 'heartbeat':
continue
print(msg)
trio.run(stream_quotes)
tractor.run(stream_ohlc)