Convert to stream, parse into dataclass
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2738b54851
commit
7bccfc7b10
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@ -1,44 +1,73 @@
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"""
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Kraken backend.
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"""
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from dataclasses import dataclass, asdict
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from typing import List
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import json
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import trio
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import tractor
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from trio_websocket import open_websocket_url
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async def stream_quotes(
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pairs: List[str] = ['BTC/USD', 'XRP/USD'],
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sub_type: str = 'ohlc',
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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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async with open_websocket_url(
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'wss://ws.kraken.com',
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) as ws:
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# setup subs
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# see: https://docs.kraken.com/websockets/#message-subscribe
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subs = {
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'pair': pairs,
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'event': 'subscribe',
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'subscription': {
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'name': sub_type,
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'interval': 1, # 1 min
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# 'name': 'ticker',
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# 'name': 'openOrders',
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# 'depth': '25',
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},
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}
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await ws.send_message(json.dumps(subs))
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async def recv():
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return json.loads(await ws.get_message())
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@dataclass
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class OHLC:
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chan_id: int # internal kraken id
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chan_name: str # eg. ohlc-1 (name-interval)
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pair: str # fx pair
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time: float # Begin time of interval, in seconds since epoch
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etime: float # End time of interval, in seconds since epoch
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open: float # Open price of interval
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high: float # High price within interval
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low: float # Low price within interval
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close: float # Close price of interval
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vwap: float # Volume weighted average price within interval
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volume: int # Accumulated volume within interval
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count: int # Number of trades within interval
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while True:
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msg = await recv()
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if isinstance(msg, dict):
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if msg.get('event') == 'heartbeat':
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continue
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else:
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chan_id, ohlc_array, chan_name, pair = msg
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ohlc = OHLC(chan_id, chan_name, pair, *ohlc_array)
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yield ohlc
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if __name__ == '__main__':
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async def stream_quotes(
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pairs: List[str] = ['BTC/USD'],
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) -> None:
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"""Subscribe ohlc quotes for ``pairs``.
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async def stream_ohlc():
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async for msg in stream_quotes():
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print(asdict(msg))
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``pairs`` must be formatted like `crypto/fiat`.
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"""
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async with open_websocket_url(
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'wss://ws.kraken.com',
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) as ws:
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# setup subs
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subs = {
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'event': 'subscribe',
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'pair': pairs,
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'subscription': {
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'name': 'ohlc',
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# 'name': 'ticker',
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# 'name': 'openOrders',
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# 'depth': '25',
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},
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}
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await ws.send_message(json.dumps(subs))
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while True:
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msg = json.loads(await ws.get_message())
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if isinstance(msg, dict) and msg.get('event') == 'heartbeat':
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continue
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print(msg)
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trio.run(stream_quotes)
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tractor.run(stream_ohlc)
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