Finally backfilling is working, still need to work on realtime updates!
Guillermo Rodriguez
parent
d327584039
commit
7e493625f6
|
|
@ -21,7 +21,7 @@ Binance backend
|
|||
from contextlib import asynccontextmanager, AsyncExitStack
|
||||
from dataclasses import asdict, field
|
||||
from types import ModuleType
|
||||
from typing import List, Dict, Any, Tuple, Optional
|
||||
from typing import List, Dict, Any, Tuple, Union, Optional
|
||||
import json
|
||||
import time
|
||||
|
||||
|
|
@ -52,13 +52,14 @@ from ..data import ShmArray
|
|||
log = get_logger(__name__)
|
||||
|
||||
|
||||
_url = 'https://api.binance.com/'
|
||||
_url = 'https://api.binance.com'
|
||||
|
||||
|
||||
# Broker specific ohlc schema
|
||||
_ohlc_dtype = [
|
||||
('kline_start_time', int),
|
||||
('kline_close_time', int),
|
||||
# Broker specific ohlc schema (websocket)
|
||||
_websocket_ohlc_dtype = [
|
||||
('index', int),
|
||||
('time', int),
|
||||
('close_time', int),
|
||||
('symbol', str),
|
||||
('interval', str),
|
||||
('first_trade_id', int),
|
||||
|
|
@ -76,30 +77,52 @@ _ohlc_dtype = [
|
|||
('ignore', int)
|
||||
]
|
||||
|
||||
# Broker specific ohlc schema (rest)
|
||||
_ohlc_dtype = [
|
||||
('index', int),
|
||||
('time', int),
|
||||
('open', float),
|
||||
('high', float),
|
||||
('low', float),
|
||||
('close', float),
|
||||
('volume', float),
|
||||
('close_time', int),
|
||||
('quote_vol', float),
|
||||
('num_trades', int),
|
||||
('buy_base_vol', float),
|
||||
('buy_quote_vol', float),
|
||||
('ignore', float)
|
||||
]
|
||||
|
||||
# UI components allow this to be declared such that additional
|
||||
# (historical) fields can be exposed.
|
||||
ohlc_dtype = np.dtype(_ohlc_dtype)
|
||||
|
||||
_show_wap_in_history = False
|
||||
|
||||
# https://binance-docs.github.io/apidocs/spot/en/#exchange-information
|
||||
class Pair(BaseModel):
|
||||
symbol: str
|
||||
status: str
|
||||
|
||||
base_asset: str
|
||||
base_precision: int
|
||||
quote_asset: str
|
||||
quote_precision: int
|
||||
quote_asset_precision: int
|
||||
baseAsset: str
|
||||
baseAssetPrecision: int
|
||||
quoteAsset: str
|
||||
quotePrecision: int
|
||||
quoteAssetPrecision: int
|
||||
|
||||
order_types: List[str]
|
||||
baseCommissionPrecision: int
|
||||
quoteCommissionPrecision: int
|
||||
|
||||
iceberg_allowed: bool
|
||||
oco_allowed: bool
|
||||
is_spot_trading_allowed: bool
|
||||
is_margin_trading_allowed: bool
|
||||
orderTypes: List[str]
|
||||
|
||||
filters: List[str]
|
||||
icebergAllowed: bool
|
||||
ocoAllowed: bool
|
||||
quoteOrderQtyMarketAllowed: bool
|
||||
isSpotTradingAllowed: bool
|
||||
isMarginTradingAllowed: bool
|
||||
|
||||
filters: List[Dict[str, Union[str, int, float]]]
|
||||
permissions: List[str]
|
||||
|
||||
|
||||
|
|
@ -117,15 +140,21 @@ class OHLC:
|
|||
first_id: int
|
||||
last_id: int
|
||||
open: float
|
||||
close: float
|
||||
high: float
|
||||
low: float
|
||||
close: float
|
||||
base_vol: float
|
||||
num_trades: int
|
||||
closed: bool
|
||||
quote_vol: float
|
||||
buy_base_vol: float
|
||||
buy_quote_vol: float
|
||||
ignore: int
|
||||
|
||||
|
||||
# convert arrow timestamp to unixtime in miliseconds
|
||||
def binance_timestamp(when):
|
||||
return int((when.timestamp * 1000) + (when.microsecond / 1000))
|
||||
|
||||
|
||||
class Client:
|
||||
|
|
@ -139,7 +168,7 @@ class Client:
|
|||
method: str,
|
||||
data: dict,
|
||||
) -> Dict[str, Any]:
|
||||
resp = await self._sesh.post(
|
||||
resp = await self._sesh.get(
|
||||
path=f'/api/v3/{method}',
|
||||
params=data,
|
||||
timeout=float('inf')
|
||||
|
|
@ -152,11 +181,11 @@ class Client:
|
|||
):
|
||||
resp = await self._api('exchangeInfo', {})
|
||||
if sym is not None:
|
||||
return [
|
||||
sym_info
|
||||
for sym_info in resp['symbols']
|
||||
if sym_info['symbol'] == sym
|
||||
]
|
||||
for sym_info in resp['symbols']:
|
||||
if sym_info['symbol'] == sym:
|
||||
return sym_info
|
||||
else:
|
||||
raise BrokerError(f'{sym} not found')
|
||||
else:
|
||||
return resp['symbols']
|
||||
|
||||
|
|
@ -169,13 +198,16 @@ class Client:
|
|||
as_np: bool = True,
|
||||
) -> dict:
|
||||
if start_time is None:
|
||||
start_time = int(arrow.utcnow().floor('minute').shift(
|
||||
minutes=-limit).format('x'))
|
||||
start_time = binance_timestamp(
|
||||
arrow.utcnow()
|
||||
.floor('minute')
|
||||
.shift(minutes=-limit)
|
||||
)
|
||||
|
||||
if end_time is None:
|
||||
end_time = int(arrow.utcnow().format('x'))
|
||||
end_time = binance_timestamp(arrow.utcnow())
|
||||
|
||||
json = await self._api(
|
||||
bars = await self._api(
|
||||
'klines',
|
||||
{
|
||||
'symbol': symbol,
|
||||
|
|
@ -186,8 +218,14 @@ class Client:
|
|||
}
|
||||
)
|
||||
|
||||
bars = next(iter(json))
|
||||
array = np.array(bars, dtype=_ohlc_dtype) if as_np else bars
|
||||
new_bars = [
|
||||
(i,) + tuple(
|
||||
ftype(bar[j])
|
||||
for j, (name, ftype) in enumerate(_ohlc_dtype[1:])
|
||||
) for i, bar in enumerate(bars)
|
||||
]
|
||||
|
||||
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
|
||||
return array
|
||||
|
||||
|
||||
|
|
@ -205,7 +243,9 @@ async def stream_messages(ws):
|
|||
with trio.move_on_after(5) as cs:
|
||||
msg = await ws.recv_msg()
|
||||
|
||||
breakpoint()
|
||||
if msg.get('e') == 'kline':
|
||||
|
||||
yield 'ohlc', OHLC(*msg['k'].values())
|
||||
|
||||
|
||||
def normalize(
|
||||
|
|
@ -215,9 +255,10 @@ def normalize(
|
|||
quote['broker_ts'] = quote['start_time']
|
||||
quote['brokerd_ts'] = time.time()
|
||||
quote['last'] = quote['close']
|
||||
quote['time'] = quote['start_time']
|
||||
|
||||
# print(quote)
|
||||
return topic, quote
|
||||
return ohlc.symbol, quote
|
||||
|
||||
|
||||
def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
|
||||
|
|
@ -228,7 +269,7 @@ def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
|
|||
return {
|
||||
'method': 'SUBSCRIBE',
|
||||
'params': [
|
||||
f'{pair}@{sub_name}'
|
||||
f'{pair.lower()}@{sub_name}'
|
||||
for pair in pairs
|
||||
],
|
||||
'id': uid
|
||||
|
|
@ -362,7 +403,8 @@ async def stream_quotes(
|
|||
|
||||
# keep client cached for real-time section
|
||||
for sym in symbols:
|
||||
syminfo = Pair(*await client.symbol_info(sym)) # validation
|
||||
d = await client.symbol_info(sym)
|
||||
syminfo = Pair(**d) # validation
|
||||
sym_infos[sym] = syminfo.dict()
|
||||
|
||||
symbol = symbols[0]
|
||||
|
|
@ -376,19 +418,21 @@ async def stream_quotes(
|
|||
},
|
||||
}
|
||||
|
||||
async with open_autorecon_ws('wss://stream.binance.com:9443') as ws:
|
||||
async with open_autorecon_ws('wss://stream.binance.com/ws') as ws:
|
||||
|
||||
# XXX: setup subs
|
||||
ohlc_sub = make_sub(symbols, 'kline_1m', uid)
|
||||
uid += 1
|
||||
|
||||
await ws.send_msg(ohlc_sub)
|
||||
res = await ws.recv_msg()
|
||||
|
||||
# trade data (aka L1)
|
||||
l1_sub = make_sub(symbols, 'trade', uid)
|
||||
uid += 1
|
||||
|
||||
await ws.send_msg(l1_sub)
|
||||
res = await ws.recv_msg()
|
||||
|
||||
# pull a first quote and deliver
|
||||
msg_gen = stream_messages(ws)
|
||||
|
|
|
|||
Loading…
Reference in New Issue