More linting fixes
parent
37ce04ca9a
commit
9fcfb8d780
|
|
@ -11,20 +11,14 @@
|
|||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see
|
||||
# <https://www.gnu.org/licenses/>.
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
'''
|
||||
"""
|
||||
Kucoin broker backend
|
||||
|
||||
'''
|
||||
"""
|
||||
|
||||
from typing import (
|
||||
Any,
|
||||
Callable,
|
||||
Literal,
|
||||
AsyncGenerator
|
||||
)
|
||||
from typing import Any, Callable, Literal, AsyncGenerator
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
import time
|
||||
|
|
@ -56,23 +50,24 @@ from ..data._web_bs import (
|
|||
log = get_logger(__name__)
|
||||
|
||||
_ohlc_dtype = [
|
||||
('index', int),
|
||||
('time', int),
|
||||
('open', float),
|
||||
('high', float),
|
||||
('low', float),
|
||||
('close', float),
|
||||
('volume', float),
|
||||
('bar_wap', float), # will be zeroed by sampler if not filled
|
||||
("index", int),
|
||||
("time", int),
|
||||
("open", float),
|
||||
("high", float),
|
||||
("low", float),
|
||||
("close", float),
|
||||
("volume", float),
|
||||
("bar_wap", float), # will be zeroed by sampler if not filled
|
||||
]
|
||||
|
||||
|
||||
class KucoinMktPair(Struct, frozen=True):
|
||||
'''
|
||||
"""
|
||||
Kucoin's pair format:
|
||||
https://docs.kucoin.com/#get-symbols-list
|
||||
|
||||
'''
|
||||
"""
|
||||
|
||||
baseCurrency: str
|
||||
baseIncrement: float
|
||||
baseMaxSize: float
|
||||
|
|
@ -93,11 +88,12 @@ class KucoinMktPair(Struct, frozen=True):
|
|||
|
||||
|
||||
class AccountTrade(Struct, frozen=True):
|
||||
'''
|
||||
"""
|
||||
Historical trade format:
|
||||
https://docs.kucoin.com/#get-account-ledgers
|
||||
|
||||
'''
|
||||
"""
|
||||
|
||||
id: str
|
||||
currency: str
|
||||
amount: float
|
||||
|
|
@ -105,16 +101,17 @@ class AccountTrade(Struct, frozen=True):
|
|||
balance: float
|
||||
accountType: str
|
||||
bizType: str
|
||||
direction: Literal['in', 'out']
|
||||
direction: Literal["in", "out"]
|
||||
createdAt: float
|
||||
context: list[str]
|
||||
|
||||
|
||||
class AccountResponse(Struct, frozen=True):
|
||||
'''
|
||||
"""
|
||||
https://docs.kucoin.com/#get-account-ledgers
|
||||
|
||||
'''
|
||||
"""
|
||||
|
||||
currentPage: int
|
||||
pageSize: int
|
||||
totalNum: int
|
||||
|
|
@ -123,11 +120,12 @@ class AccountResponse(Struct, frozen=True):
|
|||
|
||||
|
||||
class KucoinTrade(Struct, frozen=True):
|
||||
'''
|
||||
"""
|
||||
Real-time trade format:
|
||||
https://docs.kucoin.com/#symbol-ticker
|
||||
|
||||
'''
|
||||
"""
|
||||
|
||||
bestAsk: float
|
||||
bestAskSize: float
|
||||
bestBid: float
|
||||
|
|
@ -139,21 +137,23 @@ class KucoinTrade(Struct, frozen=True):
|
|||
|
||||
|
||||
class KucoinL2(Struct, frozen=True):
|
||||
'''
|
||||
"""
|
||||
Real-time L2 order book format:
|
||||
https://docs.kucoin.com/#level2-5-best-ask-bid-orders
|
||||
|
||||
'''
|
||||
"""
|
||||
|
||||
asks: list[list[float]]
|
||||
bids: list[list[float]]
|
||||
timestamp: float
|
||||
|
||||
|
||||
class KucoinMsg(Struct, frozen=True):
|
||||
'''
|
||||
"""
|
||||
Generic outer-wrapper for any Kucoin ws msg
|
||||
|
||||
'''
|
||||
"""
|
||||
|
||||
type: str
|
||||
topic: str
|
||||
subject: str
|
||||
|
|
@ -169,10 +169,10 @@ class BrokerConfig(Struct, frozen=True):
|
|||
def get_config() -> BrokerConfig | None:
|
||||
conf, _ = config.load()
|
||||
|
||||
section = conf.get('kucoin')
|
||||
section = conf.get("kucoin")
|
||||
|
||||
if section is None:
|
||||
log.warning('No config section found for kucoin in config')
|
||||
log.warning("No config section found for kucoin in config")
|
||||
return None
|
||||
|
||||
return BrokerConfig(**section).copy()
|
||||
|
|
@ -186,118 +186,119 @@ class Client:
|
|||
|
||||
def _gen_auth_req_headers(
|
||||
self,
|
||||
action: Literal['POST', 'GET'],
|
||||
action: Literal["POST", "GET"],
|
||||
endpoint: str,
|
||||
api_v: str = 'v2',
|
||||
api_v: str = "v2",
|
||||
) -> dict[str, str | bytes]:
|
||||
'''
|
||||
"""
|
||||
Generate authenticated request headers
|
||||
https://docs.kucoin.com/#authentication
|
||||
|
||||
'''
|
||||
str_to_sign = str(int(time.time() * 1000)) + \
|
||||
action + f'/api/{api_v}{endpoint}'
|
||||
"""
|
||||
str_to_sign = (
|
||||
str(int(time.time() * 1000)) + action + f"/api/{api_v}{endpoint}"
|
||||
)
|
||||
|
||||
signature = base64.b64encode(
|
||||
hmac.new(
|
||||
self._config.key_secret.encode('utf-8'),
|
||||
str_to_sign.encode('utf-8'),
|
||||
self._config.key_secret.encode("utf-8"),
|
||||
str_to_sign.encode("utf-8"),
|
||||
hashlib.sha256,
|
||||
).digest()
|
||||
)
|
||||
|
||||
passphrase = base64.b64encode(
|
||||
hmac.new(
|
||||
self._config.key_secret.encode('utf-8'),
|
||||
self._config.key_passphrase.encode('utf-8'),
|
||||
self._config.key_secret.encode("utf-8"),
|
||||
self._config.key_passphrase.encode("utf-8"),
|
||||
hashlib.sha256,
|
||||
).digest()
|
||||
)
|
||||
|
||||
return {
|
||||
'KC-API-SIGN': signature,
|
||||
'KC-API-TIMESTAMP': str(pendulum.now().int_timestamp * 1000),
|
||||
'KC-API-KEY': self._config.key_id,
|
||||
'KC-API-PASSPHRASE': passphrase,
|
||||
"KC-API-SIGN": signature,
|
||||
"KC-API-TIMESTAMP": str(pendulum.now().int_timestamp * 1000),
|
||||
"KC-API-KEY": self._config.key_id,
|
||||
"KC-API-PASSPHRASE": passphrase,
|
||||
# XXX: Even if using the v1 api - this stays the same
|
||||
'KC-API-KEY-VERSION': '2',
|
||||
"KC-API-KEY-VERSION": "2",
|
||||
}
|
||||
|
||||
async def _request(
|
||||
self,
|
||||
action: Literal['POST', 'GET'],
|
||||
action: Literal["POST", "GET"],
|
||||
endpoint: str,
|
||||
api_v: str = 'v2',
|
||||
api_v: str = "v2",
|
||||
headers: dict = {},
|
||||
) -> Any:
|
||||
'''
|
||||
"""
|
||||
Generic request wrapper for Kucoin API
|
||||
|
||||
'''
|
||||
"""
|
||||
if self._config:
|
||||
headers = self._gen_auth_req_headers(
|
||||
action, endpoint, api_v)
|
||||
headers = self._gen_auth_req_headers(action, endpoint, api_v)
|
||||
|
||||
api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
|
||||
api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
|
||||
|
||||
res = await asks.request(action, api_url, headers=headers)
|
||||
|
||||
if 'data' in res.json():
|
||||
return res.json()['data']
|
||||
if "data" in res.json():
|
||||
return res.json()["data"]
|
||||
else:
|
||||
log.error(
|
||||
f'Error making request to {api_url} -> {res.json()["msg"]}')
|
||||
return res.json()['msg']
|
||||
f'Error making request to {api_url} -> {res.json()["msg"]}'
|
||||
)
|
||||
return res.json()["msg"]
|
||||
|
||||
async def _get_ws_token(
|
||||
self,
|
||||
private: bool = False,
|
||||
) -> tuple[str, int] | None:
|
||||
'''
|
||||
"""
|
||||
Fetch ws token needed for sub access:
|
||||
https://docs.kucoin.com/#apply-connect-token
|
||||
returns a token and the interval we must ping
|
||||
the server at to keep the connection alive
|
||||
|
||||
'''
|
||||
token_type = 'private' if private else 'public'
|
||||
"""
|
||||
token_type = "private" if private else "public"
|
||||
try:
|
||||
data: dict[str, Any] | None = await self._request(
|
||||
'POST', f'/bullet-{token_type}', 'v1'
|
||||
"POST", f"/bullet-{token_type}", "v1"
|
||||
)
|
||||
except Exception as e:
|
||||
log.error(
|
||||
f'Error making request for Kucoin ws token -> {str(e)}')
|
||||
log.error(f"Error making request for Kucoin ws token -> {str(e)}")
|
||||
return None
|
||||
|
||||
if data and 'token' in data:
|
||||
if data and "token" in data:
|
||||
# ping_interval is in ms
|
||||
ping_interval: int = data['instanceServers'][0]['pingInterval']
|
||||
return data['token'], ping_interval
|
||||
ping_interval: int = data["instanceServers"][0]["pingInterval"]
|
||||
return data["token"], ping_interval
|
||||
elif data:
|
||||
log.error(
|
||||
f'Error making request for Kucoin ws token -> {data.json()["msg"]}'
|
||||
'Error making request for Kucoin ws token'
|
||||
f'{data.json()["msg"]}'
|
||||
)
|
||||
|
||||
async def _get_pairs(
|
||||
self,
|
||||
) -> dict[str, KucoinMktPair]:
|
||||
entries = await self._request('GET', '/symbols')
|
||||
entries = await self._request("GET", "/symbols")
|
||||
syms = {
|
||||
kucoin_sym_to_fqsn(
|
||||
item['name']): KucoinMktPair(
|
||||
**item) for item in entries}
|
||||
kucoin_sym_to_fqsn(item["name"]): KucoinMktPair(**item)
|
||||
for item in entries
|
||||
}
|
||||
|
||||
log.info(f' {len(syms)} Kucoin market pairs fetched')
|
||||
log.info(f" {len(syms)} Kucoin market pairs fetched")
|
||||
return syms
|
||||
|
||||
async def cache_pairs(
|
||||
self,
|
||||
) -> dict[str, KucoinMktPair]:
|
||||
'''
|
||||
"""
|
||||
Get cached pairs and convert keyed symbols into fqsns if ya want
|
||||
|
||||
'''
|
||||
"""
|
||||
if not self._pairs:
|
||||
self._pairs = await self._get_pairs()
|
||||
|
||||
|
|
@ -311,12 +312,15 @@ class Client:
|
|||
data = await self.cache_pairs()
|
||||
|
||||
matches = fuzzy.extractBests(
|
||||
pattern, data, score_cutoff=35, limit=limit)
|
||||
pattern, data, score_cutoff=35, limit=limit
|
||||
)
|
||||
# repack in dict form
|
||||
return {item[0].name: item[0] for item in matches}
|
||||
|
||||
async def last_trades(self, sym: str) -> list[AccountTrade]:
|
||||
trades = await self._request('GET', f'/accounts/ledgers?currency={sym}', 'v1')
|
||||
trades = await self._request(
|
||||
"GET", f"/accounts/ledgers?currency={sym}", "v1"
|
||||
)
|
||||
trades = AccountResponse(**trades)
|
||||
return trades.items
|
||||
|
||||
|
|
@ -327,9 +331,9 @@ class Client:
|
|||
end_dt: datetime | None = None,
|
||||
limit: int = 1000,
|
||||
as_np: bool = True,
|
||||
type: str = '1min',
|
||||
type: str = "1min",
|
||||
) -> np.ndarray:
|
||||
'''
|
||||
"""
|
||||
Get OHLC data and convert to numpy array for perffff:
|
||||
https://docs.kucoin.com/#get-klines
|
||||
|
||||
|
|
@ -356,35 +360,40 @@ class Client:
|
|||
('bar_wap', float), # will be zeroed by sampler if not filled
|
||||
]
|
||||
|
||||
'''
|
||||
"""
|
||||
# Generate generic end and start time if values not passed
|
||||
# Currently gives us 12hrs of data
|
||||
if end_dt is None:
|
||||
end_dt = pendulum.now('UTC').add(minutes=1)
|
||||
end_dt = pendulum.now("UTC").add(minutes=1)
|
||||
|
||||
if start_dt is None:
|
||||
start_dt = end_dt.start_of(
|
||||
'minute').subtract(minutes=limit)
|
||||
start_dt = end_dt.start_of("minute").subtract(minutes=limit)
|
||||
|
||||
start_dt = int(start_dt.timestamp())
|
||||
end_dt = int(end_dt.timestamp())
|
||||
|
||||
kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
|
||||
|
||||
url = f'/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}'
|
||||
url = (
|
||||
f"/market/candles?type={type}"
|
||||
f"&symbol={kucoin_sym}"
|
||||
f"&startAt={start_dt}"
|
||||
f"&endAt={end_dt}"
|
||||
)
|
||||
|
||||
for i in range(10):
|
||||
data = await self._request(
|
||||
'GET',
|
||||
"GET",
|
||||
url,
|
||||
api_v='v1',
|
||||
api_v="v1",
|
||||
)
|
||||
|
||||
if not isinstance(data, list):
|
||||
# Do a gradual backoff if Kucoin is rate limiting us
|
||||
backoff_interval = i
|
||||
log.warn(
|
||||
f'History call failed, backing off for {backoff_interval}s')
|
||||
f"History call failed, backing off for {backoff_interval}s"
|
||||
)
|
||||
await trio.sleep(backoff_interval)
|
||||
else:
|
||||
bars: list[list[str]] = data
|
||||
|
|
@ -416,20 +425,17 @@ class Client:
|
|||
)
|
||||
)
|
||||
|
||||
array = np.array(
|
||||
new_bars,
|
||||
dtype=_ohlc_dtype) if as_np else bars
|
||||
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
|
||||
return array
|
||||
|
||||
|
||||
def fqsn_to_kucoin_sym(
|
||||
fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
|
||||
def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
|
||||
pair_data = pairs[fqsn]
|
||||
return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
|
||||
return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
|
||||
|
||||
|
||||
def kucoin_sym_to_fqsn(sym: str) -> str:
|
||||
return sym.lower().replace('-', '')
|
||||
return sym.lower().replace("-", "")
|
||||
|
||||
|
||||
@acm
|
||||
|
|
@ -444,7 +450,7 @@ async def get_client() -> AsyncGenerator[Client, None]:
|
|||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
) -> None:
|
||||
async with open_cached_client('kucoin') as client:
|
||||
async with open_cached_client("kucoin") as client:
|
||||
# load all symbols locally for fast search
|
||||
await client.cache_pairs()
|
||||
await ctx.started()
|
||||
|
|
@ -452,25 +458,25 @@ async def open_symbol_search(
|
|||
async with ctx.open_stream() as stream:
|
||||
async for pattern in stream:
|
||||
await stream.send(await client.search_symbols(pattern))
|
||||
log.info('Kucoin symbol search opened')
|
||||
log.info("Kucoin symbol search opened")
|
||||
|
||||
|
||||
@acm
|
||||
async def open_ping_task(ws: wsproto.WSConnection, ping_interval, connect_id):
|
||||
'''
|
||||
"""
|
||||
Spawn a non-blocking task that pings the ws
|
||||
server every ping_interval so Kucoin doesn't drop
|
||||
our connection
|
||||
|
||||
'''
|
||||
"""
|
||||
async with trio.open_nursery() as n:
|
||||
# TODO: cache this task so it's only called once
|
||||
async def ping_server():
|
||||
while True:
|
||||
await trio.sleep((ping_interval - 1000) / 1000)
|
||||
await ws.send_msg({'id': connect_id, 'type': 'ping'})
|
||||
await ws.send_msg({"id": connect_id, "type": "ping"})
|
||||
|
||||
log.info(f'Starting ping task for kucoin ws connection')
|
||||
log.info("Starting ping task for kucoin ws connection")
|
||||
n.start_soon(ping_server)
|
||||
|
||||
yield
|
||||
|
|
@ -482,29 +488,30 @@ async def stream_quotes(
|
|||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = '',
|
||||
loglevel: str = "",
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]
|
||||
] = trio.TASK_STATUS_IGNORED,
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
) -> None:
|
||||
'''
|
||||
"""
|
||||
Required piker api to stream real-time data.
|
||||
Where the rubber hits the road baby
|
||||
|
||||
'''
|
||||
async with open_cached_client('kucoin') as client:
|
||||
"""
|
||||
async with open_cached_client("kucoin") as client:
|
||||
token, ping_interval = await client._get_ws_token()
|
||||
connect_id = str(uuid4())
|
||||
pairs = await client.cache_pairs()
|
||||
ws_url = (
|
||||
f"wss://ws-api-spot.kucoin.com/?"
|
||||
f"token={token}&[connectId={connect_id}]"
|
||||
)
|
||||
|
||||
# open ping task
|
||||
async with (
|
||||
open_autorecon_ws(
|
||||
f'wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]'
|
||||
) as ws,
|
||||
open_autorecon_ws(ws_url) as ws,
|
||||
open_ping_task(ws, ping_interval, connect_id),
|
||||
):
|
||||
log.info('Starting up quote stream')
|
||||
log.info("Starting up quote stream")
|
||||
# loop through symbols and sub to feedz
|
||||
for sym in symbols:
|
||||
pair: KucoinMktPair = pairs[sym]
|
||||
|
|
@ -514,13 +521,13 @@ async def stream_quotes(
|
|||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': {
|
||||
'asset_type': 'crypto',
|
||||
'price_tick_size': float(pair.baseIncrement),
|
||||
'lot_tick_size': float(pair.baseMinSize),
|
||||
"symbol_info": {
|
||||
"asset_type": "crypto",
|
||||
"price_tick_size": float(pair.baseIncrement),
|
||||
"lot_tick_size": float(pair.baseMinSize),
|
||||
},
|
||||
'shm_write_opts': {'sum_tick_vml': False},
|
||||
'fqsn': sym,
|
||||
"shm_write_opts": {"sum_tick_vml": False},
|
||||
"fqsn": sym,
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -529,7 +536,7 @@ async def stream_quotes(
|
|||
stream_messages(ws, sym) as msg_gen,
|
||||
):
|
||||
typ, quote = await anext(msg_gen)
|
||||
while typ != 'trade':
|
||||
while typ != "trade":
|
||||
# take care to not unblock here until we get a real
|
||||
# trade quote
|
||||
typ, quote = await anext(msg_gen)
|
||||
|
|
@ -544,41 +551,47 @@ async def stream_quotes(
|
|||
@acm
|
||||
async def subscribe(ws: wsproto.WSConnection, connect_id, sym):
|
||||
# level 2 sub
|
||||
await ws.send_msg({
|
||||
'id': connect_id,
|
||||
'type': 'subscribe',
|
||||
'topic': f'/spotMarket/level2Depth5:{sym}',
|
||||
'privateChannel': False,
|
||||
'response': True,
|
||||
})
|
||||
await ws.send_msg(
|
||||
{
|
||||
"id": connect_id,
|
||||
"type": "subscribe",
|
||||
"topic": f"/spotMarket/level2Depth5:{sym}",
|
||||
"privateChannel": False,
|
||||
"response": True,
|
||||
}
|
||||
)
|
||||
|
||||
# watch trades
|
||||
await ws.send_msg({
|
||||
'id': connect_id,
|
||||
'type': 'subscribe',
|
||||
'topic': f'/market/ticker:{sym}',
|
||||
'privateChannel': False,
|
||||
'response': True,
|
||||
})
|
||||
await ws.send_msg(
|
||||
{
|
||||
"id": connect_id,
|
||||
"type": "subscribe",
|
||||
"topic": f"/market/ticker:{sym}",
|
||||
"privateChannel": False,
|
||||
"response": True,
|
||||
}
|
||||
)
|
||||
|
||||
yield
|
||||
|
||||
# unsub
|
||||
if ws.connected():
|
||||
log.info(f'Unsubscribing to {sym} feed')
|
||||
log.info(f"Unsubscribing to {sym} feed")
|
||||
await ws.send_msg(
|
||||
{
|
||||
'id': connect_id,
|
||||
'type': 'unsubscribe',
|
||||
'topic': f'/market/ticker:{sym}',
|
||||
'privateChannel': False,
|
||||
'response': True,
|
||||
"id": connect_id,
|
||||
"type": "unsubscribe",
|
||||
"topic": f"/market/ticker:{sym}",
|
||||
"privateChannel": False,
|
||||
"response": True,
|
||||
}
|
||||
)
|
||||
|
||||
|
||||
@trio_async_generator
|
||||
async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
|
||||
async def stream_messages(
|
||||
ws: NoBsWs, sym: str
|
||||
) -> AsyncGenerator[NoBsWs, dict]:
|
||||
timeouts = 0
|
||||
last_trade_ts = 0
|
||||
|
||||
|
|
@ -588,65 +601,65 @@ async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
|
|||
if cs.cancelled_caught:
|
||||
timeouts += 1
|
||||
if timeouts > 2:
|
||||
log.error(
|
||||
'kucoin feed is sh**ing the bed... rebooting...')
|
||||
log.error("kucoin feed is sh**ing the bed... rebooting...")
|
||||
await ws._connect()
|
||||
|
||||
continue
|
||||
|
||||
if msg.get('subject'):
|
||||
if msg.get("subject"):
|
||||
msg = KucoinMsg(**msg)
|
||||
match msg.subject:
|
||||
case 'trade.ticker':
|
||||
case "trade.ticker":
|
||||
trade_data = KucoinTrade(**msg.data)
|
||||
|
||||
# XXX: Filter for duplicate messages as ws feed will send duplicate market state
|
||||
# XXX: Filter for duplicate messages as ws feed will
|
||||
# send duplicate market state
|
||||
# https://docs.kucoin.com/#level2-5-best-ask-bid-orders
|
||||
if trade_data.time == last_trade_ts:
|
||||
continue
|
||||
|
||||
last_trade_ts = trade_data.time
|
||||
|
||||
yield 'trade', {
|
||||
'symbol': sym,
|
||||
'last': trade_data.price,
|
||||
'brokerd_ts': last_trade_ts,
|
||||
'ticks': [
|
||||
yield "trade", {
|
||||
"symbol": sym,
|
||||
"last": trade_data.price,
|
||||
"brokerd_ts": last_trade_ts,
|
||||
"ticks": [
|
||||
{
|
||||
'type': 'trade',
|
||||
'price': float(trade_data.price),
|
||||
'size': float(trade_data.size),
|
||||
'broker_ts': last_trade_ts,
|
||||
"type": "trade",
|
||||
"price": float(trade_data.price),
|
||||
"size": float(trade_data.size),
|
||||
"broker_ts": last_trade_ts,
|
||||
}
|
||||
],
|
||||
}
|
||||
|
||||
case 'level2':
|
||||
case "level2":
|
||||
l2_data = KucoinL2(**msg.data)
|
||||
first_ask = l2_data.asks[0]
|
||||
first_bid = l2_data.bids[0]
|
||||
yield 'l1', {
|
||||
'symbol': sym,
|
||||
'ticks': [
|
||||
yield "l1", {
|
||||
"symbol": sym,
|
||||
"ticks": [
|
||||
{
|
||||
'type': 'bid',
|
||||
'price': float(first_bid[0]),
|
||||
'size': float(first_bid[1]),
|
||||
"type": "bid",
|
||||
"price": float(first_bid[0]),
|
||||
"size": float(first_bid[1]),
|
||||
},
|
||||
{
|
||||
'type': 'bsize',
|
||||
'price': float(first_bid[0]),
|
||||
'size': float(first_bid[1]),
|
||||
"type": "bsize",
|
||||
"price": float(first_bid[0]),
|
||||
"size": float(first_bid[1]),
|
||||
},
|
||||
{
|
||||
'type': 'ask',
|
||||
'price': float(first_ask[0]),
|
||||
'size': float(first_ask[1]),
|
||||
"type": "ask",
|
||||
"price": float(first_ask[0]),
|
||||
"size": float(first_ask[1]),
|
||||
},
|
||||
{
|
||||
'type': 'asize',
|
||||
'price': float(first_ask[0]),
|
||||
'size': float(first_ask[1]),
|
||||
"type": "asize",
|
||||
"price": float(first_ask[0]),
|
||||
"size": float(first_ask[1]),
|
||||
},
|
||||
],
|
||||
}
|
||||
|
|
@ -655,20 +668,20 @@ async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
|
|||
@acm
|
||||
async def open_history_client(
|
||||
symbol: str,
|
||||
type: str = '1m',
|
||||
type: str = "1m",
|
||||
) -> AsyncGenerator[Callable, None]:
|
||||
async with open_cached_client('kucoin') as client:
|
||||
|
||||
log.info('Attempting to open kucoin history client')
|
||||
async with open_cached_client("kucoin") as client:
|
||||
log.info("Attempting to open kucoin history client")
|
||||
|
||||
async def get_ohlc_history(
|
||||
timeframe: float,
|
||||
end_dt: datetime | None = None,
|
||||
start_dt: datetime | None = None,
|
||||
) -> tuple[np.ndarray, datetime | None, datetime | None]: # start # end
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray, datetime | None, datetime | None
|
||||
]: # start # end
|
||||
if timeframe != 60:
|
||||
raise DataUnavailable('Only 1m bars are supported')
|
||||
raise DataUnavailable("Only 1m bars are supported")
|
||||
|
||||
array = await client._get_bars(
|
||||
symbol,
|
||||
|
|
@ -676,13 +689,14 @@ async def open_history_client(
|
|||
end_dt=end_dt,
|
||||
)
|
||||
|
||||
times = array['time']
|
||||
times = array["time"]
|
||||
|
||||
if end_dt is None:
|
||||
inow = round(time.time())
|
||||
|
||||
print(
|
||||
f'difference in time between load and processing {inow - times[-1]}'
|
||||
f"difference in time between load and processing"
|
||||
f"{inow - times[-1]}"
|
||||
)
|
||||
|
||||
if (inow - times[-1]) > 60:
|
||||
|
|
@ -691,7 +705,7 @@ async def open_history_client(
|
|||
start_dt = pendulum.from_timestamp(times[0])
|
||||
end_dt = pendulum.from_timestamp(times[-1])
|
||||
|
||||
log.info('History succesfully fetched baby')
|
||||
log.info("History succesfully fetched baby")
|
||||
|
||||
return array, start_dt, end_dt
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue