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Post @goodboy review commit

ems_tweaks^2
Guillermo Rodriguez 2021-05-21 22:23:35 -03:00
parent 169420b5f3
commit a0dfdd935f
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1 changed files with 16 additions and 37 deletions
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53
piker/brokers/binance.py
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@ -63,14 +63,17 @@ _ohlc_dtype = [
('low', float), ('low', float),
('close', float), ('close', float),
('volume', float), ('volume', float),
# XXX: don't need these in shm history right? ('bar_wap', float), # will be zeroed by sampler if not filled
# XXX: some additional fields are defined in the docs:
# https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
# ('close_time', int), # ('close_time', int),
# ('quote_vol', float), # ('quote_vol', float),
# ('num_trades', int), # ('num_trades', int),
# ('buy_base_vol', float), # ('buy_base_vol', float),
# ('buy_quote_vol', float), # ('buy_quote_vol', float),
# ('ignore', float), # ('ignore', float),
('bar_wap', float), # will be zeroed by sampler if not filled
] ]
# UI components allow this to be declared such that additional # UI components allow this to be declared such that additional
@ -106,7 +109,6 @@ class Pair(BaseModel):
permissions: List[str] permissions: List[str]
# TODO: this isn't being used yet right?
@dataclass @dataclass
class OHLC: class OHLC:
"""Description of the flattened OHLC quote format. """Description of the flattened OHLC quote format.
@ -114,26 +116,6 @@ class OHLC:
For schema details see: For schema details see:
https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams
documented format:
```
[
[
1499040000000, // Open time
"0.01634790", // Open
"0.80000000", // High
"0.01575800", // Low
"0.01577100", // Close
"148976.11427815", // Volume
1499644799999, // Close time
"2434.19055334", // Quote asset volume
308, // Number of trades
"1756.87402397", // Taker buy base asset volume
"28.46694368", // Taker buy quote asset volume
"17928899.62484339" // Ignore.
]
]
```
""" """
time: int time: int
@ -155,9 +137,6 @@ class OHLC:
# figure out what to extract for this. # figure out what to extract for this.
bar_wap: float = 0.0 bar_wap: float = 0.0
# (sampled) generated tick data
# ticks: List[Any] = field(default_factory=list)
# convert arrow timestamp to unixtime in miliseconds # convert arrow timestamp to unixtime in miliseconds
def binance_timestamp(when): def binance_timestamp(when):
@ -263,17 +242,17 @@ async def get_client() -> Client:
# validation type # validation type
class AggTrade(BaseModel): class AggTrade(BaseModel):
e: str # "aggTrade", # Event type e: str # Event type
E: int # 123456789, # Event time E: int # Event time
s: str # "BNBBTC", # Symbol s: str # Symbol
a: int # 12345, # Aggregate trade ID a: int # Aggregate trade ID
p: float # "0.001", # Price p: float # Price
q: float # "100", # Quantity q: float # Quantity
f: int # 100, # First trade ID f: int # First trade ID
l: int # 105, # Last trade ID l: int # Last trade ID
T: int # 123456785, # Trade time T: int # Trade time
m: bool # true, # Is the buyer the market maker? m: bool # Is the buyer the market maker?
M: bool # true # Ignore M: bool # Ignore
async def stream_messages(ws): async def stream_messages(ws):