Support new normalized ticks format with kraken

Generate tick datums in a list under a `ticks` field in each quote
kinda like how IB does it.
unleash_the_kraken
Tyler Goodlet 2020-07-31 00:11:17 -04:00
parent 9976bc3a3b
commit ad92188703
1 changed files with 37 additions and 16 deletions

View File

@ -2,7 +2,7 @@
Kraken backend.
"""
from contextlib import asynccontextmanager
from dataclasses import dataclass, asdict
from dataclasses import dataclass, asdict, field
from itertools import starmap
from typing import List, Dict, Any
import json
@ -150,6 +150,19 @@ async def stream_quotes(
async def recv():
return json.loads(await ws.get_message())
async def recv_ohlc():
while True:
msg = await recv()
if isinstance(msg, dict):
if msg.get('event') == 'heartbeat':
continue
err = msg.get('errorMessage')
if err:
raise BrokerError(err)
else:
chan_id, ohlc_array, chan_name, pair = msg
yield OHLC(chan_id, chan_name, pair, *ohlc_array)
@dataclass
class OHLC:
chan_id: int # internal kraken id
@ -164,25 +177,33 @@ async def stream_quotes(
vwap: float # Volume weighted average price within interval
volume: float # Accumulated volume within interval
count: int # Number of trades within interval
# (sampled) generated tick data
ticks: List[Any] = field(default_factory=list)
# XXX: ugh, super hideous.. needs built-in converters.
def __post_init__(self):
for field, val in self.__dataclass_fields__.items():
setattr(self, field, val.type(getattr(self, field)))
for f, val in self.__dataclass_fields__.items():
if f == 'ticks':
continue
setattr(self, f, val.type(getattr(self, f)))
while True:
msg = await recv()
if isinstance(msg, dict):
if msg.get('event') == 'heartbeat':
continue
err = msg.get('errorMessage')
if err:
raise BrokerError(err)
else:
chan_id, ohlc_array, chan_name, pair = msg
ohlc = OHLC(chan_id, chan_name, pair, *ohlc_array)
print(ohlc)
yield asdict(ohlc)
ohlc_gen = recv_ohlc()
ohlc_last = await ohlc_gen.__anext__()
yield asdict(ohlc_last)
async for ohlc in ohlc_gen:
# debug
print(ohlc)
volume = ohlc.volume
vol_diff = volume - ohlc_last.volume
if vol_diff:
ohlc.ticks.append({
'type': 'trade',
'price': ohlc.close,
'size': vol_diff,
})
yield asdict(ohlc)
ohlc_last = ohlc
if __name__ == '__main__':