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
parent
9976bc3a3b
commit
ad92188703
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@ -2,7 +2,7 @@
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Kraken backend.
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Kraken backend.
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"""
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"""
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, asdict
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from dataclasses import dataclass, asdict, field
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from itertools import starmap
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from itertools import starmap
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from typing import List, Dict, Any
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from typing import List, Dict, Any
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import json
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import json
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@ -150,6 +150,19 @@ async def stream_quotes(
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async def recv():
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async def recv():
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return json.loads(await ws.get_message())
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return json.loads(await ws.get_message())
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async def recv_ohlc():
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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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err = msg.get('errorMessage')
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if err:
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raise BrokerError(err)
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else:
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chan_id, ohlc_array, chan_name, pair = msg
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yield OHLC(chan_id, chan_name, pair, *ohlc_array)
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@dataclass
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@dataclass
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class OHLC:
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class OHLC:
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chan_id: int # internal kraken id
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chan_id: int # internal kraken id
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@ -164,25 +177,33 @@ async def stream_quotes(
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vwap: float # Volume weighted average price within interval
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vwap: float # Volume weighted average price within interval
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volume: float # Accumulated volume within interval
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volume: float # Accumulated volume within interval
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count: int # Number of trades within interval
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count: int # Number of trades within interval
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# (sampled) generated tick data
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ticks: List[Any] = field(default_factory=list)
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# XXX: ugh, super hideous.. needs built-in converters.
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# XXX: ugh, super hideous.. needs built-in converters.
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def __post_init__(self):
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def __post_init__(self):
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for field, val in self.__dataclass_fields__.items():
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for f, val in self.__dataclass_fields__.items():
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setattr(self, field, val.type(getattr(self, field)))
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if f == 'ticks':
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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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continue
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err = msg.get('errorMessage')
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setattr(self, f, val.type(getattr(self, f)))
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if err:
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raise BrokerError(err)
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ohlc_gen = recv_ohlc()
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else:
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ohlc_last = await ohlc_gen.__anext__()
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chan_id, ohlc_array, chan_name, pair = msg
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yield asdict(ohlc_last)
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ohlc = OHLC(chan_id, chan_name, pair, *ohlc_array)
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async for ohlc in ohlc_gen:
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# debug
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print(ohlc)
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print(ohlc)
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volume = ohlc.volume
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vol_diff = volume - ohlc_last.volume
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if vol_diff:
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ohlc.ticks.append({
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'type': 'trade',
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'price': ohlc.close,
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'size': vol_diff,
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})
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yield asdict(ohlc)
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yield asdict(ohlc)
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ohlc_last = ohlc
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if __name__ == '__main__':
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if __name__ == '__main__':
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