binance: port `stream_messages()` to use `match:` and a new `L1` struct
Tyler Goodlet
parent
f6cd08c6fa
commit
af068c5c51
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@ -176,6 +176,18 @@ class OHLC(Struct):
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bar_wap: float = 0.0
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bar_wap: float = 0.0
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class L1(Struct):
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# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
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update_id: int
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sym: str
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bid: float
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bsize: float
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ask: float
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asize: float
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# convert datetime obj timestamp to unixtime in milliseconds
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# convert datetime obj timestamp to unixtime in milliseconds
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def binance_timestamp(
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def binance_timestamp(
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when: datetime
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when: datetime
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@ -363,48 +375,88 @@ async def stream_messages(
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) -> AsyncGenerator[NoBsWs, dict]:
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) -> AsyncGenerator[NoBsWs, dict]:
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# TODO: match syntax here!
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# TODO: match syntax here!
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msg: dict[str, Any]
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async for msg in ws:
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async for msg in ws:
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match msg:
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# for l1 streams binance doesn't add an event type field so
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# identify those messages by matching keys
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# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
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case {
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# NOTE: this is never an old value it seems, so
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# they are always sending real L1 spread updates.
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'u': upid, # update id
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's': sym,
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'b': bid,
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'B': bsize,
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'a': ask,
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'A': asize,
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}:
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# TODO: it would be super nice to have a `L1` piker type
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# which "renders" incremental tick updates from a packed
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# msg-struct:
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# - backend msgs after packed into the type such that we
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# can reduce IPC usage but without each backend having
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# to do that incremental update logic manually B)
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# - would it maybe be more efficient to use this instead?
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# https://binance-docs.github.io/apidocs/spot/en/#diff-depth-stream
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l1 = L1(
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update_id=upid,
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sym=sym,
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bid=bid,
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bsize=bsize,
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ask=ask,
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asize=asize,
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)
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l1.typecast()
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# for l1 streams binance doesn't add an event type field so
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# repack into piker's tick-quote format
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# identify those messages by matching keys
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yield 'l1', {
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# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
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'symbol': l1.sym,
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if msg.get('u'):
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'ticks': [
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sym = msg['s']
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{
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bid = float(msg['b'])
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'type': 'bid',
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bsize = float(msg['B'])
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'price': l1.bid,
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ask = float(msg['a'])
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'size': l1.bsize,
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asize = float(msg['A'])
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},
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{
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'type': 'bsize',
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'price': l1.bid,
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'size': l1.bsize,
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},
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{
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'type': 'ask',
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'price': l1.ask,
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'size': l1.asize,
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},
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{
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'type': 'asize',
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'price': l1.ask,
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'size': l1.asize,
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}
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]
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}
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yield 'l1', {
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# https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
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'symbol': sym,
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case {
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'ticks': [
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'e': 'aggTrade',
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{'type': 'bid', 'price': bid, 'size': bsize},
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}:
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{'type': 'bsize', 'price': bid, 'size': bsize},
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# NOTE: this is purely for a definition,
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{'type': 'ask', 'price': ask, 'size': asize},
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# ``msgspec.Struct`` does not runtime-validate until you
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{'type': 'asize', 'price': ask, 'size': asize}
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# decode/encode, see:
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]
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# https://jcristharif.com/msgspec/structs.html#type-validation
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}
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msg = AggTrade(**msg)
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msg.typecast()
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elif msg.get('e') == 'aggTrade':
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yield 'trade', {
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'symbol': msg.s,
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# NOTE: this is purely for a definition, ``msgspec.Struct``
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'last': msg.p,
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# does not runtime-validate until you decode/encode.
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'brokerd_ts': time.time(),
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# see: https://jcristharif.com/msgspec/structs.html#type-validation
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'ticks': [{
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msg = AggTrade(**msg)
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'type': 'trade',
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'price': msg.p,
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# TODO: type out and require this quote format
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'size': msg.q,
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# from all backends!
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'broker_ts': msg.T,
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yield 'trade', {
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}],
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'symbol': msg.s,
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}
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'last': msg.p,
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'brokerd_ts': time.time(),
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'ticks': [{
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'type': 'trade',
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'price': float(msg.p),
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'size': float(msg.q),
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'broker_ts': msg.T,
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}],
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}
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def make_sub(pairs: list[str], sub_name: str, uid: int) -> dict[str, str]:
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def make_sub(pairs: list[str], sub_name: str, uid: int) -> dict[str, str]:
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