Include vwap in kraken historical bars
parent
0b42ac1420
commit
b13da849d0
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@ -27,7 +27,7 @@ _url = 'https://api.kraken.com/0'
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# conversion to numpy worthy types
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ohlc_dtype = [
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_ohlc_dtype = [
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('index', int),
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('time', int),
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('open', float),
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@ -39,6 +39,10 @@ ohlc_dtype = [
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('count', int)
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]
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# UI components allow this to be declared such that additional
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# (historical) fields can be exposed.
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ohlc_dtype = np.dtype(_ohlc_dtype)
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class Client:
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@ -103,11 +107,11 @@ class Client:
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lambda i, bar:
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(i,) + tuple(
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ftype(bar[i]) for i, (name, ftype)
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in enumerate(ohlc_dtype[1:])
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in enumerate(_ohlc_dtype[1:])
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),
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enumerate(bars))
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)
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return np.array(bars, dtype=ohlc_dtype) if as_np else bars
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return np.array(bars, dtype=_ohlc_dtype) if as_np else bars
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except KeyError:
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raise SymbolNotFound(json['error'][0] + f': {symbol}')
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@ -193,7 +197,7 @@ def normalize(
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# in subscription systems...
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topic = quote['pair'].replace('/', '')
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print(quote)
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# print(quote)
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return topic, quote
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