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Drop remaining `pydantic` usage, convert `OHLC` to our struct variant

kraken_userref_hackzin
Tyler Goodlet 2022-07-30 14:30:48 -04:00
parent db564d7977
commit b3058b8c78
2 changed files with 28 additions and 30 deletions
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26
piker/brokers/kraken/api.py
View File

@ -34,7 +34,6 @@ import pendulum
import asks
from fuzzywuzzy import process as fuzzy
import numpy as np
from pydantic.dataclasses import dataclass
import urllib.parse
import hashlib
import hmac
@ -78,31 +77,6 @@ _symbol_info_translation: dict[str, str] = {
}
@dataclass
class OHLC:
'''
Description of the flattened OHLC quote format.
For schema details see:
https://docs.kraken.com/websockets/#message-ohlc
'''
chan_id: int # internal kraken id
chan_name: str # eg. ohlc-1 (name-interval)
pair: str # fx pair
time: float # Begin time of interval, in seconds since epoch
etime: float # End time of interval, in seconds since epoch
open: float # Open price of interval
high: float # High price within interval
low: float # Low price within interval
close: float # Close price of interval
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)
def get_config() -> dict[str, Any]:
conf, path = config.load()

32
piker/brokers/kraken/feed.py
View File

@ -19,7 +19,6 @@ Real-time and historical data feed endpoints.
'''
from contextlib import asynccontextmanager as acm
from dataclasses import asdict
from datetime import datetime
from typing import (
Any,
@ -50,7 +49,6 @@ from piker.data._web_bs import open_autorecon_ws, NoBsWs
from . import log
from .api import (
Client,
OHLC,
)
@ -88,6 +86,30 @@ class Pair(Struct):
ordermin: float # minimum order volume for pair
class OHLC(Struct):
'''
Description of the flattened OHLC quote format.
For schema details see:
https://docs.kraken.com/websockets/#message-ohlc
'''
chan_id: int # internal kraken id
chan_name: str # eg. ohlc-1 (name-interval)
pair: str # fx pair
time: float # Begin time of interval, in seconds since epoch
etime: float # End time of interval, in seconds since epoch
open: float # Open price of interval
high: float # High price within interval
low: float # Low price within interval
close: float # Close price of interval
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] = []
async def stream_messages(
ws: NoBsWs,
):
@ -176,12 +198,14 @@ async def process_data_feed_msgs(
pair
]:
if 'ohlc' in chan_name:
yield 'ohlc', OHLC(
ohlc = OHLC(
chan_id,
chan_name,
pair,
*payload_array[0]
)
ohlc.typecast()
yield 'ohlc', ohlc
elif 'spread' in chan_name:
@ -214,7 +238,7 @@ def normalize(
ohlc: OHLC,
) -> dict:
quote = asdict(ohlc)
quote = ohlc.to_dict()
quote['broker_ts'] = quote['time']
quote['brokerd_ts'] = time.time()
quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')