Add shm support to kraken backend
Tyler Goodlet
parent
d4eb5ccca4
commit
bc65040601
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@ -3,8 +3,7 @@ Kraken backend.
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"""
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, asdict, field
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from itertools import starmap
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from typing import List, Dict, Any, Callable
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from typing import List, Dict, Any, Tuple, Optional
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import json
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import time
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@ -18,6 +17,12 @@ import tractor
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from ._util import resproc, SymbolNotFound, BrokerError
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from ..log import get_logger, get_console_log
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from ..data import (
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# iterticks,
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attach_shm_array,
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get_shm_token,
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subscribe_ohlc_for_increment,
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)
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log = get_logger(__name__)
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@ -26,7 +31,7 @@ log = get_logger(__name__)
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_url = 'https://api.kraken.com/0'
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# conversion to numpy worthy types
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# Broker specific ohlc schema which includes a vwap field
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_ohlc_dtype = [
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('index', int),
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('time', int),
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@ -34,9 +39,9 @@ _ohlc_dtype = [
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('high', float),
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('low', float),
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('close', float),
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('vwap', float),
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('volume', float),
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('count', int)
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('count', int),
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('vwap', float),
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]
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# UI components allow this to be declared such that additional
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@ -114,18 +119,24 @@ class Client:
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for i, bar in enumerate(bars):
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# normalize weird zero-ed vwap values..cmon kraken..
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# indicates vwap didn't change since last bar
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vwap = float(bar[-3])
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vwap = float(bar.pop(-3))
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if vwap != 0:
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last_nz_vwap = vwap
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if vwap == 0:
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bar[-3] = last_nz_vwap
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vwap = last_nz_vwap
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# re-insert vwap as the last of the fields
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bar.append(vwap)
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new_bars.append(
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(i,) + tuple(
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ftype(bar[j]) for j, (name, ftype) in enumerate(_ohlc_dtype[1:])
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ftype(bar[j]) for j, (name, ftype) in enumerate(
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_ohlc_dtype[1:]
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)
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)
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)
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return np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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return array
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except KeyError:
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raise SymbolNotFound(json['error'][0] + f': {symbol}')
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@ -215,15 +226,17 @@ def normalize(
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return topic, quote
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@tractor.msg.pub
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# @tractor.msg.pub
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async def stream_quotes(
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get_topics: Callable,
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shared_array_token: Tuple[str, str, str],
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# get_topics: Callable,
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shm_token: Tuple[str, str, List[tuple]],
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symbols: List[str] = ['XBTUSD', 'XMRUSD'],
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# These are the symbols not expected by the ws api
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# they are looked up inside this routine.
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symbols: List[str] = ['XBTUSD', 'XMRUSD'],
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sub_type: str = 'ohlc',
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loglevel: str = None,
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# compat with eventual ``tractor.msg.pub``
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topics: Optional[List[str]] = None,
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) -> None:
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"""Subscribe for ohlc stream of quotes for ``pairs``.
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@ -234,84 +247,114 @@ async def stream_quotes(
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ws_pairs = {}
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async with get_client() as client:
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# keep client cached for real-time section
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for sym in symbols:
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ws_pairs[sym] = (await client.symbol_info(sym))['wsname']
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while True:
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try:
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async with trio_websocket.open_websocket_url(
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'wss://ws.kraken.com',
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) as ws:
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# setup subs
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# see: https://docs.kraken.com/websockets/#message-subscribe
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subs = {
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'pair': list(ws_pairs.values()),
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'event': 'subscribe',
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'subscription': {
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'name': sub_type,
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'interval': 1, # 1 min
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# 'name': 'ticker',
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# 'name': 'openOrders',
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# 'depth': '25',
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},
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}
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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# since internally the ws methods appear to be FIFO
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# locked.
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await ws.send_message(json.dumps(subs))
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# maybe load historical ohlcv in to shared mem
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# check if shm has already been created by previous
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# feed initialization
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writer_exists = get_shm_token(shm_token['shm_name'])
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async def recv():
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return json.loads(await ws.get_message())
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symbol = symbols[0]
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# pull a first quote and deliver
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ohlc_gen = recv_ohlc(recv)
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ohlc_last = await ohlc_gen.__anext__()
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if not writer_exists:
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shm = attach_shm_array(
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token=shm_token,
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# we are writer
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readonly=False,
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)
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bars = await client.bars(symbol=symbol)
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topic, quote = normalize(ohlc_last)
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shm.push(bars)
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shm_token = shm.token
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# packetize as {topic: quote}
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yield {topic: quote}
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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subscribe_ohlc_for_increment(shm, delay_s)
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# keep start of last interval for volume tracking
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last_interval_start = ohlc_last.etime
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yield shm_token, not writer_exists
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# start streaming
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async for ohlc in ohlc_gen:
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while True:
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try:
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async with trio_websocket.open_websocket_url(
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'wss://ws.kraken.com',
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) as ws:
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# setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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subs = {
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'pair': list(ws_pairs.values()),
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'event': 'subscribe',
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'subscription': {
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'name': sub_type,
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'interval': 1, # 1 min
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# 'name': 'ticker',
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# 'name': 'openOrders',
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# 'depth': '25',
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},
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}
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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# since internally the ws methods appear to be FIFO
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# locked.
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await ws.send_message(json.dumps(subs))
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# generate tick values to match time & sales pane:
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# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
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volume = ohlc.volume
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if ohlc.etime > last_interval_start: # new interval
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last_interval_start = ohlc.etime
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tick_volume = volume
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else:
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# this is the tick volume *within the interval*
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tick_volume = volume - ohlc_last.volume
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async def recv():
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return json.loads(await ws.get_message())
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if tick_volume:
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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': tick_volume,
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})
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# pull a first quote and deliver
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ohlc_gen = recv_ohlc(recv)
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ohlc_last = await ohlc_gen.__anext__()
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topic, quote = normalize(ohlc)
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topic, quote = normalize(ohlc_last)
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# XXX: format required by ``tractor.msg.pub``
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# requires a ``Dict[topic: str, quote: dict]``
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# packetize as {topic: quote}
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yield {topic: quote}
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ohlc_last = ohlc
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# keep start of last interval for volume tracking
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last_interval_start = ohlc_last.etime
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except (ConnectionClosed, DisconnectionTimeout):
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log.exception("Good job kraken...reconnecting")
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# start streaming
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async for ohlc in ohlc_gen:
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# generate tick values to match time & sales pane:
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# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
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volume = ohlc.volume
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if ohlc.etime > last_interval_start: # new interval
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last_interval_start = ohlc.etime
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tick_volume = volume
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else:
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# this is the tick volume *within the interval*
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tick_volume = volume - ohlc_last.volume
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if __name__ == '__main__':
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last = ohlc.close
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if tick_volume:
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ohlc.ticks.append({
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'type': 'trade',
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'price': last,
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'size': tick_volume,
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})
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async def stream_ohlc():
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async for msg in stream_quotes():
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print(msg)
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topic, quote = normalize(ohlc)
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tractor.run(stream_ohlc)
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# if we are the lone tick writer start writing
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# the buffer with appropriate trade data
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if not writer_exists:
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# update last entry
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# benchmarked in the 4-5 us range
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high, low = shm.array[-1][['high', 'low']]
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shm.array[['high', 'low', 'close', 'vwap']][-1] = (
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max(high, last),
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min(low, last),
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last,
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ohlc.vwap,
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)
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# XXX: format required by ``tractor.msg.pub``
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# requires a ``Dict[topic: str, quote: dict]``
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yield {topic: quote}
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ohlc_last = ohlc
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except (ConnectionClosed, DisconnectionTimeout):
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log.exception("Good job kraken...reconnecting")
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