Add L1 spread streaming to kraken
Tyler Goodlet
parent
043bc985df
commit
be4a3df7ba
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@ -176,8 +176,9 @@ class OHLC:
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setattr(self, f, val.type(getattr(self, f)))
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async def recv_ohlc(recv):
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async def recv_msg(recv):
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too_slow_count = last_hb = 0
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while True:
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with trio.move_on_after(1.5) as cs:
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msg = await recv()
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@ -194,20 +195,50 @@ async def recv_ohlc(recv):
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if isinstance(msg, dict):
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if msg.get('event') == 'heartbeat':
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now = time.time()
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delay = now - last_hb
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last_hb = now
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log.trace(f"Heartbeat after {delay}")
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# TODO: hmm i guess we should use this
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# for determining when to do connection
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# resets eh?
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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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chan_id, *payload_array, chan_name, pair = msg
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if 'ohlc' in chan_name:
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yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
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elif 'spread' in chan_name:
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bid, ask, ts, bsize, asize = map(float, payload_array[0])
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# TODO: really makes you think IB has a horrible API...
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quote = {
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'symbol': pair.replace('/', ''),
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'ticks': [
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{'type': 'bid', 'price': bid, 'size': bsize},
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{'type': 'bsize', 'price': bid, 'size': bsize},
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{'type': 'ask', 'price': ask, 'size': asize},
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{'type': 'asize', 'price': ask, 'size': asize},
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],
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}
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yield 'l1', quote
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# elif 'book' in msg[-2]:
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# chan_id, *payload_array, chan_name, pair = msg
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# print(msg)
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else:
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print(f'UNHANDLED MSG: {msg}')
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def normalize(
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@ -226,6 +257,21 @@ def normalize(
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return topic, quote
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def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
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"""Create a request subscription packet dict.
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https://docs.kraken.com/websockets/#message-subscribe
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"""
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# eg. specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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'pair': pairs,
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'event': 'subscribe',
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'subscription': data,
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}
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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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@ -247,6 +293,7 @@ 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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@ -280,31 +327,36 @@ async def stream_quotes(
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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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# XXX: 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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# specific logic for this in kraken's shitty sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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ohlc_sub = make_sub(
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list(ws_pairs.values()),
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{'name': 'ohlc', 'interval': 1}
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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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await ws.send_message(json.dumps(ohlc_sub))
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# trade data (aka L1)
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l1_sub = make_sub(
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list(ws_pairs.values()),
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{'name': 'spread'} # 'depth': 10}
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)
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await ws.send_message(json.dumps(l1_sub))
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async def recv():
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return json.loads(await ws.get_message())
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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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msg_gen = recv_msg(recv)
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typ, ohlc_last = await msg_gen.__anext__()
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topic, quote = normalize(ohlc_last)
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@ -315,65 +367,75 @@ async def stream_quotes(
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last_interval_start = ohlc_last.etime
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# start streaming
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async for ohlc in ohlc_gen:
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async for typ, ohlc in msg_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 typ == 'ohlc':
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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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# TODO: can get rid of all this by using
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# ``trades`` subscription...
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topic, quote = normalize(ohlc)
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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 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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o, high, low, v = shm.array[-1][
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['open', 'high', 'low', 'volume']
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]
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new_v = tick_volume
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# new interval
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if ohlc.etime > last_interval_start:
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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 v == 0 and new_v:
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# no trades for this bar yet so the open
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# is also the close/last trade price
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o = last
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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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# write shm
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shm.array[
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['open',
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'high',
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'low',
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'close',
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'vwap',
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'volume']
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][-1] = (
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o,
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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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volume,
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)
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topic, quote = normalize(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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o, high, low, v = shm.array[-1][
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['open', 'high', 'low', 'volume']
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]
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new_v = tick_volume
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if v == 0 and new_v:
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# no trades for this bar yet so the open
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# is also the close/last trade price
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o = last
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# write shm
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shm.array[
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['open',
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'high',
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'low',
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'close',
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'vwap',
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'volume']
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][-1] = (
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o,
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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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volume,
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)
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ohlc_last = ohlc
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elif typ == 'l1':
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quote = ohlc
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topic = quote['symbol']
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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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