Make ws loop restart on connection failures
Tyler Goodlet
parent
d976f3d074
commit
bf9a0136df
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@ -7,7 +7,7 @@ from itertools import starmap
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from typing import List, Dict, Any
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import json
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from trio_websocket import open_websocket_url
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import trio_websocket
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import arrow
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import asks
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import numpy as np
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@ -114,6 +114,31 @@ async def get_client() -> Client:
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yield Client()
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@dataclass
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class OHLC:
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chan_id: int # internal kraken id
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chan_name: str # eg. ohlc-1 (name-interval)
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pair: str # fx pair
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time: float # Begin time of interval, in seconds since epoch
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etime: float # End time of interval, in seconds since epoch
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open: float # Open price of interval
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high: float # High price within interval
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low: float # Low price within interval
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close: float # Close price of interval
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vwap: float # Volume weighted average price within interval
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volume: float # Accumulated volume **within interval**
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count: int # Number of trades within interval
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# (sampled) generated tick data
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ticks: List[Any] = field(default_factory=list)
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# XXX: ugh, super hideous.. needs built-in converters.
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def __post_init__(self):
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for f, val in self.__dataclass_fields__.items():
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if f == 'ticks':
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continue
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setattr(self, f, val.type(getattr(self, f)))
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async def stream_quotes(
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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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@ -133,93 +158,71 @@ async def stream_quotes(
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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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async with 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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await ws.send_message(json.dumps(subs))
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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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await ws.send_message(json.dumps(subs))
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async def recv():
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return json.loads(await ws.get_message())
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async def recv():
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return json.loads(await ws.get_message())
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async def recv_ohlc():
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while True:
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msg = await recv()
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if isinstance(msg, dict):
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if msg.get('event') == 'heartbeat':
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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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async def recv_ohlc():
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while True:
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msg = await recv()
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if isinstance(msg, dict):
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if msg.get('event') == 'heartbeat':
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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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@dataclass
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class OHLC:
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chan_id: int # internal kraken id
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chan_name: str # eg. ohlc-1 (name-interval)
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pair: str # fx pair
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time: float # Begin time of interval, in seconds since epoch
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etime: float # End time of interval, in seconds since epoch
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open: float # Open price of interval
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high: float # High price within interval
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low: float # Low price within interval
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close: float # Close price of interval
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vwap: float # Volume weighted average price within interval
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volume: float # Accumulated volume **within interval**
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count: int # Number of trades within interval
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# (sampled) generated tick data
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ticks: List[Any] = field(default_factory=list)
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ohlc_gen = recv_ohlc()
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ohlc_last = await ohlc_gen.__anext__()
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yield asdict(ohlc_last)
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# XXX: ugh, super hideous.. needs built-in converters.
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def __post_init__(self):
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for f, val in self.__dataclass_fields__.items():
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if f == 'ticks':
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continue
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setattr(self, f, val.type(getattr(self, f)))
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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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ohlc_gen = recv_ohlc()
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ohlc_last = await ohlc_gen.__anext__()
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yield asdict(ohlc_last)
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async for ohlc in ohlc_gen:
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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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# 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 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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log.debug(
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f"New interval last: {ohlc_last.time}, now: {ohlc.time}")
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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 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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yield asdict(ohlc)
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ohlc_last = ohlc
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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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yield asdict(ohlc)
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ohlc_last = ohlc
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except trio_websocket._impl.ConnectionClosed:
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log.error("Good job kraken...")
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if __name__ == '__main__':
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