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Code Issues 2 Pull Requests 4 Packages Projects Releases Wiki Activity

kraken: drop `OHLC.ticks` field and just inject to quote before send

basic_buy_bot
Tyler Goodlet 2023-06-20 14:33:32 -04:00
parent 65f2549d90
commit d9708e28c8
1 changed files with 14 additions and 14 deletions
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28
piker/brokers/kraken/feed.py
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@ -65,7 +65,7 @@ from .api import (
) )
class OHLC(Struct): class OHLC(Struct, frozen=True):
''' '''
Description of the flattened OHLC quote format. Description of the flattened OHLC quote format.
@ -76,6 +76,8 @@ class OHLC(Struct):
chan_id: int # internal kraken id chan_id: int # internal kraken id
chan_name: str # eg. ohlc-1 (name-interval) chan_name: str # eg. ohlc-1 (name-interval)
pair: str # fx pair pair: str # fx pair
# unpacked from array
time: float # Begin time of interval, in seconds since epoch time: float # Begin time of interval, in seconds since epoch
etime: float # End time of interval, in seconds since epoch etime: float # End time of interval, in seconds since epoch
open: float # Open price of interval open: float # Open price of interval
@ -85,8 +87,6 @@ class OHLC(Struct):
vwap: float # Volume weighted average price within interval vwap: float # Volume weighted average price within interval
volume: float # Accumulated volume **within interval** volume: float # Accumulated volume **within interval**
count: int # Number of trades within interval count: int # Number of trades within interval
# (sampled) generated tick data
ticks: list[Any] = []
async def stream_messages( async def stream_messages(
@ -150,14 +150,15 @@ async def process_data_feed_msgs(
pair pair
]: ]:
if 'ohlc' in chan_name: if 'ohlc' in chan_name:
array: list = payload_array[0]
ohlc = OHLC( ohlc = OHLC(
chan_id, chan_id,
chan_name, chan_name,
pair, pair,
*payload_array[0] *map(float, array[:-1]),
count=array[-1],
) )
ohlc.typecast() yield 'ohlc', ohlc.copy()
yield 'ohlc', ohlc
elif 'spread' in chan_name: elif 'spread' in chan_name:
@ -430,7 +431,7 @@ async def stream_quotes(
feed_is_live.set() feed_is_live.set()
# keep start of last interval for volume tracking # keep start of last interval for volume tracking
last_interval_start = ohlc_last.etime last_interval_start: float = ohlc_last.etime
# start streaming # start streaming
topic: str = mkt.bs_fqme topic: str = mkt.bs_fqme
@ -448,24 +449,23 @@ async def stream_quotes(
# new OHLC sample interval # new OHLC sample interval
if quote.etime > last_interval_start: if quote.etime > last_interval_start:
last_interval_start = quote.etime last_interval_start: float = quote.etime
tick_volume = volume tick_volume: float = volume
else: else:
# this is the tick volume *within the interval* # this is the tick volume *within the interval*
tick_volume = volume - ohlc_last.volume tick_volume: float = volume - ohlc_last.volume
ohlc_last = quote ohlc_last = quote
last = quote.close last = quote.close
quote = normalize(quote)
if tick_volume: if tick_volume:
quote.ticks.append({ quote['ticks'] = [{
'type': 'trade', 'type': 'trade',
'price': last, 'price': last,
'size': tick_volume, 'size': tick_volume,
}) }]
quote = normalize(quote)
case 'l1': case 'l1':
# passthrough quote msg # passthrough quote msg