kucoin: port to new `NoBsWs` api semantics
No longer need to implement connection timeout logic in the streaming code, instead we just `async for` that bby B) Further refining: - better `KucoinTrade` msg parsing and handling with object cases. - make `subscribe()` do sub request in a loop wand wair for acks.master
Tyler Goodlet
parent
c6e5368520
commit
e06f9dc5c0
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@ -1,4 +1,6 @@
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# Copyright (C) Jared Goldman (in stewardship for pikers)
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# Copyright (C) (in stewardship for pikers)
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# - Jared Goldman
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# - Tyler Goodlet
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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@ -693,7 +695,6 @@ async def stream_quotes(
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),
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) as ws,
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open_ping_task(ws, ping_interval, connect_id),
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# subscribe(ws, connect_id, kucoin_sym),
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aclosing(stream_messages(ws, sym_str)) as msg_gen,
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):
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typ, quote = await anext(msg_gen)
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@ -716,43 +717,48 @@ async def subscribe(
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connect_id,
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bs_mktid,
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) -> AsyncGenerator[None, None]:
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# level 2 sub
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await ws.send_msg(
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{
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'id': connect_id,
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'type': 'subscribe',
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'topic': f'/spotMarket/level2Depth5:{bs_mktid}',
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'privateChannel': False,
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'response': True,
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}
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)
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# subs are filled in with `bs_mktid` from avbove
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topics: list[str] = [
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'/market/ticker:{bs_mktid}', # clearing events
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'/spotMarket/level2Depth5:{bs_mktid}', # level 2
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],
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# watch trades
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await ws.send_msg(
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{
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'id': connect_id,
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'type': 'subscribe',
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'topic': f'/market/ticker:{bs_mktid}',
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'privateChannel': False,
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'response': True,
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}
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)
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) -> AsyncGenerator[None, None]:
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eps: list[str] = []
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for topic in topics:
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ep: str = topic.format(bs_mktid=bs_mktid)
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eps.append(ep)
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await ws.send_msg(
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{
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'id': connect_id,
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'type': 'subscribe',
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'topic': ep,
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# 'topic': f'/spotMarket/level2Depth5:{bs_mktid}',
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'privateChannel': False,
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'response': True,
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}
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)
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for _ in topics:
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ack_msg = await ws.recv_msg()
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log.info(f'Sub ACK: {ack_msg}')
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yield
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# unsub
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if ws.connected():
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log.info(f'Unsubscribing to {bs_mktid} feed')
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await ws.send_msg(
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{
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'id': connect_id,
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'type': 'unsubscribe',
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'topic': f'/market/ticker:{bs_mktid}',
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'privateChannel': False,
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'response': True,
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}
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)
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for ep in eps:
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await ws.send_msg(
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{
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'id': connect_id,
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'type': 'unsubscribe',
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'topic': ep,
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'privateChannel': False,
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'response': True,
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}
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)
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async def stream_messages(
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@ -760,80 +766,81 @@ async def stream_messages(
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sym: str,
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) -> AsyncGenerator[tuple[str, dict], None]:
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timeouts = 0
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last_trade_ts = 0
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'''
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Core (live) feed msg handler: relay market events
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to the piker-ized tick-stream format.
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while True:
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with trio.move_on_after(3) as cs:
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msg = await ws.recv_msg()
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if cs.cancelled_caught:
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timeouts += 1
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if timeouts > 2:
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log.error(
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'kucoin feed is sh**ing the bed... rebooting...')
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await ws._connect()
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'''
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last_trade_ts: float = 0
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async for dict_msg in ws:
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if 'subject' not in dict_msg:
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log.warn(f'Unhandled message: {dict_msg}')
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continue
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if msg.get('subject'):
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msg = KucoinMsg(**msg)
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match msg.subject:
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case 'trade.ticker':
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trade_data = KucoinTrade(**msg.data)
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# XXX: Filter for duplicate messages as ws feed will
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# send duplicate market state
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# https://docs.kucoin.com/#level2-5-best-ask-bid-orders
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if trade_data.time == last_trade_ts:
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continue
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msg = KucoinMsg(**dict_msg)
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match msg:
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case KucoinMsg(
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subject='trade.ticker',
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):
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trade_data = KucoinTrade(**msg.data)
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last_trade_ts = trade_data.time
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# XXX: Filter for duplicate messages as ws feed will
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# send duplicate market state
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# https://docs.kucoin.com/#level2-5-best-ask-bid-orders
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if trade_data.time == last_trade_ts:
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continue
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yield 'trade', {
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'symbol': sym,
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'last': trade_data.price,
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'brokerd_ts': last_trade_ts,
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'ticks': [
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{
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'type': 'trade',
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'price': float(trade_data.price),
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'size': float(trade_data.size),
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'broker_ts': last_trade_ts,
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}
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],
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}
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last_trade_ts = trade_data.time
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case 'level2':
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l2_data = KucoinL2(**msg.data)
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first_ask = l2_data.asks[0]
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first_bid = l2_data.bids[0]
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yield 'l1', {
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'symbol': sym,
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'ticks': [
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{
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'type': 'bid',
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'price': float(first_bid[0]),
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'size': float(first_bid[1]),
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},
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{
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'type': 'bsize',
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'price': float(first_bid[0]),
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'size': float(first_bid[1]),
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},
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{
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'type': 'ask',
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'price': float(first_ask[0]),
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'size': float(first_ask[1]),
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},
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{
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'type': 'asize',
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'price': float(first_ask[0]),
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'size': float(first_ask[1]),
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},
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],
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}
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yield 'trade', {
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'symbol': sym,
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'last': trade_data.price,
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'brokerd_ts': last_trade_ts,
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'ticks': [
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{
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'type': 'trade',
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'price': float(trade_data.price),
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'size': float(trade_data.size),
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'broker_ts': last_trade_ts,
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}
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],
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}
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case _:
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log.warn(f'Unhandled message: {msg}')
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case KucoinMsg(
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subject='level2',
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):
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l2_data = KucoinL2(**msg.data)
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first_ask = l2_data.asks[0]
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first_bid = l2_data.bids[0]
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yield 'l1', {
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'symbol': sym,
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'ticks': [
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{
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'type': 'bid',
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'price': float(first_bid[0]),
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'size': float(first_bid[1]),
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},
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{
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'type': 'bsize',
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'price': float(first_bid[0]),
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'size': float(first_bid[1]),
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},
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{
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'type': 'ask',
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'price': float(first_ask[0]),
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'size': float(first_ask[1]),
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},
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{
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'type': 'asize',
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'price': float(first_ask[0]),
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'size': float(first_ask[1]),
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},
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],
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}
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case _:
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log.warn(f'Unhandled message: {msg}')
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@acm
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