Add fill_bars function to kraken
Guillermo Rodriguez
parent
b1fd986a3a
commit
e56d065dbc
|
|
@ -17,6 +17,8 @@
|
|||
"""
|
||||
Kraken backend.
|
||||
"""
|
||||
|
||||
import sys
|
||||
from contextlib import asynccontextmanager
|
||||
from dataclasses import dataclass, asdict, field
|
||||
from typing import List, Dict, Any, Tuple, Optional, AsyncIterator
|
||||
|
|
@ -290,173 +292,53 @@ def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
|
|||
}
|
||||
|
||||
|
||||
# @tractor.msg.pub
|
||||
#async def stream_quotes(
|
||||
# # get_topics: Callable,
|
||||
# shm_token: Tuple[str, str, List[tuple]],
|
||||
# symbols: List[str] = ['XBTUSD', 'XMRUSD'],
|
||||
# # These are the symbols not expected by the ws api
|
||||
# # they are looked up inside this routine.
|
||||
# sub_type: str = 'ohlc',
|
||||
# loglevel: str = None,
|
||||
# # compat with eventual ``tractor.msg.pub``
|
||||
# topics: Optional[List[str]] = None,
|
||||
#) -> None:
|
||||
# """Subscribe for ohlc stream of quotes for ``pairs``.
|
||||
#
|
||||
# ``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
|
||||
# """
|
||||
# # XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
# get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
#
|
||||
# ws_pairs = {}
|
||||
# async with get_client() as client:
|
||||
#
|
||||
# # keep client cached for real-time section
|
||||
# for sym in symbols:
|
||||
# ws_pairs[sym] = (await client.symbol_info(sym))['wsname']
|
||||
#
|
||||
# # maybe load historical ohlcv in to shared mem
|
||||
# # check if shm has already been created by previous
|
||||
# # feed initialization
|
||||
# writer_exists = get_shm_token(shm_token['shm_name'])
|
||||
#
|
||||
# symbol = symbols[0]
|
||||
#
|
||||
# if not writer_exists:
|
||||
# shm = attach_shm_array(
|
||||
# token=shm_token,
|
||||
# # we are writer
|
||||
# readonly=False,
|
||||
# )
|
||||
# bars = await client.bars(symbol=symbol)
|
||||
#
|
||||
# shm.push(bars)
|
||||
# shm_token = shm.token
|
||||
#
|
||||
# times = shm.array['time']
|
||||
# delay_s = times[-1] - times[times != times[-1]][-1]
|
||||
# subscribe_ohlc_for_increment(shm, delay_s)
|
||||
#
|
||||
# yield shm_token, not writer_exists
|
||||
#
|
||||
# while True:
|
||||
# try:
|
||||
# async with trio_websocket.open_websocket_url(
|
||||
# 'wss://ws.kraken.com/',
|
||||
# ) as ws:
|
||||
#
|
||||
# # XXX: setup subs
|
||||
# # https://docs.kraken.com/websockets/#message-subscribe
|
||||
# # specific logic for this in kraken's shitty sync client:
|
||||
# # https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
# ohlc_sub = make_sub(
|
||||
# list(ws_pairs.values()),
|
||||
# {'name': 'ohlc', 'interval': 1}
|
||||
# )
|
||||
#
|
||||
# # TODO: we want to eventually allow unsubs which should
|
||||
# # be completely fine to request from a separate task
|
||||
# # since internally the ws methods appear to be FIFO
|
||||
# # locked.
|
||||
# await ws.send_message(json.dumps(ohlc_sub))
|
||||
#
|
||||
# # trade data (aka L1)
|
||||
# l1_sub = make_sub(
|
||||
# list(ws_pairs.values()),
|
||||
# {'name': 'spread'} # 'depth': 10}
|
||||
#
|
||||
# )
|
||||
# await ws.send_message(json.dumps(l1_sub))
|
||||
#
|
||||
# async def recv():
|
||||
# return json.loads(await ws.get_message())
|
||||
#
|
||||
# # pull a first quote and deliver
|
||||
# msg_gen = recv_msg(recv)
|
||||
# typ, ohlc_last = await msg_gen.__anext__()
|
||||
#
|
||||
# topic, quote = normalize(ohlc_last)
|
||||
#
|
||||
# # packetize as {topic: quote}
|
||||
# yield {topic: quote}
|
||||
#
|
||||
# # keep start of last interval for volume tracking
|
||||
# last_interval_start = ohlc_last.etime
|
||||
#
|
||||
# # start streaming
|
||||
# async for typ, ohlc in msg_gen:
|
||||
#
|
||||
# if typ == 'ohlc':
|
||||
#
|
||||
# # TODO: can get rid of all this by using
|
||||
# # ``trades`` subscription...
|
||||
#
|
||||
# # generate tick values to match time & sales pane:
|
||||
# # https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
|
||||
# volume = ohlc.volume
|
||||
#
|
||||
# # new interval
|
||||
# if ohlc.etime > last_interval_start:
|
||||
# last_interval_start = ohlc.etime
|
||||
# tick_volume = volume
|
||||
# else:
|
||||
# # this is the tick volume *within the interval*
|
||||
# tick_volume = volume - ohlc_last.volume
|
||||
#
|
||||
# last = ohlc.close
|
||||
# if tick_volume:
|
||||
# ohlc.ticks.append({
|
||||
# 'type': 'trade',
|
||||
# 'price': last,
|
||||
# 'size': tick_volume,
|
||||
# })
|
||||
#
|
||||
# topic, quote = normalize(ohlc)
|
||||
#
|
||||
# # if we are the lone tick writer start writing
|
||||
# # the buffer with appropriate trade data
|
||||
# if not writer_exists:
|
||||
# # update last entry
|
||||
# # benchmarked in the 4-5 us range
|
||||
# o, high, low, v = shm.array[-1][
|
||||
# ['open', 'high', 'low', 'volume']
|
||||
# ]
|
||||
# new_v = tick_volume
|
||||
#
|
||||
# if v == 0 and new_v:
|
||||
# # no trades for this bar yet so the open
|
||||
# # is also the close/last trade price
|
||||
# o = last
|
||||
#
|
||||
# # write shm
|
||||
# shm.array[
|
||||
# ['open',
|
||||
# 'high',
|
||||
# 'low',
|
||||
# 'close',
|
||||
# 'bar_wap', # in this case vwap of bar
|
||||
# 'volume']
|
||||
# ][-1] = (
|
||||
# o,
|
||||
# max(high, last),
|
||||
# min(low, last),
|
||||
# last,
|
||||
# ohlc.vwap,
|
||||
# volume,
|
||||
# )
|
||||
# ohlc_last = ohlc
|
||||
#
|
||||
# elif typ == 'l1':
|
||||
# quote = ohlc
|
||||
# topic = quote['symbol']
|
||||
#
|
||||
# # XXX: format required by ``tractor.msg.pub``
|
||||
# # requires a ``Dict[topic: str, quote: dict]``
|
||||
# yield {topic: quote}
|
||||
#
|
||||
# except (ConnectionClosed, DisconnectionTimeout):
|
||||
# log.exception("Good job kraken...reconnecting")
|
||||
async def fill_bars(
|
||||
first_bars,
|
||||
shm,
|
||||
symbol: str,
|
||||
count: int = 75
|
||||
) -> None:
|
||||
|
||||
async with get_client() as client:
|
||||
|
||||
next_dt = first_bars[0][1]
|
||||
i = 0
|
||||
while i < count:
|
||||
|
||||
try:
|
||||
bars_array = await client.bars(
|
||||
symbol=symbol,
|
||||
since=arrow.get(next_dt).floor('minute')
|
||||
.shift(minutes=-720).timestamp
|
||||
)
|
||||
shm.push(bars_array, prepend=True)
|
||||
i += 1
|
||||
next_dt = bars_array[0][1]
|
||||
|
||||
await trio.sleep(5)
|
||||
|
||||
except BaseException as e:
|
||||
log.exception(e)
|
||||
await tractor.breakpoint()
|
||||
|
||||
|
||||
_local_buffer_writers = {}
|
||||
|
||||
|
||||
@asynccontextmanager
|
||||
async def activate_writer(key: str) -> (bool, trio.Nursery):
|
||||
try:
|
||||
writer_already_exists = _local_buffer_writers.get(key, False)
|
||||
|
||||
if not writer_already_exists:
|
||||
_local_buffer_writers[key] = True
|
||||
|
||||
async with trio.open_nursery() as n:
|
||||
yield writer_already_exists, n
|
||||
else:
|
||||
yield writer_already_exists, None
|
||||
finally:
|
||||
_local_buffer_writers.pop(key, None)
|
||||
|
||||
|
||||
@tractor.stream
|
||||
|
|
@ -473,150 +355,152 @@ async def stream_quotes(
|
|||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
ws_pairs = {}
|
||||
async with get_client() as client:
|
||||
async with activate_writer(
|
||||
shm_token['shm_name']
|
||||
) as (writer_already_exists, ln):
|
||||
async with get_client() as client:
|
||||
|
||||
# keep client cached for real-time section
|
||||
for sym in symbols:
|
||||
ws_pairs[sym] = (await client.symbol_info(sym))['wsname']
|
||||
# keep client cached for real-time section
|
||||
for sym in symbols:
|
||||
ws_pairs[sym] = (await client.symbol_info(sym))['wsname']
|
||||
|
||||
writer_exists = get_shm_token(shm_token['shm_name'])
|
||||
symbol = symbols[0]
|
||||
symbol = symbols[0]
|
||||
|
||||
await tractor.breakpoint()
|
||||
if not writer_already_exists:
|
||||
shm = attach_shm_array(
|
||||
token=shm_token,
|
||||
# we are writer
|
||||
readonly=False,
|
||||
)
|
||||
bars = await client.bars(symbol=symbol)
|
||||
|
||||
if not writer_exists:
|
||||
shm = attach_shm_array(
|
||||
token=shm_token,
|
||||
# we are writer
|
||||
readonly=False,
|
||||
)
|
||||
bars = await client.bars(symbol=symbol)
|
||||
shm.push(bars)
|
||||
shm_token = shm.token
|
||||
|
||||
shm.push(bars)
|
||||
shm_token = shm.token
|
||||
ln.start_soon(fill_bars, bars, shm, symbol)
|
||||
|
||||
times = shm.array['time']
|
||||
delay_s = times[-1] - times[times != times[-1]][-1]
|
||||
subscribe_ohlc_for_increment(shm, delay_s)
|
||||
times = shm.array['time']
|
||||
delay_s = times[-1] - times[times != times[-1]][-1]
|
||||
subscribe_ohlc_for_increment(shm, delay_s)
|
||||
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
await ctx.send_yield((shm_token, not writer_exists))
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
await ctx.send_yield((shm_token, not writer_already_exists))
|
||||
|
||||
while True:
|
||||
try:
|
||||
async with trio_websocket.open_websocket_url(
|
||||
'wss://ws.kraken.com',
|
||||
) as ws:
|
||||
while True:
|
||||
try:
|
||||
async with trio_websocket.open_websocket_url(
|
||||
'wss://ws.kraken.com',
|
||||
) as ws:
|
||||
|
||||
# XXX: setup subs
|
||||
# https://docs.kraken.com/websockets/#message-subscribe
|
||||
# specific logic for this in kraken's shitty sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
ohlc_sub = make_sub(
|
||||
list(ws_pairs.values()),
|
||||
{'name': 'ohlc', 'interval': 1}
|
||||
)
|
||||
# XXX: setup subs
|
||||
# https://docs.kraken.com/websockets/#message-subscribe
|
||||
# specific logic for this in kraken's shitty sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
ohlc_sub = make_sub(
|
||||
list(ws_pairs.values()),
|
||||
{'name': 'ohlc', 'interval': 1}
|
||||
)
|
||||
|
||||
# TODO: we want to eventually allow unsubs which should
|
||||
# be completely fine to request from a separate task
|
||||
# since internally the ws methods appear to be FIFO
|
||||
# locked.
|
||||
await ws.send_message(json.dumps(ohlc_sub))
|
||||
# TODO: we want to eventually allow unsubs which should
|
||||
# be completely fine to request from a separate task
|
||||
# since internally the ws methods appear to be FIFO
|
||||
# locked.
|
||||
await ws.send_message(json.dumps(ohlc_sub))
|
||||
|
||||
# trade data (aka L1)
|
||||
l1_sub = make_sub(
|
||||
list(ws_pairs.values()),
|
||||
{'name': 'spread'} # 'depth': 10}
|
||||
# trade data (aka L1)
|
||||
l1_sub = make_sub(
|
||||
list(ws_pairs.values()),
|
||||
{'name': 'spread'} # 'depth': 10}
|
||||
|
||||
)
|
||||
await ws.send_message(json.dumps(l1_sub))
|
||||
)
|
||||
await ws.send_message(json.dumps(l1_sub))
|
||||
|
||||
async def recv():
|
||||
return json.loads(await ws.get_message())
|
||||
async def recv():
|
||||
return json.loads(await ws.get_message())
|
||||
|
||||
# pull a first quote and deliver
|
||||
msg_gen = recv_msg(recv)
|
||||
typ, ohlc_last = await msg_gen.__anext__()
|
||||
# pull a first quote and deliver
|
||||
msg_gen = recv_msg(recv)
|
||||
typ, ohlc_last = await msg_gen.__anext__()
|
||||
|
||||
topic, quote = normalize(ohlc_last)
|
||||
topic, quote = normalize(ohlc_last)
|
||||
|
||||
# packetize as {topic: quote}
|
||||
await ctx.send_yield({topic: quote})
|
||||
|
||||
# keep start of last interval for volume tracking
|
||||
last_interval_start = ohlc_last.etime
|
||||
|
||||
# start streaming
|
||||
async for typ, ohlc in msg_gen:
|
||||
|
||||
if typ == 'ohlc':
|
||||
|
||||
# TODO: can get rid of all this by using
|
||||
# ``trades`` subscription...
|
||||
|
||||
# generate tick values to match time & sales pane:
|
||||
# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
|
||||
volume = ohlc.volume
|
||||
|
||||
# new interval
|
||||
if ohlc.etime > last_interval_start:
|
||||
last_interval_start = ohlc.etime
|
||||
tick_volume = volume
|
||||
else:
|
||||
# this is the tick volume *within the interval*
|
||||
tick_volume = volume - ohlc_last.volume
|
||||
|
||||
last = ohlc.close
|
||||
if tick_volume:
|
||||
ohlc.ticks.append({
|
||||
'type': 'trade',
|
||||
'price': last,
|
||||
'size': tick_volume,
|
||||
})
|
||||
|
||||
topic, quote = normalize(ohlc)
|
||||
|
||||
# if we are the lone tick writer start writing
|
||||
# the buffer with appropriate trade data
|
||||
if not writer_exists:
|
||||
# update last entry
|
||||
# benchmarked in the 4-5 us range
|
||||
o, high, low, v = shm.array[-1][
|
||||
['open', 'high', 'low', 'volume']
|
||||
]
|
||||
new_v = tick_volume
|
||||
|
||||
if v == 0 and new_v:
|
||||
# no trades for this bar yet so the open
|
||||
# is also the close/last trade price
|
||||
o = last
|
||||
|
||||
# write shm
|
||||
shm.array[
|
||||
['open',
|
||||
'high',
|
||||
'low',
|
||||
'close',
|
||||
'bar_wap', # in this case vwap of bar
|
||||
'volume']
|
||||
][-1] = (
|
||||
o,
|
||||
max(high, last),
|
||||
min(low, last),
|
||||
last,
|
||||
ohlc.vwap,
|
||||
volume,
|
||||
)
|
||||
ohlc_last = ohlc
|
||||
|
||||
elif typ == 'l1':
|
||||
quote = ohlc
|
||||
topic = quote['symbol']
|
||||
|
||||
# XXX: format required by ``tractor.msg.pub``
|
||||
# requires a ``Dict[topic: str, quote: dict]``
|
||||
# packetize as {topic: quote}
|
||||
await ctx.send_yield({topic: quote})
|
||||
|
||||
except (ConnectionClosed, DisconnectionTimeout):
|
||||
log.exception("Good job kraken...reconnecting")
|
||||
# keep start of last interval for volume tracking
|
||||
last_interval_start = ohlc_last.etime
|
||||
|
||||
# start streaming
|
||||
async for typ, ohlc in msg_gen:
|
||||
|
||||
if typ == 'ohlc':
|
||||
|
||||
# TODO: can get rid of all this by using
|
||||
# ``trades`` subscription...
|
||||
|
||||
# generate tick values to match time & sales pane:
|
||||
# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
|
||||
volume = ohlc.volume
|
||||
|
||||
# new interval
|
||||
if ohlc.etime > last_interval_start:
|
||||
last_interval_start = ohlc.etime
|
||||
tick_volume = volume
|
||||
else:
|
||||
# this is the tick volume *within the interval*
|
||||
tick_volume = volume - ohlc_last.volume
|
||||
|
||||
last = ohlc.close
|
||||
if tick_volume:
|
||||
ohlc.ticks.append({
|
||||
'type': 'trade',
|
||||
'price': last,
|
||||
'size': tick_volume,
|
||||
})
|
||||
|
||||
topic, quote = normalize(ohlc)
|
||||
|
||||
# if we are the lone tick writer start writing
|
||||
# the buffer with appropriate trade data
|
||||
if not writer_already_exists:
|
||||
# update last entry
|
||||
# benchmarked in the 4-5 us range
|
||||
o, high, low, v = shm.array[-1][
|
||||
['open', 'high', 'low', 'volume']
|
||||
]
|
||||
new_v = tick_volume
|
||||
|
||||
if v == 0 and new_v:
|
||||
# no trades for this bar yet so the open
|
||||
# is also the close/last trade price
|
||||
o = last
|
||||
|
||||
# write shm
|
||||
shm.array[
|
||||
['open',
|
||||
'high',
|
||||
'low',
|
||||
'close',
|
||||
'bar_wap', # in this case vwap of bar
|
||||
'volume']
|
||||
][-1] = (
|
||||
o,
|
||||
max(high, last),
|
||||
min(low, last),
|
||||
last,
|
||||
ohlc.vwap,
|
||||
volume,
|
||||
)
|
||||
ohlc_last = ohlc
|
||||
|
||||
elif typ == 'l1':
|
||||
quote = ohlc
|
||||
topic = quote['symbol']
|
||||
|
||||
# XXX: format required by ``tractor.msg.pub``
|
||||
# requires a ``Dict[topic: str, quote: dict]``
|
||||
await ctx.send_yield({topic: quote})
|
||||
|
||||
except (ConnectionClosed, DisconnectionTimeout):
|
||||
log.exception("Good job kraken...reconnecting")
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue