Add fill_bars function to kraken
Guillermo Rodriguez
parent
b1fd986a3a
commit
e56d065dbc
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@ -17,6 +17,8 @@
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"""
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Kraken backend.
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"""
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import sys
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, asdict, field
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from typing import List, Dict, Any, Tuple, Optional, AsyncIterator
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@ -290,173 +292,53 @@ def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
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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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# shm_token: Tuple[str, str, List[tuple]],
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# symbols: List[str] = ['XBTUSD', 'XMRUSD'],
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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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# sub_type: str = 'ohlc',
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# loglevel: str = None,
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# # compat with eventual ``tractor.msg.pub``
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# topics: Optional[List[str]] = None,
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#) -> None:
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# """Subscribe for ohlc stream of quotes for ``pairs``.
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#
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# ``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
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# """
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# # XXX: required to propagate ``tractor`` loglevel to piker logging
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# get_console_log(loglevel or tractor.current_actor().loglevel)
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#
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# ws_pairs = {}
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# async with get_client() as client:
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#
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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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#
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# # maybe load historical ohlcv in to shared mem
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# # check if shm has already been created by previous
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# # feed initialization
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# writer_exists = get_shm_token(shm_token['shm_name'])
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#
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# symbol = symbols[0]
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#
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# if not writer_exists:
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# shm = attach_shm_array(
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# token=shm_token,
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# # we are writer
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# readonly=False,
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# )
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# bars = await client.bars(symbol=symbol)
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#
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# shm.push(bars)
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# shm_token = shm.token
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#
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# times = shm.array['time']
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# delay_s = times[-1] - times[times != times[-1]][-1]
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# subscribe_ohlc_for_increment(shm, delay_s)
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#
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# yield shm_token, not writer_exists
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#
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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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#
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# # XXX: setup subs
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# # https://docs.kraken.com/websockets/#message-subscribe
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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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#
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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(ohlc_sub))
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#
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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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# )
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# await ws.send_message(json.dumps(l1_sub))
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#
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# async def recv():
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# return json.loads(await ws.get_message())
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#
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# # pull a first quote and deliver
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# msg_gen = recv_msg(recv)
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# typ, ohlc_last = await msg_gen.__anext__()
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#
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# topic, quote = normalize(ohlc_last)
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#
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# # packetize as {topic: quote}
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# yield {topic: quote}
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#
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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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#
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# # start streaming
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# async for typ, ohlc in msg_gen:
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#
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# if typ == 'ohlc':
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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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#
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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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#
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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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#
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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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#
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# topic, quote = normalize(ohlc)
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#
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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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#
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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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#
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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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# 'bar_wap', # in this case vwap of bar
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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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#
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# elif typ == 'l1':
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# quote = ohlc
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# topic = quote['symbol']
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#
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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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#
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# except (ConnectionClosed, DisconnectionTimeout):
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# log.exception("Good job kraken...reconnecting")
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async def fill_bars(
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first_bars,
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shm,
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symbol: str,
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count: int = 75
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) -> None:
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async with get_client() as client:
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next_dt = first_bars[0][1]
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i = 0
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while i < count:
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try:
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bars_array = await client.bars(
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symbol=symbol,
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since=arrow.get(next_dt).floor('minute')
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.shift(minutes=-720).timestamp
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)
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shm.push(bars_array, prepend=True)
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i += 1
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next_dt = bars_array[0][1]
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await trio.sleep(5)
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except BaseException as e:
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log.exception(e)
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await tractor.breakpoint()
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_local_buffer_writers = {}
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@asynccontextmanager
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async def activate_writer(key: str) -> (bool, trio.Nursery):
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try:
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writer_already_exists = _local_buffer_writers.get(key, False)
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if not writer_already_exists:
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_local_buffer_writers[key] = True
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async with trio.open_nursery() as n:
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yield writer_already_exists, n
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else:
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yield writer_already_exists, None
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finally:
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_local_buffer_writers.pop(key, None)
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@tractor.stream
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@ -473,150 +355,152 @@ async def stream_quotes(
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get_console_log(loglevel or tractor.current_actor().loglevel)
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ws_pairs = {}
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async with get_client() as client:
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async with activate_writer(
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shm_token['shm_name']
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) as (writer_already_exists, ln):
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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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# 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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writer_exists = get_shm_token(shm_token['shm_name'])
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symbol = symbols[0]
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symbol = symbols[0]
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await tractor.breakpoint()
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if not writer_already_exists:
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shm = attach_shm_array(
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token=shm_token,
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# we are writer
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readonly=False,
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)
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bars = await client.bars(symbol=symbol)
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if not writer_exists:
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shm = attach_shm_array(
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token=shm_token,
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# we are writer
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readonly=False,
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)
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bars = await client.bars(symbol=symbol)
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shm.push(bars)
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shm_token = shm.token
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shm.push(bars)
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shm_token = shm.token
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ln.start_soon(fill_bars, bars, shm, symbol)
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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subscribe_ohlc_for_increment(shm, delay_s)
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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subscribe_ohlc_for_increment(shm, delay_s)
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# pass back token, and bool, signalling if we're the writer
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await ctx.send_yield((shm_token, not writer_exists))
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# pass back token, and bool, signalling if we're the writer
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await ctx.send_yield((shm_token, not writer_already_exists))
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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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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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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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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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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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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(ohlc_sub))
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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(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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# 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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)
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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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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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msg_gen = recv_msg(recv)
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typ, ohlc_last = await msg_gen.__anext__()
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# pull a first quote and deliver
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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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topic, quote = normalize(ohlc_last)
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# packetize as {topic: quote}
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await ctx.send_yield({topic: quote})
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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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# start streaming
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async for typ, ohlc in msg_gen:
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if typ == 'ohlc':
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# TODO: can get rid of all this by using
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# ``trades`` subscription...
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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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# 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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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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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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'bar_wap', # in this case vwap of bar
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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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# packetize as {topic: quote}
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await ctx.send_yield({topic: quote})
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except (ConnectionClosed, DisconnectionTimeout):
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log.exception("Good job kraken...reconnecting")
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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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# start streaming
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async for typ, ohlc in msg_gen:
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if typ == 'ohlc':
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# TODO: can get rid of all this by using
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# ``trades`` subscription...
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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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# 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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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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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_already_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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'bar_wap', # in this case vwap of bar
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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),
|
||||
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