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Use `match:` syntax in data feed subs processing

kraken_ws_orders
Tyler Goodlet 2022-07-04 22:52:25 -04:00
parent 00378c330c
commit f79d9865a0
1 changed files with 63 additions and 32 deletions
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95
piker/brokers/kraken/feed.py
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@ -117,9 +117,8 @@ async def stream_messages(
too_slow_count = 0
continue
if isinstance(msg, dict):
if msg.get('event') == 'heartbeat':
match msg:
case {'event': 'heartbeat'}:
now = time.time()
delay = now - last_hb
last_hb = now
@ -130,11 +129,20 @@ async def stream_messages(
continue
err = msg.get('errorMessage')
if err:
raise BrokerError(err)
else:
yield msg
case {
'connectionID': _,
'event': 'systemStatus',
'status': 'online',
'version': _,
} as msg:
log.info(
'WS connection is up:\n'
f'{msg}'
)
continue
case _:
yield msg
async def process_data_feed_msgs(
@ -145,37 +153,60 @@ async def process_data_feed_msgs(
'''
async for msg in stream_messages(ws):
match msg:
case {
'errorMessage': errmsg
}:
raise BrokerError(errmsg)
chan_id, *payload_array, chan_name, pair = msg
case {
'event': 'subscriptionStatus',
} as sub:
log.info(
'WS subscription is active:\n'
f'{sub}'
)
continue
if 'ohlc' in chan_name:
case [
chan_id,
*payload_array,
chan_name,
pair
]:
if 'ohlc' in chan_name:
yield 'ohlc', OHLC(
chan_id,
chan_name,
pair,
*payload_array[0]
)
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
elif 'spread' in chan_name:
elif 'spread' in chan_name:
bid, ask, ts, bsize, asize = map(
float, payload_array[0])
bid, ask, ts, bsize, asize = map(float, payload_array[0])
# TODO: really makes you think IB has a horrible API...
quote = {
'symbol': pair.replace('/', ''),
'ticks': [
{'type': 'bid', 'price': bid, 'size': bsize},
{'type': 'bsize', 'price': bid, 'size': bsize},
# TODO: really makes you think IB has a horrible API...
quote = {
'symbol': pair.replace('/', ''),
'ticks': [
{'type': 'bid', 'price': bid, 'size': bsize},
{'type': 'bsize', 'price': bid, 'size': bsize},
{'type': 'ask', 'price': ask, 'size': asize},
{'type': 'asize', 'price': ask, 'size': asize},
],
}
yield 'l1', quote
{'type': 'ask', 'price': ask, 'size': asize},
{'type': 'asize', 'price': ask, 'size': asize},
],
}
yield 'l1', quote
# elif 'book' in msg[-2]:
# chan_id, *payload_array, chan_name, pair = msg
# print(msg)
# elif 'book' in msg[-2]:
# chan_id, *payload_array, chan_name, pair = msg
# print(msg)
else:
print(f'UNHANDLED MSG: {msg}')
yield msg
case _:
print(f'UNHANDLED MSG: {msg}')
# yield msg
def normalize(
@ -385,7 +416,7 @@ async def stream_quotes(
msg_gen = process_data_feed_msgs(ws)
# TODO: use ``anext()`` when it lands in 3.10!
typ, ohlc_last = await msg_gen.__anext__()
typ, ohlc_last = await anext(msg_gen)
topic, quote = normalize(ohlc_last)