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Generate tick data correctly using .etime

its_happening
Tyler Goodlet 2020-08-01 16:52:51 -04:00
parent e2dab3977e
commit fa899c3979
1 changed files with 23 additions and 7 deletions
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30
piker/brokers/kraken.py
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@ -14,7 +14,7 @@ import numpy as np
import tractor import tractor
from ._util import resproc, SymbolNotFound, BrokerError from ._util import resproc, SymbolNotFound, BrokerError
from ..log import get_logger from ..log import get_logger, get_console_log
log = get_logger(__name__) log = get_logger(__name__)
@ -119,11 +119,15 @@ async def stream_quotes(
# they are looked up inside this routine. # they are looked up inside this routine.
symbols: List[str] = ['XBTUSD', 'XMRUSD'], symbols: List[str] = ['XBTUSD', 'XMRUSD'],
sub_type: str = 'ohlc', sub_type: str = 'ohlc',
loglevel: str = None,
) -> None: ) -> None:
"""Subscribe for ohlc stream of quotes for ``pairs``. """Subscribe for ohlc stream of quotes for ``pairs``.
``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>. ``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 = {} ws_pairs = {}
async with get_client() as client: async with get_client() as client:
for sym in symbols: for sym in symbols:
@ -175,7 +179,7 @@ async def stream_quotes(
low: float # Low price within interval low: float # Low price within interval
close: float # Close price of interval close: float # Close price of interval
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 # (sampled) generated tick data
ticks: List[Any] = field(default_factory=list) ticks: List[Any] = field(default_factory=list)
@ -191,16 +195,28 @@ async def stream_quotes(
ohlc_last = await ohlc_gen.__anext__() ohlc_last = await ohlc_gen.__anext__()
yield asdict(ohlc_last) yield asdict(ohlc_last)
# keep start of last interval for volume tracking
last_interval_start = ohlc_last.etime
async for ohlc in ohlc_gen: async for ohlc in ohlc_gen:
# debug
print(ohlc) # generate tick values to match time & sales pane:
# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
volume = ohlc.volume volume = ohlc.volume
vol_diff = volume - ohlc_last.volume if ohlc.etime > last_interval_start: # new interval
if vol_diff: log.debug(
f"New interval last: {ohlc_last.time}, now: {ohlc.time}")
last_interval_start = ohlc.etime
tick_volume = volume
else:
# this is the tick volume *within the interval*
tick_volume = volume - ohlc_last.volume
if tick_volume:
ohlc.ticks.append({ ohlc.ticks.append({
'type': 'trade', 'type': 'trade',
'price': ohlc.close, 'price': ohlc.close,
'size': vol_diff, 'size': tick_volume,
}) })
yield asdict(ohlc) yield asdict(ohlc)
ohlc_last = ohlc ohlc_last = ohlc