Commit Graph

57 Commits (bc4ded266207df06963405510cb562e5a2d2df71)

Author SHA1 Message Date
Tyler Goodlet 9cad59366f Extract min tick info from symbol data 2021-05-25 08:46:10 -04:00
Tyler Goodlet 165d6257fa Get symbol search working for binance 2021-05-25 08:46:04 -04:00
Guillermo Rodriguez a0dfdd935f
Post @goodboy review commit 2021-05-21 22:23:35 -03:00
Tyler Goodlet 7b26bd45e2 Get binance OHLC history and quote format correct
This gets the binance provider meeting the data feed schema requirements
of both the OHLC sampling/charting machinery as well as proper
formatting of historical OHLC history.

Notably,
- spec a minimal ohlc dtype based on the kline endpoint
- use a dataclass to parse out OHLC bar datums and pack into np.ndarray/shm
- add the ``aggTrade`` endpoint to get last clearing (traded) prices,
  validate with ``pydantic`` and then normalize these into our tick-quote
  format for delivery over the feed stream api.
- a notable requirement is that the "first" quote from the feed must
  contain a 'last` field so the clearing system can start up correctly.
2021-05-21 15:35:36 -04:00
Guillermo Rodriguez 604e195bc0
Got rid of websocket OHLC API, and added l1 tick streaming 2021-05-07 10:59:08 -03:00
Guillermo Rodriguez 7e493625f6
Finally backfilling is working, still need to work on realtime updates! 2021-05-05 10:17:52 -03:00
Guillermo Rodriguez d327584039
Rough translation of kraken backend to binance API, still missing some
important parts
2021-05-04 22:52:53 -03:00