progress

.vscode/settings.json

@@ -108,4 +108,5 @@
     // Enable Python-specific code actions
     "python.analysis.completeFunctionParens": true,
     "python.analysis.addImport.exactMatchOnly": false,
+    "workbench.tree.indent": 24,
 }

__DELETE__/strategy/pair_strategy.py

@@ -89,10 +89,10 @@ def main() -> None:
         print(f"{message_type=} {subscr_id=} {instrument_id}")
         if message_type == "md_aggregate":
             aggr = message.get("md_aggregate", [])
-            print(f"[{aggr['tstmp'][:19]}] *** RLTM ***  {message}")
+            print(f"[{aggr['tstamp'][:19]}] *** RLTM ***  {message}")
         elif message_type == "historical_md_aggregate":
             for aggr in message.get("historical_data", []):
-                print(f"[{aggr['tstmp'][:19]}] *** HIST *** {aggr}")
+                print(f"[{aggr['tstamp'][:19]}] *** HIST *** {aggr}")
         else:
             print(f"Unknown message type: {message_type}")
 

bin/trade_pair.py

@@ -34,10 +34,10 @@ class PairTradingRunner(NamedObject):
 #         print(f"{message_type=} {subscr_id=} {instrument_id}")
 #         if message_type == "md_aggregate":
 #             aggr = message.get("md_aggregate", [])
-#             print(f"[{aggr['tstmp'][:19]}] *** RLTM ***  {message}")
+#             print(f"[{aggr['tstamp'][:19]}] *** RLTM ***  {message}")
 #         elif message_type == "historical_md_aggregate":
 #             for aggr in message.get("historical_data", []):
-#                 print(f"[{aggr['tstmp'][:19]}] *** HIST *** {aggr}")
+#                 print(f"[{aggr['tstamp'][:19]}] *** HIST *** {aggr}")
 #         else:
 #             print(f"Unknown message type: {message_type}")
         

lib/cvtt_client/mkt_data.py

@@ -156,10 +156,10 @@ async def main() -> None:
         print(f"{message_type=} {subscr_id=} {instrument_id}")
         if message_type == "md_aggregate":
             aggr = message.get("md_aggregate", [])
-            print(f"[{aggr['tstmp'][:19]}] *** RLTM ***  {message}")
+            print(f"[{aggr['tstamp'][:19]}] *** RLTM ***  {message}")
         elif message_type == "historical_md_aggregate":
             for aggr in message.get("historical_data", []):
-                print(f"[{aggr['tstmp'][:19]}] *** HIST *** {aggr}")
+                print(f"[{aggr['tstamp'][:19]}] *** HIST *** {aggr}")
         else:
             print(f"Unknown message type: {message_type}")
         

lib/pt_strategy/live_strategy.py

@@ -52,11 +52,11 @@ class PtMktDataClient(NamedObject):
         if message_type == "md_aggregate":
             aggr = message.get("md_aggregate", {})
             await self.live_strategy_.on_mkt_data_update(aggr)
-            # print(f"[{aggr['tstmp'][:19]}] *** RLTM ***  {message}")
+            # print(f"[{aggr['tstamp'][:19]}] *** RLTM ***  {message}")
         elif message_type == "historical_md_aggregate":
             aggr = message.get("historical_data", {})
             await self.live_strategy_.on_mkt_data_hist_snapshot(aggr)
-            # print(f"[{aggr['tstmp'][:19]}] *** HIST *** {aggr}")
+            # print(f"[{aggr['tstamp'][:19]}] *** HIST *** {aggr}")
         else:
             Log.info(f"Unknown message type: {message_type}")
         

lib/pt_strategy/pt_market_data.py

@@ -1,6 +1,6 @@
 from __future__ import annotations
 
-from typing import Any, Dict, List, Type
+from typing import Any, Dict, List, Optional
 import pandas as pd
 
 from cvttpy_base.settings.cvtt_types import JsonDictT
@@ -176,7 +176,28 @@ class RealTimeMarketData(PtMarketData):
     async def on_mkt_data_hist_snapshot(self, snapshot: JsonDictT) -> None:
         # URGENT
         # create origin_mkt_data_df_ from snapshot
+        # verify that the data for both instruments are present
+        
         # transform it to market_data_df_ tstamp, close_symbolA, close_symbolB
+        '''
+        # from cvttpy/exchanges/binance/spot/mkt_data.py
+        values = {
+            "time_ns": time_ns,
+            "tstamp": format_nanos_utc(time_ns),
+            "exchange_id": exch_inst.exchange_id_,
+            "instrument_id": exch_inst.instrument_id(),
+            "interval_ns": interval_sec * 1_000_000_000,
+            "open": float(kline[1]),
+            "high": float(kline[2]),
+            "low": float(kline[3]),
+            "close": float(kline[4]),
+            "volume": float(kline[5]),
+            "num_trades": kline[8],
+            "vwap": float(kline[7]) / float(kline[5]) if float(kline[5]) > 0 else 0.0  # Calculate VWAP
+        }
+        '''
+
+
         pass
     
     async def on_mkt_data_update(self, update: JsonDictT) -> Optional[pd.DataFrame]:
@@ -187,6 +208,23 @@ class RealTimeMarketData(PtMarketData):
         # add tmp1 to origin_mkt_data_df_
         # add tmp2 to market_data_df_
         # return market_data_df_
-        
+        '''
+        class MdTradesAggregate(NamedObject):
+        def to_dict(self) -> Dict[str, Any]:
+            return {
+                "time_ns": self.time_ns_,
+                "tstamp": format_nanos_utc(self.time_ns_),
+                "exchange_id": self.exch_inst_.exchange_id_,
+                "instrument_id": self.exch_inst_.instrument_id(),
+                "interval_ns": self.interval_ns_,
+                "open": self.exch_inst_.get_price(self.open_),
+                "high": self.exch_inst_.get_price(self.high_),
+                "low": self.exch_inst_.get_price(self.low_),
+                "close": self.exch_inst_.get_price(self.close_),
+                "volume": self.exch_inst_.get_quantity(self.volume_),
+                "vwap": self.exch_inst_.get_price(self.vwap_),
+                "num_trades": self.exch_inst_.get_quantity(self.num_trades_),
+            }
+        '''
         
         return pd.DataFrame()