progress. not ready, changing live_strategy.py to use ExchangeInstrument and new TradingInstruction class

2025-08-05 21:48:23 +00:00
parent 7ab09669b4
commit 0423a7d34f
11 changed files with 538 additions and 196 deletions
@@ -0,0 +1,90 @@
+from __future__ import annotations
+
+from functools import partial
+from typing import Any, Dict, List, Optional
+
+import pandas as pd
+from cvttpy_base.tools.app import App
+from cvttpy_base.tools.config import Config
+from cvttpy_base.settings.cvtt_types import JsonDictT
+from cvttpy_base.tools.base import NamedObject
+from cvttpy_base.tools.logger import Log
+
+from cvtt_client.mkt_data import (
+    CvttPricerWebSockClient,
+    CvttPricesSubscription,
+    MessageTypeT,
+    SubscriptionIdT,
+)
+from pt_strategy.live.live_strategy import PtLiveStrategy
+from pt_strategy.trading_pair import TradingPair
+
+"""
+  --config=pair.cfg
+  --pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
+"""
+
+
+class PtMktDataClient(NamedObject):
+    config_: Config
+    live_strategy_: PtLiveStrategy
+    pricer_client_: CvttPricerWebSockClient
+    subscriptions_: List[CvttPricesSubscription]
+
+    def __init__(self, live_strategy: PtLiveStrategy, pricer_config: Config):
+        self.config_ = pricer_config
+        self.live_strategy_ = live_strategy
+
+        App.instance().add_call(App.Stage.Start, self._on_start())
+        App.instance().add_call(App.Stage.Run, self.run())
+
+    async def _on_start(self) -> None:
+        pricer_url = self.config_.get_value("pricer_url")
+        assert pricer_url is not None, "pricer_url is not found in config"
+        self.pricer_client_ = CvttPricerWebSockClient(url=pricer_url)
+
+
+    async def _subscribe(self) -> None:
+        history_depth_sec = self.config_.get_value("history_depth_sec", 86400)
+        interval_sec = self.config_.get_value("interval_sec", 60)
+
+        pair: TradingPair = self.live_strategy_.trading_pair_
+        subscriptions = [CvttPricesSubscription(
+            exchange_config_name=instrument["exchange_config_name"],
+            instrument_id=instrument["instrument_id"],
+            interval_sec=interval_sec,
+            history_depth_sec=history_depth_sec,
+            callback=partial(
+                self.on_message, instrument_id=instrument["instrument_id"]
+            ),
+        ) for instrument in pair.instruments_]
+
+        for subscription in subscriptions:
+            Log.info(f"{self.fname()} Subscribing to {subscription}")
+            await self.pricer_client_.subscribe(subscription)
+
+    async def on_message(
+        self,
+        message_type: MessageTypeT,
+        subscr_id: SubscriptionIdT,
+        message: Dict,
+        instrument_id: str,
+    ) -> None:
+        Log.info(f"{self.fname()}: {message_type=} {subscr_id=} {instrument_id}")
+        aggr: JsonDictT
+        if message_type == "md_aggregate":
+            aggr = message.get("md_aggregate", {})
+            await self.live_strategy_.on_mkt_data_update(aggr)
+        elif message_type == "historical_md_aggregate":
+            aggr = message.get("historical_data", {})
+            await self.live_strategy_.on_mkt_data_hist_snapshot(aggr)
+        else:
+            Log.info(f"Unknown message type: {message_type}")
+
+    async def run(self) -> None:
+        if not await CvttPricerWebSockClient.check_connection(self.pricer_client_.ws_url_):
+            Log.error(f"Unable to connect to {self.pricer_client_.ws_url_}")
+            raise Exception(f"Unable to connect to {self.pricer_client_.ws_url_}")
+        await self._subscribe()
+
+        await self.pricer_client_.run()