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This commit is contained in:
Oleg Sheynin
2026-01-01 01:36:31 +00:00
parent 69a0b19e9f
commit 842eb3ec62
5 changed files with 155 additions and 149 deletions
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lib/live/mkt_data_client.py
+80 -28
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@@ -10,11 +10,16 @@ from cvttpy_tools.app import App
from cvttpy_tools.logger import Log
from cvttpy_tools.config import Config
from cvttpy_tools.timer import Timer
from cvttpy_tools.timeutils import NanosT, current_seconds
from cvttpy_tools.timeutils import NanosT, current_seconds, NanoPerSec
from cvttpy_tools.settings.cvtt_types import InstrumentIdT, IntervalSecT
# ---
from cvttpy_trading.trading.mkt_data.historical_md import HistMdBar
from cvttpy_trading.trading.instrument import ExchangeInstrument
from cvttpy_trading.trading.accounting.exch_account import ExchangeAccountNameT
from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
from cvttpy_trading.trading.exchange_config import ExchangeAccounts
# ---
from pairs_trading.lib.live.rest_client import RESTSender
@@ -60,19 +65,36 @@ class MdSummary(HistMdBar):
)
return res
MdSummaryCallbackT = Callable[[List[MdSummary]], Coroutine]
def create_md_trades_aggregate(
self,
exch_acct: ExchangeAccountNameT,
exch_inst: ExchangeInstrument,
interval_sec: IntervalSecT,
) -> MdTradesAggregate:
res = MdTradesAggregate(
exch_acct=exch_acct,
exch_inst=exch_inst,
interval_ns=interval_sec * NanoPerSec,
)
res.set(mdbar=self)
return res
MdSummaryCallbackT = Callable[[List[MdTradesAggregate]], Coroutine]
class MdSummaryCollector(NamedObject):
sender_: RESTSender
exch_acct_: ExchangeAccountNameT
instrument_id_: InstrumentIdT
exch_inst_: ExchangeInstrument
interval_sec_: IntervalSecT
history_depth_sec_: IntervalSecT
history_: List[MdSummary]
history_: List[MdTradesAggregate]
callbacks_: List[MdSummaryCallbackT]
timer_: Optional[Timer]
def __init__(
self,
sender: RESTSender,
@@ -83,24 +105,36 @@ class MdSummaryCollector(NamedObject):
) -> None:
self.sender_ = sender
self.exch_acct_ = exch_acct
self.instrument_id_ = instrument_id
exch_inst = ExchangeAccounts.instance().get_exchange_instrument(
exch_acct=exch_acct, instrument_id=instrument_id
)
assert exch_inst is not None, f"Unable to find Exchange instrument for {exch_acct}/{instrument_id}"
self.exch_inst_ = exch_inst
self.interval_sec_ = interval_sec
self.history_depth_sec_ = history_depth_sec
self.history_ = []
self.callbacks_ = []
self.timer_ = None
def add_callback(self, cb: MdSummaryCallbackT) -> None:
self.callbacks_.append(cb)
def __hash__(self):
return hash((self.exch_acct_, self.instrument_id_, self.interval_sec_, self.history_depth_sec_))
return hash(
(
self.exch_acct_,
self.exch_inst_.instrument_id(),
self.interval_sec_,
self.history_depth_sec_,
)
)
def rqst_data(self) -> Dict[str, Any]:
return {
"exch_acct": self.exch_acct_,
"instrument_id": self.instrument_id_,
"instrument_id": self.exch_inst_.instrument_id(),
"interval_sec": self.interval_sec_,
"history_depth_sec": self.history_depth_sec_,
}
@@ -110,7 +144,9 @@ class MdSummaryCollector(NamedObject):
endpoint="md_summary", post_body=self.rqst_data()
)
if response.status_code not in (200, 201):
Log.error(f"{self.fname()}: Received error: {response.status_code} - {response.text}")
Log.error(
f"{self.fname()}: Received error: {response.status_code} - {response.text}"
)
return []
return MdSummary.from_REST_response(response=response)
@@ -121,19 +157,29 @@ class MdSummaryCollector(NamedObject):
endpoint="md_summary", post_body=rqst_data
)
if response.status_code not in (200, 201):
Log.error(f"{self.fname()}: Received error: {response.status_code} - {response.text}")
Log.error(
f"{self.fname()}: Received error: {response.status_code} - {response.text}"
)
return None
res = MdSummary.from_REST_response(response=response)
return None if len(res) == 0 else res[-1]
def is_empty(self) -> bool:
return len(self.history_) == 0
async def start(self) -> None:
if self.timer_:
Log.error(f"{self.fname()}: Timer is already started")
return
self.history_ = self.get_history()
mdsum_hist = self.get_history()
self.history_ = [
mdsum.create_md_trades_aggregate(
exch_acct=self.exch_acct_,
exch_inst=self.exch_inst_,
interval_sec=self.interval_sec_,
)
for mdsum in mdsum_hist
]
await self.run_callbacks()
self.set_timer()
@@ -148,27 +194,30 @@ class MdSummaryCollector(NamedObject):
def next_load_time(self) -> NanosT:
curr_sec = int(current_seconds())
return (curr_sec - curr_sec % self.interval_sec_) + self.interval_sec_ + 2
async def _load_new(self) -> None:
last: Optional[MdSummary] = self.get_last()
if not last:
Log.warning(f"{self.fname()}: did not get last update")
elif not self.is_empty() and last.ts_ns_ <= self.history_[-1].ts_ns_:
Log.info(f"{self.fname()}: Received {last}. Already Have: {self.history_[-1]}")
elif not self.is_empty() and last.ts_ns_ <= self.history_[-1].time_ns_:
Log.info(
f"{self.fname()}: Received {last}. Already Have: {self.history_[-1]}"
)
else:
self.history_.append(last)
self.history_.append(last.create_md_trades_aggregate(exch_acct=self.exch_acct_, exch_inst=self.exch_inst_, interval_sec=self.interval_sec_))
await self.run_callbacks()
self.set_timer()
async def run_callbacks(self) -> None:
[await cb(self.history_) for cb in self.callbacks_]
def stop(self) -> None:
if self.timer_:
self.timer_.cancel()
self.timer_ = None
class CvttRestMktDataClient(NamedObject):
config_: Config
sender_: RESTSender
@@ -181,12 +230,13 @@ class CvttRestMktDataClient(NamedObject):
self.sender_ = RESTSender(base_url=base_url)
self.collectors_ = set()
async def add_subscription(self,
async def add_subscription(
self,
exch_acct: ExchangeAccountNameT,
instrument_id: InstrumentIdT,
interval_sec: IntervalSecT,
history_depth_sec: IntervalSecT,
callback: MdSummaryCallbackT
callback: MdSummaryCallbackT,
) -> None:
mdsc = MdSummaryCollector(
sender=self.sender_,
@@ -199,14 +249,16 @@ class CvttRestMktDataClient(NamedObject):
self.collectors_.add(mdsc)
await mdsc.start()
if __name__ == "__main__":
config = Config(json_src={"cvtt_base_url": "http://cvtt-tester-01.cvtt.vpn:23456"})
# config = Config(json_src={"cvtt_base_url": "http://dev-server-02.cvtt.vpn:23456"})
async def _calback(history: List[MdSummary]) -> None:
Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if len(history) > 0 else '[]'}")
async def _calback(history: List[MdTradesAggregate]) -> None:
Log.info(
f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if len(history) > 0 else '[]'}"
)
async def __run() -> None:
Log.info("Starting...")
cvtt_client = CvttRestMktDataClient(config)
@@ -215,10 +267,10 @@ if __name__ == "__main__":
instrument_id="PAIR-BTC-USD",
interval_sec=60,
history_depth_sec=24 * 3600,
callback=_calback
callback=_calback,
)
while True:
await asyncio.sleep(5)
asyncio.run(__run())
pass