192 lines
6.2 KiB
Python
192 lines
6.2 KiB
Python
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import asyncio
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import json
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import logging
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import socket
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import traceback
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from datetime import datetime
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from typing import AsyncContextManager
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import numpy as np
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import pandas as pd
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import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
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from sqlalchemy import text
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import websockets
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from sqlalchemy.ext.asyncio import create_async_engine
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import valkey
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import os
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from dotenv import load_dotenv
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### Allow only ipv4 ###
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def allowed_gai_family():
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return socket.AF_INET
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urllib3_cn.allowed_gai_family = allowed_gai_family
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### Database ###
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USE_DB: bool = False
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USE_VK: bool = True
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VK_TICKER = 'fut_ticker_extended'
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CON: AsyncContextManager | None = None
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VAL_KEY = None
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### Logging ###
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load_dotenv()
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LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Extended.log'
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### CONSTANTS ###
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WS_SYMBOL: str = 'ETH-USD'
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### Globals ###
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WSS_URL = f"wss://api.starknet.extended.exchange/stream.extended.exchange/v1/orderbooks/{WS_SYMBOL}?depth=1"
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# HIST_TRADES = np.empty((0, 3))
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# HIST_TRADES_LOOKBACK_SEC = 6
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# ### Database Funcs ###
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# async def create_rtds_btcusd_table(
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# CON: AsyncContextManager,
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# engine: str = 'mysql', # mysql | duckdb
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# ) -> None:
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# if CON is None:
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# logging.info("NO DB CONNECTION, SKIPPING Create Statements")
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# else:
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# if engine == 'mysql':
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# logging.info('Creating Table if Does Not Exist: binance_btcusd_trades')
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# await CON.execute(text("""
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# CREATE TABLE IF NOT EXISTS binance_btcusd_trades (
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# timestamp_arrival BIGINT,
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# timestamp_msg BIGINT,
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# timestamp_value BIGINT,
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# value DOUBLE,
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# qty DOUBLE
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# );
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# """))
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# await CON.commit()
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# else:
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# raise ValueError('Only MySQL engine is implemented')
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# async def insert_rtds_btcusd_table(
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# timestamp_arrival: int,
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# timestamp_msg: int,
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# timestamp_value: int,
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# value: float,
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# qty: float,
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# CON: AsyncContextManager,
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# engine: str = 'mysql', # mysql | duckdb
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# ) -> None:
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# params={
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# 'timestamp_arrival': timestamp_arrival,
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# 'timestamp_msg': timestamp_msg,
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# 'timestamp_value': timestamp_value,
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# 'value': value,
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# 'qty': qty,
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# }
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# if CON is None:
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# logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
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# else:
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# if engine == 'mysql':
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# await CON.execute(text("""
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# INSERT INTO binance_btcusd_trades
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# (
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# timestamp_arrival,
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# timestamp_msg,
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# timestamp_value,
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# value,
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# qty
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# )
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# VALUES
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# (
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# :timestamp_arrival,
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# :timestamp_msg,
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# :timestamp_value,
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# :value,
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# :qty
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# )
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# """),
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# parameters=params
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# )
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# await CON.commit()
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# else:
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# raise ValueError('Only MySQL engine is implemented')
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### Websocket ###
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async def ws_stream():
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async for websocket in websockets.connect(WSS_URL):
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logging.info(f"Connected to {WSS_URL}")
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try:
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async for message in websocket:
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ts_arrival = round(datetime.now().timestamp()*1000)
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if isinstance(message, str):
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try:
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data = json.loads(message)
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if data.get('type', None) is not None:
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# print(f'OB: {data}')
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VAL_KEY_OBJ = json.dumps({
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'sequence_id': data['seq'],
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'timestamp_arrival': ts_arrival,
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'timestamp_msg': data['ts'],
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'symbol': data['data']['m'],
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'best_bid_px': float(data['data']['b'][0]['p']),
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'best_bid_qty': float(data['data']['b'][0]['q']),
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'best_ask_px': float(data['data']['a'][0]['p']),
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'best_ask_qty': float(data['data']['a'][0]['q']),
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})
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VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
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continue
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else:
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logging.info(f'Initial or unexpected data struct, skipping: {data}')
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continue
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except (json.JSONDecodeError, ValueError):
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logging.warning(f'Message not in JSON format, skipping: {message}')
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continue
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else:
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raise ValueError(f'Type: {type(data)} not expected: {message}')
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except websockets.ConnectionClosed as e:
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logging.error(f'Connection closed: {e}')
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logging.error(traceback.format_exc())
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continue
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except Exception as e:
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logging.error(f'Connection closed: {e}')
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logging.error(traceback.format_exc())
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async def main():
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global VAL_KEY
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global CON
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if USE_VK:
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VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
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else:
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VAL_KEY = None
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logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
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if USE_DB:
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engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/polymarket')
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async with engine.connect() as CON:
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# await create_rtds_btcusd_table(CON=CON)
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await ws_stream()
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else:
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CON = None
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logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
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await ws_stream()
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if __name__ == '__main__':
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START_TIME = round(datetime.now().timestamp()*1000)
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logging.info(f'Log FilePath: {LOG_FILEPATH}')
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logging.basicConfig(
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force=True,
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filename=LOG_FILEPATH,
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level=logging.INFO,
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format='%(asctime)s - %(levelname)s - %(message)s',
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filemode='w'
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)
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logging.info(f"STARTED: {START_TIME}")
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try:
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asyncio.run(main())
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except KeyboardInterrupt:
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logging.info("Stream stopped")
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