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feedhandlers extended

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stevekeyharvey
2026-04-23 03:11:52 +00:00
parent 408a63fe58
commit 539e6004cf
22 changed files with 1340 additions and 205 deletions
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287
ws_aster_user.py
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@@ -15,7 +15,9 @@ from sqlalchemy.ext.asyncio import create_async_engine
import valkey
import os
from dotenv import load_dotenv
import modules.aster_auth as aster_auth
import modules.aster_db as aster_db
import modules.db as db
### Allow only ipv4 ###
def allowed_gai_family():
@@ -23,9 +25,12 @@ def allowed_gai_family():
urllib3_cn.allowed_gai_family = allowed_gai_family
### Database ###
USE_DB: bool = False
USE_VK: bool = False
VK_USER = 'fund_rate_aster'
USE_DB: bool = True
USE_VK: bool = True
VK_ORDERS_TRADES = 'fr_aster_user_orders'
VK_MARGIN_CALLS = 'fr_aster_user_margin_calls'
VK_BALANCES = 'fr_aster_user_balances'
VK_POSITIONS = 'fr_aster_user_positions'
CON: AsyncContextManager | None = None
VAL_KEY = None
@@ -34,112 +39,205 @@ load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Aster_User.log'
### CONSTANTS ###
WSS_URL = "wss://fstream.asterdex.com/ws/"
LOCAL_RECENT_UPDATES_LOOKBACK_SEC = 30
### Globals ###
WSS_URL = "wss://fstream.asterdex.com"
LISTEN_KEY: str | None = None
LISTEN_KEY_LAST_UPDATE_TS_S: int = 0
LISTEN_KEY_PUT_INTERVAL_SEC = 1800
# HIST_TRADES = np.empty((0, 3))
# HIST_TRADES_LOOKBACK_SEC = 6
LOCAL_RECENT_ORDERS: list = []
LOCAL_RECENT_MARGIN_CALLS: list = []
LOCAL_RECENT_BALANCES: list = []
LOCAL_RECENT_POSITIONS: list = []
# ### Database Funcs ###
# async def create_rtds_btcusd_table(
# CON: AsyncContextManager,
# engine: str = 'mysql', # mysql | duckdb
# ) -> None:
# if CON is None:
# logging.info("NO DB CONNECTION, SKIPPING Create Statements")
# else:
# if engine == 'mysql':
# logging.info('Creating Table if Does Not Exist: binance_btcusd_trades')
# await CON.execute(text("""
# CREATE TABLE IF NOT EXISTS binance_btcusd_trades (
# timestamp_arrival BIGINT,
# timestamp_msg BIGINT,
# timestamp_value BIGINT,
# value DOUBLE,
# qty DOUBLE
# );
# """))
# await CON.commit()
# else:
# raise ValueError('Only MySQL engine is implemented')
# async def insert_rtds_btcusd_table(
# timestamp_arrival: int,
# timestamp_msg: int,
# timestamp_value: int,
# value: float,
# qty: float,
# CON: AsyncContextManager,
# engine: str = 'mysql', # mysql | duckdb
# ) -> None:
# params={
# 'timestamp_arrival': timestamp_arrival,
# 'timestamp_msg': timestamp_msg,
# 'timestamp_value': timestamp_value,
# 'value': value,
# 'qty': qty,
# }
# if CON is None:
# logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
# else:
# if engine == 'mysql':
# await CON.execute(text("""
# INSERT INTO binance_btcusd_trades
# (
# timestamp_arrival,
# timestamp_msg,
# timestamp_value,
# value,
# qty
# )
# VALUES
# (
# :timestamp_arrival,
# :timestamp_msg,
# :timestamp_value,
# :value,
# :qty
# )
# """),
# parameters=params
# )
# await CON.commit()
# else:
# raise ValueError('Only MySQL engine is implemented')
def upsert_list_of_dicts_by_id(list_of_dicts, new_dict, id='id'):
for index, item in enumerate(list_of_dicts):
if item.get(id) == new_dict.get(id):
list_of_dicts[index] = new_dict
return list_of_dicts
list_of_dicts.append(new_dict)
return list_of_dicts
def get_new_listen_key() -> str:
global LISTEN_KEY_LAST_UPDATE_TS_S
listen_key_request = {
"url": "/fapi/v3/listenKey",
"method": "POST",
"params": {}
}
r = aster_auth.post_authenticated_url(listen_key_request)
listen_key = r.get('listenKey', None)
print(f'LISTEN KEY: {listen_key}')
if listen_key is not None:
LISTEN_KEY_LAST_UPDATE_TS_S = round(datetime.now().timestamp())
return listen_key
else:
raise ValueError(f'Listen Key is None; Failed to Update. response: {r}')
async def listen_key_interval():
global LISTEN_KEY
while True:
await asyncio.sleep(LISTEN_KEY_PUT_INTERVAL_SEC)
LISTEN_KEY = get_new_listen_key()
### Websocket ###
async def ws_stream():
async for websocket in websockets.connect(WSS_URL):
global LISTEN_KEY
global LOCAL_RECENT_ORDERS
global LOCAL_RECENT_MARGIN_CALLS
global LOCAL_RECENT_BALANCES
global LOCAL_RECENT_POSITIONS
LISTEN_KEY = get_new_listen_key()
async for websocket in websockets.connect(WSS_URL+LISTEN_KEY):
logging.info(f"Connected to {WSS_URL}")
asyncio.create_task(listen_key_interval())
try:
async for message in websocket:
ts_arrival = round(datetime.now().timestamp()*1000)
if isinstance(message, str):
try:
data = json.loads(message)
channel = data.get('stream', None)
channel = data.get('e', None)
if channel is not None:
LOOKBACK_MIN_TS_MS = ts_arrival - (LOCAL_RECENT_UPDATES_LOOKBACK_SEC*1000)
match channel:
case :
continue
case :
# print(f'BT: {data}')
VAL_KEY_OBJ = json.dumps({
case 'ORDER_TRADE_UPDATE':
logging.info(f'ORDER_TRADE_UPDATE: {data}')
new_order_update = {
'timestamp_arrival': ts_arrival,
'timestamp_msg': data['data']['E'],
'timestamp_transaction': data['data']['T'],
'orderbook_update_id': data['data']['u'],
'symbol': data['data']['s'],
'best_bid_px': data['data']['b'],
'best_bid_qty': data['data']['B'],
'best_ask_px': data['data']['a'],
'best_ask_qty': data['data']['A'],
})
VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
'timestamp_msg': data['E'],
'timestamp_transaction': data['T'],
'symbol': data['o']["s"], # "BTCUSDT", // Symbol
'client_order_id': data['o']["c"], # "TEST", // Client Order Id
'side': data['o']["S"], # "SELL", // Side
'order_type': data['o']["o"], # "TRAILING_STOP_MARKET", // Order Type
'time_in_force': data['o']["f"], # "GTC", // Time in Force
'original_qty': float(data['o']["q"]), # "0.001", // Original Quantity
'original_price': float(data['o']["p"]), # "0", // Original Price
'avg_price': float(data['o']["ap"]), # :"0", // Average Price
'stop_price': float(data['o'].get("sp", 0)), # :"7103.04", // Stop Price. Please ignore with TRAILING_STOP_MARKET order
'execution_type': data['o']["x"], # "NEW", // Execution Type
'order_status': data['o']["X"], # "NEW", // Order Status
'order_id': data['o']["i"], # 8886774, // Order Id
'last_filled_qty': float(data['o']["l"]), # "0", // Order Last Filled Quantity
'filled_accumulated_qty': float(data['o']["z"]), # "0", // Order Filled Accumulated Quantity
'last_filled_price': float(data['o']["L"]), # "0", // Last Filled Price
'commission_asset': data['o'].get("N", None), # "USDT", // Commission Asset, will not push if no commission
'commission': float(data['o'].get("n",0)), # "0", // Commission, will not push if no commission
'order_trade_time_ts': data['o']["T"], # 1568879465651, // Order Trade Time
'trade_id': data['o']["t"], # 0, // Trade Id
'bid_notional': float(data['o']["b"]), # "0", // Bids Notional
'ask_notional': float(data['o']["a"]), # "9.91", // Ask Notional
'trade_is_maker': data['o']["m"], # false, // Is this trade the maker side?
'trade_is_reduce_only': data['o']["R"], # false, // Is this reduce only
'stop_px_working_type': data['o']["wt"], # :"CONTRACT_PRICE", // Stop Price Working Type
'original_order_type': data['o']["ot"], # :"TRAILING_STOP_MARKET", // Original Order Type
'position_side': data['o']["ps"], # :"LONG", // Position Side
'pushed_w_conditional_order': bool(data['o'].get("cp", False)), # :false, // If Close-All, pushed with conditional order
'activation_price': float(data['o'].get("AP", 0)), # :"7476.89", // Activation Price, only puhed with TRAILING_STOP_MARKET order
'callback_rate': float(data['o'].get("cr", 0)), # :"5.0", // Callback Rate, only puhed with TRAILING_STOP_MARKET order
'realized_profit': float(data['o']["rp"]), # :"0" // Realized Profit of the trade
}
LOCAL_RECENT_ORDERS = upsert_list_of_dicts_by_id(LOCAL_RECENT_ORDERS, new_order_update, id='client_order_id')
LOCAL_RECENT_ORDERS = [t for t in LOCAL_RECENT_ORDERS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_ORDERS)
VAL_KEY.set(VK_ORDERS_TRADES, VAL_KEY_OBJ)
await db.insert_df_to_mysql(table_name='fr_aster_user_order_trade', params=new_order_update, CON=CON)
continue
case 'MARGIN_CALL':
logging.info(f'MARGIN_CALL: {data}')
list_for_df = []
for p in list(data['p']):
margin_call_update = {
'timestamp_arrival': ts_arrival,
'timestamp_msg': data['E'],
'cross_wallet_balance': float(data.get('cw', 0)),
'symbol': p["s"], # "ETHUSDT", // Symbol
'position_side': p["ps"], # :"LONG", // Position Side
'position_amount': float(p["pa"]), # :"1.327", // Position Amount
'margin_type': p["mt"], # :"CROSSED", // Margin Type
'isolated_wallet': float(p.get("iw", 0)), # :"0", // Isolated Wallet (if isolated position)
'mark_price': float(p["mp"]), # :"187.17127", // Mark Price
'unrealized_pnl': float(p["up"]), # :"-1.166074", // Unrealized PnL
'maint_margin_required': float(p["mm"]), # :"1.614445" // Maintenance Margin Required
}
list_for_df.append(margin_call_update)
LOCAL_RECENT_MARGIN_CALLS = upsert_list_of_dicts_by_id(LOCAL_RECENT_MARGIN_CALLS, margin_call_update, id='symbol')
LOCAL_RECENT_MARGIN_CALLS = [t for t in LOCAL_RECENT_MARGIN_CALLS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_MARGIN_CALLS)
VAL_KEY.set(VK_MARGIN_CALLS, VAL_KEY_OBJ)
await db.insert_df_to_mysql(table_name='fr_aster_user_margin', params=list_for_df, CON=CON)
continue
case 'ACCOUNT_UPDATE':
logging.info(f'ACCOUNT_UPDATE: {data}')
list_for_df_bal = []
list_for_df_pos = []
### Balance Updates ###
if len(list(data['a']['B'])) > 0:
for b in list(data['a']['B']):
balance_update = {
'timestamp_arrival': ts_arrival,
'timestamp_msg': data['E'],
'timestamp_transaction': data['T'],
'event_reason_type': data['a']["m"],
'asset': b['a'],
'wallet_balance': float(b['wb']),
'cross_wallet_balance': float(b.get('cw', 0)),
'balance_change_excl_pnl_comms': float(b['bc']),
}
list_for_df_bal.append(balance_update)
LOCAL_RECENT_BALANCES = upsert_list_of_dicts_by_id(LOCAL_RECENT_BALANCES, balance_update, id='asset')
LOCAL_RECENT_BALANCES = [t for t in LOCAL_RECENT_BALANCES if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY.set(VK_BALANCES, json.dumps(LOCAL_RECENT_BALANCES))
### Position Updates ###
if len(list(data['a']['P'])) > 0:
for p in list(data['a']['P']):
position_update = {
'timestamp_arrival': ts_arrival,
'timestamp_msg': data['E'],
'timestamp_transaction': data['T'],
'event_reason_type': data['a']["m"],
'symbol': p['s'],
'position_amount': float(p['pa']),
'entry_price': float(p['ep']),
'accumulated_realized_pre_fees': float(p['cr']),
'unrealized_pnl': float(p['up']),
'margin_type': p['mt'],
'isolated_wallet': float(p.get('iw', 0)),
'position_side': p['ps'],
}
list_for_df_pos.append(position_update)
LOCAL_RECENT_POSITIONS = upsert_list_of_dicts_by_id(LOCAL_RECENT_POSITIONS, position_update, id='symbol')
LOCAL_RECENT_POSITIONS = [t for t in LOCAL_RECENT_POSITIONS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY.set(VK_POSITIONS, json.dumps(LOCAL_RECENT_POSITIONS))
if balance_update:
await db.insert_df_to_mysql(table_name='fr_aster_user_account_bal', params=list_for_df_bal, CON=CON)
if position_update:
await db.insert_df_to_mysql(table_name='fr_aster_user_account_pos', params=list_for_df_bal, CON=CON)
continue
case 'listenKeyExpired':
raise('Listen Key Has Expired; Failed to Update Properly. Restarting.')
case _:
logging.warning(f'UNMATCHED OTHER MSG: {data}')
else:
@@ -170,9 +268,12 @@ async def main():
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
if USE_DB:
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/polymarket')
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
async with engine.connect() as CON:
# await create_rtds_btcusd_table(CON=CON)
await aster_db.create_fr_aster_user_order_trade_table(CON=CON)
await aster_db.create_fr_aster_user_margin_table(CON=CON)
await aster_db.create_fr_aster_user_account_bal(CON=CON)
await aster_db.create_fr_aster_user_account_pos(CON=CON)
await ws_stream()
else:
CON = None