stevekeyharvey/Funding_Rate
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adding aster

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stevekeyharvey
2026-04-22 01:33:35 +00:00
parent d2068b1c73
commit 64266366dd
3 changed files with 54 additions and 87 deletions
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aster.ipynb Normal file
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141
ws_aster.py
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@@ -25,21 +25,23 @@ urllib3_cn.allowed_gai_family = allowed_gai_family
### Database ### ### Database ###
USE_DB: bool = False USE_DB: bool = False
USE_VK: bool = True USE_VK: bool = True
# VK_FUND_RATE = 'fund_rate_apex' VK_FUND_RATE = 'fund_rate_aster'
VK_TICKER = 'fut_ticker_apex' VK_TICKER = 'fut_ticker_aster'
CON: AsyncContextManager | None = None CON: AsyncContextManager | None = None
VAL_KEY = None VAL_KEY = None
### Logging ### ### Logging ###
load_dotenv() load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Apex.log' LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Aster.log'
### CONSTANTS ### ### CONSTANTS ###
PING_INTERVAL_SEC = 15 SYMBOL: str = 'ETHUSDT'
STREAM_MARKPRICE: str = f'{SYMBOL.lower()}@markPrice@1s'
STREAM_BOOKTICKER: str = f'{SYMBOL.lower()}@bookTicker'
### Globals ### ### Globals ###
WSS_URL = "wss://quote.omni.apex.exchange/realtime_public?v=2&timestamp=" WSS_URL = f"wss://fstream.asterdex.com/stream?streams={STREAM_MARKPRICE}/{STREAM_BOOKTICKER}"
TICKER_SNAPSHOT_DATA_LAST: dict = {} # WSS_URL = f"wss://fstream.asterdex.com/stream?streams={STREAM_MARKPRICE}"
# HIST_TRADES = np.empty((0, 3)) # HIST_TRADES = np.empty((0, 3))
# HIST_TRADES_LOOKBACK_SEC = 6 # HIST_TRADES_LOOKBACK_SEC = 6
@@ -112,93 +114,58 @@ TICKER_SNAPSHOT_DATA_LAST: dict = {}
# raise ValueError('Only MySQL engine is implemented') # raise ValueError('Only MySQL engine is implemented')
### Websocket ### ### Websocket ###
async def heartbeat(ws):
while True:
await asyncio.sleep(PING_INTERVAL_SEC)
logging.info("SENDING PING...")
ping_msg = {"op":"ping","args":[ str(round(datetime.now().timestamp()*1000)) ]}
await ws.send(json.dumps(ping_msg))
async def ws_stream(): async def ws_stream():
global TICKER_SNAPSHOT_DATA_LAST async for websocket in websockets.connect(WSS_URL):
async for websocket in websockets.connect(f'{WSS_URL}{round(datetime.now().timestamp())}'):
logging.info(f"Connected to {WSS_URL}") logging.info(f"Connected to {WSS_URL}")
asyncio.create_task(heartbeat(ws=websocket))
subscribe_msg = {
"op": "subscribe",
"args": ["instrumentInfo.H.ETHUSDT"]
}
await websocket.send(json.dumps(subscribe_msg))
try: try:
async for message in websocket: async for message in websocket:
ts_arrival = round(datetime.now().timestamp()*1000) ts_arrival = round(datetime.now().timestamp()*1000)
print(message) if isinstance(message, str):
# if isinstance(message, str): try:
# try: data = json.loads(message)
# data = json.loads(message) channel = data.get('stream', None)
# if data.get('op', None) == 'ping': if channel is not None:
# pong_msg = {"op":"pong","args":[ str(round(datetime.now().timestamp()*1000)) ]} match channel:
# logging.info(f'RECEIVED PING: {data}; SENDING PONG: {pong_msg}') case c if c == STREAM_MARKPRICE:
# await websocket.send(json.dumps(pong_msg)) print(f'MP: {data}')
# continue VAL_KEY_OBJ = json.dumps({
# elif data.get('success', None): 'timestamp_arrival': ts_arrival,
# # logging.info('CONNECTION SUCCESFUL RESP MSG') 'timestamp_msg': data['data']['E'],
# continue 'symbol': data['data']['s'],
'mark_price': data['data']['p'],
# msg_type = data.get('type', None) 'index_price': data['data']['i'],
# if msg_type is not None: 'estimated_settle_price': data['data']['P'],
# match msg_type: 'funding_rate': data['data']['r'],
# case 'snapshot': 'next_funding_time_ts_ms': data['data']['T'],
# TICKER_SNAPSHOT_DATA_LAST = data['data'] })
VAL_KEY.set(VK_FUND_RATE, VAL_KEY_OBJ)
# nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000) continue
# VAL_KEY_OBJ = json.dumps({ case c if c == STREAM_BOOKTICKER:
# 'timestamp_arrival': ts_arrival, # print(f'BT: {data}')
# 'timestamp_msg': data['ts'], VAL_KEY_OBJ = json.dumps({
# 'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'], 'timestamp_arrival': ts_arrival,
# 'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']), 'timestamp_msg': data['data']['E'],
# 'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']), 'timestamp_transaction': data['data']['T'],
# 'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']), 'orderbook_update_id': data['data']['u'],
# 'volume24h': float(TICKER_SNAPSHOT_DATA_LAST['volume24h']), 'symbol': data['data']['s'],
# 'fundingRate': float(TICKER_SNAPSHOT_DATA_LAST['fundingRate']), 'best_bid_px': data['data']['b'],
# 'predictedFundingRate': float(TICKER_SNAPSHOT_DATA_LAST['predictedFundingRate']), 'best_bid_qty': data['data']['B'],
# 'nextFundingTime_ts_ms': nextFundingTime_ts, 'best_ask_px': data['data']['a'],
# }) 'best_ask_qty': data['data']['A'],
# VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ) })
# continue VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
# case 'delta': continue
# TICKER_SNAPSHOT_DATA_LAST.update(data['data']) case _:
logging.warning(f'UNMATCHED OTHER MSG: {data}')
# nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000) else:
# VAL_KEY_OBJ = json.dumps({ logging.info(f'Initial or unexpected data struct, skipping: {data}')
# 'timestamp_arrival': ts_arrival, continue
# 'timestamp_msg': data['ts'], except (json.JSONDecodeError, ValueError):
# 'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'], logging.warning(f'Message not in JSON format, skipping: {message}')
# 'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']), continue
# 'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']), else:
# 'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']), raise ValueError(f'Type: {type(data)} not expected: {message}')
# 'volume24h': float(TICKER_SNAPSHOT_DATA_LAST['volume24h']),
# 'fundingRate': float(TICKER_SNAPSHOT_DATA_LAST['fundingRate']),
# 'predictedFundingRate': float(TICKER_SNAPSHOT_DATA_LAST['predictedFundingRate']),
# 'nextFundingTime_ts_ms': nextFundingTime_ts,
# })
# VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
# continue
# case _:
# logging.warning(f'UNMATCHED OTHER MSG: {data}')
# else:
# logging.info(f'Initial or unexpected data struct, skipping: {data}')
# continue
# except (json.JSONDecodeError, ValueError):
# logging.warning(f'Message not in JSON format, skipping: {message}')
# continue
# else:
# raise ValueError(f'Type: {type(data)} not expected: {message}')
except websockets.ConnectionClosed as e: except websockets.ConnectionClosed as e:
logging.error(f'Connection closed: {e}') logging.error(f'Connection closed: {e}')
logging.error(traceback.format_exc()) logging.error(traceback.format_exc())

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ws_extended.py Normal file
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