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v1 working switch symbols w volume filter

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stevekeyharvey
2026-05-01 20:45:26 +00:00
parent 7d579faa82
commit b05f389e49
40 changed files with 12837 additions and 28654 deletions
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27
ws_extended_user.py
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@@ -50,12 +50,15 @@ LOCAL_RECENT_TRADES: list = []
LOCAL_RECENT_BALANCES: list = []
LOCAL_RECENT_POSITIONS: list = []
RESET_SEQ: bool = False
### Websocket ###
async def ws_stream():
global LOCAL_RECENT_ORDERS
global LOCAL_RECENT_TRADES
global LOCAL_RECENT_BALANCES
global LOCAL_RECENT_POSITIONS
global RESET_SEQ
async for websocket in websockets.connect(WSS_URL, extra_headers={'X-Api-Key': API_KEY}):
logging.info(f"Connected to {WSS_URL}")
@@ -63,7 +66,7 @@ async def ws_stream():
async for message in websocket:
ts_arrival = round(datetime.now().timestamp()*1000)
if isinstance(message, str):
try:
try:
data = json.loads(message)
channel = data.get('type', None)
if channel is not None:
@@ -101,14 +104,13 @@ async def ws_stream():
'expire_time_ts': o['expireTime'],
}
list_for_df.append(order_update)
LOCAL_RECENT_ORDERS = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_ORDERS, order_update, id='order_id', seq_check_field='sequence_id')
LOCAL_RECENT_ORDERS = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_ORDERS, order_update, id='order_id', seq_check_field='sequence_id', reset_seq_id=RESET_SEQ)
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.publish(channel=VK_ORDERS, message=VAL_KEY_OBJ)
VAL_KEY.set(name=VK_ORDERS, value=VAL_KEY_OBJ)
await db.insert_df_to_mysql(table_name='fr_extended_user_order', params=list_for_df, CON=CON)
continue
case 'TRADE':
list_for_df = []
for t in data['data']['trades']:
@@ -132,13 +134,12 @@ async def ws_stream():
'is_taker': t['isTaker'],
}
list_for_df.append(trade_update)
LOCAL_RECENT_TRADES = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_TRADES, trade_update, id='trade_id', seq_check_field='sequence_id')
LOCAL_RECENT_TRADES = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_TRADES, trade_update, id='trade_id', seq_check_field='sequence_id', reset_seq_id=RESET_SEQ)
LOCAL_RECENT_TRADES = [t for t in LOCAL_RECENT_TRADES if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_TRADES)
VAL_KEY.set(VK_TRADES, VAL_KEY_OBJ)
await db.insert_df_to_mysql(table_name='fr_extended_user_trade', params=list_for_df, CON=CON)
continue
case 'BALANCE':
balance_update = {
'sequence_id': data['seq'],
@@ -157,13 +158,12 @@ async def ws_stream():
'exposure': float(data['data']['balance']['exposure']),
'leverage': float(data['data']['balance']['leverage']),
}
LOCAL_RECENT_BALANCES = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_BALANCES, balance_update, id='collateral_name', seq_check_field='sequence_id')
LOCAL_RECENT_BALANCES = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_BALANCES, balance_update, id='collateral_name', seq_check_field='sequence_id', reset_seq_id=RESET_SEQ)
LOCAL_RECENT_BALANCES = [t for t in LOCAL_RECENT_BALANCES if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_BALANCES)
VAL_KEY.set(VK_BALANCES, VAL_KEY_OBJ)
await db.insert_df_to_mysql(table_name='fr_extended_user_balance', params=balance_update, CON=CON)
continue
case 'POSITION':
list_for_df = []
for p in data['data']['positions']:
@@ -194,31 +194,40 @@ async def ws_stream():
'updated_at_ts': p['updatedAt'],
}
list_for_df.append(position_update)
LOCAL_RECENT_POSITIONS = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_POSITIONS, position_update, id='market', seq_check_field='sequence_id')
LOCAL_RECENT_POSITIONS = utils.upsert_list_of_dicts_by_id(LOCAL_RECENT_POSITIONS, position_update, id='market', seq_check_field='sequence_id', reset_seq_id=RESET_SEQ)
LOCAL_RECENT_POSITIONS = [t for t in LOCAL_RECENT_POSITIONS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_POSITIONS)
VAL_KEY.publish(channel=VK_POSITIONS, message=VAL_KEY_OBJ)
VAL_KEY.set(name=VK_POSITIONS, value=VAL_KEY_OBJ)
await db.insert_df_to_mysql(table_name='fr_extended_user_position', params=list_for_df, CON=CON)
continue
case _:
logging.warning(f'UNMATCHED OTHER MSG: {data}')
RESET_SEQ = True
### END OF GOOD MAIN LOOP - SEQ WILL HAVE BEEN RESET IF A FAILURE HAD OCCURRED; FLIPPING BOOL BACK TO NORMAL ###
RESET_SEQ = False
continue
else:
logging.info(f'Initial or unexpected data struct, skipping: {data}')
RESET_SEQ = True
continue
except (json.JSONDecodeError, ValueError):
logging.warning(f'Message not in JSON format, skipping: {message}')
RESET_SEQ = True
continue
else:
RESET_SEQ = True
raise ValueError(f'Type: {type(data)} not expected: {message}')
except websockets.ConnectionClosed as e:
logging.error(f'Connection closed: {e}')
logging.error(traceback.format_exc())
RESET_SEQ = True
continue
except Exception as e:
logging.error(f'Connection closed: {e}')
logging.error(traceback.format_exc())
RESET_SEQ = True
async def main():