algo orchestrator
This commit is contained in:
37
_On_Ice/apex_api.py
Normal file
37
_On_Ice/apex_api.py
Normal file
@@ -0,0 +1,37 @@
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from apexomni.http_private_v3 import HttpPrivate_v3
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from apexomni.http_private_sign import HttpPrivateSign
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from apexomni.constants import APEX_OMNI_HTTP_MAIN, NETWORKID_MAIN
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from dotenv import load_dotenv
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import os
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def apex_create_client() -> HttpPrivateSign:
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load_dotenv()
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print("Authenticating...")
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eth_private_key = os.getenv("RABBY_PRIVATE_KEY")
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key = os.getenv("APEX_API_KEY")
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secret = os.getenv("APEX_API_SECRET")
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passphrase = os.getenv("APEX_API_PASSPHRASE")
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client = HttpPrivate_v3(APEX_OMNI_HTTP_MAIN, network_id=NETWORKID_MAIN, eth_private_key=eth_private_key)
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zkKeys = client.derive_zk_key(client.default_address)
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seeds = zkKeys['seeds']
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l2Key = zkKeys['l2Key']
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client = HttpPrivateSign(
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APEX_OMNI_HTTP_MAIN,
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network_id=NETWORKID_MAIN,
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zk_seeds=seeds,
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zk_l2Key=l2Key,
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api_key_credentials={'key': key, 'secret': secret, 'passphrase': passphrase})
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try:
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client.configs_v3()
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client.get_account_v3()
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except Exception as e:
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raise ConnectionError(f'Failed to authenticate with APEX OMNI: {e}')
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print("...Authenticated")
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return client
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306
_On_Ice/mexc.ipynb
Normal file
306
_On_Ice/mexc.ipynb
Normal file
@@ -0,0 +1,306 @@
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 15,
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"id": "7a3f41bd",
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"metadata": {},
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"outputs": [],
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"source": [
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"import pandas as pd\n",
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"import requests\n",
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"from datetime import datetime"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 44,
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"id": "3b48e1ce",
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"metadata": {},
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"outputs": [],
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"source": [
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"mexc_all_tickers = 'https://api.mexc.com/api/v1/contract/ticker'\n",
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"edgex_all_tickers = 'https://pro.edgex.exchange/api/v1/public/quote/getTicker/?contractId=10000001'"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 34,
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"id": "ab38d984",
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"metadata": {},
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"outputs": [],
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"source": [
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"r = requests.get(mexc_all_tickers)\n",
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"data = r.json()['data']"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 49,
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"id": "2976b377",
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"metadata": {},
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"outputs": [],
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"source": [
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"r = requests.get(edgex_all_tickers)\n",
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"data = r.json()['data']"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"id": "1139b1a3",
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"metadata": {},
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"outputs": [],
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"source": [
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"df = pd.DataFrame(data)\n",
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"df['fundingRate_pct'] = df['fundingRate']*100"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "b00512dc",
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"metadata": {},
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"outputs": [],
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"source": [
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"df_trim = df[['symbol','fundingRate_pct','volume24']].copy()\n",
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"df_trim = df_trim.loc[df_trim['volume24'] > 10_000]"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 9,
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"id": "f7b44068",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/html": [
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"<div>\n",
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"<style scoped>\n",
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" .dataframe tbody tr th:only-of-type {\n",
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" vertical-align: middle;\n",
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" }\n",
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"\n",
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" .dataframe tbody tr th {\n",
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" vertical-align: top;\n",
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" }\n",
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"\n",
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" .dataframe thead th {\n",
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" text-align: right;\n",
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" }\n",
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"</style>\n",
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"<table border=\"1\" class=\"dataframe\">\n",
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" <thead>\n",
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" <tr style=\"text-align: right;\">\n",
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" <th></th>\n",
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" <th>symbol</th>\n",
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" <th>fundingRate_pct</th>\n",
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" <th>volume24</th>\n",
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" </tr>\n",
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" </thead>\n",
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" <tbody>\n",
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" <tr>\n",
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" <th>55</th>\n",
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" <td>DRIFT_USDT</td>\n",
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" <td>-1.1360</td>\n",
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" <td>3308466</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>10</th>\n",
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" <td>RED_USDT</td>\n",
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" <td>-1.1138</td>\n",
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" <td>105826673</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>157</th>\n",
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" <td>PIXEL_USDT</td>\n",
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" <td>-0.4059</td>\n",
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" <td>12415472</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>105</th>\n",
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" <td>NIL_USDT</td>\n",
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" <td>-0.3846</td>\n",
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" <td>31438005</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>33</th>\n",
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" <td>SUPER_USDT</td>\n",
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" <td>-0.3718</td>\n",
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" <td>2469502</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>...</th>\n",
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" <td>...</td>\n",
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" <td>...</td>\n",
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" <td>...</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>12</th>\n",
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" <td>PLAY_USDT</td>\n",
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" <td>0.0838</td>\n",
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" <td>22168649</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>414</th>\n",
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" <td>PUMPBTC_USDT</td>\n",
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" <td>0.0913</td>\n",
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" <td>745129</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>398</th>\n",
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" <td>QQQSTOCK_USDT</td>\n",
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" <td>0.0969</td>\n",
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" <td>59485</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>222</th>\n",
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" <td>GUA_USDT</td>\n",
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" <td>0.0996</td>\n",
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" <td>45623</td>\n",
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" </tr>\n",
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" <tr>\n",
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" <th>265</th>\n",
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" <td>BROCCOLIF3B_USDT</td>\n",
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" <td>0.1647</td>\n",
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" <td>3936939</td>\n",
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" </tr>\n",
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" </tbody>\n",
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"</table>\n",
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"<p>837 rows × 3 columns</p>\n",
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"</div>"
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],
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"text/plain": [
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" symbol fundingRate_pct volume24\n",
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"55 DRIFT_USDT -1.1360 3308466\n",
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"10 RED_USDT -1.1138 105826673\n",
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"157 PIXEL_USDT -0.4059 12415472\n",
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"105 NIL_USDT -0.3846 31438005\n",
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"33 SUPER_USDT -0.3718 2469502\n",
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".. ... ... ...\n",
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"12 PLAY_USDT 0.0838 22168649\n",
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"414 PUMPBTC_USDT 0.0913 745129\n",
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"398 QQQSTOCK_USDT 0.0969 59485\n",
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"222 GUA_USDT 0.0996 45623\n",
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"265 BROCCOLIF3B_USDT 0.1647 3936939\n",
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"\n",
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"[837 rows x 3 columns]"
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]
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},
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"execution_count": 9,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"df_trim.sort_values('fundingRate_pct', ascending=True)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"id": "6775a03f",
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"metadata": {},
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"outputs": [
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{
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"data": {
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||||
"text/plain": [
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||||
"1775583908"
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]
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||||
},
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"execution_count": 4,
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||||
"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"round(datetime.now().timestamp())"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "edca3b9f",
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"metadata": {},
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"outputs": [],
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"source": [
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"### PRIVATE API ###\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "51e50e0d",
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||||
"metadata": {},
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||||
"outputs": [],
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||||
"source": []
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||||
},
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||||
{
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||||
"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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||||
"source": []
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||||
},
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||||
{
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"cell_type": "code",
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"execution_count": null,
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"id": "21aabf30",
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"metadata": {},
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"outputs": [],
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"source": []
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": []
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": []
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "f91b1c04",
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||||
"metadata": {},
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||||
"outputs": [],
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||||
"source": []
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||||
},
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||||
{
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||||
"cell_type": "code",
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||||
"execution_count": null,
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||||
"id": "71e551f4",
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||||
"metadata": {},
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||||
"outputs": [],
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||||
"source": []
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||||
}
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||||
],
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||||
"metadata": {
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||||
"kernelspec": {
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||||
"display_name": "py_313",
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||||
"language": "python",
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||||
"name": "python3"
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||||
},
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||||
"language_info": {
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"codemirror_mode": {
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||||
"name": "ipython",
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||||
"version": 3
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||||
},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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||||
"nbconvert_exporter": "python",
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||||
"pygments_lexer": "ipython3",
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||||
"version": "3.13.12"
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||||
}
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||||
},
|
||||
"nbformat": 4,
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||||
"nbformat_minor": 5
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||||
}
|
||||
248
_On_Ice/ws_apex.py
Normal file
248
_On_Ice/ws_apex.py
Normal file
@@ -0,0 +1,248 @@
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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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|
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|
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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_FUND_RATE = 'fund_rate_apex'
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VK_TICKER = 'fut_ticker_apex'
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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()
|
||||
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Apex.log'
|
||||
|
||||
### CONSTANTS ###
|
||||
PING_INTERVAL_SEC = 15
|
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|
||||
### Globals ###
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||||
WSS_URL = "wss://quote.omni.apex.exchange/realtime_public?v=2×tamp="
|
||||
TICKER_SNAPSHOT_DATA_LAST: dict = {}
|
||||
|
||||
# HIST_TRADES = np.empty((0, 3))
|
||||
# HIST_TRADES_LOOKBACK_SEC = 6
|
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|
||||
# ### Database Funcs ###
|
||||
# async def create_rtds_btcusd_table(
|
||||
# CON: AsyncContextManager,
|
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# engine: str = 'mysql', # mysql | duckdb
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||||
# ) -> 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')
|
||||
|
||||
### 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():
|
||||
global TICKER_SNAPSHOT_DATA_LAST
|
||||
|
||||
async for websocket in websockets.connect(f'{WSS_URL}{round(datetime.now().timestamp())}'):
|
||||
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:
|
||||
async for message in websocket:
|
||||
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||
if isinstance(message, str):
|
||||
try:
|
||||
data = json.loads(message)
|
||||
if data.get('op', None) == 'ping':
|
||||
pong_msg = {"op":"pong","args":[ str(round(datetime.now().timestamp()*1000)) ]}
|
||||
logging.info(f'RECEIVED PING: {data}; SENDING PONG: {pong_msg}')
|
||||
await websocket.send(json.dumps(pong_msg))
|
||||
continue
|
||||
elif data.get('success', None):
|
||||
# logging.info('CONNECTION SUCCESFUL RESP MSG')
|
||||
continue
|
||||
|
||||
msg_type = data.get('type', None)
|
||||
if msg_type is not None:
|
||||
match msg_type:
|
||||
case 'snapshot':
|
||||
TICKER_SNAPSHOT_DATA_LAST = data['data']
|
||||
|
||||
nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000)
|
||||
VAL_KEY_OBJ = json.dumps({
|
||||
'timestamp_arrival': ts_arrival,
|
||||
'timestamp_msg': data['ts'],
|
||||
'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'],
|
||||
'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']),
|
||||
'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']),
|
||||
'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']),
|
||||
'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 'delta':
|
||||
TICKER_SNAPSHOT_DATA_LAST.update(data['data'])
|
||||
|
||||
nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000)
|
||||
VAL_KEY_OBJ = json.dumps({
|
||||
'timestamp_arrival': ts_arrival,
|
||||
'timestamp_msg': data['ts'],
|
||||
'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'],
|
||||
'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']),
|
||||
'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']),
|
||||
'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']),
|
||||
'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:
|
||||
logging.error(f'Connection closed: {e}')
|
||||
logging.error(traceback.format_exc())
|
||||
continue
|
||||
except Exception as e:
|
||||
logging.error(f'Connection closed: {e}')
|
||||
logging.error(traceback.format_exc())
|
||||
|
||||
|
||||
async def main():
|
||||
global VAL_KEY
|
||||
global CON
|
||||
|
||||
if USE_VK:
|
||||
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||
else:
|
||||
VAL_KEY = None
|
||||
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||
|
||||
if USE_DB:
|
||||
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 ws_stream()
|
||||
else:
|
||||
CON = None
|
||||
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||
await ws_stream()
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
START_TIME = round(datetime.now().timestamp()*1000)
|
||||
|
||||
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||
|
||||
logging.basicConfig(
|
||||
force=True,
|
||||
filename=LOG_FILEPATH,
|
||||
level=logging.INFO,
|
||||
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||
filemode='w'
|
||||
)
|
||||
logging.info(f"STARTED: {START_TIME}")
|
||||
|
||||
try:
|
||||
asyncio.run(main())
|
||||
except KeyboardInterrupt:
|
||||
logging.info("Stream stopped")
|
||||
244
_On_Ice/ws_mexc.py
Normal file
244
_On_Ice/ws_mexc.py
Normal file
@@ -0,0 +1,244 @@
|
||||
import asyncio
|
||||
import json
|
||||
import logging
|
||||
import socket
|
||||
import traceback
|
||||
from datetime import datetime
|
||||
from typing import AsyncContextManager
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||
from sqlalchemy import text
|
||||
import websockets
|
||||
from sqlalchemy.ext.asyncio import create_async_engine
|
||||
import valkey
|
||||
import os
|
||||
from dotenv import load_dotenv
|
||||
|
||||
|
||||
### Allow only ipv4 ###
|
||||
def allowed_gai_family():
|
||||
return socket.AF_INET
|
||||
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||
|
||||
### Database ###
|
||||
USE_DB: bool = False
|
||||
USE_VK: bool = True
|
||||
VK_FUND_RATE = 'fund_rate_mexc'
|
||||
VK_TICKER = 'fut_ticker_mexc'
|
||||
CON: AsyncContextManager | None = None
|
||||
VAL_KEY = None
|
||||
|
||||
### Logging ###
|
||||
load_dotenv()
|
||||
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_MEXC.log'
|
||||
|
||||
### CONSTANTS ###
|
||||
PING_INTERVAL_SEC = 20
|
||||
|
||||
### Globals ###
|
||||
WSS_URL = "wss://contract.mexc.com/edge"
|
||||
# HIST_TRADES = np.empty((0, 3))
|
||||
# HIST_TRADES_LOOKBACK_SEC = 6
|
||||
|
||||
# ### 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')
|
||||
|
||||
### Websocket ###
|
||||
async def heartbeat(ws):
|
||||
while True:
|
||||
await asyncio.sleep(PING_INTERVAL_SEC)
|
||||
logging.info("SENDING PING...")
|
||||
ping_msg = {
|
||||
"method": "ping"
|
||||
}
|
||||
await ws.send(json.dumps(ping_msg))
|
||||
|
||||
|
||||
async def ws_stream():
|
||||
# global HIST_TRADES
|
||||
|
||||
async for websocket in websockets.connect(WSS_URL):
|
||||
logging.info(f"Connected to {WSS_URL}")
|
||||
|
||||
asyncio.create_task(heartbeat(ws=websocket))
|
||||
|
||||
subscribe_msg = {
|
||||
"method": "sub.ticker",
|
||||
"param": {
|
||||
"symbol": "ETH_USDT"
|
||||
},
|
||||
# "gzip": false
|
||||
}
|
||||
await websocket.send(json.dumps(subscribe_msg))
|
||||
subscribe_msg = {
|
||||
"method": "sub.funding.rate",
|
||||
"param": {
|
||||
"symbol": "ETH_USDT"
|
||||
},
|
||||
# "gzip": false
|
||||
}
|
||||
await websocket.send(json.dumps(subscribe_msg))
|
||||
|
||||
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('channel', None)
|
||||
if channel is not None:
|
||||
match channel:
|
||||
case 'push.ticker':
|
||||
# logging.info(f'TICKER: {data}')
|
||||
VAL_KEY_OBJ = json.dumps({
|
||||
'timestamp_arrival': ts_arrival,
|
||||
'timestamp_msg': data['ts'],
|
||||
'timestamp_data': data['data']['timestamp'],
|
||||
'symbol': data['data']['symbol'],
|
||||
'lastPrice': float(data['data']['lastPrice']),
|
||||
'fairPrice': float(data['data']['fairPrice']),
|
||||
'indexPrice': float(data['data']['indexPrice']),
|
||||
'volume24': float(data['data']['volume24']),
|
||||
'bid1': float(data['data']['bid1']),
|
||||
'ask1': float(data['data']['ask1']),
|
||||
'fundingRate': float(data['data']['fundingRate']),
|
||||
|
||||
})
|
||||
VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
|
||||
case 'push.funding.rate':
|
||||
# logging.info(f'FUNDING RATE: {data}')
|
||||
VAL_KEY_OBJ = json.dumps({
|
||||
'timestamp_arrival': ts_arrival,
|
||||
'timestamp_msg': data['ts'],
|
||||
'symbol': data['data']['symbol'],
|
||||
'rate': float(data['data']['rate']),
|
||||
'nextSettleTime_ts_ms': data['data']['nextSettleTime'],
|
||||
})
|
||||
VAL_KEY.set(VK_FUND_RATE, VAL_KEY_OBJ)
|
||||
case 'pong':
|
||||
logging.info(f'PING RESPONSE: {data}')
|
||||
case _:
|
||||
logging.info(f'OTHER: {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:
|
||||
logging.error(f'Connection closed: {e}')
|
||||
logging.error(traceback.format_exc())
|
||||
continue
|
||||
except Exception as e:
|
||||
logging.error(f'Connection closed: {e}')
|
||||
logging.error(traceback.format_exc())
|
||||
|
||||
|
||||
async def main():
|
||||
global VAL_KEY
|
||||
global CON
|
||||
|
||||
if USE_VK:
|
||||
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||
else:
|
||||
VAL_KEY = None
|
||||
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||
|
||||
if USE_DB:
|
||||
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/polymarket')
|
||||
async with engine.connect() as CON:
|
||||
# await create_rtds_btcusd_table(CON=CON)
|
||||
await ws_stream()
|
||||
else:
|
||||
CON = None
|
||||
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||
await ws_stream()
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
START_TIME = round(datetime.now().timestamp()*1000)
|
||||
|
||||
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||
|
||||
logging.basicConfig(
|
||||
force=True,
|
||||
filename=LOG_FILEPATH,
|
||||
level=logging.INFO,
|
||||
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||
filemode='w'
|
||||
)
|
||||
logging.info(f"STARTED: {START_TIME}")
|
||||
|
||||
try:
|
||||
asyncio.run(main())
|
||||
except KeyboardInterrupt:
|
||||
logging.info("Stream stopped")
|
||||
Reference in New Issue
Block a user