setting up feed handlers, more to come
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.gitignore
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.gitignore
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.env
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.vscode/settings.json
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.vscode/settings.json
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{
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"python-envs.defaultEnvManager": "ms-python.python:conda",
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"python-envs.defaultPackageManager": "ms-python.python:conda"
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}
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198
apex.ipynb
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198
apex.ipynb
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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": 2,
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"id": "b6c46d40",
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"metadata": {},
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"outputs": [],
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"source": [
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"import modules.apex_api as apex_api"
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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": "7fb6d9dc",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Authenticating...\n",
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"...Authenticated\n"
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]
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}
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],
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"source": [
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"client = apex_api.apex_create_client()"
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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": 5,
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"id": "d5a1203a",
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"metadata": {},
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"outputs": [],
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"source": [
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"# print(\"*** POSTING ORDER ***\")\n",
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"# createOrderRes = client.create_order_v3(\n",
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"# symbol=\"ETH-USDT\", \n",
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"# side=\"BUY\",\n",
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"# type=\"LIMIT\",\n",
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"# size=\"0.01\",\n",
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"# price=\"2100\",\n",
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"# )\n",
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"# print(createOrderRes)\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": "c21254eb",
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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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"{'data': {'totalEquityValue': '13.840000000000000000',\n",
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" 'availableBalance': '13.840000000000000000',\n",
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" 'initialMargin': '0',\n",
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" 'maintenanceMargin': '0',\n",
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" 'walletBalance': '',\n",
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" 'realizedPnl': '-5.399416243793950000',\n",
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" 'unrealizedPnl': '0.00',\n",
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" 'totalRisk': '0',\n",
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" 'totalValueWithoutDiscount': '13.840000000000000000',\n",
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" 'liabilities': '13.840000000000000000',\n",
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" 'totalAvailableBalance': '13.840000000000000000'},\n",
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" 'timeCost': 6327944}"
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]
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},
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"execution_count": 7,
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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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"client.get_account_balance_v3()"
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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": 8,
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"id": "7cba63d4",
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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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"{'data': [], 'timeCost': 3984811}"
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]
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},
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"execution_count": 8,
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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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"client.open_orders_v3()"
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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": 12,
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"id": "b072c0de",
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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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"{'timeCost': 4389124}"
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]
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},
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"execution_count": 12,
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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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"client.delete_open_orders_v3(symbol=\"ETH-USDT\")"
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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": 11,
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"id": "5ea177f8",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"TOKEN: USDT == 13.840000000000000000\n",
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"TOKEN: USDC == 0.000000000000000000\n"
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]
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}
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],
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"source": [
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"account_and_pos = client.get_account_v3()\n",
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"for c in account_and_pos['contractWallets']:\n",
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" print(f'TOKEN: {c['token']} == {c['balance']}')"
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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": "70eb3b4f",
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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": "fefca500",
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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": "dc048386",
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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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},
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"nbformat": 4,
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"nbformat_minor": 5
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}
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84
main.py
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84
main.py
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import asyncio
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import json
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import logging
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import math
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import os
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import time
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import traceback
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from dataclasses import asdict, dataclass
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from datetime import datetime, timezone
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from typing import AsyncContextManager
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from dotenv import load_dotenv
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import numpy as np
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import pandas as pd
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import requests
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# import talib
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import valkey
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from sqlalchemy import text
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from sqlalchemy.ext.asyncio import create_async_engine
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### Database ###
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CLIENT = None
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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_Algo.log'
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async def run_algo():
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try:
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while True:
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loop_start = time.time()
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print('__________Start___________')
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MEXC_FUND_RATE = json.loads(VAL_KEY.get('fund_rate_mexc'))
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MEXC_TICKER = json.loads(VAL_KEY.get('fut_ticker_mexc'))
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APEX_TICKER = json.loads(VAL_KEY.get('fut_ticker_apex'))
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print(f'MEXC FUND RATE: {MEXC_FUND_RATE}')
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print(f'MEXC TICKER: {MEXC_TICKER}')
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print(f'APEX TICKER: {APEX_TICKER}')
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time.sleep(5)
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print(f'__________________________ (Algo Engine ms: {(time.time() - loop_start)*1000})')
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except KeyboardInterrupt:
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print('...algo stopped')
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# await cancel_all_orders(CLIENT=CLIENT)
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except Exception as e:
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logging.critical(f'*** ALGO ENGINE CRASHED: {e}')
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logging.error(traceback.format_exc())
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# await cancel_all_orders(CLIENT=CLIENT)
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async def main():
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global CLIENT
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global VAL_KEY
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global CON
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VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0, decode_responses=True)
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engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
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async with engine.connect() as CON:
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# await create_executions_orders_table(CON=CON)
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await run_algo()
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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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asyncio.run(main())
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198
mexc.ipynb
198
mexc.ipynb
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"cells": [
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"cells": [
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 2,
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"execution_count": 15,
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"id": "7a3f41bd",
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"id": "7a3f41bd",
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"metadata": {},
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"metadata": {},
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"outputs": [],
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"outputs": [],
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"source": [
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"source": [
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"import pandas as pd\n",
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"import pandas as pd\n",
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"import requests"
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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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},
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 3,
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"execution_count": 44,
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"id": "3b48e1ce",
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"id": "3b48e1ce",
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"metadata": {},
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"metadata": {},
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"outputs": [],
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"outputs": [],
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"source": [
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"source": [
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"url_all_tickers = 'https://api.mexc.com/api/v1/contract/ticker'"
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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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},
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 10,
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"execution_count": 34,
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"id": "ab38d984",
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"id": "ab38d984",
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"metadata": {},
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"metadata": {},
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"outputs": [],
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"outputs": [],
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"source": [
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"source": [
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"r = requests.get(url_all_tickers)\n",
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"r = requests.get(mexc_all_tickers)\n",
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"data = r.json()['data']"
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"data = r.json()['data']"
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]
|
]
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},
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},
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{
|
{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 21,
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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",
|
"id": "1139b1a3",
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||||||
"metadata": {},
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"metadata": {},
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"outputs": [],
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"outputs": [],
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@@ -45,19 +58,19 @@
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},
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},
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{
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{
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"cell_type": "code",
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"cell_type": "code",
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"execution_count": 22,
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"execution_count": null,
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"id": "b00512dc",
|
"id": "b00512dc",
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||||||
"metadata": {},
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"metadata": {},
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||||||
"outputs": [],
|
"outputs": [],
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||||||
"source": [
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"source": [
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||||||
"df_trim = df[['symbol','fundingRate_pct','volume24']].copy()\n",
|
"df_trim = df[['symbol','fundingRate_pct','volume24']].copy()\n",
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"df_trim = df_trim.loc[df_trim['volume24'] > 10_000]\n"
|
"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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"cell_type": "code",
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"execution_count": 23,
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"execution_count": 9,
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||||||
"id": "43b053d0",
|
"id": "f7b44068",
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"metadata": {},
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"metadata": {},
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||||||
"outputs": [
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"outputs": [
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||||||
{
|
{
|
||||||
@@ -88,34 +101,34 @@
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|||||||
" </thead>\n",
|
" </thead>\n",
|
||||||
" <tbody>\n",
|
" <tbody>\n",
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" <tr>\n",
|
" <tr>\n",
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" <th>0</th>\n",
|
" <th>55</th>\n",
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" <td>BTC_USDT</td>\n",
|
" <td>DRIFT_USDT</td>\n",
|
||||||
" <td>-0.0007</td>\n",
|
" <td>-1.1360</td>\n",
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||||||
" <td>208341522</td>\n",
|
" <td>3308466</td>\n",
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" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
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||||||
" <th>1</th>\n",
|
" <th>10</th>\n",
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||||||
" <td>ETH_USDT</td>\n",
|
" <td>RED_USDT</td>\n",
|
||||||
" <td>0.0012</td>\n",
|
" <td>-1.1138</td>\n",
|
||||||
" <td>27134917</td>\n",
|
" <td>105826673</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>2</th>\n",
|
" <th>157</th>\n",
|
||||||
" <td>XAUT_USDT</td>\n",
|
" <td>PIXEL_USDT</td>\n",
|
||||||
" <td>0.0050</td>\n",
|
" <td>-0.4059</td>\n",
|
||||||
" <td>429520428</td>\n",
|
" <td>12415472</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>3</th>\n",
|
" <th>105</th>\n",
|
||||||
" <td>SOL_USDT</td>\n",
|
" <td>NIL_USDT</td>\n",
|
||||||
" <td>-0.0016</td>\n",
|
" <td>-0.3846</td>\n",
|
||||||
" <td>188591783</td>\n",
|
" <td>31438005</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>4</th>\n",
|
" <th>33</th>\n",
|
||||||
" <td>SILVER_USDT</td>\n",
|
" <td>SUPER_USDT</td>\n",
|
||||||
" <td>0.0000</td>\n",
|
" <td>-0.3718</td>\n",
|
||||||
" <td>634682239</td>\n",
|
" <td>2469502</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>...</th>\n",
|
" <th>...</th>\n",
|
||||||
@@ -124,34 +137,34 @@
|
|||||||
" <td>...</td>\n",
|
" <td>...</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>837</th>\n",
|
" <th>12</th>\n",
|
||||||
" <td>ENS_USDC</td>\n",
|
" <td>PLAY_USDT</td>\n",
|
||||||
" <td>0.0100</td>\n",
|
" <td>0.0838</td>\n",
|
||||||
" <td>196467</td>\n",
|
" <td>22168649</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>838</th>\n",
|
" <th>414</th>\n",
|
||||||
" <td>KAITO_USDC</td>\n",
|
" <td>PUMPBTC_USDT</td>\n",
|
||||||
" <td>-0.0106</td>\n",
|
" <td>0.0913</td>\n",
|
||||||
" <td>245467</td>\n",
|
" <td>745129</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>839</th>\n",
|
" <th>398</th>\n",
|
||||||
" <td>BIO_USDC</td>\n",
|
" <td>QQQSTOCK_USDT</td>\n",
|
||||||
" <td>0.0050</td>\n",
|
" <td>0.0969</td>\n",
|
||||||
" <td>586982</td>\n",
|
" <td>59485</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>840</th>\n",
|
" <th>222</th>\n",
|
||||||
" <td>ETC_USDC</td>\n",
|
" <td>GUA_USDT</td>\n",
|
||||||
" <td>0.0100</td>\n",
|
" <td>0.0996</td>\n",
|
||||||
" <td>117338</td>\n",
|
" <td>45623</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>841</th>\n",
|
" <th>265</th>\n",
|
||||||
" <td>MNT_USDC</td>\n",
|
" <td>BROCCOLIF3B_USDT</td>\n",
|
||||||
" <td>0.0100</td>\n",
|
" <td>0.1647</td>\n",
|
||||||
" <td>150912</td>\n",
|
" <td>3936939</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" </tbody>\n",
|
" </tbody>\n",
|
||||||
"</table>\n",
|
"</table>\n",
|
||||||
@@ -159,35 +172,88 @@
|
|||||||
"</div>"
|
"</div>"
|
||||||
],
|
],
|
||||||
"text/plain": [
|
"text/plain": [
|
||||||
" symbol fundingRate_pct volume24\n",
|
" symbol fundingRate_pct volume24\n",
|
||||||
"0 BTC_USDT -0.0007 208341522\n",
|
"55 DRIFT_USDT -1.1360 3308466\n",
|
||||||
"1 ETH_USDT 0.0012 27134917\n",
|
"10 RED_USDT -1.1138 105826673\n",
|
||||||
"2 XAUT_USDT 0.0050 429520428\n",
|
"157 PIXEL_USDT -0.4059 12415472\n",
|
||||||
"3 SOL_USDT -0.0016 188591783\n",
|
"105 NIL_USDT -0.3846 31438005\n",
|
||||||
"4 SILVER_USDT 0.0000 634682239\n",
|
"33 SUPER_USDT -0.3718 2469502\n",
|
||||||
".. ... ... ...\n",
|
".. ... ... ...\n",
|
||||||
"837 ENS_USDC 0.0100 196467\n",
|
"12 PLAY_USDT 0.0838 22168649\n",
|
||||||
"838 KAITO_USDC -0.0106 245467\n",
|
"414 PUMPBTC_USDT 0.0913 745129\n",
|
||||||
"839 BIO_USDC 0.0050 586982\n",
|
"398 QQQSTOCK_USDT 0.0969 59485\n",
|
||||||
"840 ETC_USDC 0.0100 117338\n",
|
"222 GUA_USDT 0.0996 45623\n",
|
||||||
"841 MNT_USDC 0.0100 150912\n",
|
"265 BROCCOLIF3B_USDT 0.1647 3936939\n",
|
||||||
"\n",
|
"\n",
|
||||||
"[837 rows x 3 columns]"
|
"[837 rows x 3 columns]"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
"execution_count": 23,
|
"execution_count": 9,
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"output_type": "execute_result"
|
"output_type": "execute_result"
|
||||||
}
|
}
|
||||||
],
|
],
|
||||||
"source": [
|
"source": [
|
||||||
"df_trim"
|
"df_trim.sort_values('fundingRate_pct', ascending=True)"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 4,
|
||||||
|
"id": "6775a03f",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"1775583908"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 4,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"round(datetime.now().timestamp())"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": null,
|
"execution_count": null,
|
||||||
"id": "f7b44068",
|
"id": "edca3b9f",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"### PRIVATE API ###\n"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "51e50e0d",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "21aabf30",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
"source": []
|
"source": []
|
||||||
|
|||||||
BIN
modules/__pycache__/apex_api.cpython-313.pyc
Normal file
BIN
modules/__pycache__/apex_api.cpython-313.pyc
Normal file
Binary file not shown.
37
modules/apex_api.py
Normal file
37
modules/apex_api.py
Normal file
@@ -0,0 +1,37 @@
|
|||||||
|
from apexomni.http_private_v3 import HttpPrivate_v3
|
||||||
|
from apexomni.http_private_sign import HttpPrivateSign
|
||||||
|
from apexomni.constants import APEX_OMNI_HTTP_MAIN, NETWORKID_MAIN
|
||||||
|
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
import os
|
||||||
|
|
||||||
|
def apex_create_client() -> HttpPrivateSign:
|
||||||
|
load_dotenv()
|
||||||
|
print("Authenticating...")
|
||||||
|
eth_private_key = os.getenv("RABBY_PRIVATE_KEY")
|
||||||
|
key = os.getenv("APEX_API_KEY")
|
||||||
|
secret = os.getenv("APEX_API_SECRET")
|
||||||
|
passphrase = os.getenv("APEX_API_PASSPHRASE")
|
||||||
|
|
||||||
|
client = HttpPrivate_v3(APEX_OMNI_HTTP_MAIN, network_id=NETWORKID_MAIN, eth_private_key=eth_private_key)
|
||||||
|
zkKeys = client.derive_zk_key(client.default_address)
|
||||||
|
|
||||||
|
seeds = zkKeys['seeds']
|
||||||
|
l2Key = zkKeys['l2Key']
|
||||||
|
|
||||||
|
client = HttpPrivateSign(
|
||||||
|
APEX_OMNI_HTTP_MAIN,
|
||||||
|
network_id=NETWORKID_MAIN,
|
||||||
|
zk_seeds=seeds,
|
||||||
|
zk_l2Key=l2Key,
|
||||||
|
api_key_credentials={'key': key, 'secret': secret, 'passphrase': passphrase})
|
||||||
|
|
||||||
|
try:
|
||||||
|
client.configs_v3()
|
||||||
|
client.get_account_v3()
|
||||||
|
except Exception as e:
|
||||||
|
raise ConnectionError(f'Failed to authenticate with APEX OMNI: {e}')
|
||||||
|
|
||||||
|
print("...Authenticated")
|
||||||
|
|
||||||
|
return client
|
||||||
248
ws_apex.py
Normal file
248
ws_apex.py
Normal file
@@ -0,0 +1,248 @@
|
|||||||
|
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_apex'
|
||||||
|
VK_TICKER = 'fut_ticker_apex'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Apex.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
PING_INTERVAL_SEC = 15
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
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
|
||||||
|
|
||||||
|
# ### 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 = {"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/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")
|
||||||
249
ws_aster.py
Normal file
249
ws_aster.py
Normal file
@@ -0,0 +1,249 @@
|
|||||||
|
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_apex'
|
||||||
|
VK_TICKER = 'fut_ticker_apex'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Apex.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
PING_INTERVAL_SEC = 15
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
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
|
||||||
|
|
||||||
|
# ### 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 = {"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)
|
||||||
|
print(message)
|
||||||
|
# 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/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")
|
||||||
244
ws_mexc.py
244
ws_mexc.py
@@ -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