248 lines
9.6 KiB
Python
248 lines
9.6 KiB
Python
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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### 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()
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LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Apex.log'
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### CONSTANTS ###
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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="
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TICKER_SNAPSHOT_DATA_LAST: dict = {}
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# HIST_TRADES = np.empty((0, 3))
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# HIST_TRADES_LOOKBACK_SEC = 6
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# ### Database Funcs ###
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# async def create_rtds_btcusd_table(
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# CON: AsyncContextManager,
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# engine: str = 'mysql', # mysql | duckdb
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# ) -> None:
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# if CON is None:
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# logging.info("NO DB CONNECTION, SKIPPING Create Statements")
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# else:
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# if engine == 'mysql':
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# logging.info('Creating Table if Does Not Exist: binance_btcusd_trades')
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# await CON.execute(text("""
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# CREATE TABLE IF NOT EXISTS binance_btcusd_trades (
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# timestamp_arrival BIGINT,
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# timestamp_msg BIGINT,
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# timestamp_value BIGINT,
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# value DOUBLE,
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# qty DOUBLE
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# );
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# """))
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# await CON.commit()
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# else:
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# raise ValueError('Only MySQL engine is implemented')
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# async def insert_rtds_btcusd_table(
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# timestamp_arrival: int,
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# timestamp_msg: int,
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# timestamp_value: int,
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# value: float,
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# qty: float,
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# CON: AsyncContextManager,
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# engine: str = 'mysql', # mysql | duckdb
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# ) -> None:
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# params={
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# 'timestamp_arrival': timestamp_arrival,
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# 'timestamp_msg': timestamp_msg,
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# 'timestamp_value': timestamp_value,
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# 'value': value,
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# 'qty': qty,
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# }
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# if CON is None:
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# logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
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# else:
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# if engine == 'mysql':
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# await CON.execute(text("""
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# INSERT INTO binance_btcusd_trades
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# (
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# timestamp_arrival,
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# timestamp_msg,
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# timestamp_value,
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# value,
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# qty
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# )
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# VALUES
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# (
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# :timestamp_arrival,
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# :timestamp_msg,
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# :timestamp_value,
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# :value,
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# :qty
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# )
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# """),
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# parameters=params
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# )
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# await CON.commit()
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# else:
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# raise ValueError('Only MySQL engine is implemented')
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### Websocket ###
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async def heartbeat(ws):
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while True:
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await asyncio.sleep(PING_INTERVAL_SEC)
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logging.info("SENDING PING...")
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ping_msg = {"op":"ping","args":[ str(round(datetime.now().timestamp()*1000)) ]}
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await ws.send(json.dumps(ping_msg))
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async def ws_stream():
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global TICKER_SNAPSHOT_DATA_LAST
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async for websocket in websockets.connect(f'{WSS_URL}{round(datetime.now().timestamp())}'):
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logging.info(f"Connected to {WSS_URL}")
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asyncio.create_task(heartbeat(ws=websocket))
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subscribe_msg = {
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"op": "subscribe",
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"args": ["instrumentInfo.H.ETHUSDT"]
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}
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await websocket.send(json.dumps(subscribe_msg))
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try:
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async for message in websocket:
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ts_arrival = round(datetime.now().timestamp()*1000)
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if isinstance(message, str):
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try:
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data = json.loads(message)
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if data.get('op', None) == 'ping':
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pong_msg = {"op":"pong","args":[ str(round(datetime.now().timestamp()*1000)) ]}
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logging.info(f'RECEIVED PING: {data}; SENDING PONG: {pong_msg}')
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await websocket.send(json.dumps(pong_msg))
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continue
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elif data.get('success', None):
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# logging.info('CONNECTION SUCCESFUL RESP MSG')
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continue
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msg_type = data.get('type', None)
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if msg_type is not None:
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match msg_type:
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case 'snapshot':
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TICKER_SNAPSHOT_DATA_LAST = data['data']
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nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000)
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VAL_KEY_OBJ = json.dumps({
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'timestamp_arrival': ts_arrival,
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'timestamp_msg': data['ts'],
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'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'],
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'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']),
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'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']),
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'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']),
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'volume24h': float(TICKER_SNAPSHOT_DATA_LAST['volume24h']),
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'fundingRate': float(TICKER_SNAPSHOT_DATA_LAST['fundingRate']),
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'predictedFundingRate': float(TICKER_SNAPSHOT_DATA_LAST['predictedFundingRate']),
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'nextFundingTime_ts_ms': nextFundingTime_ts,
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})
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VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
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continue
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case 'delta':
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TICKER_SNAPSHOT_DATA_LAST.update(data['data'])
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nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000)
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VAL_KEY_OBJ = json.dumps({
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'timestamp_arrival': ts_arrival,
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'timestamp_msg': data['ts'],
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'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'],
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'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']),
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'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']),
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'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']),
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'volume24h': float(TICKER_SNAPSHOT_DATA_LAST['volume24h']),
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'fundingRate': float(TICKER_SNAPSHOT_DATA_LAST['fundingRate']),
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'predictedFundingRate': float(TICKER_SNAPSHOT_DATA_LAST['predictedFundingRate']),
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'nextFundingTime_ts_ms': nextFundingTime_ts,
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})
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VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
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continue
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case _:
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logging.warning(f'UNMATCHED OTHER MSG: {data}')
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else:
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logging.info(f'Initial or unexpected data struct, skipping: {data}')
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continue
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except (json.JSONDecodeError, ValueError):
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logging.warning(f'Message not in JSON format, skipping: {message}')
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continue
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else:
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raise ValueError(f'Type: {type(data)} not expected: {message}')
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except websockets.ConnectionClosed as e:
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logging.error(f'Connection closed: {e}')
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logging.error(traceback.format_exc())
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continue
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except Exception as e:
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logging.error(f'Connection closed: {e}')
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logging.error(traceback.format_exc())
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async def main():
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global VAL_KEY
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global CON
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if USE_VK:
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VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
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else:
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VAL_KEY = None
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logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
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if USE_DB:
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engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/polymarket')
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async with engine.connect() as CON:
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# await create_rtds_btcusd_table(CON=CON)
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await ws_stream()
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else:
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CON = None
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logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
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await ws_stream()
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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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try:
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asyncio.run(main())
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except KeyboardInterrupt:
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logging.info("Stream stopped") |