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stevekeyharvey
2026-04-01 17:37:19 +00:00
parent 8d7d99d749
commit 259ea93479
21 changed files with 2900 additions and 436 deletions
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62
ws_binance.py
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@@ -13,6 +13,9 @@ 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():
@@ -26,13 +29,14 @@ VK_CHANNEL = 'poly_binance_btcusd'
CON: AsyncContextManager | None = None
VAL_KEY = None
### Logging ###
LOG_FILEPATH: str = '/root/logs/Polymarket_Binance_Trades.log'
load_dotenv()
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Polymarket_Binance_Trades.log'
### Globals ###
WSS_URL = "wss://stream.binance.com:9443/ws/BTCUSDT@trade"
# HIST_TRADES = np.empty((0, 2))
WSS_URL = "wss://stream.binance.com:9443/ws/BTCUSDT@aggTrade"
HIST_TRADES = np.empty((0, 3))
HIST_TRADES_LOOKBACK_SEC = 5
### Database Funcs ###
async def create_rtds_btcusd_table(
@@ -46,6 +50,7 @@ async def create_rtds_btcusd_table(
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,
@@ -57,6 +62,7 @@ async def create_rtds_btcusd_table(
raise ValueError('Only MySQL engine is implemented')
async def insert_rtds_btcusd_table(
timestamp_arrival: int,
timestamp_msg: int,
timestamp_value: int,
value: float,
@@ -65,6 +71,7 @@ async def insert_rtds_btcusd_table(
engine: str = 'mysql', # mysql | duckdb
) -> None:
params={
'timestamp_arrival': timestamp_arrival,
'timestamp_msg': timestamp_msg,
'timestamp_value': timestamp_value,
'value': value,
@@ -77,6 +84,7 @@ async def insert_rtds_btcusd_table(
await CON.execute(text("""
INSERT INTO binance_btcusd_trades
(
timestamp_arrival,
timestamp_msg,
timestamp_value,
value,
@@ -84,6 +92,7 @@ async def insert_rtds_btcusd_table(
)
VALUES
(
:timestamp_arrival,
:timestamp_msg,
:timestamp_value,
:value,
@@ -96,7 +105,6 @@ async def insert_rtds_btcusd_table(
else:
raise ValueError('Only MySQL engine is implemented')
### Websocket ###
async def binance_trades_stream():
global HIST_TRADES
@@ -106,7 +114,7 @@ async def binance_trades_stream():
subscribe_msg = {
"method": "SUBSCRIBE",
"params": ["btcusdt@trade"],
"params": ["btcusdt@aggTrade"],
"id": 1
}
@@ -114,30 +122,36 @@ async def binance_trades_stream():
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('t', None) is not None:
if data.get('T', None) is not None:
timestamp_msg = data['E']
timestamp_value = data['T']
last_px = float(data['p'])
print(f'🤑 BTC Binance Last Px: {last_px:_.4f}; TS: {pd.to_datetime(data['T'], unit='ms')}')
VAL_KEY.publish(VK_CHANNEL, json.dumps({
'timestamp_msg': data['E'],
'timestamp_value': data['T'],
qty = float(data['q'])
# print(f'🤑 BTC Binance Last Px: {last_px:_.4f}; TS: {pd.to_datetime(data['T'], unit='ms')}')
HIST_TRADES = np.append(HIST_TRADES, np.array([[timestamp_value, last_px, qty]]), axis=0)
hist_trades_lookback_ts_ms = round(datetime.now().timestamp() - HIST_TRADES_LOOKBACK_SEC)*1000
HIST_TRADES = HIST_TRADES[HIST_TRADES[:, 0] >= hist_trades_lookback_ts_ms]
VAL_KEY_OBJ = json.dumps({
'timestamp_arrival': ts_arrival,
'timestamp_msg': timestamp_msg,
'timestamp_value': timestamp_value,
'value': last_px,
'qty': data['q'],
}))
VAL_KEY.set(VK_CHANNEL, json.dumps({
'timestamp_msg': data['E'],
'timestamp_value': data['T'],
'value': last_px,
'qty': data['q'],
}))
'qty': qty,
'hist_trades': HIST_TRADES.tolist()
})
# VAL_KEY.publish(VK_CHANNEL, VAL_KEY_OBJ)
VAL_KEY.set(VK_CHANNEL, VAL_KEY_OBJ)
await insert_rtds_btcusd_table(
CON=CON,
timestamp_msg=data['E'],
timestamp_value=data['T'],
timestamp_arrival=ts_arrival,
timestamp_msg=timestamp_msg,
timestamp_value=timestamp_value,
value=last_px,
qty=data['q'],
qty=qty,
)
else:
logging.info(f'Initial or unexpected data struct, skipping: {data}')
@@ -162,8 +176,8 @@ async def main():
if USE_VK:
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
published_count = VAL_KEY.publish(VK_CHANNEL,f"Hola, starting to publish to valkey: {VK_CHANNEL} @ {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
logging.info(f"Valkey message published to {published_count} subscribers of {VK_CHANNEL}")
# published_count = VAL_KEY.publish(VK_CHANNEL,f"Hola, starting to publish to valkey: {VK_CHANNEL} @ {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")
# logging.info(f"Valkey message published to {published_count} subscribers of {VK_CHANNEL}")
else:
VAL_KEY = None
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")