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(20241224) Live feed through Kafka ready for testing!

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khushal
2024-12-24 18:32:18 +05:30
parent 2cc53622ad
commit 778bbb2a94
2 changed files with 266 additions and 28 deletions
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models/finstitutions/trading/ticks.py
+77 -28
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@@ -131,6 +131,20 @@ class MarketDepth(BaseModel):
class Config:
extra = "forbid"
# ┓┏ ┓• ┓ •
# ┃┃┏┓┃┓┏┫┏┓╋┓┏┓┏┓
# ┗┛┗┻┗┗┗┻┗┻┗┗┗┛┛┗
@field_validator("buy", mode = "after")
def sort_buying_depth(cls, value):
value.sort(key = lambda x: x.price, reverse = True)
return value
@field_validator("sell", mode = "after")
def sort_selling_depth(cls, value):
value.sort(key = lambda x: x.price, reverse = False)
return value
# ---------------------------------------------------------------------------------------------------------------------
@@ -199,7 +213,7 @@ class TradingTick(BaseModel):
frozen = True
)
qty: int = Field(
qty: int | None = Field(
description = "how many units were traded in this tick"
)
@@ -233,7 +247,7 @@ class TradingTick(BaseModel):
frozen = True
)
totVol: int = Field(
totVol: int | None = Field(
description = "the total volume of this instrument that has been traded in this session",
frozen = True
)
@@ -243,12 +257,12 @@ class TradingTick(BaseModel):
frozen = True
)
totBuyQty: int = Field(
totBuyQty: int | None = Field(
description = "the total open buy qty. on the exchange for this symbol",
frozen = True
)
totSellQty: int = Field(
totSellQty: int | None = Field(
description = "the total open sell qty. on the exchange for this symbol",
frozen = True
)
@@ -268,29 +282,29 @@ class TradingTick(BaseModel):
frozen = True
)
tradeTs: AwareDatetime = Field(
tradeTs: AwareDatetime | None = Field(
description = "the last trade time (utc) of this instrument",
frozen = True
)
tradeTz: str = Field(
tradeTz: str | None = Field(
description = "the timezone in which the last trade time should be interpreted; should be compatible with pytz",
frozen = True,
examples = ["UTC", "Asia/Kolkata"]
)
exchgTs: AwareDatetime = Field(
exchgTs: AwareDatetime | None = Field(
description = "the time (utc) at which this update was received from the exchange",
frozen = True
)
exchgTz: str = Field(
exchgTz: str | None = Field(
description = "the timezone in which the exchange's time should be interpreted; should be compatible with pytz",
frozen = True,
examples = ["UTC", "Asia/Kolkata"]
)
depth: MarketDepth = Field(
depth: MarketDepth | None = Field(
description = "the market depth data for this instrument at the time of this update"
)
@@ -300,12 +314,14 @@ class TradingTick(BaseModel):
# ┛
@computed_field
def tickCashflow(self) -> float:
return self.qty * self.ltp
def tickCashflow(self) -> float | None:
if self.qty is not None and self.ltp is not None:
return self.qty * self.ltp
@computed_field
def totCashflow(self) -> float:
return self.totVol * self.vwap
def totCashflow(self) -> float | None:
if self.totVol is not None and self.vwap is not None:
return self.totVol * self.vwap
# ┏┓ ┏•
# ┃ ┏┓┏┓╋┓┏┓
@@ -318,6 +334,35 @@ class TradingTick(BaseModel):
# ┏┓ ┏┓
# ┃ ┓┏┏╋┏┓┏┳┓ ┣ ┓┏┏┓┏┏
# ┗┛┗┻┛┗┗┛┛┗┗ ┻ ┗┻┛┗┗┛
@property
def summary(self):
highest_bid = None
lowest_ask = None
if self.depth:
highest_bid = self.depth.buy[0] if self.depth.buy else None
lowest_ask = self.depth.sell[0] if self.depth.sell else None
return {
"exchange": self.exchange,
"segment": self.segment,
"type": self.type,
"symbol": self.symbol,
"expiry": date_time.to_timezone(
self.expiryTs,
timezone = self.expiryTz
).strftime("%Y-%m-%d") if self.expiryTs is not None else None,
"strike": self.strike,
"bidQty": highest_bid.qty if highest_bid else None,
"bidRate": highest_bid.price if highest_bid else None,
"askQty": lowest_ask.qty if lowest_ask else None,
"askRate": lowest_ask.price if lowest_ask else None,
"ltp": self.ltp,
"chg": self.chg,
"pChg": self.pChg,
"totVol": self.totVol,
}
@staticmethod
def from_zerodha_kite(
@@ -350,28 +395,28 @@ class TradingTick(BaseModel):
segment = tick_lookup["segment"],
type = tick_lookup["type"],
strike = tick_lookup.get("strike"),
expiryTs = tick_lookup["expiryTs"],
expiryTz = tick_lookup["expiryTz"],
expiryTs = tick_lookup.get("expiryTs"),
expiryTz = tick_lookup.get("expiryTz"),
ltp = last_price,
qty = tick["last_traded_quantity"],
qty = tick.get("last_traded_quantity"),
chg = change,
pChg = change / (last_price - change),
o = tick["ohlc"]["open"],
h = tick["ohlc"]["high"],
l = tick["ohlc"]["low"],
c = tick["ohlc"]["close"],
totVol = tick["volume_traded"],
vwap = tick["average_traded_price"],
totBuyQty = tick["total_buy_quantity"],
totSellQty = tick["total_sell_quantity"],
oi = tick["oi"],
oiDayHigh = tick["oi_day_high"],
oiDayLow = tick["oi_day_low"],
tradeTs = tick["last_trade_time"],
totVol = tick.get("volume_traded"),
vwap = tick.get("average_traded_price"),
totBuyQty = tick.get("total_buy_quantity"),
totSellQty = tick.get("total_sell_quantity"),
oi = tick.get("oi"),
oiDayHigh = tick.get("oi_day_high"),
oiDayLow = tick.get("oi_day_low"),
tradeTs = tick.get("last_trade_time"),
tradeTz = "Asia/Kolkata",
exchgTs = tick["exchange_timestamp"],
exchgTs = tick.get("exchange_timestamp"),
exchgTz = "Asia/Kolkata",
depth = tick["depth"]
depth = tick.get("depth")
)
)
@@ -426,7 +471,7 @@ class TradingTick(BaseModel):
if __name__ == "__main__":
zerodha_tick = {
zerodha_tick_a = {
"tradable": True,
"mode": "full",
"instrument_token": 408065,
@@ -504,6 +549,9 @@ if __name__ == "__main__":
}
]
}
}
zerodha_tick_b = {
}
zerodha_lookup = {
408065: {
@@ -518,8 +566,9 @@ if __name__ == "__main__":
}
my_ticks = TradingTick.from_zerodha_kite(
ticks = [zerodha_tick] * 10_000,
ticks = [zerodha_tick_a],
instrument_lookup = zerodha_lookup
)
print(json.to_string(my_ticks[0].model_dump(), default = str))
print(json.to_string(my_ticks[0].summary, default = str))