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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
+75 -26
View File
@@ -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"
)
@@ -300,11 +314,13 @@ class TradingTick(BaseModel):
# ┛
@computed_field
def tickCashflow(self) -> float:
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:
def totCashflow(self) -> float | None:
if self.totVol is not None and self.vwap is not None:
return self.totVol * self.vwap
# ┏┓ ┏•
@@ -319,6 +335,35 @@ 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(
ticks: dict | List[dict],
@@ -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))
playground/socketio/to_kafka.py
+189
View File
@@ -0,0 +1,189 @@
"""
AUTHOR:
Khushal P Soonderji
DATE:
Tuesday, 24th Dec. 2024
OBJECTIVE:
To get live updates from Zerodha and push them to Kafka.
REFERENCES:
N01. YouTube Webinar: https://www.youtube.com/watch?v=9vzd289Eedk
02. Official Example (GitHub): https://github.com/zerodha/pykiteconnect/blob/master/examples/threaded_ticker.py
DOWNLOADS:
N/A
"""
# *****************************************************************************************************************
# ***** ****
# *** IMPORT ***
# ***** ****
# *****************************************************************************************************************
# To make sibling directories accessible for imports:
import sys
sys.path.append(".")
sys.path.append("..")
# System-level activities:
import io
import os
# My utils:
from utils_v2.string import json
from utils_v2.queue.kafka import ProducerKafka, create_config
# To make HTTP calls:
import httpx
# To work with date and time:
import datetime
import time
# Models:
from models.finstitutions.trading.symbols import TradingSymbol
from models.finstitutions.trading.ticks import TradingTick
# To work with Zerodha's Kite platform:
from kiteconnect import KiteConnect, KiteTicker
# *****************************************************************************************************************
# ***** ****
# *** MACROS / ONE-TIME INIT ***
# ***** ****
# *****************************************************************************************************************
# --- Nothing Yet
# *****************************************************************************************************************
# ***** ****
# *** VARIABLES ***
# ***** ****
# *****************************************************************************************************************
# For Zerodha and related to ticks:
INSTRUMENT_TOKENS = []
INSTRUMENT_LOOKUP = {}
# For Kafka:
kafka_producer = ProducerKafka(
topic = "tickers",
config = create_config(
bootstrap_servers = "del.ditscentre.in:9092",
security_protocol = "SSL",
ca_file = r"../../creds/kafka/cert_authority.pem",
cert_file = r"../../creds/kafka/fullchain.pem",
key_file = r"../../creds/kafka/privkey.pem"
)
)
# *****************************************************************************************************************
# ***** ****
# *** FUNCTIONS ***
# ***** ****
# *****************************************************************************************************************
def to_kafka(tick: TradingTick) -> bool:
success = False
summary = tick.summary
success = kafka_producer.produce(value = summary)
return success
# ---------------------------------------------------------------------------------------------------------------------
def on_connect(ws, response):
print("\n\n")
print("ON CONNECT:")
print("Successfully connected. Response: {}".format(response))
ws.subscribe(INSTRUMENT_TOKENS)
ws.set_mode(ws.MODE_FULL, INSTRUMENT_TOKENS)
print(f"Subscribed to {len(INSTRUMENT_TOKENS):,} tokens in 'Full' mode.")
print("\n\n")
# ---------------------------------------------------------------------------------------------------------------------
def on_ticks(ws, ticks):
ticks = TradingTick.from_zerodha_kite(ticks = ticks, instrument_lookup = INSTRUMENT_LOOKUP)
results = [to_kafka(tick) for tick in ticks]
success = sum(results)
print(f"TICKS: {len(ticks): <4} | PRODUCED: {success: <4}{' | FAILURE(S)!' if success < len(results)else ''}")
# ---------------------------------------------------------------------------------------------------------------------
def main():
# Global vars:
global INSTRUMENT_TOKENS
global INSTRUMENT_LOOKUP
# Load Zerodha credentials:
creds = json.from_file(r"../../creds/zerodha/api.json")
api_key = creds["apiKey"]
access_token = creds["accessToken"]
# Create an instance of Zerodha's Kite connection:
kite = KiteConnect(api_key = api_key)
kite.set_access_token(access_token)
# Get a list of instruments to work with:
instruments = kite.instruments(exchange = "MCX")
instruments = instruments[:100]
instruments = [TradingSymbol.from_zerodha_kite(i) for i in instruments]
# Create the lookup:
for i in instruments:
INSTRUMENT_TOKENS.append(i.brokerToken)
INSTRUMENT_LOOKUP[i.brokerToken] = i.model_dump()
# Start the websocket with Zerodha:
kite_ws = KiteTicker(
api_key = api_key,
access_token = access_token
)
# Assign the callbacks:
kite_ws.on_connect = on_connect
kite_ws.on_ticks = on_ticks
# If you choose to go threaded, you will need to work purely with callbacks.
# You will need to have an infinite loop in the main thread.
kite_ws.connect(threaded = True)
# *****************************************************************************************************************
# ***** ****
# *** MAIN PROGRAM ***
# ***** ****
# *****************************************************************************************************************
if __name__ == "__main__":
main()
while True: time.sleep(3_600.00)