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(20241224) MCX data test.

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khushal
2024-12-24 16:54:56 +05:30
parent 362a5540a3
commit 79e53ca6a8
3 changed files with 218 additions and 33 deletions
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models/finstitutions/trading/ticks.py
+66 -17
View File
@@ -40,6 +40,7 @@ from pydantic import BaseModel, Field, field_validator, PastDatetime, model_vali
from typing import Optional, Literal, Union, List
# My utils:
from utils_v2.string import json
from utils_v2.string import regex
from utils_v2.date_time import date_time
@@ -78,20 +79,24 @@ class OneMarketDepth(BaseModel):
price: float = Field(
description = "a price at which trader(s) are willing to trade this instrument",
frozen = True
frozen = True,
alias = "price"
)
qty: int = Field(
description = "the no. of shares available at the above price",
frozen = True
frozen = True,
alias = "quantity"
)
orders: int = Field(
description = "how many orders have contributed to the above quantity"
description = "how many orders have contributed to the above quantity",
frozen = True,
alias = "orders"
)
@computed_field
def liquidity(self) -> float:
def lqdty(self) -> float:
return self.price * self.qty
# ┏┓ ┏•
@@ -194,6 +199,10 @@ class TradingTick(BaseModel):
frozen = True
)
qty: int = Field(
description = "how many units were traded in this tick"
)
chg: float = Field(
description = "the absolute change since the previous close",
frozen=True
@@ -259,9 +268,8 @@ class TradingTick(BaseModel):
frozen = True
)
tradeTs: AwareDatetime | None = Field(
tradeTs: AwareDatetime = Field(
description = "the last trade time (utc) of this instrument",
default = None,
frozen = True
)
@@ -271,9 +279,8 @@ class TradingTick(BaseModel):
examples = ["UTC", "Asia/Kolkata"]
)
exchgTs: AwareDatetime | None = Field(
exchgTs: AwareDatetime = Field(
description = "the time (utc) at which this update was received from the exchange",
default = None,
frozen = True
)
@@ -287,6 +294,19 @@ class TradingTick(BaseModel):
description = "the market depth data for this instrument at the time of this update"
)
# ┏┓ ┏┓ ┓ ┏┓• ┓ ┓
# ┣┫┓┏╋┏┓━━┃ ┏┓┏┳┓┏┓┓┏╋┏┓┏┫ ┣ ┓┏┓┃┏┫┏
# ┛┗┗┻┗┗┛ ┗┛┗┛┛┗┗┣┛┗┻┗┗ ┗┻ ┻ ┗┗ ┗┗┻┛
# ┛
@computed_field
def tickCashflow(self) -> float:
return self.qty * self.ltp
@computed_field
def totCashflow(self) -> float:
return self.totVol * self.vwap
# ┏┓ ┏•
# ┃ ┏┓┏┓╋┓┏┓
# ┗┛┗┛┛┗┛┗┗┫
@@ -302,7 +322,7 @@ class TradingTick(BaseModel):
@staticmethod
def from_zerodha_kite(
ticks: dict | List[dict],
lookup: dict
instrument_lookup: dict
) -> list:
# Ensure that we are working with a list:
@@ -311,9 +331,14 @@ class TradingTick(BaseModel):
# Iterate through the ticks and fit them into the model:
modelled_ticks = []
for tick in ticks:
# Stash frequently needed vars:
broker_token = tick["instrument_token"]
tick_lookup = lookup[broker_token]
tick_lookup = instrument_lookup[broker_token]
change = tick["change"]
last_price = tick["last_price"]
# Model the currently picked tick:
modelled_ticks.append(
TradingTick(
symbol = tick_lookup["symbol"],
@@ -321,14 +346,32 @@ class TradingTick(BaseModel):
exchangeToken = tick_lookup["exchangeToken"],
broker = "zerodhaKite",
brokerToken = broker_token,
tradeable = tick["tradeable"],
tradeable = tick["tradable"],
segment = tick_lookup["segment"],
type = tick_lookup["type"],
strike = tick_lookup.get("strike"),
expiryTs = tick_lookup["expiryTs"],
expiryTz = tick_lookup["expiryTz"],
ltp = ,
ltp = last_price,
qty = tick["last_traded_quantity"],
chg = change,
pChg =
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"],
tradeTz = "Asia/Kolkata",
exchgTs = tick["exchange_timestamp"],
exchgTz = "Asia/Kolkata",
depth = tick["depth"]
)
)
@@ -355,7 +398,11 @@ class TradingTick(BaseModel):
value = value.strip()
value = date_time.parse_date_time(
input_value = value,
timezone = date_time.TIMEZONE_UTC
timezone = date_time.TIMEZONE_UTC,
date_formats = [
"%Y-%m-%d",
"%Y-%m-%d %H:%M:%S",
]
)
# When the input is a datetime obj.,
@@ -464,13 +511,15 @@ if __name__ == "__main__":
"exchange": "NSE",
"exchangeToken": 12345678,
"segment": "NFO-OPT",
"type": "CE"
"type": "CE",
"expiryTs": "2024-12-20",
"expiryTz": "Asia/Kolkata"
}
}
my_ticks = TradingTick.from_zerodha_kite(
ticks = zerodha_tick,
ticks = [zerodha_tick] * 10_000,
instrument_lookup = zerodha_lookup
)
print(my_ticks[0])
print(json.to_string(my_ticks[0].model_dump(), default = str))
playground/socketio/from_kafka.py
+15 -14
View File
@@ -28,25 +28,26 @@ from utils_v2.queue.async_kafka import ProducerKafka, ConsumerKafka, get_ssl_con
import os
# Define the test params:
TOPIC = "kft_file_upload"
TOPIC = "tickers"
BOOTSTRAP_SERVERS = "del.ditscentre.in:9092"
SSL_CONTEXT = get_ssl_context(
ca_file = "../../creds/kafka/cert_authority.pem",
cert_file = "../../creds/kafka/fullchain.pem",
key_file = "../../creds/kafka/privkey.pem"
)
# cwd = files.get_cwd()
# # parent_dir = files.get_parent_directory(cwd, 2)
# parent_dir = cwd
# print("CWD:", cwd)
# # print("PD:", parent_dir)
# SSL_CONTEXT = get_ssl_context(
# ca_file = "../../creds/kafka/cert_authority.pem",
# cert_file = "../../creds/kafka/fullchain.pem",
# key_file = "../../creds/kafka/privkey.pem"
# ca_file = os.path.join(parent_dir, "creds", "kafka", "cert_authority.pem"),
# cert_file = os.path.join(parent_dir, "creds", "kafka", "fullchain.pem"),
# key_file = os.path.join(parent_dir, "creds", "kafka", "privkey.pem")
# )
cwd = files.get_cwd()
# parent_dir = files.get_parent_directory(cwd, 2)
parent_dir = cwd
print("CWD:", cwd)
# print("PD:", parent_dir)
SSL_CONTEXT = get_ssl_context(
ca_file = os.path.join(parent_dir, "creds", "kafka", "cert_authority.pem"),
cert_file = os.path.join(parent_dir, "creds", "kafka", "fullchain.pem"),
key_file = os.path.join(parent_dir, "creds", "kafka", "privkey.pem")
)
my_consumer = ConsumerKafka(
topic = TOPIC,
bootstrap_servers = BOOTSTRAP_SERVERS,
playground/socketio/from_kafka_v2.py
+135
View File
@@ -0,0 +1,135 @@
import sys
sys.path.append(".")
sys.path.append("..")
import random
import time
import socketio
import asyncio
import datetime
import requests
tg_alert = False
# Create a Socket.IO server instance
sio = socketio.AsyncServer(cors_allowed_origins = "*")
# Create an aiohttp web application
from aiohttp import web
app = web.Application()
# Attach the Socket.IO server to the aiohttp application
sio.attach(app)
from utils_v2.system import files
from utils_v2.queue.async_kafka import ProducerKafka, ConsumerKafka, get_ssl_context
import os
# Define the test params:
TOPIC = "kft_file_upload"
BOOTSTRAP_SERVERS = "del.ditscentre.in:9092"
# SSL_CONTEXT = get_ssl_context(
# ca_file = "../../creds/kafka/cert_authority.pem",
# cert_file = "../../creds/kafka/fullchain.pem",
# key_file = "../../creds/kafka/privkey.pem"
# )
cwd = files.get_cwd()
# parent_dir = files.get_parent_directory(cwd, 2)
parent_dir = cwd
print("CWD:", cwd)
# print("PD:", parent_dir)
SSL_CONTEXT = get_ssl_context(
ca_file = os.path.join(parent_dir, "creds", "kafka", "cert_authority.pem"),
cert_file = os.path.join(parent_dir, "creds", "kafka", "fullchain.pem"),
key_file = os.path.join(parent_dir, "creds", "kafka", "privkey.pem")
)
my_consumer = ConsumerKafka(
topic = TOPIC,
bootstrap_servers = BOOTSTRAP_SERVERS,
security_protocol = "SSL",
ssl_context = SSL_CONTEXT
)
# Event: Client connects
@sio.event
async def connect(sid, environ):
print(f"Client {sid} connected")
if tg_alert:
requests.post(
url = r"https://api.thecaoffice.com/converse/tech/alert/chat/backend",
json = {
"type": "info",
"chatClient": "telegram",
"chatId": "-4206946032",
# "chatId": "1275560043",
"message": f"*SocketIO Connected!*\n👍 SID: {sid}"
}
)
# Event: Client disconnects
@sio.event
async def disconnect(sid):
print(f"Client {sid} disconnected")
if tg_alert:
requests.post(
url = r"https://api.thecaoffice.com/converse/tech/alert/chat/backend",
json = {
"type": "info",
"chatClient": "telegram",
"chatId": "-4206946032",
# "chatId": "1275560043",
"message": f"*SocketIO Disconnected!*\n❌ SID: {sid}"
}
)
@sio.event
async def message(sid, data):
print("MESSAGE:", data)
# Function to generate random data
async def broadcast_one_tick(tick):
await sio.emit("ticks", tick)
# Function to broadcast data every second asynchronously
async def broadcast_ticks():
while True:
messages = await my_consumer.consume(count = 100, timeout = 1.0)
print(f"Received {len(messages)} tick(s)")
tasks = [broadcast_one_tick(m["value"]) for m in messages]
if tasks: results = await asyncio.gather(*tasks)
# Start broadcasting random data using asyncio
async def start_broadcast():
await broadcast_ticks()
# Main function to run the aiohttp server and the broadcasting
async def main():
# Start broadcasting random data in the background
asyncio.create_task(start_broadcast())
# Run the web server
runner = web.AppRunner(app)
await runner.setup()
site = web.TCPSite(runner, '0.0.0.0', 5214)
print("Server running on http://0.0.0.0:5214")
await site.start()
# Keep the server running
while True:
await asyncio.sleep(3600) # Keep the server alive for 1 hour or adjust as needed
# Run the main asyncio event loop
if __name__ == '__main__':
asyncio.run(main())