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(20241226) Change and Percent Change bug fixed for Zerodha's ticks.

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khushal
2024-12-26 11:53:47 +05:30
parent a8449ebaef
commit 8e89575032
3 changed files with 53 additions and 28 deletions
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models/finstitutions/trading/ticks.py
+15 -7
View File
@@ -208,6 +208,11 @@ class TradingTick(BaseModel):
examples = ["UTC", "Asia/Kolkata"]
)
prevClose: float = Field(
description = "the closing price of this instrument on the previous day",
frozen = True
)
ltp: float = Field(
description = "the last price of this instrument at the time of requesting the symbol list",
frozen = True
@@ -233,17 +238,17 @@ class TradingTick(BaseModel):
)
h: float = Field(
description = "this session's high price",
description = "this session's highest price",
frozen = True
)
l: float = Field(
description = "this session's low price",
description = "this session's lowest price",
frozen = True
)
c: float = Field(
description = "this session's close price",
description = "this session's close price; typically the same as the ltp",
frozen = True
)
@@ -364,7 +369,7 @@ class TradingTick(BaseModel):
"ltp": self.ltp,
"chg": self.chg,
"pChg": self.pChg,
"totVol": self.totVol,
"totVol": self.totVol
}
@staticmethod
@@ -383,8 +388,10 @@ class TradingTick(BaseModel):
# Stash frequently needed vars:
broker_token = tick["instrument_token"]
tick_lookup = instrument_lookup[broker_token]
change = tick["change"]
last_price = tick["last_price"]
prev_close = tick["ohlc"]["close"]
change = last_price - prev_close
p_change = tick["change"]
# Model the currently picked tick:
modelled_ticks.append(
@@ -400,14 +407,15 @@ class TradingTick(BaseModel):
strike = tick_lookup.get("strike"),
expiryTs = tick_lookup.get("expiryTs"),
expiryTz = tick_lookup.get("expiryTz"),
prevClose = prev_close,
ltp = last_price,
qty = tick.get("last_traded_quantity"),
chg = change,
pChg = change / (last_price - change),
pChg = p_change,
o = tick["ohlc"]["open"],
h = tick["ohlc"]["high"],
l = tick["ohlc"]["low"],
c = tick["ohlc"]["close"],
c = last_price,
totVol = tick.get("volume_traded"),
vwap = tick.get("average_traded_price"),
totBuyQty = tick.get("total_buy_quantity"),
playground/socketio/to_kafka.py
+23 -19
View File
@@ -88,13 +88,14 @@ kafka_producer = ProducerKafka(
topic = "tickers",
config = create_config(
bootstrap_servers = "del.ditscentre.in:9092",
buffer_size = 1,
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"
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")
ca_file = r"../../creds/kafka/cert_authority.pem",
cert_file = r"../../creds/kafka/fullchain.pem",
key_file = r"../../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")
)
)
@@ -110,6 +111,7 @@ def to_kafka(tick: TradingTick) -> bool:
success = False
summary = tick.summary
summary["messageType"] = "ticks"
success = kafka_producer.produce(value = summary)
return success
@@ -133,7 +135,10 @@ def on_connect(ws, response):
def on_ticks(ws, ticks):
# print("TICK SAMPLE:", json.to_string(ticks, default=str))
ticks = TradingTick.from_zerodha_kite(ticks = ticks, instrument_lookup = INSTRUMENT_LOOKUP)
# print("TICK SAMPLE:", json.to_string(ticks[0].model_dump(), default=str))
# print("TICK SAMPLE:", json.to_string(ticks[0].summary, default=str))
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 ''}")
@@ -149,8 +154,8 @@ def main():
global INSTRUMENT_LOOKUP
# Load Zerodha credentials:
# creds = json.from_file(r"../../creds/zerodha/api.json")
creds = json.from_file(os.path.join(parent_dir, "creds", "zerodha", "api.json"))
creds = json.from_file(r"../../creds/zerodha/api.json")
# creds = json.from_file(os.path.join(parent_dir, "creds", "zerodha", "api.json"))
api_key = creds["apiKey"]
access_token = creds["accessToken"]
@@ -158,19 +163,18 @@ def main():
kite = KiteConnect(api_key = api_key)
kite.set_access_token(access_token)
# Get a list of instruments to work with:
# Get the entire list of instruments:
instruments = kite.instruments(exchange = "NSE")
instruments = instruments[:100]
instruments = [TradingSymbol.from_zerodha_kite(i) for i in instruments]
instruments += kite.instruments(exchange = "NFO")
instruments += kite.instruments(exchange = "BSE")
instruments += kite.instruments(exchange = "BFO")
instruments += kite.instruments(exchange = "MCX")
instruments += kite.instruments(exchange = "CDS")
instruments += kite.instruments(exchange = "BCD")
instruments_csv = []
instruments_csv += kite.instruments(exchange = "NSE")
instruments_csv += kite.instruments(exchange = "NFO")
# instruments_csv += kite.instruments(exchange = "BSE")
# instruments_csv += kite.instruments(exchange = "BFO")
# instruments_csv += kite.instruments(exchange = "MCX")
# instruments_csv += kite.instruments(exchange = "CDS")
# instruments_csv += kite.instruments(exchange = "BCD")
# Pick the instruments of interest:
instruments = instruments[:1000]
instruments = [TradingSymbol.from_zerodha_kite(i) for i in instruments]
# Create the lookup:
for i in instruments:
utils_v2/queue/kafka.py
+15 -2
View File
@@ -88,7 +88,8 @@ def create_config(
ca_file: str | None = None,
cert_file: str | None = None,
key_file: str | None = None,
client_id: str | None = None
client_id: str | None = None,
buffer_size: int = 32
) -> dict:
"""
@@ -100,6 +101,7 @@ def create_config(
:param cert_file: Needed for 'SSL' security protocol.
:param key_file: Needed for 'SSL' security protocol.
:param client_id: An identifier for one producer/consumer. Useful for debugging later.
:param buffer_size: The size of the local message buffer in MBs.
:return: The dictionary that needs to be passed as the 'conf' param when creating the producer/consumer.
"""
@@ -107,7 +109,8 @@ def create_config(
if not isinstance(bootstrap_servers, list): bootstrap_servers = [bootstrap_servers]
config = {
"bootstrap.servers": ",".join(bootstrap_servers),
"security.protocol": security_protocol
"security.protocol": security_protocol,
# "buffer.memory": buffer_size
}
# Add the SSL security details:
@@ -194,6 +197,16 @@ class ProducerKafka:
if not self.__connected: self.connect()
return self.__connected
def flush(self):
"""
Flushes the buffer entirely.
:return: None
"""
self.__producer.flush()
self.__printer("Producer flushed.")
def close(self):
"""