(20241224) Live Feed From Kafka (to test).
This commit is contained in:
@@ -0,0 +1,222 @@
|
||||
"""
|
||||
|
||||
AUTHOR:
|
||||
|
||||
Khushal P Soonderji
|
||||
|
||||
DATE:
|
||||
|
||||
Monday, 23rd Dec., 2024.
|
||||
|
||||
OBJECTIVE:
|
||||
|
||||
To provide a structure to represent trading symbols.
|
||||
|
||||
REFERENCES:
|
||||
|
||||
N/A
|
||||
|
||||
DOWNLOADS:
|
||||
|
||||
N/A
|
||||
|
||||
"""
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** IMPORT ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
# To make sibling directories accessible for imports:
|
||||
import sys
|
||||
sys.path.append(".")
|
||||
sys.path.append("..")
|
||||
|
||||
# For making data behaviour_models:
|
||||
from pydantic import BaseModel, Field, field_validator, PastDatetime, model_validator, AwareDatetime
|
||||
from typing import Optional, Literal, Union, List
|
||||
|
||||
# My utils:
|
||||
from utils_v2.string import regex
|
||||
from utils_v2.date_time import date_time
|
||||
|
||||
# To work with date and time:
|
||||
import datetime
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** MACROS / ONE-TIME INIT ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
# --- Nothing Yet
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** VARIABLES ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
# --- Nothing Yet
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** FUNCTIONS ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
class TradingSymbol(BaseModel):
|
||||
|
||||
exchange: Literal["NSE", "NFO", "BSE", "BFO", "MCX", "CDS", "BCD"] = Field(
|
||||
description = "the exchange on which this symbol is traded",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
exchangeToken: str | int = Field(
|
||||
description = "the code by which the exchange identifies this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
broker: Literal["zerodhaKite", "iciciBreeze"] = Field(
|
||||
description = "the broker that gave you the details of this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
brokerToken: str | int = Field(
|
||||
description = "the code by which the broker identifies this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
name: str = Field(
|
||||
description = "the name of the co./asset",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
symbol: str = Field(
|
||||
description = "tha trading symbol pf the co./asset",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
tickSize: float = Field(
|
||||
description = "the minimum step size in the change of price of the instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
ltp: float = Field(
|
||||
description = "the last price of this instrument at the time of requesting the symbol list",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
segment: str = Field(
|
||||
description = "the segment which this asset represents",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
type: str = Field(
|
||||
description = "the type of the instrument in the segment",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
lotSize: int = Field(
|
||||
description = "the minimum tradeable qty of this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
strike: int | float | None = Field(
|
||||
description = "the strike price of the instrument if it is a derivative",
|
||||
default = None,
|
||||
frozen = True
|
||||
)
|
||||
|
||||
expiryTs: AwareDatetime | None = Field(
|
||||
description = "the expiry (utc) of this instrument if it is a derivative",
|
||||
default = None,
|
||||
frozen = True
|
||||
)
|
||||
|
||||
expiryTz: str = Field(
|
||||
description = "the timezone in which the expiry timestamp my be interpreted; should be compatible with pytz",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
# ┏┓ ┏•
|
||||
# ┃ ┏┓┏┓╋┓┏┓
|
||||
# ┗┛┗┛┛┗┛┗┗┫
|
||||
# ┛
|
||||
|
||||
class Config:
|
||||
extra = "forbid"
|
||||
|
||||
# ┏┓ ┏┓
|
||||
# ┃ ┓┏┏╋┏┓┏┳┓ ┣ ┓┏┏┓┏┏
|
||||
# ┗┛┗┻┛┗┗┛┛┗┗ ┻ ┗┻┛┗┗┛
|
||||
|
||||
@staticmethod
|
||||
def from_zerodha_kite(instrument: dict):
|
||||
return TradingSymbol(
|
||||
exchange = instrument["exchange"],
|
||||
exchangeToken = instrument["exchange_token"],
|
||||
broker = "zerodhaKite",
|
||||
brokerToken = instrument["instrument_token"],
|
||||
name = instrument["name"],
|
||||
symbol = instrument["tradingsymbol"],
|
||||
tickSize = instrument["tick_size"],
|
||||
ltp = instrument["last_price"],
|
||||
segment = instrument["segment"],
|
||||
type = instrument["instrument_type"],
|
||||
lotSize = instrument["lot_size"],
|
||||
strike = instrument["strike"],
|
||||
expiryTs = date_time.to_timezone(
|
||||
datetime_object = datetime.datetime.combine(
|
||||
instrument["expiry"],
|
||||
datetime.time(hour = 0, minute = 0, second = 0)
|
||||
),
|
||||
timezone = date_time.TIMEZONE_UTC
|
||||
) if instrument["expiry"] else None,
|
||||
expiryTz = "Asia/Kolkata"
|
||||
)
|
||||
|
||||
# ┓┏ ┓• ┓ •
|
||||
# ┃┃┏┓┃┓┏┫┏┓╋┓┏┓┏┓
|
||||
# ┗┛┗┻┗┗┗┻┗┻┗┗┗┛┛┗
|
||||
|
||||
@field_validator("expiryTs", mode = "before")
|
||||
def parse_date_time(cls, value):
|
||||
|
||||
if not value: value = None
|
||||
|
||||
if isinstance(value, str):
|
||||
value = value.strip()
|
||||
value = date_time.parse_date_time(
|
||||
input_value = value,
|
||||
timezone = date_time.TIMEZONE_UTC
|
||||
)
|
||||
|
||||
if isinstance(value, datetime.datetime):
|
||||
value = date_time.to_timezone(
|
||||
value,
|
||||
timezone = date_time.TIMEZONE_UTC
|
||||
)
|
||||
|
||||
return value
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** MAIN PROGRAM ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
|
||||
pass
|
||||
@@ -0,0 +1,476 @@
|
||||
"""
|
||||
|
||||
AUTHOR:
|
||||
|
||||
Khushal P Soonderji
|
||||
|
||||
DATE:
|
||||
|
||||
Tuesday, 24th Dec., 2024.
|
||||
|
||||
OBJECTIVE:
|
||||
|
||||
To provide a structure to represent trading tick updates.
|
||||
|
||||
REFERENCES:
|
||||
|
||||
N/A
|
||||
|
||||
DOWNLOADS:
|
||||
|
||||
N/A
|
||||
|
||||
"""
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** IMPORT ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
# To make sibling directories accessible for imports:
|
||||
import sys
|
||||
sys.path.append(".")
|
||||
sys.path.append("..")
|
||||
|
||||
# For making data behaviour_models:
|
||||
from pydantic import BaseModel, Field, field_validator, PastDatetime, model_validator, AwareDatetime, computed_field
|
||||
from typing import Optional, Literal, Union, List
|
||||
|
||||
# My utils:
|
||||
from utils_v2.string import regex
|
||||
from utils_v2.date_time import date_time
|
||||
|
||||
# To work with date and time:
|
||||
import datetime
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** MACROS / ONE-TIME INIT ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
# --- Nothing Yet
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** VARIABLES ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
# --- Nothing Yet
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** FUNCTIONS ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
class OneMarketDepth(BaseModel):
|
||||
|
||||
price: float = Field(
|
||||
description = "a price at which trader(s) are willing to trade this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
qty: int = Field(
|
||||
description = "the no. of shares available at the above price",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
orders: int = Field(
|
||||
description = "how many orders have contributed to the above quantity"
|
||||
)
|
||||
|
||||
@computed_field
|
||||
def liquidity(self) -> float:
|
||||
return self.price * self.qty
|
||||
|
||||
# ┏┓ ┏•
|
||||
# ┃ ┏┓┏┓╋┓┏┓
|
||||
# ┗┛┗┛┛┗┛┗┗┫
|
||||
# ┛
|
||||
|
||||
class Config:
|
||||
extra = "forbid"
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------------------------------------------------
|
||||
|
||||
|
||||
class MarketDepth(BaseModel):
|
||||
|
||||
buy: List[OneMarketDepth] = Field(
|
||||
description = "the buying side market depth",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
sell: List[OneMarketDepth] = Field(
|
||||
description = "the selling side market depth",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
# ┏┓ ┏•
|
||||
# ┃ ┏┓┏┓╋┓┏┓
|
||||
# ┗┛┗┛┛┗┛┗┗┫
|
||||
# ┛
|
||||
|
||||
class Config:
|
||||
extra = "forbid"
|
||||
|
||||
|
||||
# ---------------------------------------------------------------------------------------------------------------------
|
||||
|
||||
|
||||
class TradingTick(BaseModel):
|
||||
|
||||
symbol: str = Field(
|
||||
description = "the symbol of the instrument"
|
||||
)
|
||||
|
||||
exchange: Literal["NSE", "NFO", "BSE", "BFO", "MCX", "CDS", "BCD"] = Field(
|
||||
description = "the exchange on which this instrument is traded",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
exchangeToken: str | int = Field(
|
||||
description = "the code by which the exchange identifies this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
broker: Literal["zerodhaKite", "iciciBreeze"] = Field(
|
||||
description = "the broker that gave you the details of this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
brokerToken: str | int = Field(
|
||||
description = "the code by which the broker identifies this instrument",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
tradeable: bool = Field(
|
||||
description = "whether, or not, this instrument is tradeable",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
segment: str = Field(
|
||||
description = "the segment which this asset represents",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
type: str = Field(
|
||||
description = "the type of the instrument in the segment",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
strike: int | float | None = Field(
|
||||
description = "the strike price of the instrument if it is a derivative",
|
||||
default = None,
|
||||
frozen = True
|
||||
)
|
||||
|
||||
expiryTs: AwareDatetime | None = Field(
|
||||
description = "the expiry (utc) of this instrument if it is a derivative",
|
||||
default = None,
|
||||
frozen = True
|
||||
)
|
||||
|
||||
expiryTz: str | None = Field(
|
||||
description = "the timezone in which the expiry timestamp my be interpreted; should be compatible with pytz",
|
||||
frozen = True,
|
||||
examples = ["UTC", "Asia/Kolkata"]
|
||||
)
|
||||
|
||||
ltp: float = Field(
|
||||
description = "the last price of this instrument at the time of requesting the symbol list",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
chg: float = Field(
|
||||
description = "the absolute change since the previous close",
|
||||
frozen=True
|
||||
)
|
||||
|
||||
pChg: float = Field(
|
||||
description = "the percentage change since last close",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
o: float = Field(
|
||||
description = "this session's open price",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
h: float = Field(
|
||||
description = "this session's high price",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
l: float = Field(
|
||||
description = "this session's low price",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
c: float = Field(
|
||||
description = "this session's close price",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
totVol: int = Field(
|
||||
description = "the total volume of this instrument that has been traded in this session",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
vwap: float | None = Field(
|
||||
description = "the volume weighted average price in this session",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
totBuyQty: int = Field(
|
||||
description = "the total open buy qty. on the exchange for this symbol",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
totSellQty: int = Field(
|
||||
description = "the total open sell qty. on the exchange for this symbol",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
oi: int | None = Field(
|
||||
description = "the total open interest of this instrument (if derivative)",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
oiDayHigh: int | None = Field(
|
||||
description = "this session's highest open interest of this instrument (if derivative)",
|
||||
frozen = True
|
||||
)
|
||||
|
||||
oiDayLow: int | None = Field(
|
||||
description="this session's lowest open interest of this instrument (if derivative)",
|
||||
frozen=True
|
||||
)
|
||||
|
||||
tradeTs: AwareDatetime | None = Field(
|
||||
description = "the last trade time (utc) of this instrument",
|
||||
default = None,
|
||||
frozen = True
|
||||
)
|
||||
|
||||
tradeTz: str = 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 | None = Field(
|
||||
description = "the time (utc) at which this update was received from the exchange",
|
||||
default = None,
|
||||
frozen = True
|
||||
)
|
||||
|
||||
exchgTz: str = 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(
|
||||
description = "the market depth data for this instrument at the time of this update"
|
||||
)
|
||||
|
||||
# ┏┓ ┏•
|
||||
# ┃ ┏┓┏┓╋┓┏┓
|
||||
# ┗┛┗┛┛┗┛┗┗┫
|
||||
# ┛
|
||||
|
||||
class Config:
|
||||
extra = "forbid"
|
||||
|
||||
# ┏┓ ┏┓
|
||||
# ┃ ┓┏┏╋┏┓┏┳┓ ┣ ┓┏┏┓┏┏
|
||||
# ┗┛┗┻┛┗┗┛┛┗┗ ┻ ┗┻┛┗┗┛
|
||||
|
||||
@staticmethod
|
||||
def from_zerodha_kite(
|
||||
ticks: dict | List[dict],
|
||||
lookup: dict
|
||||
) -> list:
|
||||
|
||||
# Ensure that we are working with a list:
|
||||
if not isinstance(ticks, list): ticks = [ticks]
|
||||
|
||||
# Iterate through the ticks and fit them into the model:
|
||||
modelled_ticks = []
|
||||
for tick in ticks:
|
||||
broker_token = tick["instrument_token"]
|
||||
tick_lookup = lookup[broker_token]
|
||||
change = tick["change"]
|
||||
modelled_ticks.append(
|
||||
TradingTick(
|
||||
symbol = tick_lookup["symbol"],
|
||||
exchange = tick_lookup["exchange"],
|
||||
exchangeToken = tick_lookup["exchangeToken"],
|
||||
broker = "zerodhaKite",
|
||||
brokerToken = broker_token,
|
||||
tradeable = tick["tradeable"],
|
||||
segment = tick_lookup["segment"],
|
||||
type = tick_lookup["type"],
|
||||
expiryTs = tick_lookup["expiryTs"],
|
||||
expiryTz = tick_lookup["expiryTz"],
|
||||
ltp = ,
|
||||
chg = change,
|
||||
pChg =
|
||||
)
|
||||
)
|
||||
|
||||
# Done here:
|
||||
return modelled_ticks
|
||||
|
||||
# ┓┏ ┓• ┓ •
|
||||
# ┃┃┏┓┃┓┏┫┏┓╋┓┏┓┏┓
|
||||
# ┗┛┗┻┗┗┗┻┗┻┗┗┗┛┛┗
|
||||
|
||||
@field_validator(
|
||||
"expiryTs",
|
||||
"tradeTs", "exchgTs",
|
||||
mode = "before"
|
||||
)
|
||||
def parse_date_time(cls, value):
|
||||
|
||||
# If the input is null,
|
||||
# we can't do anything:
|
||||
if not value: value = None
|
||||
|
||||
# When the input is a string, we try to parse it:
|
||||
elif isinstance(value, str):
|
||||
value = value.strip()
|
||||
value = date_time.parse_date_time(
|
||||
input_value = value,
|
||||
timezone = date_time.TIMEZONE_UTC
|
||||
)
|
||||
|
||||
# When the input is a datetime obj.,
|
||||
# we only work on the timezone:
|
||||
elif isinstance(value, datetime.datetime):
|
||||
value = date_time.to_timezone(
|
||||
value,
|
||||
timezone = date_time.TIMEZONE_UTC
|
||||
)
|
||||
|
||||
# Done here:
|
||||
return value
|
||||
|
||||
|
||||
# *****************************************************************************************************************
|
||||
# ***** ****
|
||||
# *** MAIN PROGRAM ***
|
||||
# ***** ****
|
||||
# *****************************************************************************************************************
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
|
||||
zerodha_tick = {
|
||||
"tradable": True,
|
||||
"mode": "full",
|
||||
"instrument_token": 408065,
|
||||
"last_price": 1928.25,
|
||||
"last_traded_quantity": 157,
|
||||
"average_traded_price": 1942.5,
|
||||
"volume_traded": 5596931,
|
||||
"total_buy_quantity": 217126,
|
||||
"total_sell_quantity": 380092,
|
||||
"ohlc": {
|
||||
"open": 1975.15,
|
||||
"high": 1979.95,
|
||||
"low": 1911.25,
|
||||
"close": 1946.2
|
||||
},
|
||||
"change": -0.9223101428424646,
|
||||
"last_trade_time": "2024-12-20 14:46:14",
|
||||
"oi": 0,
|
||||
"oi_day_high": 0,
|
||||
"oi_day_low": 0,
|
||||
"exchange_timestamp": "2024-12-20 14:46:15",
|
||||
"depth": {
|
||||
"buy": [
|
||||
{
|
||||
"quantity": 3,
|
||||
"price": 1928.15,
|
||||
"orders": 2
|
||||
},
|
||||
{
|
||||
"quantity": 6,
|
||||
"price": 1927.95,
|
||||
"orders": 2
|
||||
},
|
||||
{
|
||||
"quantity": 66,
|
||||
"price": 1927.7,
|
||||
"orders": 2
|
||||
},
|
||||
{
|
||||
"quantity": 25,
|
||||
"price": 1927.65,
|
||||
"orders": 1
|
||||
},
|
||||
{
|
||||
"quantity": 194,
|
||||
"price": 1927.6,
|
||||
"orders": 6
|
||||
}
|
||||
],
|
||||
"sell": [
|
||||
{
|
||||
"quantity": 134,
|
||||
"price": 1928.25,
|
||||
"orders": 5
|
||||
},
|
||||
{
|
||||
"quantity": 3,
|
||||
"price": 1928.3,
|
||||
"orders": 1
|
||||
},
|
||||
{
|
||||
"quantity": 560,
|
||||
"price": 1928.35,
|
||||
"orders": 2
|
||||
},
|
||||
{
|
||||
"quantity": 64,
|
||||
"price": 1928.4,
|
||||
"orders": 2
|
||||
},
|
||||
{
|
||||
"quantity": 400,
|
||||
"price": 1928.45,
|
||||
"orders": 1
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
zerodha_lookup = {
|
||||
408065: {
|
||||
"symbol": "MYSTOCK",
|
||||
"exchange": "NSE",
|
||||
"exchangeToken": 12345678,
|
||||
"segment": "NFO-OPT",
|
||||
"type": "CE"
|
||||
}
|
||||
}
|
||||
|
||||
my_ticks = TradingTick.from_zerodha_kite(
|
||||
ticks = zerodha_tick,
|
||||
instrument_lookup = zerodha_lookup
|
||||
)
|
||||
|
||||
print(my_ticks[0])
|
||||
Reference in New Issue
Block a user