Files

802 lines
27 KiB
Python

"""
AUTHOR:
Khushal P Soonderji
DATE:
Friday, 24th Jan., 2025.
OBJECTIVE:
Live market ticks are broadcasted over Kafka. Here, we try to capture them and use them to run strategies.
REFERENCES:
N/A
DOWNLOADS:
N/A
"""
# *****************************************************************************************************************
# ***** ****
# *** IMPORT ***
# ***** ****
# *****************************************************************************************************************
# To make sibling directories accessible for imports:
import sys
import pandas as pd
sys.path.append(".")
sys.path.append("..")
# System-level activities:
import io
import os
# My utils:
from utils_v2.string import json
from utils_v2.string import regex
from utils_v2.system import files
from utils_v2.date_time import date_time
from utils_v2.database.async_mysql_v2 import AsyncMySQL
from utils_v2.database.async_mongo_v2 import AsyncMongo
from utils_v2.queue.kafka.controllers.async_kafka import ConsumerKafka, get_ssl_context
from utils_v2.cache.async_redis_cache_v2 import AsyncRedisCache
from utils_v2.serialization.json_serializer import JSONSerializer
# To make HTTP calls:
import httpx
# To work with date and time:
import datetime
import time
# Controllers:
from controllers_v2.finstitutions.trading.all_trading import AllTradingController
# Models:
from models.core.auth_token import CoreAuthTokenModel
from models.finstitutions.trading.symbols import TradingSymbol
from models.finstitutions.trading.ticks import TradingTick
from models.core.user import CoreUserInfoModel
# To work with Zerodha's Kite platform:
from kiteconnect import KiteConnect, KiteTicker
# To work with SocketIO:
import socket
import socketio
# For asynchronous activities:
import asyncio
# To work with various datatypes:
from typing import List, Literal
# For scheduling and cron:
from scheduler.asyncio import Scheduler
# For MongoDB:
from bson.objectid import ObjectId
# Debugging:
from icecream import IceCreamDebugger
# *****************************************************************************************************************
# ***** ****
# *** MACROS / ONE-TIME INIT ***
# ***** ****
# *****************************************************************************************************************
# Debugging:
printer = IceCreamDebugger(prefix = "Bhandari (s0) | ", includeContext = True)
no_context_printer = IceCreamDebugger(prefix = "Bhandari (s0) | ", includeContext = False)
# To make API calls:
http_client = httpx.AsyncClient(
limits = httpx.Limits(
max_connections = 100, # ............ Maximum number of connections allowed in the pool.
max_keepalive_connections = 50, # ... Maximum number of connections that can be kept alive.
),
timeout = httpx.Timeout(
pool = 120.0, # .... Time to wait for a free connection from the pool.
connect = 2.5, # ... Time to wait for establishing a connection to the server.
write = 10.0, # .... Time to wait for sending data.
read = 9.9 # ....... Time to wait for receiving data.
)
)
# General:
SERVER_HOSTNAME = str(socket.gethostname())
# *****************************************************************************************************************
# ***** ****
# *** VARIABLES ***
# ***** ****
# *****************************************************************************************************************
# For cache:
redis_cache: AsyncRedisCache | None = None
# For database(s):
sql_writer: AsyncMySQL | None = None
sql_reader: AsyncMySQL | None = None
data_mongo: AsyncMongo | None = None
# For kafka:
kafka_consumer: ConsumerKafka | None = None
# Session-awareness and maintenance of this script's state:
SCRIPT_DATA = {}
STRATEGY_REFERENCE = {}
ACTIVE_CALLS = {}
strategy_reference_lock = asyncio.Semaphore(1)
ticks_since_telegram = 0
# *****************************************************************************************************************
# ***** ****
# *** FUNCTIONS ***
# ***** ****
# *****************************************************************************************************************
async def mark_call_as_active(
tick_ref: dict,
tick: dict
) -> bool:
global ACTIVE_CALLS
# get the keys:
tick_key = tick_ref["tickKey"]
redis_key = tick_ref["redisKey"]
# Mark locally:
# print(f"CALL ({redis_key}):", json.to_string(tick_ref))
ACTIVE_CALLS[redis_key] = tick_ref
# Mark in cache:
await redis_cache.set(
key = redis_key,
value = tick_ref
)
# Mark in SQL:
proc_name = "strategy_trade_add"
proc_args = (
tick_ref["userId"], # ........................................................ p_user_id
tick_ref["billingAccountId"], # .............................................. p_billing_account_id
0, # ......................................................................... p_entity_integration_id
date_time.get_current_ist_date_time().strftime("%Y-%m-%d"), # ................ p_date
tick_ref["exchange"], # ...................................................... p_exchange
tick_ref["segment"], # ....................................................... p_segment
tick_ref["symbol"], # ........................................................ p_symbol
tick_ref["expiry"], # ........................................................ p_expiry
tick_ref["right"], # ......................................................... p_right
tick_ref["strike"], # ........................................................ p_strike
0, # ......................................................................... p_qty
0, # ......................................................................... p_price
tick["ltp"], # ............................................................... p_refPrice
tick_ref["eqQty"] if tick_ref["segment"] == "EQ" else tick_ref["foQty"], # ... p_refQty
tick_ref["exchangeCode"] # .................................................. p_exchange_code
)
db_json, db_exception = await sql_reader.call_procedure_and_get_json(
procedure_name = proc_name,
procedure_args = proc_args,
return_exception = True,
retry_count = 3,
backoff_seconds = 0.5,
backoff_multiplier = 1.1
)
# Alert if the portfolio adding fails:
if db_json["status"] != 1 or db_exception:
await send_telegram(
message = (
"*Strategies (0) SQL Procedure Failure*\n\n"
f"Procedure Name: `{proc_name}`\n\n"
f"Procedure Args: `{proc_args}`\n\n"
f"Message: `{db_json['message']}`\n\n"
f"Exception: `{db_exception}`\n\n"
),
message_type = "error"
)
# Done here:
return True
# ---------------------------------------------------------------------------------------------------------------------
async def call_is_active(
tick_ref: dict,
tick: dict
) -> bool:
global ACTIVE_CALLS
# get the keys:
tick_key = tick_ref["tickKey"]
redis_key = tick_ref["redisKey"]
# Check if the call is active:
if ACTIVE_CALLS.get(redis_key): return True
if await redis_cache.get(redis_key):
ACTIVE_CALLS[redis_key] = tick_ref
return True
return False
# ---------------------------------------------------------------------------------------------------------------------
def key_from_tick(tick: dict) -> str:
if tick["broker"] == "zerodhaKite":
is_eq = True if tick["type"] == "EQ" else False
exchange = {
"NFO": "NSE",
}.get(tick["exchange"], tick["exchange"])
segment = {
"NFO-FUT": "FUT",
"BFO-FUT": "FUT",
"MCX-FUT": "FUT",
}.get(tick["segment"], tick["segment"])
symbol = tick["symbol"]
name = tick["name"]
expiry = tick["expiry"]
if is_eq: key_items = [exchange, tick["type"], symbol]
else: key_items = [exchange, segment, name, expiry]
return "_".join(key_items)
# ---------------------------------------------------------------------------------------------------------------------
async def get_reference_for_tick(tick_key: str, tick: dict) -> dict | None:
tick_reference = None
async with strategy_reference_lock:
for ref in STRATEGY_REFERENCE:
if ref["tickKey"] == tick_key:
tick_reference = ref
break
return tick_reference
# ---------------------------------------------------------------------------------------------------------------------
async def test_one_tick(tick: dict) -> None:
# Get the reference for this ticker:
tick_key = key_from_tick(tick)
tick_reference = await get_reference_for_tick(tick_key, tick)
if not tick_reference: return
redis_key = tick_reference["redisKey"]
# The call must NOT be active already:
# print(f"FOUND REF ({tick_key} | {tick['ltp']})", json.to_string(tick_reference, default = str))
if await call_is_active(
tick_ref = tick_reference,
tick = tick
): return
# Check if the price is favourable:
if (
(
tick_reference["entry"] == "BUY" and
tick["ltp"] <= tick_reference["rate"]
) or
(
tick_reference["entry"] == "SELL" and
tick["ltp"] >= tick_reference["rate"]
)
):
mark_success = await mark_call_as_active(
tick_ref = tick_reference,
tick = tick
)
if not mark_success: await send_telegram(
message = (
"*Strategies (0) Alert*\n\n"
"Message: `Failed to mark active call.`\n\n"
f"Tick Key; `{tick_key}`\n"
f"Redis Key; `{redis_key}`\n"
f"Entry: `{tick_reference['entry']}`\n"
f"Rate: `{tick_reference['rate']}`\n"
f"LTP: `{tick['ltp']}`"
),
message_type = "error"
)
else: await send_telegram(
message = (
"*Strategies (0) Alert*\n\n"
"Message: `Marked active call.`\n\n"
f"Tick Key; `{tick_key}`\n"
f"Redis Key; `{redis_key}`\n"
f"Entry: `{tick_reference['entry']}`\n"
f"Rate: `{tick_reference['rate']}`\n"
f"LTP: `{tick['ltp']}`"
),
message_type = "info"
)
# ---------------------------------------------------------------------------------------------------------------------
async def test_strategies(ticks: List[dict]):
# declare the needed global variables:
global ticks_since_telegram
# Test needed strategies here:
# print("TICK 0:", json.to_string(ticks[0]))
tasks = [test_one_tick(t) for t in ticks]
results = await asyncio.gather(*tasks)
# Send out the alert if needed:
ticks_since_telegram += len(ticks)
ticks_threshold = 1_00_000
if ticks_since_telegram > ticks_threshold:
await send_telegram(message = f"*Strategies (0) Alert*\nProcessed {ticks_since_telegram:,} tick(s).")
ticks_since_telegram = 0
# ---------------------------------------------------------------------------------------------------------------------
async def ticks_from_kafka(
consumer: ConsumerKafka,
fetch_count: int = 100,
fetch_timeout: float = 1.0
) -> None:
"""
This function must run in the background forever and just keep listening for ticks on Kafka and keep relaying them
to all the connected clients as per their watchlists.
:param consumer: The preconfigured Kafka consumer that can listen for ticks in asynchronous mode.
:param fetch_count: How many messages to consume in one go.
:param fetch_timeout: How long to wait (in seconds) while consuming messages from Kafka.
:return: None
"""
no_context_printer("Starting Kafka consumer (ticks).")
# Do the next part infinitely:
while True:
# Note the time:
now_utc = date_time.get_current_utc_date_time().timestamp()
# Get messages form Kafka:
messages = await consumer.consume(
count = fetch_count,
timeout = fetch_timeout
)
# If there are no updates to give:
if not messages: continue
# We extract all the ticks from the Kafka messages:
ticks = []
for m in messages:
if isinstance(m.value, list): ticks += m.value
else: ticks.append(m.value)
# Save the ticks:
no_context_printer(len(ticks))
await test_strategies(ticks)
# ---------------------------------------------------------------------------------------------------------------------
async def init(
script_id: str,
debug: bool
):
"""
To initialize all credentials, instances, and connectivity for this whole script.
:param script_id: The id to use to load cred and data from the internal service.
:param debug: Whether, or not, you would like to print the debug messages.
:return: True if initialized successfully, else False.
"""
# Declare the required global variables:
global SCRIPT_DATA
global redis_cache
global sql_writer
global sql_reader
global kafka_consumer
# Basic stuff:
if debug: printer.enable()
no_context_printer("Initializing.")
# ┏┓ ┓ ┓ ┳┓
# ┃ ┏┓┏┓┏┫ ┏┓┏┓┏┫ ┃┃┏┓╋┏┓
# ┗┛┛ ┗ ┗┻ ┗┻┛┗┗┻ ┻┛┗┻┗┗┻
# Get the script credentials:
response = await http_client.get(
url = r"https://nexcom.ditscentre.in/internal/cred/get",
headers = {"X-Script-Id": script_id}
)
if response.status_code not in [200]:
print("FATAL: SCRIPT CREDENTIALS LOADING FAILED!")
return False
script_cred = response.json().get("data")
# Get the script data:
response = await http_client.get(
url = r"https://nexcom.ditscentre.in/internal/data/get",
headers = {"X-Script-Id": script_id}
)
if response.status_code not in [200]:
print("FATAL: SCRIPT DATA LOADING FAILED!")
return False
SCRIPT_DATA = response.json().get("data")
# Done with this step:
no_context_printer("Cred and Data loaded.")
# ┳┳┓ • ┳┓┳┓
# ┃┃┃┏┓┏┓┓┏┓┃┃┣┫
# ┛ ┗┗┻┛ ┗┗┻┻┛┻┛
sql_writer = AsyncMySQL(
pool_size = script_cred["mariaDb"]["write"]["poolSize"],
host = script_cred["mariaDb"]["write"]["host"],
user = script_cred["mariaDb"]["write"]["user"],
password = script_cred["mariaDb"]["write"]["password"],
database = script_cred["mariaDb"]["write"]["database"]
)
if not await sql_writer.connect():
print("FATAL: MARIA-DB WRITER CONNECTION FAILED!")
return False
sql_reader = AsyncMySQL(
pool_size = script_cred["mariaDb"]["read"]["poolSize"],
host = script_cred["mariaDb"]["read"]["host"],
user = script_cred["mariaDb"]["read"]["user"],
password = script_cred["mariaDb"]["read"]["password"],
# database = script_cred["mariaDb"]["read"]["database"]
database = "caOffice"
)
if not await sql_reader.connect():
print("FATAL: MARIA-DB READER CONNECTION FAILED!")
return False
no_context_printer("MariaDB connected.")
# ┓┏┓ ┏┓ ┏┓┓•
# ┃┫ ┏┓╋┃┏┏┓ ┃ ┃┓┏┓┏┓╋┏
# ┛┗┛┗┻┛┛┗┗┻ ┗┛┗┗┗ ┛┗┗┛
# Create the consumer that will listen to changes in watchlist:
consumer_creds = script_cred["kafka"]["consumer"]
kafka_consumer = ConsumerKafka(
# topic = consumer_creds["topic"],
topic = "tickers",
group_id = "tick_strategy",
bootstrap_servers = consumer_creds["config"]["bootstrapServers"],
security_protocol = consumer_creds["config"].get("securityProtocol", "PLAINTEXT"),
ssl_context = get_ssl_context(
ca_file = consumer_creds["config"].get("caFile"),
cert_file = consumer_creds["config"].get("certFile"),
key_file = consumer_creds["config"].get("keyFile"),
),
serializer = JSONSerializer(),
debug = debug
)
if not await kafka_consumer.connect():
print("FATAL: KAFKA CONSUMER NOT CREATED!")
return False
no_context_printer("Kafka consumer ready.")
# ┳┓ ┓• ┏┓ ┓
# ┣┫┏┓┏┫┓┏ ━━ ┃ ┏┓┏┣┓┏┓
# ┛┗┗ ┗┻┗┛ ┗┛┗┻┗┛┗┗
# Caching connections:
redis_cache = AsyncRedisCache(
connection_string = script_cred["redisCache"]["strategies"]["connectionString"],
debug = False,
debug_prefix = "Cache | "
)
if not await redis_cache.connect():
print("FATAL: REDIS CACHE NOT CREATED!")
return False
no_context_printer("Redis cache ready.")
# ┳┓
# ┃┃┏┓┏┓┏┓
# ┻┛┗┛┛┗┗
# If everything went well, we return with success:
no_context_printer("Initialization done.")
return True
# ---------------------------------------------------------------------------------------------------------------------
async def send_telegram(
message: str,
chat_id: str = None,
message_type: Literal["info", "warning", "error"] = "info"
):
"""
To send out alerts and heartbeats to inform about th script being alive.
:param message: The text to send.
:param chat_id: The destination chat identifier.
:param message_type: The kind of message to send. Decides the presentation of the header.
:return:
"""
try:
# Create the JSON for sending to the API endpoint:
json_input = {
"chatClient": "telegram",
"message": message,
"type": message_type
}
if chat_id: json_input["chatId"] = json_input
# Make the API call to send the ticks:
response = await http_client.post(
url = r"https://api.thecaoffice.com/converse/tech/alert/chat/backend",
json = json_input
)
# Raise an exception if the call was not successful:
response.raise_for_status()
# If something goes wrong:
except Exception as exception:
printer(exception)
# ---------------------------------------------------------------------------------------------------------------------
async def refresh_strategy_reference() -> bool:
# Declare the required global variables:
global STRATEGY_REFERENCE
no_context_printer("Refreshing strategy ref.")
# Query the database:
proc_name = "strategy_results_all"
# proc_args = (0, 184, 0)
proc_args = ()
db_json, db_exception = await sql_reader.call_procedure_and_get_json(
procedure_name = proc_name,
procedure_args = proc_args,
return_exception = True,
retry_count = 3,
backoff_seconds = 0.5,
backoff_multiplier = 1.1
)
# If the database call fails:
if db_json["status"] != 1 or db_exception:
await send_telegram(
message = (
"*Strategies (0) SQL Procedure Failure*\n\n"
f"Procedure Name: `{proc_name}`\n\n"
f"Procedure Args: `{proc_args}`\n\n"
f"Message: `{db_json['message']}`\n\n"
f"Exception: `{db_exception}`\n\n"
),
message_type = "error"
)
return False
# Construct the reference structure:
formatted_reference = []
for i in db_json["data"]["rs0"]:
key_items = [i["exchange"], i["segment"], i["exchange_code"]]
if i["expiry_date"]: key_items.append(str(i["expiry_date"]))
if i["right"]:
key_items.append(str(i["right"]))
key_items.append(str(i["strike"]))
tick_key = "_".join(key_items)
strategy_id = i["strategy_id"]
strategy_name = i["name"]
strategy_entry = i["entry"].upper().strip()
formatted_reference.append({
"userId": i["user_id"],
"billingAccountId": i["billing_account_id"],
"eqQty": i["eq_qty"],
"foQty": i["fno_qty"],
"tickKey": tick_key,
"redisKey": f"{tick_key}_{strategy_name}_{strategy_id}_{strategy_entry}",
"stratId": i["strategy_id"], # .......... As inserted by the user.
"stratName": strategy_name, # .......... As inserted by the user.
"watchlistId": i["watch_list_id"], # ... A unique id in case 2 users come up with the same name.
"entry": strategy_entry, # ............. BUY/SELL.
"rate": i["entry_rate"], # ............. The price at which to enter the trade.
"t": i["target1"], # ................... The 1st target.
"sl": i["stop_loss"], # ................. The stop loss value.
"exchange": i["exchange"],
"segment": i["segment"],
"expiry": i["expiry_date"],
"strike": i["strike"],
"right": i["right"],
"symbol": i["symbol"],
"exchangeCode": i["exchange_code"],
})
# Save the new reference in the global variable:
async with strategy_reference_lock:
STRATEGY_REFERENCE = formatted_reference
# print(json.to_string(list(STRATEGY_REFERENCE)))
# Done here:
return True
# ---------------------------------------------------------------------------------------------------------------------
async def heartbeat(interval_seconds: float = 300) -> None:
"""
Just to let the admins know that the system is up and running.
:param interval_seconds: The amount of time after which the heartbeat must be sent.
:return: None.
"""
while True:
await send_telegram(message = f"*Strategies (0) Heartbeat*\nInterval: `{interval_seconds:,} seconds`")
await asyncio.sleep(interval_seconds)
# ---------------------------------------------------------------------------------------------------------------------
async def main(
start_time: datetime.datetime,
end_time: datetime.datetime,
proc_interval: int,
heartbeat_interval: int = 1_800,
debug: bool = False
):
# Get the reference before the scheduler kicks in:
await refresh_strategy_reference()
# Start configuring the scheduler:
no_context_printer("Configuring the schedule-manager.")
schedule_manager = Scheduler()
# Create all the timestamps at which the job must be done:
all_job_ts = []
offset_seconds = 0
while True:
ts = start_time + datetime.timedelta(seconds = offset_seconds)
if ts > end_time: break
all_job_ts.append(ts.time())
offset_seconds += proc_interval
# Add the jobs:
for ts in all_job_ts: schedule_manager.daily(ts, refresh_strategy_reference)
no_context_printer(len(all_job_ts))
# Run the heartbeat task and the infinite tick-reading loop:
tasks = [
ticks_from_kafka(
consumer = kafka_consumer,
fetch_count = 500,
fetch_timeout = 2.5
),
# heartbeat(interval_seconds = heartbeat_interval)
]
await asyncio.gather(*tasks)
# *****************************************************************************************************************
# ***** ****
# *** MAIN PROGRAM ***
# ***** ****
# *****************************************************************************************************************
if __name__ == "__main__":
no_context_printer("Main.")
# To get args from the terminal:
import argparse
# Get the config from the command-line:
parser = argparse.ArgumentParser(description = f"To implement trading strategies (0) for Mr. M. Bhandari.")
parser.add_argument(
"-s", "--script-id",
type = str,
help = "The id of this script (will affect the loaded config)."
)
parser.add_argument(
"--start-time",
type = str,
help = "The 24-hr time of the day (in 'HH:MM:SS' format) from which the data can be refreshed."
)
parser.add_argument(
"--end-time",
type = str,
help = "The 24-hr time of the day (in 'HH:MM:SS' format) till which the data must be refreshed."
)
parser.add_argument(
"--proc-interval",
type = int,
help = "The no. of seconds after which you would like to refresh the data available from the stored procedure.",
default = 300
)
parser.add_argument(
"--heartbeat-interval",
type = int,
help = "The no. of seconds after which you would like to send out a heartbeat to the admins.",
default = 1_800
)
parser.add_argument(
"-d", "--debug",
action = "store_true",
help = "Whether, or not, you want to see debugging messages in the terminal.",
default = False
)
args = parser.parse_args()
async def runner():
# Startup message:
printer.enable()
printer(str(args.debug))
printer.disable()
# Parse the inputs:
start_time = datetime.datetime.strptime(args.start_time, "%H:%M:%S")
end_time = datetime.datetime.strptime(args.end_time, "%H:%M:%S")
# Initialize and then run the script:
if await init(
script_id = args.script_id,
debug = args.debug
): await main(
start_time = start_time,
end_time = end_time,
proc_interval = args.proc_interval,
heartbeat_interval = args.heartbeat_interval,
debug = args.debug
)
asyncio.run(runner())