Got rid of websocket OHLC API, and added l1 tick streaming

piker/brokers/binance.py

@@ -55,28 +55,6 @@
 _url = 'https://api.binance.com'
 
 
-# Broker specific ohlc schema (websocket)
-_websocket_ohlc_dtype = [
-    ('index', int),
-    ('time', int),
-    ('close_time', int),
-    ('symbol', str),
-    ('interval', str),
-    ('first_trade_id', int),
-    ('last_trade_id', int),
-    ('open', float),
-    ('close', float),
-    ('high', float),
-    ('low', float),
-    ('volume', float),
-    ('num_trades', int),
-    ('closed', bool),
-    ('quote_asset_volume', float),
-    ('taker_buy_base_asset_volume', float),
-    ('taker_buy_quote_asset_volume', float),
-    ('ignore', int)
-]
-
 # Broker specific ohlc schema (rest)
 _ohlc_dtype = [
     ('index', int),
@@ -150,6 +128,8 @@ class OHLC:
     buy_base_vol: float
     buy_quote_vol: float
     ignore: int
+    # (sampled) generated tick data
+    ticks: List[Any] = field(default_factory=list)
 
 
 # convert arrow timestamp to unixtime in miliseconds
@@ -235,30 +215,29 @@ async def get_client() -> Client:
 
 
 async def stream_messages(ws):
-
-    too_slow_count = last_hb = 0
-
     while True:
 
         with trio.move_on_after(5) as cs:
             msg = await ws.recv_msg()
 
-        if msg.get('e') == 'kline':
-
-            yield 'ohlc', OHLC(*msg['k'].values())
-
-
-def normalize(
-    ohlc: OHLC,
-) -> dict:
-    quote = asdict(ohlc)
-    quote['broker_ts'] = quote['start_time']
-    quote['brokerd_ts'] = time.time()
-    quote['last'] = quote['close']
-    quote['time'] = quote['start_time']
-
-    # print(quote)
-    return ohlc.symbol, quote
+        # for l1 streams binance doesn't add an event type field so
+        # identify those messages by matching keys
+        if list(msg.keys()) == ['u', 's', 'b', 'B', 'a', 'A']:
+            sym = msg['s']
+            bid = float(msg['b'])
+            bsize = float(msg['B'])
+            ask = float(msg['a'])
+            asize = float(msg['A'])
+
+            yield 'l1', {
+                'symbol': sym,
+                'ticks': [
+                    {'type': 'bid', 'price': bid, 'size': bsize},
+                    {'type': 'bsize', 'price': bid, 'size': bsize},
+                    {'type': 'ask', 'price': ask, 'size': asize},
+                    {'type': 'asize', 'price': ask, 'size': asize}
+                ]
+            }
 
 
 def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
@@ -389,10 +368,6 @@ async def stream_quotes(
     task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
 
 ) -> None:
-    """Subscribe for ohlc stream of quotes for ``pairs``.
-
-    ``pairs`` must be formatted <crypto_symbol><fiat_symbol>.
-    """
     # XXX: required to propagate ``tractor`` loglevel to piker logging
     get_console_log(loglevel or tractor.current_actor().loglevel)
 
@@ -421,14 +396,9 @@ async def stream_quotes(
         async with open_autorecon_ws('wss://stream.binance.com/ws') as ws:
 
             # XXX: setup subs
-            ohlc_sub = make_sub(symbols, 'kline_1m', uid)
-            uid += 1
-
-            await ws.send_msg(ohlc_sub)
-            res = await ws.recv_msg()
 
             # trade data (aka L1)
-            l1_sub = make_sub(symbols, 'trade', uid)
+            l1_sub = make_sub(symbols, 'bookTicker', uid)
             uid += 1
 
             await ws.send_msg(l1_sub)
@@ -438,56 +408,18 @@ async def stream_quotes(
             msg_gen = stream_messages(ws)
 
             # TODO: use ``anext()`` when it lands in 3.10!
-            typ, ohlc_last = await msg_gen.__anext__()
-
-            topic, quote = normalize(ohlc_last)
+            typ, tick = await msg_gen.__anext__()
 
-            first_quote = {topic: quote}
+            first_quote = {tick['symbol']: tick}
             task_status.started((init_msgs,  first_quote))
 
-            # lol, only "closes" when they're margin squeezing clients ;P
             feed_is_live.set()
 
-            # keep start of last interval for volume tracking
-            last_interval_start = ohlc_last.end_time
-
             # start streaming
-            async for typ, ohlc in msg_gen:
-                ...
-                # if typ == 'ohlc':
-
-                #     # TODO: can get rid of all this by using
-                #     # ``trades`` subscription...
-
-                #     # generate tick values to match time & sales pane:
-                #     # https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
-                #     volume = ohlc.volume
-
-                #     # new OHLC sample interval
-                #     if ohlc.etime > last_interval_start:
-                #         last_interval_start = ohlc.etime
-                #         tick_volume = volume
-
-                #     else:
-                #         # this is the tick volume *within the interval*
-                #         tick_volume = volume - ohlc_last.volume
-
-                #     ohlc_last = ohlc
-                #     last = ohlc.close
-
-                #     if tick_volume:
-                #         ohlc.ticks.append({
-                #             'type': 'trade',
-                #             'price': last,
-                #             'size': tick_volume,
-                #         })
-
-                #     topic, quote = normalize(ohlc)
+            async for typ, msg in msg_gen:
 
-                # elif typ == 'l1':
-                #     quote = ohlc
-                #     topic = quote['symbol']
+                if typ == 'l1':
+                    topic = msg['symbol']
+                    quote = msg
 
-                # # XXX: format required by ``tractor.msg.pub``
-                # # requires a ``Dict[topic: str, quote: dict]``
-                # await send_chan.send({topic: quote})
+                await send_chan.send({topic: quote})