Merge pull request #14 from globophobe/feature/release-v0.1.6

Feature/release v0.1.6

Author: globophobe

.env.sample

@@ -3,7 +3,5 @@ GOOGLE_APPLICATION_CREDENTIALS=google-application-credentials.json
 FIREBASE_ADMIN_CREDENTIALS=firebase-admin-credentials.json
 PROJECT_ID=gcp-project-id
 SERVICE_ACCOUNT=service-account
-BIGQUERY_LOCATION=gcp-region
-BIGQUERY_DATASET=cryptofeed-werks
 SENTRY_DSN=optional
 BINANCE_API_KEY=optional

Dockerfile

@@ -2,13 +2,9 @@ FROM python:3.9-slim-buster
 
 ARG POETRY_EXPORT
 ARG PROJECT_ID
-ARG BIGQUERY_LOCATION
-ARG BIGQUERY_DATASET
 ARG SENTRY_DSN
 
 ENV PROJECT_ID $PROJECT_ID
-ENV BIGQUERY_LOCATION $BIGQUERY_LOCATION
-ENV BIGQUERY_DATASET $BIGQUERY_DATASET
 ENV SENTRY_DSN $SENTRY_DSN
 
 ADD cryptofeed_werks /cryptofeed_werks/

cryptofeed_werks/constants.py

@@ -5,18 +5,20 @@
 
 
 class Feed(BaseFeed):
+    """Feed."""
+
     def std_symbol_to_exchange_symbol(self, symbol: str) -> str:
         """Standard symbol to exchange symbol.
 
         There are certainly valid reasons to standardize symbols,
-        but there are also reasons to not care
+        but there are also reasons to not care.
         """
         return symbol
 
     def exchange_symbol_to_std_symbol(self, symbol: str) -> str:
         """Exchange symbol to standard symbol.
 
-        Ditto
+        Ditto.
         """
         return symbol
 

cryptofeed_werks/feed.py

@@ -1,4 +1,5 @@
 from .candles import CandleCallback
+from .trade_cluster import TradeClusterCallback
 from .significant_trades import SignificantTradeCallback
 from .trades import (
     NonSequentialIntegerTradeCallback,
@@ -16,6 +17,7 @@
     "GCPPubSubTradeCallback",
     "CandleCallback",
     "TradeCallback",
+    "TradeClusterCallback",
     "SignificantTradeCallback",
     "SequentialIntegerTradeCallback",
     "NonSequentialIntegerTradeCallback",

cryptofeed_werks/trades/__init__.py

@@ -1,28 +1,27 @@
 from decimal import Decimal
-from typing import List, Optional, Tuple
+from typing import Callable, List, Optional, Tuple
 
-from cryptofeed.backends.aggregate import AggregateCallback
-
-from .constants import NOTIONAL
 from .window import WindowMixin
 
 
-class CandleCallback(WindowMixin, AggregateCallback):
-    def __init__(
-        self, *args, window_seconds: int = 60, top_n: Optional[int] = None, **kwargs
-    ) -> None:
-        super().__init__(*args, **kwargs)
+class CandleCallback(WindowMixin):
+    """Candle callback."""
+
+    def __init__(self, handler: Callable, window_seconds: int = 60) -> None:
+        """Init."""
+        self.handler = handler
         self.window_seconds = window_seconds
         self.window = {}
-        self.top_n = top_n
         self.trades = {}
 
     async def __call__(self, trade: dict, timestamp: float) -> Tuple[dict, float]:
+        """Call."""
         candle = self.main(trade)
         if candle is not None:
             await self.handler(candle, timestamp)
 
     def main(self, trade: dict) -> Optional[dict]:
+        """Main."""
         symbol = trade["symbol"]
         timestamp = trade["timestamp"]
         self.trades.setdefault(symbol, [])
@@ -47,7 +46,7 @@ def aggregate(self, trades: List[dict], is_late: bool = False) -> Optional[dict]
         """Aggregate."""
         first_trade = trades[0]
         prices = self.get_prices(trades)
-        candle = {
+        return {
             "exchange": first_trade["exchange"],
             "symbol": first_trade["symbol"],
             "timestamp": self.get_start(first_trade["timestamp"]),
@@ -62,9 +61,6 @@ def aggregate(self, trades: List[dict], is_late: bool = False) -> Optional[dict]
             "totalBuyTicks": sum([t["totalBuyTicks"] for t in trades]),
             "totalTicks": sum([t["totalTicks"] for t in trades]),
         }
-        if self.top_n:
-            candle["topN"] = self.get_top_n(trades)
-        return candle
 
     def get_prices(self, trades: List[dict]) -> List[Decimal]:
         """Get prices."""
@@ -75,22 +71,3 @@ def get_prices(self, trades: List[dict]) -> List[Decimal]:
                 if value:
                     prices.append(value)
         return prices
-
-    def get_top_n(self, trades: List[dict]) -> List[dict]:
-        """Get top N."""
-        filtered = [t for t in trades if "uid" in t]
-        filtered.sort(key=lambda t: t[NOTIONAL], reverse=True)
-        top_n = filtered[: self.top_n]
-        for trade in top_n:
-            for key in list(trade):
-                if key not in (
-                    "timestamp",
-                    "price",
-                    "volume",
-                    "notional",
-                    "tickRule",
-                    "ticks",
-                ):
-                    del trade[key]
-        top_n.sort(key=lambda t: t["timestamp"])
-        return top_n

cryptofeed_werks/trades/candles.py

@@ -1,5 +1,3 @@
 VOLUME = "volume"
 NOTIONAL = "notional"
 TICKS = "ticks"
-
-THRESH_ATTRS = (VOLUME, NOTIONAL, TICKS)

cryptofeed_werks/trades/constants.py

@@ -11,9 +11,12 @@
 
 
 class GCPPubSubTradeCallback(GCPPubSubCallback):
+    """GCP Pub/Sub trade callback."""
+
     default_key = TRADES
 
     def __init__(self, *args, **kwargs) -> None:
+        """Initialize."""
         super().__init__(*args, **kwargs)
         self.topics = {}
 
@@ -23,6 +26,7 @@ def get_topic(self) -> str:
         pass
 
     async def __call__(self, trade: dict, timestamp: float) -> None:
+        """Call."""
         topic = self.get_topic_path(trade)
         message = self.get_message(trade)
         await self.write(topic, message)

cryptofeed_werks/trades/gcppubsub.py

@@ -1,35 +1,37 @@
 from decimal import Decimal
 from typing import List, Optional, Tuple
 
-from cryptofeed.backends.aggregate import AggregateCallback
-
 from .constants import NOTIONAL, TICKS, VOLUME
 from .window import WindowMixin
 
 
-class SignificantTradeCallback(WindowMixin, AggregateCallback):
+class SignificantTradeCallback(WindowMixin):
+    """Significant trade callback."""
+
     def __init__(
         self,
-        *args,
+        handler,
         significant_trade_filter: int = 1000,
         window_seconds: Optional[int] = None,
-        **kwargs
     ) -> None:
-        super().__init__(*args, **kwargs)
+        """Initialize."""
+        self.handler = handler
         self.significant_trade_filter = Decimal(significant_trade_filter)
         self.trades = {}
         self.window_seconds = window_seconds
         self.window = {}
 
     async def __call__(self, trade: dict, timestamp: float) -> Tuple[dict, float]:
+        """Call."""
         result = self.main(trade)
         if isinstance(result, list):
             for t in result:
                 await self.handler(t, timestamp)
         elif isinstance(result, dict):
             await self.handler(result, timestamp)
 
-    def main(self, trade: dict) -> dict:
+    def main(self, trade: dict) -> Optional[dict]:
+        """Main."""
         symbol = trade["symbol"]
         timestamp = trade["timestamp"]
         self.trades.setdefault(symbol, [])

cryptofeed_werks/trades/significant_trades.py

@@ -0,0 +1,96 @@
+from decimal import Decimal
+from statistics import median
+from typing import List, Optional, Tuple
+
+from .constants import VOLUME
+from .window import WindowMixin
+
+
+class TradeClusterCallback(WindowMixin):
+    """Trade cluter callback."""
+
+    def __init__(
+        self,
+        handler,
+        window_seconds: Optional[int] = None,
+    ) -> None:
+        """Init."""
+        self.handler = handler
+        self.tick_rule = None
+        self.trades = {}
+        self.window_seconds = window_seconds
+        self.window = {}
+
+    async def __call__(self, trade: dict, timestamp: float) -> Tuple[dict, float]:
+        """Call."""
+        result = self.main(trade)
+        if isinstance(result, dict):
+            await self.handler(result, timestamp)
+
+    def main(self, trade: dict) -> Optional[dict]:
+        """Main."""
+        symbol = trade["symbol"]
+        trades = self.trades.setdefault(symbol, [])
+        timestamp = trade["timestamp"]
+        window = self.get_window(symbol, timestamp)
+        if window is not None:
+            # Was message received late?
+            if window["start"] is not None and timestamp < window["start"]:
+                # FUBAR
+                return self.aggregate([trade], is_late=True)
+            # Is window exceeded?
+            elif window["stop"] is not None and timestamp >= window["stop"]:
+                ticks = []
+                # Get tick
+                tick = self.get_tick(symbol)
+                if tick is not None:
+                    ticks.append(tick)
+                # Append trade
+                self.trades[symbol].append(trade)
+                # Set window
+                self.set_window(symbol, timestamp)
+                # Finally, return ticks
+                return self.get_tick(symbol, trade)
+        else:
+            return self.get_trade_cluster_or_tick(symbol, trade)
+
+    def get_trade_cluster_or_tick(self, symbol: str, trade: dict) -> Optional[dict]:
+        """Get trade cluster or tick."""
+        trades = self.trades.setdefault(symbol, [])
+        is_sequential = True
+        is_same_direction = True
+        tick_rule = trade.get("tickRule")
+        if self.tick_rule:
+            is_same_direction = self.tick_rule == tick_rule
+        if is_same_direction:
+            self.trades[symbol].append(trade)
+            self.tick_rule = tick_rule
+        elif len(trades):
+            tick = self.aggregate(trades)
+            # Reset
+            self.trades[symbol] = [trade]
+            self.tick_rule = tick_rule
+            return tick
+
+    def aggregate(self, trades: List[dict], is_late: bool = False) -> None:
+        """Aggregate."""
+        first_trade = trades[0]
+        last_trade = trades[-1]
+        data = {
+            "exchange": first_trade["exchange"],
+            "symbol": first_trade["symbol"],
+            "timestamp": first_trade["timestamp"],
+            "price": last_trade["price"],
+            "high": max(t.get("high", t["price"]) for t in trades),
+            "low": min(t.get("low", t["price"]) for t in trades),
+            "tickRule": self.tick_rule,
+        }
+        volume = ["volume", "totalBuyVolume", "totalVolume"]
+        notional = ["notional", "totalBuyNotional", "totalNotional"]
+        ticks = ["ticks", "totalBuyTicks", "totalTicks"]
+        for sample_type in volume + notional + ticks:
+            value = sum([t.get(sample_type, 0) for t in trades])
+            if sample_type in ticks:
+                value = int(value)
+            data[sample_type] = value
+        return data