class DigifinexInfo(digifinex_client.DigifinexClient):
def __init__(self):
super().__init__()
self.db = DBClient().client['CRYPTO-EXCHANGES']['DIGIFINEX']
def InfoQuery(self, key, data):
key_head, key_tail = str(key).split('_')
key = str(key_tail + key_head).upper() + '.DFX'
Query = {
'SYMBOL': str(key),
'AMT-PREC': data[0],
'PX-PREC': data[1],
'MIN-AMT': data[2],
'MIN-CASH': data[3]
}
self.db.insert(Query)
def RetrieveInfo(self):
req = self.GET(self.URL_ATTACH['TRADE-INFO'])
req_dict = ast.literal_eval(req)
data = req_dict['data']
for key in data.keys():
self.InfoQuery(key, data[key])
print('--INSERTED ALL EXCHANGE INFO')
class StreamStats(object):
def __init__(self, symbol, crypto_exchange, exchange_key):
self.EXCHANGE = str(crypto_exchange)
self.KEY = str(exchange_key)
self.px_stack = []
self.size_stack = []
self.quote_count = 0
self.db = DBClient().client[self.EXCHANGE + '-STATS']
self.queries = []
if re.search(r'\.' + self.KEY, str(symbol)):
self.symbol = symbol
self.insert = re.sub(r'\.' + self.KEY, '-STAT.' + self.KEY,
str(symbol))
else:
self.symbol = symbol + '.' + self.KEY
self.insert = symbol + '-STAT' + self.KEY
self.db = self.db[self.insert]
def TimeStart(self):
self.start_time = dt.datetime.utcnow()
self.start_clock = SW()
async def Block30s(self, px, size):
px = np.array(px, dtype=np.float)
size = np.array(size, dtype=np.float)
Query = {
'BLOCK-CODE':
int(30),
'Block-Start':
str(self.start_time),
'Block-End':
str(dt.datetime.utcnow()),
'QUOTE-COUNT':
int(self.quote_count),
'AVG-PX':
float(np.mean(px)),
'STDEV-PX':
float(np.std(px)),
'OPEN':
float(px[-1]),
'HIGH':
float(np.amax(px)),
'LOW':
float(np.amin(px)),
'CLOSE':
float(px[0]),
'VOLUME-SUM':
float(np.sum(size)),
'AVG-VOLUME':
float(np.mean(size)),
'DELTA-TICK':
float(np.mean(np.diff(px))),
'VOLATILITY':
float(np.multiply(np.log(np.divide(np.amax(px), np.amin(px))),
100))
}
self.db.insert(Query)
self.queries.insert(0, Query)
async def Stream(self):
self.TimeStart()
is_running = False
with DBClient().client[self.EXCHANGE][self.symbol].watch(
pipeline=None, max_await_time_ms=20) as stream:
for update in stream: # Pulls Each New Update From MongoDB Change streams Pipeline
if is_running is False:
print('--Starting Aggregation Stream')
is_running = True
self.quote_count += 1
try:
doc = update['fullDocument']
self.px_stack.insert(0, np.float(doc['PX']))
self.size_stack.insert(0, np.float(doc['SIZE']))
except Exception as error:
print('--ERROR IN BINANCE STAT AGGREGATOR: [%s]' %
str(error))
if SW() - self.start_clock > 30:
if len(self.px_stack) > 1 and len(self.size_stack) > 1:
await self.Block30s(self.px_stack, self.size_stack)
self.px_stack.clear()
self.size_stack.clear()
self.quote_count = 0
self.TimeStart()
else:
raise Exception(
'--NO QUOTES AGGREGATED IN CURRENT BLOCK FOR SYMBOL: %s'
% str(self.symbol))