async def write(self, feed, pair, timestamp, receipt_timestamp, data):
if 'timestamp' in data:
data['timestamp'] = f"{dt.fromtimestamp(data['timestamp'], tz=tz.utc).isoformat()}Z"
if 'receipt_timestamp' in data:
data['receipt_timestamp'] = f"{dt.fromtimestamp(data['receipt_timestamp'], tz=tz.utc).isoformat()}Z"
timestamp = f"{dt.fromtimestamp(timestamp, tz=tz.utc).isoformat()}Z"
receipt_timestamp = F"{dt.fromtimestamp(receipt_timestamp, tz=tz.utc).isoformat()}Z"
data = book_flatten(feed, pair, data, timestamp, True)
await self.write_bulk(data)
async def write(self, data):
if 'timestamp' in data and data['timestamp']:
data[
'timestamp'] = f"{dt.fromtimestamp(data['timestamp'], tz=tz.utc).isoformat()}Z"
data[
'receipt_timestamp'] = f"{dt.fromtimestamp(data['receipt_timestamp'], tz=tz.utc).isoformat()}Z"
data = book_flatten(data['exchange'], data['symbol'],
data['book'] if 'book' in data else data['delta'],
data['timestamp'], 'delta' in data)
await self.write_bulk(data)
async def __call__(self, *, feed, pair, delta, timestamp):
data = {BID: {}, ASK: {}}
book_delta_convert(delta, data, convert=self.numeric_type)
data = book_flatten(feed, pair, data, timestamp, True)
data = itertools.chain(*zip([json.dumps({"index": {}})] *
len(data), [json.dumps(d) for d in data]))
data = '\n'.join(data)
data = f"{data}\n"
await self.write('POST',
data,
headers={'content-type': 'application/x-ndjson'})
async def __call__(self, *, feed, pair, book, timestamp):
if self.redis is None:
self.redis = await aioredis.create_redis_pool(f'redis://{self.host}:{self.port}')
data = {'timestamp': timestamp, BID: {}, ASK: {}}
book_convert(book, data, self.depth)
if self.depth:
if data[BID] == self.previous[BID] and data[ASK] == self.previous[ASK]:
return
self.previous[ASK] = data[ASK]
self.previous[BID] = data[BID]
flat = book_flatten(data, data['timestamp'])
for update in flat:
await self.redis.xadd(f"{self.key}-{feed}-{pair}", update)
async def __call__(self, *, feed, pair, book, timestamp):
data = {BID: {}, ASK: {}}
book_convert(book, data, self.depth, convert=self.numeric_type)
if self.depth:
if data[BID] == self.previous[BID] and data[ASK] == self.previous[
ASK]:
return
self.previous[ASK] = data[ASK]
self.previous[BID] = data[BID]
data = book_flatten(feed, pair, data, timestamp, False)
data = itertools.chain(*zip([json.dumps({"index": {}})] *
len(data), [json.dumps(d) for d in data]))
data = '\n'.join(data)
data = f"{data}\n"
await self.write('POST',
data,
headers={'content-type': 'application/x-ndjson'})
async def write(self, feed, pair, timestamp, data):
data = book_flatten(feed, pair, data, timestamp, True)
await self.write_bulk(data)
async def write(self, feed, pair, timestamp, receipt_timestamp, data):
data = book_flatten(feed, pair, data, timestamp, False)
await self.write_bulk(data)
