Added feedhandler from cryptofeed and script to automatize all the executions.

tick/feed.py

@@ -0,0 +1,66 @@
+import logging
+from datetime import datetime
+import argparse
+
+import pykx as kx
+
+from cryptofeed import FeedHandler
+from cryptofeed.exchanges import (
+    Coinbase,
+    Bitfinex,
+    Binance,
+    BinanceFutures,
+    BinanceUS
+)
+from cryptofeed.defines import TRADES, L2_BOOK
+from cryptofeed.types import Trade
+
+parser = argparse.ArgumentParser(description='CryptoFeed Script')
+parser.add_argument('--host', type=str, default='localhost', help='KDB+ host')
+parser.add_argument('--port', type=int, default=5000, help='KDB+ port')
+args = parser.parse_args()
+
+h = kx.SyncQConnection(args.host, args.port)
+logging.basicConfig(level=logging.INFO)
+
+
+async def trade(t: Trade, receipt_timestamp):
+    time = datetime.fromtimestamp(receipt_timestamp)
+    ins = kx.q('{[time;s;e;si;am;pr] ("n"$time;s;e;si;am;pr)}',
+               time, t.symbol.replace('-', '_'), t.exchange, t.side,
+               float(t.amount), float(t.price))
+    h('.u.upd[`trade;]', ins)
+
+
+async def l2_book(t, receipt_timestamp):
+    time = datetime.fromtimestamp(receipt_timestamp)
+    bid_price, bid_size = t.book.bids.index(0)
+    ask_price, ask_size = t.book.asks.index(0)
+    ins = kx.q('{[time;s;e;b;a;bs;as] ("n"$time;s;e;b;a;bs;as)}',
+               time, t.symbol.replace('-', '_'), t.exchange, float(bid_price),
+               float(ask_price), float(bid_size), float(ask_size))
+    h('.u.upd[`quote;]', ins)
+
+
+def main():
+    f = FeedHandler()
+    f.add_feed(Coinbase(symbols=['ADA-USDT', 'XRP-USDT'],
+                        channels=[TRADES],
+                        callbacks={TRADES: trade}))
+    f.add_feed(Binance(symbols=['ADA-USDT', 'XRP-USDT'],
+                       channels=[TRADES, L2_BOOK],
+                       callbacks={TRADES: trade, L2_BOOK: l2_book}))
+    f.add_feed(BinanceFutures(symbols=['ADA-USDT-PERP', 'XRP-USDT-PERP'],
+                              channels=[TRADES, L2_BOOK],
+                              callbacks={TRADES: trade, L2_BOOK: l2_book}))
+    f.add_feed(BinanceUS(symbols=['ADA-USDT', 'XRP-USDT'],
+                         channels=[TRADES, L2_BOOK],
+                         callbacks={TRADES: trade, L2_BOOK: l2_book}))
+    f.add_feed(Bitfinex(symbols=['ADA-USDT', 'XRP-USDT'],
+                        channels=[TRADES, L2_BOOK],
+                        callbacks={TRADES: trade, L2_BOOK: l2_book}))
+    f.run()
+
+
+if __name__ == '__main__':
+    main()

tick/hdb.q

@@ -0,0 +1,6 @@
+/Sample usage:
+/q hdb.q C:/OnDiskDB/sym -p 5002
+if[1>count .z.x;show"Supply directory of historical database";exit 0];
+hdb:.z.x 0
+/Mount the Historical Date Partitioned Database
+@[{system"l ",x};hdb;{show "Error message - ",x;exit 0}]

tick/launch.sh

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+#!/bin/sh
+# arguments:
+#  - tickerplant port
+#  - rdb port
+#  - hdb port
+#  - rts port
+
+TPP=${1:-5000}
+HDBP=${2:-5001}
+RDBP=${3:-5002}
+RTSP=${4:-5003}
+
+echo TP port: $TPP
+echo HDB port: $HDBP
+echo RDB port: $RDBP
+echo RTS port: $RTSP
+
+kill_processes() {
+    echo "Killing all processes"
+    kill -9 $TP_JOB $HDB_JOB $RDB_JOB $RTS_JOB $FEED_JOB
+    echo "Done!"
+    exit 0
+}
+
+start_processes() {
+    echo "Starting tickerplant..."
+    q tick.q sym db -p $1 &
+    TP_JOB=$!
+    echo TP job: $TP_JOB
+
+    echo "Starting HDB..."
+    q hdb.q db/sym -p $2 &
+    HDB_JOB=$!
+    echo HDB job: $HDB_JOB
+
+    echo "Starting RDB..."
+    q tick/r.q localhost:$1 localhost:$2 -p $3 &
+    RDB_JOB=$!
+    echo RDB job $RDB_JOB
+
+    # echo "Starting real time subscriber..."
+    # q rts.q localhost:$1 -p $4 &
+    # RTS_JOB=$!
+    # echo RTS job $RTS_JOB
+
+    echo "Starting feedhandler..."
+    2>/dev/null 1>&2 python3 feed.py --host localhost --port $1 &
+    FEED_JOB=$!
+    echo Feed job $FEED_JOB
+
+    trap "kill_processes" INT
+}
+
+start_processes $TPP $HDBP $RDBP $FEED_JOB # $RTSP
+
+while [ true ]; do
+    sleep 2
+done

tick/tick/sym.q

@@ -0,0 +1,4 @@
+quote:([]time:`timespan$();sym:`g#`symbol$();exch:`symbol$();
+    bid:`float$();ask:`float$();bsize:`float$();asize:`float$())
+trade:([]time:`timespan$();sym:`g#`symbol$();exch:`symbol$();
+    side:`symbol$();size:`float$();price:`float$())