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Improve outgoing Alpaca API types

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Signed-off-by: Nikolaos Karaolidis <nick@karaolidis.com>
This commit is contained in:
Nick Karaolidis
2024-02-05 00:30:11 +00:00
parent 61c573cbc7
commit caaa31133a
13 changed files with 185 additions and 170 deletions
Download Patch File Download Diff File Expand all files Collapse all files

32
src/threads/data/asset_status.rs
View File

@@ -108,7 +108,14 @@ async fn handle_asset_status_message(
.await
.send(tungstenite::Message::Text(
to_string(&websocket::outgoing::Message::Subscribe(
create_websocket_market_message(thread_type, symbols),
match thread_type {
ThreadType::Bars(_) => {
websocket::outgoing::subscribe::Message::new_market(symbols)
}
ThreadType::News => {
websocket::outgoing::subscribe::Message::new_news(symbols)
}
},
))
.unwrap(),
))
@@ -140,7 +147,14 @@ async fn handle_asset_status_message(
.await
.send(tungstenite::Message::Text(
to_string(&websocket::outgoing::Message::Unsubscribe(
create_websocket_market_message(thread_type, symbols),
match thread_type {
ThreadType::Bars(_) => {
websocket::outgoing::subscribe::Message::new_market(symbols)
}
ThreadType::News => {
websocket::outgoing::subscribe::Message::new_news(symbols)
}
},
))
.unwrap(),
))
@@ -154,17 +168,3 @@ async fn handle_asset_status_message(
message.response.send(()).unwrap();
}
fn create_websocket_market_message(
thread_type: ThreadType,
symbols: Vec<String>,
) -> websocket::outgoing::subscribe::Message {
match thread_type {
ThreadType::Bars(_) => websocket::outgoing::subscribe::Message::Market(
websocket::outgoing::subscribe::MarketMessage::new(symbols),
),
ThreadType::News => websocket::outgoing::subscribe::Message::News(
websocket::outgoing::subscribe::NewsMessage::new(symbols),
),
}
}

61
src/threads/data/backfill.rs
View File

@@ -3,11 +3,14 @@ use crate::{
config::{Config, ALPACA_CRYPTO_DATA_URL, ALPACA_NEWS_DATA_URL, ALPACA_STOCK_DATA_URL},
database,
types::{
alpaca::{api, Source},
alpaca::{
api::{self, outgoing::Sort},
Source,
},
news::Prediction,
Asset, Bar, Class, News, Subset,
},
utils::{duration_until, last_minute, FIFTEEN_MINUTES, ONE_MINUTE},
utils::{duration_until, last_minute, remove_slash_from_pair, FIFTEEN_MINUTES, ONE_MINUTE},
};
use backoff::{future::retry, ExponentialBackoff};
use futures_util::future::join_all;
@@ -251,14 +254,31 @@ async fn execute_backfill_bars(
app_config
.alpaca_client
.get(&data_url)
.query(&api::outgoing::bar::Bar::new(
vec![symbol.clone()],
ONE_MINUTE,
fetch_from,
fetch_to,
10000,
next_page_token.clone(),
))
.query(&match thread_type {
ThreadType::Bars(Class::UsEquity) => api::outgoing::bar::Bar::UsEquity {
symbols: vec![symbol.clone()],
timeframe: ONE_MINUTE,
start: Some(fetch_from),
end: Some(fetch_to),
limit: Some(10000),
adjustment: None,
asof: None,
feed: Some(app_config.alpaca_source),
currency: None,
page_token: next_page_token.clone(),
sort: Some(Sort::Asc),
},
ThreadType::Bars(Class::Crypto) => api::outgoing::bar::Bar::Crypto {
symbols: vec![symbol.clone()],
timeframe: ONE_MINUTE,
start: Some(fetch_from),
end: Some(fetch_to),
limit: Some(10000),
page_token: next_page_token.clone(),
sort: Some(Sort::Asc),
},
_ => unreachable!(),
})
.send()
.await?
.error_for_status()?
@@ -325,15 +345,16 @@ async fn execute_backfill_news(
app_config
.alpaca_client
.get(&data_url)
.query(&api::outgoing::news::News::new(
vec![symbol.clone()],
fetch_from,
fetch_to,
50,
true,
false,
next_page_token.clone(),
))
.query(&api::outgoing::news::News {
symbols: vec![remove_slash_from_pair(&symbol)],
start: Some(fetch_from),
end: Some(fetch_to),
limit: Some(50),
include_content: Some(true),
exclude_contentless: Some(false),
page_token: next_page_token.clone(),
sort: Some(Sort::Asc),
})
.send()
.await?
.error_for_status()?
@@ -399,7 +420,7 @@ async fn execute_backfill_news(
})
.collect::<Vec<_>>();
let backfill = (news[0].clone(), symbol.clone()).into();
let backfill = (news.last().unwrap().clone(), symbol.clone()).into();
database::news::upsert_batch(&app_config.clickhouse_client, news).await;
database::backfills::upsert(&app_config.clickhouse_client, &thread_type, &backfill).await;

5
src/threads/data/websocket.rs
View File

@@ -102,9 +102,8 @@ async fn handle_parsed_websocket_message(
match message {
websocket::incoming::Message::Subscription(message) => {
let symbols = match message {
websocket::incoming::subscription::Message::Market(message) => message.bars,
websocket::incoming::subscription::Message::News(message) => message
.news
websocket::incoming::subscription::Message::Market { bars, .. } => bars,
websocket::incoming::subscription::Message::News { news } => news
.into_iter()
.map(|symbol| add_slash_to_pair(&symbol))
.collect(),