examples: migrate to the native data layer (drop ws/coder-websocket/jackson/jsonlite) (#316)
Stacked on #315 (the native Binance REST fetcher). Retarget to `main` once #315 merges. Migrates the runnable examples off third-party data-I/O packages onto Wickra's native data layer (`CandleReader`, `Resampler`, `BinanceFeed`, `fetch_*klines`). ## Third-party packages removed (the zero-dep selling point) - **Node**: `ws` (live feed → BinanceFeed) — dropped from package.json + lockfile - **Go**: `github.com/coder/websocket` — dropped from go.mod / go.sum (`go mod tidy`) - **Java**: `jackson-databind` (live feed + REST fetch) — dropped from pom.xml - **R**: `jsonlite` + `websocket` + `later` — dropped from the README notes Each language's CSV loading now goes through `CandleReader`, manual resampling through `Resampler`, the live feed through `BinanceFeed`, and (Java/R) the REST download through the native fetcher. ## Verification Ran the offline examples per language against the bundled data — backtest and multi_timeframe produce identical output across Python / Node / Go / Java / R (e.g. ATR(14) last 345.1010; 1h→5m resamples to 240 bars, →15m to 80 bars). C# / C / WASM (stdlib-only, no third-party deps to remove) follow in this branch. Note: the streaming `strategy_*` examples have pre-existing candle-indicator runtime bugs (CI only syntax-smokes them); the CSV migration preserves their shape and leaves those bugs for a separate fix.
This commit is contained in:
kingchenc
@@ -1,61 +1,42 @@
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"""Live Binance feed: stream Binance kline ticks → incremental indicators → signals.
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"""Live Binance feed: stream Binance kline ticks -> incremental indicators -> signals.
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This example connects to Binance's public WebSocket feed (no API key needed)
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and runs RSI / MACD / Bollinger Bands on the close prices coming in. When the
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RSI crosses common overbought / oversold thresholds *and* the MACD histogram
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confirms the direction, a `Signal` event is printed. No orders are placed.
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This example streams Binance's public kline feed (no API key needed) through
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Wickra's **native** ``BinanceFeed`` and runs RSI / MACD / Bollinger Bands on the
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close prices coming in. When the RSI crosses common overbought / oversold
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thresholds *and* the MACD histogram confirms the direction, a signal is printed.
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No orders are placed.
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Run with::
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There is **no third-party dependency** — the WebSocket client is built into
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Wickra. Just::
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python -m examples.python.live_binance --symbol BTCUSDT --interval 1m
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Dependencies::
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pip install websockets
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"""
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from __future__ import annotations
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import argparse
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import asyncio
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import json
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import logging
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import re
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import signal
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import sys
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from dataclasses import dataclass
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from typing import Optional
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import wickra as ta
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try:
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import websockets
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except ImportError:
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print("This example needs the `websockets` package: pip install websockets", file=sys.stderr)
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raise
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BINANCE_WS = "wss://stream.binance.com:9443/stream"
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# Kline intervals the public Binance WebSocket API recognises.
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VALID_INTERVALS = frozenset(
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{
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"1s", "1m", "3m", "5m", "15m", "30m",
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"1h", "2h", "4h", "6h", "8h", "12h",
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"1d", "3d", "1w", "1M",
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}
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)
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# Binance kline interval -> the integer code BinanceFeed expects (the same order
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# in every Wickra binding).
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INTERVAL_CODES = {
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"1s": 0, "1m": 1, "3m": 2, "5m": 3, "15m": 4, "30m": 5,
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"1h": 6, "2h": 7, "4h": 8, "6h": 9, "8h": 10, "12h": 11,
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"1d": 12, "3d": 13, "1w": 14, "1M": 15,
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}
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# A Binance symbol is strictly alphanumeric (e.g. BTCUSDT).
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_SYMBOL_RE = re.compile(r"^[A-Za-z0-9]+$")
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def validate_args(symbol: str, interval: str) -> None:
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"""Reject a symbol or interval that is not safe to splice into the WS URL.
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Both values are interpolated straight into the stream name and URL, so an
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unexpected value would otherwise produce a confusing connection failure.
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Validating up front keeps the URL well-formed without needing to escape it.
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def validate_args(symbol: str, interval: str) -> int:
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"""Validate the symbol/interval and return the interval's integer code.
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Raises:
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ValueError: if ``symbol`` is not strictly alphanumeric, or ``interval``
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@@ -63,14 +44,14 @@ def validate_args(symbol: str, interval: str) -> None:
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"""
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if not _SYMBOL_RE.match(symbol):
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raise ValueError(
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f"invalid --symbol {symbol!r}: expected only letters and digits, "
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"e.g. BTCUSDT"
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f"invalid --symbol {symbol!r}: expected only letters and digits, e.g. BTCUSDT"
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)
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if interval not in VALID_INTERVALS:
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if interval not in INTERVAL_CODES:
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raise ValueError(
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f"invalid --interval {interval!r}: expected one of "
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+ ", ".join(sorted(VALID_INTERVALS))
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+ ", ".join(INTERVAL_CODES)
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)
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return INTERVAL_CODES[interval]
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@dataclass
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@@ -120,38 +101,28 @@ def emit_signal(snap: Snapshot, log: logging.Logger) -> None:
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)
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async def run(symbol: str, interval: str) -> None:
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stream = f"{symbol.lower()}@kline_{interval}"
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url = f"{BINANCE_WS}?streams={stream}"
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def run(symbol: str, interval_code: int) -> None:
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log = logging.getLogger("wickra-live")
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state = StrategyState()
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log.info("Connecting to %s", url)
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async with websockets.connect(url, ping_interval=20) as ws:
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log.info("Connected, listening for %s klines", stream)
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async for raw in ws:
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envelope = json.loads(raw)
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payload = envelope.get("data", {})
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k = payload.get("k", {})
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if not k or "c" not in k:
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# Subscription acks, heartbeats and error frames carry no
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# kline payload — skip them instead of crashing on
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# float(None) the moment the stream opens.
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log.debug("skipping non-kline frame: %s", raw)
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continue
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close = float(k.get("c"))
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is_closed = bool(k.get("x"))
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snap = state.update(close)
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log.info(
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"%s close=%.4f rsi=%s hist=%s bb=%s",
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"BAR" if is_closed else "tick",
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close,
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f"{snap.rsi:.1f}" if snap.rsi is not None else "--",
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f"{snap.macd_hist:+.4f}" if snap.macd_hist is not None else "--",
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f"{snap.bb_lower:.2f}/{snap.bb_middle:.2f}/{snap.bb_upper:.2f}"
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if snap.bb_upper is not None
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else "--",
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)
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emit_signal(snap, log)
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feed = ta.BinanceFeed(symbol, interval_code)
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log.info("Streaming %s klines from Binance", symbol)
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while True:
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event = feed.next(1000) # blocks up to 1s; None on timeout (Ctrl+C between polls)
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if event is None:
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continue
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_symbol, _open, _high, _low, close, _volume, _open_time, is_closed = event
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snap = state.update(close)
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log.info(
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"%s close=%.4f rsi=%s hist=%s bb=%s",
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"BAR" if is_closed else "tick",
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close,
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f"{snap.rsi:.1f}" if snap.rsi is not None else "--",
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f"{snap.macd_hist:+.4f}" if snap.macd_hist is not None else "--",
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f"{snap.bb_lower:.2f}/{snap.bb_middle:.2f}/{snap.bb_upper:.2f}"
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if snap.bb_upper is not None
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else "--",
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)
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emit_signal(snap, log)
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def parse_args() -> argparse.Namespace:
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@@ -165,7 +136,7 @@ def parse_args() -> argparse.Namespace:
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def main() -> int:
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args = parse_args()
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try:
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validate_args(args.symbol, args.interval)
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interval_code = validate_args(args.symbol, args.interval)
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except ValueError as exc:
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print(f"error: {exc}", file=sys.stderr)
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return 2
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@@ -173,19 +144,10 @@ def main() -> int:
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level=logging.DEBUG if args.verbose else logging.INFO,
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format="%(asctime)s %(levelname)s %(message)s",
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)
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loop = asyncio.new_event_loop()
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# Translate Ctrl+C into a clean loop stop.
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for sig in (signal.SIGINT, signal.SIGTERM):
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try:
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loop.add_signal_handler(sig, loop.stop)
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except NotImplementedError:
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pass # Windows does not support add_signal_handler for SIGTERM.
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try:
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loop.run_until_complete(run(args.symbol, args.interval))
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run(args.symbol, interval_code)
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except KeyboardInterrupt:
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pass
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finally:
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loop.close()
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return 0
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