File size: 12,716 Bytes
3469441
 
 
 
c43af34
a5396a6
 
3469441
a5396a6
a6d8311
a5396a6
a6d8311
a5396a6
 
 
 
 
 
 
 
5a89d96
c955262
a5396a6
 
 
a6d8311
a5396a6
3469441
 
 
75f59d6
3469441
 
c955262
 
75f59d6
c43af34
75f59d6
 
d702b3f
75f59d6
 
 
 
 
 
c43af34
c955262
75f59d6
 
a5396a6
 
3469441
 
 
a6d8311
 
c43af34
75f59d6
d702b3f
75f59d6
 
6c45e3b
 
75f59d6
 
ac8213b
6c45e3b
c43af34
6c45e3b
75f59d6
d702b3f
75f59d6
 
3f0765d
6c45e3b
75f59d6
 
 
d702b3f
 
c43af34
3469441
 
c955262
ac8213b
 
75f59d6
 
a5396a6
c955262
75f59d6
a6d8311
 
 
 
 
 
d702b3f
c43af34
 
 
a6d8311
3469441
c955262
a5396a6
 
 
3469441
75f59d6
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
d702b3f
a6d8311
a5396a6
a6d8311
 
3469441
 
 
 
 
a5396a6
 
3469441
 
a6d8311
 
 
 
 
 
a5396a6
 
a6d8311
 
 
 
 
 
 
 
 
 
 
 
 
 
 
c955262
 
 
 
 
 
 
 
a6d8311
c955262
 
 
3469441
 
a6d8311
 
3469441
a5396a6
 
 
 
 
 
 
a6d8311
 
75f59d6
c43af34
 
a6d8311
75f59d6
c43af34
a6d8311
 
c43af34
a6d8311
ac8213b
a6d8311
c43af34
a6d8311
 
c43af34
a6d8311
ac8213b
3469441
d702b3f
ac8213b
75f59d6
3f0765d
c43af34
 
75f59d6
c43af34
 
 
75f59d6
 
8aefbf1
75f59d6
c43af34
 
 
 
 
 
8fdc4ae
d702b3f
 
75f59d6
3f0765d
 
 
75f59d6
 
 
 
 
 
 
 
c43af34
75f59d6
 
d702b3f
3469441
a6d8311
 
ac8213b
8fdc4ae
75f59d6
c955262
3469441
 
75f3b2f
 
 
 
 
c43af34
 
75f3b2f
3469441
 
a5396a6
 
75f3b2f
 
3469441
 
 
a5396a6
3469441
5a89d96
75f59d6
3469441
 
a5396a6
5a89d96
 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
import asyncio
import json
import logging
import time
import bisect
from aiohttp import web
import websockets

# --- Configuration ---
SYMBOL_KRAKEN = "BTC/USD"
PORT = 7860
HISTORY_LENGTH = 300 

# --- Logging ---
logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(message)s')

# --- In-Memory State ---
market_state = {
    "bids": {},
    "asks": {},
    "history": [],
    "current_mid": 0.0,
    "ready": False
}

# --- HTML Frontend (Plotly.js) ---
HTML_PAGE = f"""
<!DOCTYPE html>
<html>
<head>
    <title>BTC-USD Gradient Analysis</title>
    <script src="https://cdn.plot.ly/plotly-2.24.1.min.js"></script>
    <style>
        body {{ margin: 0; padding: 0; background-color: #0e0e0e; color: #ccc; font-family: sans-serif; overflow: hidden; }}
        
        /* Layout Grid - 2 Rows x 2 Columns */
        #container {{ display: flex; flex-direction: column; height: 100vh; width: 100vw; }}
        
        /* Rows */
        .row {{ flex: 1; display: flex; width: 100%; border-bottom: 1px solid #333; }}
        
        /* Columns */
        .col {{ width: 50%; height: 100%; border-right: 1px solid #333; position: relative; }}
        .col:last-child {{ border-right: none; }}

        /* Charts fill their containers */
        .chart {{ width: 100%; height: 100%; }}
        
        /* Status Badge */
        #status {{ position: absolute; top: 10px; left: 60px; z-index: 100; font-size: 14px; background: rgba(0,0,0,0.7); padding: 5px 10px; border-radius: 4px; pointer-events: none; border: 1px solid #333; }}
        .green {{ color: #00e676; }}
        .red {{ color: #ff1744; }}
    </style>
</head>
<body>
    <div id="status">Connecting...</div>
    
    <div id="container">
        <!-- ROW 1 -->
        <div class="row">
            <div class="col">
                <!-- Top Left: Price -->
                <div id="price-chart" class="chart"></div>
            </div>
            <div class="col">
                <!-- Top Right: Pressure % -->
                <div id="imb-percent-chart" class="chart"></div>
            </div>
        </div>

        <!-- ROW 2 -->
        <div class="row">
            <div class="col">
                <!-- Bottom Left: Volume -->
                <div id="vol-chart" class="chart"></div>
            </div>
            <div class="col">
                <!-- Bottom Right: Differentiation (Gradient) -->
                <div id="deriv-chart" class="chart"></div>
            </div>
        </div>
    </div>

    <script>
        const priceDiv = document.getElementById('price-chart');
        const imbPercentDiv = document.getElementById('imb-percent-chart');
        const volDiv = document.getElementById('vol-chart');
        const derivDiv = document.getElementById('deriv-chart');
        
        const statusDiv = document.getElementById('status');
        
        let initPrice = false, initImbP = false, initVol = false, initDeriv = false;

        const commonConfig = {{ responsive: true, displayModeBar: false }};
        const commonLayout = {{
            paper_bgcolor: '#0e0e0e',
            plot_bgcolor: '#0e0e0e',
            font: {{ color: '#aaa' }},
            margin: {{ t: 30, b: 25, l: 40, r: 20 }},
            showlegend: false,
            xaxis: {{ gridcolor: '#222' }},
            yaxis: {{ gridcolor: '#222' }}
        }};

        async function updateCharts() {{
            try {{
                const res = await fetch('/data');
                const data = await res.json();

                if (data.error) {{
                    statusDiv.innerHTML = "Waiting for data...";
                    return;
                }}

                statusDiv.innerHTML = `Mid: <span class="${{data.mid >= data.prev_mid ? 'green' : 'red'}}">$${{data.mid.toLocaleString(undefined, {{minimumFractionDigits: 2}})}}</span> | Max Grad: ${{data.deriv.max_val ? data.deriv.max_val.toFixed(2) : 0}}`;

                // 1. PRICE HISTORY
                if (!initPrice) {{
                    Plotly.newPlot(priceDiv, [{{ x: data.history.map(d=>new Date(d.t*1000)), y: data.history.map(d=>d.p), type: 'scatter', mode:'lines', line: {{color: '#29b6f6', width: 2}} }}], 
                    {{ ...commonLayout, title: '<b>Midprice</b>', xaxis: {{type:'date', gridcolor:'#222'}} }}, commonConfig);
                    initPrice = true;
                }} else {{
                    Plotly.react(priceDiv, [{{ x: data.history.map(d=>new Date(d.t*1000)), y: data.history.map(d=>d.p), type: 'scatter', mode:'lines', line: {{color: '#29b6f6', width: 2}} }}], 
                    {{ ...commonLayout, title: '<b>Midprice</b>', xaxis: {{type:'date', gridcolor:'#222'}} }}, commonConfig);
                }}

                // 2. IMBALANCE %
                const layoutImbP = {{ ...commonLayout, title: '<b>Pressure % (-100 to 100)</b>', yaxis: {{range: [-105, 105], gridcolor:'#222'}} }};
                if (!initImbP) {{ Plotly.newPlot(imbPercentDiv, [{{ x: data.imbalance_pct.x, y: data.imbalance_pct.y, type: 'scatter', mode: 'lines', fill: 'tozeroy', line: {{color: '#ffeb3b'}} }}], layoutImbP, commonConfig); initImbP = true; }}
                else {{ Plotly.react(imbPercentDiv, [{{ x: data.imbalance_pct.x, y: data.imbalance_pct.y, type: 'scatter', mode: 'lines', fill: 'tozeroy', line: {{color: '#ffeb3b'}} }}], layoutImbP, commonConfig); }}

                // 3. VOLUME BY DISTANCE
                const layoutVol = {{ ...commonLayout, title: '<b>Volume by Distance</b>' }};
                const tracesVol = [
                    {{ x: data.imbalance_vol.dist_bids, y: data.imbalance_vol.vol_bids, type: 'scatter', name: 'Bid', line: {{color: '#00e676'}} }},
                    {{ x: data.imbalance_vol.dist_asks, y: data.imbalance_vol.vol_asks, type: 'scatter', name: 'Ask', line: {{color: '#ff1744'}} }}
                ];
                if (!initVol) {{ Plotly.newPlot(volDiv, tracesVol, layoutVol, commonConfig); initVol = true; }}
                else {{ Plotly.react(volDiv, tracesVol, layoutVol, commonConfig); }}

                // 4. DIFFERENTIATION (Gradient)
                // This shows the rate of change of pressure. Large spikes = walls.
                const layoutDeriv = {{ ...commonLayout, 
                    title: '<b>Pressure Gradient (Rate of Change)</b>', 
                    xaxis: {{title: 'Distance ($)', gridcolor:'#222'}},
                    yaxis: {{title: 'Ξ”% / Step', gridcolor:'#222'}} 
                }};
                
                const traceDeriv = {{ 
                    x: data.deriv.x, 
                    y: data.deriv.y, 
                    type: 'scatter', 
                    mode: 'lines', 
                    fill: 'tozeroy',
                    line: {{color: '#e040fb', width: 1.5}} // Purple line
                }};

                if (!initDeriv) {{ Plotly.newPlot(derivDiv, [traceDeriv], layoutDeriv, commonConfig); initDeriv = true; }}
                else {{ Plotly.react(derivDiv, [traceDeriv], layoutDeriv, commonConfig); }}

            }} catch (e) {{ console.error("Fetch error:", e); }}
        }}

        setInterval(updateCharts, 500);
    </script>
</body>
</html>
"""

async def kraken_worker():
    global market_state
    while True:
        try:
            async with websockets.connect("wss://ws.kraken.com/v2") as ws:
                logging.info(f"πŸ”Œ Connected to Kraken ({SYMBOL_KRAKEN})")
                await ws.send(json.dumps({
                    "method": "subscribe",
                    "params": {"channel": "book", "symbol": [SYMBOL_KRAKEN], "depth": 500}
                }))

                async for message in ws:
                    payload = json.loads(message)
                    channel = payload.get("channel")
                    data_entries = payload.get("data", [])

                    if channel == "book":
                        for item in data_entries:
                            for bid in item.get('bids', []):
                                q, p = float(bid['qty']), float(bid['price'])
                                if q == 0: market_state['bids'].pop(p, None)
                                else: market_state['bids'][p] = q
                            for ask in item.get('asks', []):
                                q, p = float(ask['qty']), float(ask['price'])
                                if q == 0: market_state['asks'].pop(p, None)
                                else: market_state['asks'][p] = q
                        
                        if market_state['bids'] and market_state['asks']:
                            best_bid = max(market_state['bids'].keys())
                            best_ask = min(market_state['asks'].keys())
                            mid = (best_bid + best_ask) / 2
                            market_state['current_mid'] = mid
                            market_state['ready'] = True

                            now = time.time()
                            if not market_state['history'] or (now - market_state['history'][-1]['t'] > 0.5):
                                market_state['history'].append({'t': now, 'p': mid})
                                if len(market_state['history']) > HISTORY_LENGTH:
                                    market_state['history'].pop(0)

        except Exception as e:
            logging.warning(f"⚠️ Reconnecting: {e}")
            await asyncio.sleep(3)

async def handle_index(request):
    return web.Response(text=HTML_PAGE, content_type='text/html')

async def handle_data(request):
    if not market_state['ready']:
        return web.json_response({"error": "Initializing..."})

    mid = market_state['current_mid']
    
    # --- Raw Data ---
    raw_bids = sorted(market_state['bids'].items(), key=lambda x: -x[0])[:300]
    raw_asks = sorted(market_state['asks'].items(), key=lambda x: x[0])[:300]

    # --- Distance Data ---
    dist_bids = [(mid - p, q) for p, q in raw_bids if mid - p >= 0]
    d_b_x, d_b_y = [], []
    cum_d = 0
    for d, q in dist_bids:
        cum_d += q
        d_b_x.append(d); d_b_y.append(cum_d)

    dist_asks = [(p - mid, q) for p, q in raw_asks if p - mid >= 0]
    d_a_x, d_a_y = [], []
    cum_d = 0
    for d, q in dist_asks:
        cum_d += q
        d_a_x.append(d); d_a_y.append(cum_d)

    # --- Calculations ---
    imb_x, imb_y = [], []
    deriv_x, deriv_y = [], []

    if d_b_x and d_a_x:
        max_dist = min(d_b_x[-1], d_a_x[-1])
        # Use 100 uniform steps for smooth differentiation
        step_size = max_dist / 100
        steps = [i * step_size for i in range(1, 101)]
        
        last_pct = 0
        
        for i, s in enumerate(steps):
            # 1. Get Volumes
            idx_b = bisect.bisect_right(d_b_x, s)
            vol_b = d_b_y[idx_b-1] if idx_b > 0 else 0
            
            idx_a = bisect.bisect_right(d_a_x, s)
            vol_a = d_a_y[idx_a-1] if idx_a > 0 else 0
            
            # 2. Imbalance %
            total_vol = vol_b + vol_a
            pct = ((vol_b - vol_a) / total_vol) * 100 if total_vol > 0 else 0
            
            imb_x.append(s)
            imb_y.append(pct)

            # 3. Differentiation (Rate of Change)
            # Change in percentage per step
            if i > 0:
                change = pct - last_pct
                deriv_x.append(s)
                deriv_y.append(change)
            
            last_pct = pct

    # Find max gradient for display
    max_grad = max(deriv_y) if deriv_y else 0

    return web.json_response({
        "mid": mid,
        "prev_mid": market_state['history'][-2]['p'] if len(market_state['history']) > 1 else mid,
        "imbalance_vol": { "dist_bids": d_b_x, "vol_bids": d_b_y, "dist_asks": d_a_x, "vol_asks": d_a_y },
        "imbalance_pct": { "x": imb_x, "y": imb_y },
        "deriv": { "x": deriv_x, "y": deriv_y, "max_val": max_grad },
        "history": market_state['history']
    })

async def start_background(app):
    app['kraken_task'] = asyncio.create_task(kraken_worker())

async def cleanup_background(app):
    app['kraken_task'].cancel()
    try: await app['kraken_task']
    except asyncio.CancelledError: pass

async def main():
    app = web.Application()
    app.router.add_get('/', handle_index)
    app.router.add_get('/data', handle_data)
    app.on_startup.append(start_background)
    app.on_cleanup.append(cleanup_background)
    
    runner = web.AppRunner(app)
    await runner.setup()
    site = web.TCPSite(runner, '0.0.0.0', PORT)
    await site.start()
    
    print(f"πŸš€ BTC-USD Gradient Dashboard: http://localhost:{PORT}")
    await asyncio.Event().wait()

if __name__ == "__main__":
    try: asyncio.run(main())
    except KeyboardInterrupt: pass