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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"π 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"β οΈ 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"π BTC-USD Gradient Dashboard: http://localhost:{PORT}")
await asyncio.Event().wait()
if __name__ == "__main__":
try: asyncio.run(main())
except KeyboardInterrupt: pass |