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import asyncio |
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import json |
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import logging |
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import time |
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import bisect |
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import math |
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from aiohttp import web |
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import websockets |
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SYMBOL_KRAKEN = "BTC/USD" |
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PORT = 7860 |
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HISTORY_LENGTH = 300 |
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logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(message)s') |
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market_state = { |
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"bids": {}, |
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"asks": {}, |
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"history": [], |
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"current_mid": 0.0, |
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"ready": False |
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} |
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HTML_PAGE = f""" |
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<!DOCTYPE html> |
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<html> |
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<head> |
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<title>BTC-USD Mean Pressure</title> |
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<script src="https://cdn.plot.ly/plotly-2.24.1.min.js"></script> |
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<style> |
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body {{ margin: 0; padding: 0; background-color: #0e0e0e; color: #ccc; font-family: sans-serif; overflow: hidden; }} |
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/* Layout Grid - 2 Rows x 2 Columns */ |
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#container {{ display: flex; flex-direction: column; height: 100vh; width: 100vw; }} |
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/* Rows */ |
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.row {{ flex: 1; display: flex; width: 100%; border-bottom: 1px solid #333; }} |
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/* Columns */ |
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.col {{ width: 50%; height: 100%; border-right: 1px solid #333; position: relative; }} |
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.col:last-child {{ border-right: none; }} |
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/* Charts fill their containers */ |
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.chart {{ width: 100%; height: 100%; }} |
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/* Status Badge */ |
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#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; }} |
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.green {{ color: #00e676; }} |
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.red {{ color: #ff1744; }} |
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</style> |
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</head> |
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<body> |
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<div id="status">Connecting...</div> |
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<div id="container"> |
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<!-- ROW 1 --> |
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<div class="row"> |
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<div class="col"> |
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<!-- Top Left: Price --> |
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<div id="price-chart" class="chart"></div> |
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</div> |
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<div class="col"> |
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<!-- Top Right: Pressure % --> |
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<div id="imb-percent-chart" class="chart"></div> |
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</div> |
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</div> |
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<!-- ROW 2 --> |
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<div class="row"> |
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<div class="col"> |
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<!-- Bottom Left: Volume --> |
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<div id="vol-chart" class="chart"></div> |
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</div> |
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<div class="col"> |
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<!-- Bottom Right: Average Pressure (Mean Integral) --> |
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<div id="mean-chart" class="chart"></div> |
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</div> |
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</div> |
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</div> |
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<script> |
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const priceDiv = document.getElementById('price-chart'); |
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const imbPercentDiv = document.getElementById('imb-percent-chart'); |
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const volDiv = document.getElementById('vol-chart'); |
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const meanDiv = document.getElementById('mean-chart'); |
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const statusDiv = document.getElementById('status'); |
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let initPrice = false, initImbP = false, initVol = false, initMean = false; |
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const commonConfig = {{ responsive: true, displayModeBar: false }}; |
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const commonLayout = {{ |
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paper_bgcolor: '#0e0e0e', |
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plot_bgcolor: '#0e0e0e', |
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font: {{ color: '#aaa' }}, |
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margin: {{ t: 30, b: 25, l: 40, r: 20 }}, |
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showlegend: false, |
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xaxis: {{ gridcolor: '#222' }}, |
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yaxis: {{ gridcolor: '#222' }} |
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}}; |
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async function updateCharts() {{ |
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try {{ |
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const res = await fetch('/data'); |
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const data = await res.json(); |
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if (data.error) {{ |
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statusDiv.innerHTML = "Waiting for data..."; |
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return; |
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}} |
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statusDiv.innerHTML = `Mid: <span class="${{data.mid >= data.prev_mid ? 'green' : 'red'}}">$${{data.mid.toLocaleString(undefined, {{minimumFractionDigits: 2}})}}</span> | Avg Bias: ${{data.mean.last_val ? data.mean.last_val.toFixed(3) : 0}}`; |
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// 1. PRICE HISTORY |
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if (!initPrice) {{ |
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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}} }}], |
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{{ ...commonLayout, title: '<b>Midprice</b>', xaxis: {{type:'date', gridcolor:'#222'}} }}, commonConfig); |
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initPrice = true; |
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}} else {{ |
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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}} }}], |
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{{ ...commonLayout, title: '<b>Midprice</b>', xaxis: {{type:'date', gridcolor:'#222'}} }}, commonConfig); |
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}} |
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// 2. IMBALANCE % |
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const layoutImbP = {{ ...commonLayout, title: '<b>Pressure % (-100 to 100)</b>', yaxis: {{range: [-105, 105], gridcolor:'#222'}} }}; |
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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; }} |
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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); }} |
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// 3. VOLUME BY DISTANCE |
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const layoutVol = {{ ...commonLayout, title: '<b>Volume by Distance</b>' }}; |
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const tracesVol = [ |
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{{ x: data.imbalance_vol.dist_bids, y: data.imbalance_vol.vol_bids, type: 'scatter', name: 'Bid', line: {{color: '#00e676'}} }}, |
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{{ x: data.imbalance_vol.dist_asks, y: data.imbalance_vol.vol_asks, type: 'scatter', name: 'Ask', line: {{color: '#ff1744'}} }} |
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]; |
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if (!initVol) {{ Plotly.newPlot(volDiv, tracesVol, layoutVol, commonConfig); initVol = true; }} |
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else {{ Plotly.react(volDiv, tracesVol, layoutVol, commonConfig); }} |
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// 4. MEAN PRESSURE (-1 to +1) |
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const layoutMean = {{ ...commonLayout, |
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title: '<b>Average Pressure (Integral / Steps)</b>', |
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xaxis: {{title: 'Distance ($)', gridcolor:'#222'}}, |
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yaxis: {{title: 'Bias', range: [-1.1, 1.1], gridcolor:'#222', zeroline: true, zerolinecolor: '#fff'}} |
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}}; |
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const traceMean = {{ |
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x: data.mean.x, |
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y: data.mean.y, |
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type: 'scatter', |
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mode: 'lines', |
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fill: 'tozeroy', |
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line: {{color: '#00bcd4', width: 2}} // Cyan |
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}}; |
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if (!initMean) {{ Plotly.newPlot(meanDiv, [traceMean], layoutMean, commonConfig); initMean = true; }} |
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else {{ Plotly.react(meanDiv, [traceMean], layoutMean, commonConfig); }} |
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}} catch (e) {{ console.error("Fetch error:", e); }} |
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}} |
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setInterval(updateCharts, 500); |
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</script> |
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</body> |
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</html> |
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""" |
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async def kraken_worker(): |
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global market_state |
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while True: |
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try: |
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async with websockets.connect("wss://ws.kraken.com/v2") as ws: |
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logging.info(f"🔌 Connected to Kraken ({SYMBOL_KRAKEN})") |
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await ws.send(json.dumps({ |
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"method": "subscribe", |
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"params": {"channel": "book", "symbol": [SYMBOL_KRAKEN], "depth": 500} |
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})) |
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async for message in ws: |
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payload = json.loads(message) |
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channel = payload.get("channel") |
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data_entries = payload.get("data", []) |
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if channel == "book": |
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for item in data_entries: |
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for bid in item.get('bids', []): |
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q, p = float(bid['qty']), float(bid['price']) |
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if q == 0: market_state['bids'].pop(p, None) |
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else: market_state['bids'][p] = q |
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for ask in item.get('asks', []): |
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q, p = float(ask['qty']), float(ask['price']) |
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if q == 0: market_state['asks'].pop(p, None) |
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else: market_state['asks'][p] = q |
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if market_state['bids'] and market_state['asks']: |
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best_bid = max(market_state['bids'].keys()) |
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best_ask = min(market_state['asks'].keys()) |
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mid = (best_bid + best_ask) / 2 |
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market_state['current_mid'] = mid |
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market_state['ready'] = True |
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now = time.time() |
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if not market_state['history'] or (now - market_state['history'][-1]['t'] > 0.5): |
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market_state['history'].append({'t': now, 'p': mid}) |
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if len(market_state['history']) > HISTORY_LENGTH: |
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market_state['history'].pop(0) |
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except Exception as e: |
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logging.warning(f"⚠️ Reconnecting: {e}") |
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await asyncio.sleep(3) |
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async def handle_index(request): |
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return web.Response(text=HTML_PAGE, content_type='text/html') |
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async def handle_data(request): |
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if not market_state['ready']: |
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return web.json_response({"error": "Initializing..."}) |
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mid = market_state['current_mid'] |
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raw_bids = sorted(market_state['bids'].items(), key=lambda x: -x[0])[:300] |
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raw_asks = sorted(market_state['asks'].items(), key=lambda x: x[0])[:300] |
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dist_bids = [(mid - p, q) for p, q in raw_bids if mid - p >= 0] |
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d_b_x, d_b_y = [], [] |
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cum_d = 0 |
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for d, q in dist_bids: |
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cum_d += q |
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d_b_x.append(d); d_b_y.append(cum_d) |
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dist_asks = [(p - mid, q) for p, q in raw_asks if p - mid >= 0] |
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d_a_x, d_a_y = [], [] |
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cum_d = 0 |
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for d, q in dist_asks: |
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cum_d += q |
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d_a_x.append(d); d_a_y.append(cum_d) |
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imb_x, imb_y = [], [] |
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mean_x, mean_y = [], [] |
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running_integral = 0 |
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if d_b_x and d_a_x: |
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max_dist = min(d_b_x[-1], d_a_x[-1]) |
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step_size = max_dist / 100 |
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steps = [i * step_size for i in range(1, 101)] |
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for i, s in enumerate(steps): |
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idx_b = bisect.bisect_right(d_b_x, s) |
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vol_b = d_b_y[idx_b-1] if idx_b > 0 else 0 |
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idx_a = bisect.bisect_right(d_a_x, s) |
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vol_a = d_a_y[idx_a-1] if idx_a > 0 else 0 |
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total_vol = vol_b + vol_a |
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pct = ((vol_b - vol_a) / total_vol) * 100 if total_vol > 0 else 0 |
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imb_x.append(s) |
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imb_y.append(pct) |
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running_integral += pct |
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step_count = i + 1 |
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mean_pressure = running_integral / step_count |
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norm_mean = mean_pressure / 100.0 |
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mean_x.append(s) |
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mean_y.append(norm_mean) |
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return web.json_response({ |
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"mid": mid, |
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"prev_mid": market_state['history'][-2]['p'] if len(market_state['history']) > 1 else mid, |
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"imbalance_vol": { "dist_bids": d_b_x, "vol_bids": d_b_y, "dist_asks": d_a_x, "vol_asks": d_a_y }, |
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"imbalance_pct": { "x": imb_x, "y": imb_y }, |
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"mean": { "x": mean_x, "y": mean_y, "last_val": mean_y[-1] if mean_y else 0 }, |
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"history": market_state['history'] |
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}) |
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async def start_background(app): |
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app['kraken_task'] = asyncio.create_task(kraken_worker()) |
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async def cleanup_background(app): |
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app['kraken_task'].cancel() |
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try: await app['kraken_task'] |
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except asyncio.CancelledError: pass |
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async def main(): |
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app = web.Application() |
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app.router.add_get('/', handle_index) |
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app.router.add_get('/data', handle_data) |
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app.on_startup.append(start_background) |
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app.on_cleanup.append(cleanup_background) |
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runner = web.AppRunner(app) |
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await runner.setup() |
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site = web.TCPSite(runner, '0.0.0.0', PORT) |
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await site.start() |
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print(f"🚀 BTC-USD Mean Pressure Dashboard: http://localhost:{PORT}") |
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await asyncio.Event().wait() |
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if __name__ == "__main__": |
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try: asyncio.run(main()) |
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except KeyboardInterrupt: pass |
