massiveclient 0.3.0

data/lib/massiveclient/rest/api/stocks.rb

@@ -0,0 +1,329 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  module Rest
+    class Stocks < PolygonRestHandler
+      class StockExchange < PolygonResponse
+        attribute :id, Types::Integer
+        attribute :type, Types::String
+        attribute :market, Types::String
+        attribute? :mic, Types::String
+        attribute :name, Types::String
+        attribute? :tape, Types::String
+      end
+
+      def list_exchanges
+        res = client.request.get("/v1/meta/exchanges")
+        Types::Array.of(StockExchange)[res.body]
+      end
+
+      class HistoricTradesResponse < PolygonResponse
+        attribute :results_count, Types::Integer
+        attribute :db_latency, Types::Integer
+        attribute :success, Types::Bool
+        attribute :ticker, Types::String
+        attribute :map, Types::Hash
+        attribute :results, Types::Array do
+          attribute? :T, Types::String # Not receiving for some reason
+          attribute :t, Types::Integer
+          attribute :y, Types::Integer
+          attribute? :f, Types::Integer
+          attribute :q, Types::Integer
+          attribute :i, Types::String
+          attribute :x, Types::Integer
+          attribute :s, Types::Integer
+          attribute :c, Types::Array.of(Types::Integer)
+          attribute :p, Types::JSON::Decimal
+          attribute :z, Types::Integer
+        end
+      end
+
+      class HistoricParams < Dry::Struct
+        attribute? :timestamp, Types::Integer
+        attribute? :timestampLimit, Types::Integer # TODO: change to underscore?
+        attribute? :reverse, Types::Bool
+        attribute? :limit, Types::Integer
+      end
+
+      def historic_trades(ticker, date, params = {})
+        ticker = Types::String[ticker]
+        date = Types::JSON::Date[date]
+        params = HistoricParams[params]
+
+        res = client.request.get("/v2/ticks/stocks/trades/#{ticker}/#{date}", params.to_h)
+        HistoricTradesResponse[res.body]
+      end
+
+      class HistoricQuotesResponse < PolygonResponse
+        attribute :results_count, Types::Integer
+        attribute :db_latency, Types::Integer
+        attribute :success, Types::Bool
+        attribute :ticker, Types::String
+        attribute :map, Types::Hash
+        attribute :results, Types::Array do
+          attribute? :T, Types::String # Not receiving for some reason
+          attribute :t, Types::Integer
+          attribute :y, Types::Integer
+          attribute? :f, Types::Integer
+          attribute :q, Types::Integer
+          attribute? :i, Types::Array.of(Types::Integer)
+          attribute :p, Types::JSON::Decimal
+          attribute :x, Types::Integer
+          attribute :s, Types::Integer
+          attribute? :P, Types::JSON::Decimal
+          attribute? :X, Types::Integer
+          attribute? :S, Types::Integer
+          attribute :c, Types::Array.of(Types::Integer)
+          attribute :z, Types::Integer
+        end
+      end
+
+      def historic_quotes(ticker, date, params = {})
+        ticker = Types::String[ticker]
+        date = Types::JSON::Date[date]
+        params = HistoricParams[params]
+
+        res = client.request.get("/v2/ticks/stocks/nbbo/#{ticker}/#{date}", params.to_h)
+        HistoricQuotesResponse[res.body]
+      end
+
+      class LastTradeResponse < PolygonResponse
+        attribute :status, Types::String
+        attribute :symbol, Types::String
+        attribute :last do
+          attribute :price, Types::JSON::Decimal
+          attribute :size, Types::Integer
+          attribute :exchange, Types::Integer
+          attribute :cond1, Types::Integer
+          attribute :cond2, Types::Integer
+          attribute :cond3, Types::Integer
+          attribute? :cond4, Types::Integer
+          attribute :timestamp, Types::Integer
+        end
+      end
+
+      def last_trade(symbol)
+        symbol = Types::String[symbol]
+
+        res = client.request.get("/v1/last/stocks/#{symbol}")
+        LastTradeResponse[res.body]
+      end
+
+      class LastQuoteResponse < PolygonResponse
+        attribute :status, Types::String
+        attribute :symbol, Types::String
+        attribute :last do
+          attribute :askprice, Types::JSON::Decimal
+          attribute :asksize, Types::Integer
+          attribute :askexchange, Types::Integer
+          attribute :bidprice, Types::JSON::Decimal
+          attribute :bidsize, Types::Integer
+          attribute :bidexchange, Types::Integer
+          attribute :timestamp, Types::Integer
+        end
+      end
+
+      def last_quote(symbol)
+        symbol = Types::String[symbol]
+
+        res = client.request.get("/v1/last_quote/stocks/#{symbol}")
+        LastQuoteResponse[res.body]
+      end
+
+      class DailyOpenCloseResponse < PolygonResponse
+        attribute :status, Types::String
+        attribute :symbol, Types::String
+        attribute :open, Types::JSON::Decimal
+        attribute :high, Types::JSON::Decimal
+        attribute :low, Types::JSON::Decimal
+        attribute :close, Types::JSON::Decimal
+        attribute :volume, Types::Integer
+        attribute :after_hours, Types::JSON::Decimal
+        attribute :from, Types::JSON::DateTime
+      end
+
+      def daily_open_close(symbol, date)
+        symbol = Types::String[symbol]
+        date = Types::JSON::Date[date]
+
+        res = client.request.get("/v1/open-close/#{symbol}/#{date}")
+        DailyOpenCloseResponse[res.body]
+      end
+
+      def condition_mappings(tick_type)
+        tick_type = Types::String.enum("trades", "quotes")[tick_type]
+
+        res = client.request.get("/v1/meta/conditions/#{tick_type}")
+        Types::Hash[res.body]
+      end
+
+      class SnapshotTicker < PolygonResponse
+        attribute :ticker, Types::String
+        attribute :day do
+          attribute :c, Types::JSON::Decimal
+          attribute :h, Types::JSON::Decimal
+          attribute :l, Types::JSON::Decimal
+          attribute :o, Types::JSON::Decimal
+          attribute :v, Types::JSON::Decimal
+        end
+        attribute? :last_trade do
+          attribute? :c1, Types::Integer
+          attribute? :c2, Types::Integer
+          attribute? :c3, Types::Integer
+          attribute? :c4, Types::Integer
+          attribute? :e, Types::Integer
+          attribute :p, Types::JSON::Decimal
+          attribute :s, Types::Integer
+          attribute :t, Types::Integer
+        end
+        attribute? :last_quote do
+          attribute :p, Types::JSON::Decimal
+          attribute :s, Types::Integer
+          attribute? :P, Types::JSON::Decimal
+          attribute? :S, Types::Integer
+          attribute :t, Types::Integer
+        end
+        attribute :min do
+          attribute :c, Types::JSON::Decimal
+          attribute :h, Types::JSON::Decimal
+          attribute :l, Types::JSON::Decimal
+          attribute :o, Types::JSON::Decimal
+          attribute :v, Types::JSON::Decimal
+        end
+        attribute :prev_day do
+          attribute :c, Types::JSON::Decimal
+          attribute :h, Types::JSON::Decimal
+          attribute :l, Types::JSON::Decimal
+          attribute :o, Types::JSON::Decimal
+          attribute :v, Types::JSON::Decimal
+        end
+        attribute :todays_change, Types::JSON::Decimal
+        attribute :todays_change_perc, Types::JSON::Decimal
+        attribute :updated, Types::Integer
+      end
+
+      class FullSnapshotResponse < PolygonResponse
+        attribute :status, Types::String
+        attribute :tickers, Types::Array.of(SnapshotTicker)
+      end
+
+      def full_snapshot
+        res = client.request.get("/v2/snapshot/locale/us/markets/stocks/tickers")
+        FullSnapshotResponse[res.body]
+      end
+
+      class SnapshotResponse < PolygonResponse
+        attribute :status, Types::String
+        attribute :ticker, SnapshotTicker
+      end
+
+      def snapshot(ticker)
+        ticker = Types::String[ticker]
+
+        res = client.request.get("/v2/snapshot/locale/us/markets/stocks/tickers/#{ticker}")
+        SnapshotResponse[res.body]
+      end
+
+      class SnapshotGainersLosersResponse < PolygonResponse
+        attribute :status, Types::String
+        attribute :tickers, Types::Array.of(SnapshotTicker)
+      end
+
+      def snapshot_gainers_losers(direction)
+        direction = Types::String.enum("gainers", "losers")[direction]
+
+        res = client.request.get("/v2/snapshot/locale/us/markets/stocks/#{direction}")
+        SnapshotGainersLosersResponse[res.body]
+      end
+
+      class PreviousCloseResponse < PolygonResponse
+        attribute :ticker, Types::String
+        attribute :status, Types::String
+        attribute :adjusted, Types::Bool
+        attribute :query_count, Types::Integer
+        attribute :results_count, Types::Integer
+        attribute :results, Types::Array do
+          attribute :T, Types::String
+          attribute :v, Types::JSON::Decimal
+          attribute :vw, Types::JSON::Decimal
+          attribute :o, Types::JSON::Decimal
+          attribute :c, Types::JSON::Decimal
+          attribute :h, Types::JSON::Decimal
+          attribute :l, Types::JSON::Decimal
+          attribute :t, Types::Integer
+          attribute? :n, Types::Integer
+        end
+      end
+
+      def previous_close(ticker, unadjusted = false)
+        ticker = Types::String[ticker]
+        unadjusted = Types::Bool[unadjusted]
+
+        res = client.request.get("/v2/aggs/ticker/#{ticker}/prev", { unadjusted: unadjusted })
+        PreviousCloseResponse[res.body]
+      end
+
+      class AggregatesResponse < PolygonResponse
+        attribute :ticker, Types::String
+        attribute :status, Types::String
+        attribute :adjusted, Types::Bool
+        attribute :query_count, Types::Integer
+        attribute :results_count, Types::Integer
+        attribute :results, Types::Array do
+          attribute? :T, Types::String # Not appearing
+          attribute :v, Types::JSON::Decimal
+          attribute? :vw, Types::JSON::Decimal
+          attribute :o, Types::JSON::Decimal
+          attribute :c, Types::JSON::Decimal
+          attribute :h, Types::JSON::Decimal
+          attribute :l, Types::JSON::Decimal
+          attribute :t, Types::Integer
+          attribute? :n, Types::Integer
+        end
+      end
+
+      def aggregates(ticker, multiplier, timespan, from, to, unadjusted = false) # rubocop:disable Metrics/ParameterLists
+        ticker = Types::String[ticker]
+        multiplier = Types::Integer[multiplier]
+        timespan = Types::Coercible::String.enum("minute", "hour", "day", "week", "month", "quarter", "year")[timespan]
+        from = Types::JSON::Date[from]
+        to = Types::JSON::Date[to]
+        unadjusted = Types::Bool[unadjusted]
+
+        res = client.request.get("/v2/aggs/ticker/#{ticker}/range/#{multiplier}/#{timespan}/#{from}/#{to}",
+                                 { unadjusted: unadjusted })
+        AggregatesResponse[res.body]
+      end
+
+      class GroupedDailyResponse < PolygonResponse
+        attribute? :ticker, Types::String
+        attribute :status, Types::String
+        attribute :adjusted, Types::Bool
+        attribute :query_count, Types::Integer
+        attribute :results_count, Types::Integer
+        attribute :results, Types::Array do
+          attribute :T, Types::String # Not appearing
+          attribute :v, Types::JSON::Decimal
+          attribute? :vw, Types::JSON::Decimal
+          attribute :o, Types::JSON::Decimal
+          attribute :c, Types::JSON::Decimal
+          attribute :h, Types::JSON::Decimal
+          attribute :l, Types::JSON::Decimal
+          attribute :t, Types::Integer
+          attribute? :n, Types::Integer
+        end
+      end
+
+      def grouped_daily(locale, market, date, unadjusted = false)
+        locale = Types::String[locale]
+        market = Types::Coercible::String.enum("stocks", "crypto", "bonds", "mf", "mmf", "indices", "fx")[market]
+        date = Types::JSON::Date[date]
+        unadjusted = Types::Bool[unadjusted]
+
+        res = client.request.get("/v2/aggs/grouped/locale/#{locale}/market/#{market.upcase}/#{date}",
+                                 { unadjusted: unadjusted })
+        GroupedDailyResponse[res.body]
+      end
+    end
+  end
+end

data/lib/massiveclient/rest/api.rb

@@ -0,0 +1,34 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  module Rest
+    class PolygonResponse < Dry::Struct
+      NUMBERS_TO_WORDS = {
+        "10" => "ten",
+        "9" => "nine",
+        "8" => "eight",
+        "7" => "seven",
+        "6" => "six",
+        "5" => "five",
+        "4" => "four",
+        "3" => "three",
+        "2" => "two",
+        "1" => "one"
+      }.freeze
+
+      transform_keys do |k|
+        k = NUMBERS_TO_WORDS[k] if NUMBERS_TO_WORDS.key?(k)
+        k = k.underscore unless k.length == 1
+        k.to_sym
+      end
+    end
+  end
+end
+
+require_relative "api/crypto"
+require_relative "api/forex"
+require_relative "api/stocks"
+require_relative "api/reference/locales"
+require_relative "api/reference/markets"
+require_relative "api/reference/stocks"
+require_relative "api/reference/tickers"

data/lib/massiveclient/rest/client.rb

@@ -0,0 +1,71 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  module Rest
+    class Client
+      Struct.new("Reference", :locales, :markets, :stocks, :tickers)
+
+      BASE_URL = "https://api.massive.com/"
+
+      attr_reader :url, :api_key
+
+      def initialize(api_key, &block)
+        @url = BASE_URL
+        @api_key = Types::String[api_key]
+        @request_builder = block if block_given?
+      end
+
+      RETRY_OPTIONS = {
+        max: 2,
+        interval: 0.05,
+        interval_randomness: 0.5,
+        backoff_factor: 2
+      }.freeze
+
+      def request
+        Faraday.new(url: "#{url}?apiKey=#{api_key}") do |builder|
+          builder.request :retry, RETRY_OPTIONS
+          builder.use ErrorMiddleware
+          @request_builder&.call(builder)
+          builder.request :json
+          builder.response :json, content_type: /\bjson$/
+          builder.adapter Faraday.default_adapter
+        end
+      end
+
+      def reference
+        Struct::Reference.new(
+          Rest::Reference::Locales.new(self),
+          Rest::Reference::Markets.new(self),
+          Rest::Reference::Stocks.new(self),
+          Rest::Reference::Tickers.new(self)
+        )
+      end
+
+      def stocks
+        Rest::Stocks.new(self)
+      end
+
+      def forex
+        Rest::Forex.new(self)
+      end
+
+      def crypto
+        Rest::Crypto.new(self)
+      end
+    end
+
+    class PolygonRestHandler
+      attr_reader :client
+
+      def initialize(client)
+        @client = client
+      end
+    end
+
+    class PagingParameters < Dry::Struct
+      attribute? :offset, Types::Integer.optional
+      attribute? :limit, Types::Integer.default(100)
+    end
+  end
+end

data/lib/massiveclient/rest/errors.rb

@@ -0,0 +1,43 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  module Errors
+    class PolygonRestClientError < StandardError; end
+
+    class BadRequestError < PolygonRestClientError; end
+    class UnauthorizedError < PolygonRestClientError; end
+    class ForbiddenError < PolygonRestClientError; end
+    class ResourceNotFoundError < PolygonRestClientError; end
+    class ServerError < PolygonRestClientError; end
+    class UnknownError < PolygonRestClientError; end
+    class UnexpectedResponseError < PolygonRestClientError; end
+  end
+
+  class ErrorMiddleware < Faraday::Middleware
+    CLIENT_ERROR_STATUSES = (400...500).freeze
+    SERVER_ERROR_STATUSES = (500...600).freeze
+
+    def on_complete(response_env) # rubocop:disable Metrics/MethodLength
+      status = response_env.status
+
+      case status
+      when 400
+        raise Errors::BadRequestError
+      when 401
+        raise Errors::UnauthorizedError
+      when 403
+        raise Errors::ForbiddenError
+      when 404
+        raise Errors::ResourceNotFoundError
+      when CLIENT_ERROR_STATUSES
+        raise Errors::UnknownError
+      when SERVER_ERROR_STATUSES
+        raise Errors::ServerError
+      end
+    end
+
+    def call(request_env)
+      @app.call(request_env).on_complete(&method(:on_complete))
+    end
+  end
+end

data/lib/massiveclient/rest.rb

@@ -0,0 +1,5 @@
+# frozen_string_literal: true
+
+require_relative "rest/client"
+require_relative "rest/api"
+require_relative "rest/errors"

data/lib/massiveclient/types.rb

@@ -0,0 +1,7 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  module Types
+    include Dry::Types(default: :strict)
+  end
+end

data/lib/massiveclient/version.rb

@@ -0,0 +1,5 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  VERSION = "0.3.0"
+end

data/lib/massiveclient/websocket/client.rb

@@ -0,0 +1,140 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  module Websocket
+    module Connection
+      attr_accessor :url
+
+      def self.connect(api_key, url, channels, args = {}, &block)
+        raise "no onmessage callback block given" unless block_given?
+
+        uri = URI.parse(url)
+        args[:api_key] = api_key
+        args[:channels] = channels
+        args[:on_message] = block
+        EM.connect(uri.host, 443, self, args) do |conn|
+          conn.url = url
+        end
+      end
+
+      def initialize(args)
+        @api_key = args.fetch(:api_key)
+        @channels = args.fetch(:channels)
+        @on_message = args.fetch(:on_message)
+        @debug = args.fetch(:debug) { false }
+      end
+
+      def connection_completed
+        @driver = WebSocket::Driver.client(self)
+        @driver.add_extension(PermessageDeflate)
+
+        uri = URI.parse(@url)
+        start_tls(sni_hostname: uri.host)
+
+        @driver.on(:open) do |_event|
+          msg = dump({ action: "auth", params: @api_key })
+          @driver.text(msg)
+        end
+
+        @driver.on(:message) do |msg|
+          p [:message, msg.data] if @debug
+
+          events = Oj.load(msg.data, symbol_keys: true).map do |event|
+            to_event(event)
+          end
+
+          status_events = events.select { |e| e.is_a? WebsocketEvent }
+          status_events.each do |event|
+            msg = handle_status_event(event)
+            @driver.text(msg) if msg
+          end
+
+          @on_message.call(events) if status_events.length.zero?
+        end
+
+        @driver.on(:close) { |event| finalize(event) }
+
+        @driver.start
+      end
+
+      def receive_data(data)
+        @driver.parse(data)
+      end
+
+      def write(data)
+        send_data(data)
+      end
+
+      def finalize(event)
+        p [:close, event.code, event.reason] if @debug
+        close_connection
+      end
+
+      def subscribe(channels)
+        dump({ action: "subscribe", params: channels })
+      end
+
+      private
+
+      def to_event(event)
+        case event.fetch(:ev)
+        when "status"
+          if event.fetch(:status) == "error" && event.fetch(:message) == "not authorized"
+            raise NotAuthorizedError, event.fetch(:message)
+          end
+
+          WebsocketEvent.new(event)
+        when "C"
+          ForexQuoteEvent.new(event)
+        when "CA"
+          ForexAggregateEvent.new(event)
+        when "XQ"
+          CryptoQuoteEvent.new(event)
+        when "XT"
+          CryptoTradeEvent.new(event)
+        when "XA"
+          CryptoAggregateEvent.new(event)
+        when "XS"
+          CryptoSipEvent.new(event)
+        when "XL2"
+          CryptoLevel2Event.new(event)
+        else
+          raise UnrecognizedEventError.new(event), "Unrecognized event with type: #{event.ev}"
+        end
+      end
+
+      # dump json
+      def dump(json)
+        Oj.dump(json, mode: :compat)
+      end
+
+      def handle_status_event(event)
+        case WebsocketEvent::Statuses[event.status]
+        when "auth_success"
+          subscribe(@channels)
+        when "auth_timeout"
+          raise AuthTimeoutError, event.message
+        end
+      end
+    end
+
+    class Client
+      BASE_URL = "wss://socket.massive.com/"
+
+      def initialize(path, api_key, opts = {})
+        path = Types::Coercible::String.enum("stocks", "forex", "crypto")[path]
+
+        @api_key = api_key
+        @ws = nil
+        @opts = opts
+        @url = "#{BASE_URL}#{path}"
+      end
+
+      def subscribe(channels, &block)
+        EM.run do
+          Connection.connect(@api_key, @url, channels, @opts, &block)
+        end
+      end
+    end
+  end
+end

data/lib/massiveclient/websocket/errors.rb

@@ -0,0 +1,21 @@
+# frozen_string_literal: true
+
+module MassiveClient
+  module Websocket
+    module Errors
+      class PolygonWebsocketClientError < StandardError; end
+
+      class AuthTimeoutError < PolygonWebsocketClientError; end
+      class NotAuthorizedError < PolygonWebsocketClientError; end
+
+      class UnrecognizedEventError < PolygonWebsocketClientError
+        attr_reader :event
+
+        def initialize(message, event)
+          super(message)
+          @event = event
+        end
+      end
+    end
+  end
+end