polygonio-ruby 0.2.8

data/lib/polygonio/websocket/client.rb

@@ -0,0 +1,152 @@
+# frozen_string_literal: true
+
+module Polygonio
+  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)
+        when "T"
+          StockTradeEvent.new(event)
+        when "AM"
+          StockAggregatePerMinuteEvent.new(event)
+        when "A"
+          StockAggregatePerSecondEvent.new(event)
+        when "Q"
+          StockQuoteEvent.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.polygon.io/"
+      BASE_URL_DELAYED = "wss://delayed.polygon.io/"
+
+      def initialize(path, api_key, opts = {})
+        path = Types::Coercible::String.enum("stocks", "forex", "crypto")[path]
+
+        @api_key = api_key
+        @ws = nil
+        @opts = opts
+        if opts.fetch(:delayed) == true
+          @url = "#{BASE_URL_DELAYED}#{path}"
+        else
+          @url = "#{BASE_URL}#{path}"
+        end
+      end
+
+      def subscribe(channels, &block)
+        EM.run do
+          Connection.connect(@api_key, @url, channels, @opts, &block)
+        end
+      end
+    end
+  end
+end

data/lib/polygonio/websocket/errors.rb

@@ -0,0 +1,20 @@
+# frozen_string_literal: true
+
+module Polygonio
+  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

data/lib/polygonio/websocket/events.rb

@@ -0,0 +1,167 @@
+# frozen_string_literal: true
+
+module Polygonio
+  module Websocket
+    class WebsocketEvent < Dry::Struct
+      Statuses = Types::String.enum("connected", "successful", "auth_timeout", "auth_success", "success")
+
+      attribute :ev, Types::String
+      attribute :status, Statuses
+      attribute :message, Types::String
+    end
+
+    class ForexQuoteEvent < Dry::Struct
+      attribute :ev, Types::String.enum("C")
+      attribute :p, Types::String            # Currency pair
+      attribute :x, Types::Integer           # FX Exchange ID
+      attribute :a, Types::JSON::Decimal     # Ask Price
+      attribute :b, Types::JSON::Decimal     # Bid Price
+      attribute :t, Types::Integer           # Quote Timestamp ( Unix MS )
+    end
+
+    class ForexAggregateEvent < Dry::Struct
+      attribute :ev, Types::String.enum("CA")
+      attribute :pair, Types::String
+      attribute :o, Types::JSON::Decimal     # Open Price
+      attribute :c, Types::JSON::Decimal     # Close Price
+      attribute :h, Types::JSON::Decimal     # High Price
+      attribute :l, Types::JSON::Decimal     # Low Price
+      attribute :v, Types::Integer           # Volume ( Quotes during this duration )
+      attribute :s, Types::Integer           # Tick Start Timestamp
+    end
+
+    class StockAggregatePerSecondEvent < Dry::Struct
+      attribute :ev, Types::String.enum("A") # Event Type
+      attribute? :sym, Types::String          # Symbol
+      attribute? :v, Types::Integer           # Volume
+      attribute? :av, Types::Integer          # Accumulated Volume
+      attribute? :op, Types::JSON::Decimal    # Official Opening Price
+      attribute? :vw, Types::JSON::Decimal    # Volume Weighted Average Price
+      attribute? :o, Types::JSON::Decimal     # Opening Price
+      attribute? :h, Types::JSON::Decimal     # High Price
+      attribute? :l, Types::JSON::Decimal     # Low Price
+      attribute? :c, Types::JSON::Decimal     # Close Price
+      attribute? :a, Types::Integer           # Today's Volume weighted average price
+      attribute? :z, Types::Integer           # Average trade size
+      attribute? :s, Types::Integer           # Starting tick timestamp
+      attribute? :e, Types::Integer           # Ending tick timestamp
+      attribute? :otc, Types::Bool         # Whether or not this aggregate is for an OTC ticker.
+    end
+
+ 
+    class StockAggregatePerMinuteEvent < Dry::Struct
+      attribute :ev, Types::String.enum("AM") # Event Type
+      attribute :sym, Types::String          # Symbol
+      attribute? :v, Types::Integer           # Volume
+      attribute? :av, Types::Integer          # Accumulated Volume
+      attribute? :op, Types::JSON::Decimal    # Official Opening Price
+      attribute? :vw, Types::JSON::Decimal    # Volume Weighted Average Price
+      attribute? :o, Types::JSON::Decimal     # Opening Price
+      attribute? :h, Types::JSON::Decimal     # High Price
+      attribute? :l, Types::JSON::Decimal     # Low Price
+      attribute? :c, Types::JSON::Decimal     # Close Price
+      attribute? :a, Types::Integer           # Today's Volume weighted average price
+      attribute? :z, Types::Integer           # Average trade size
+      attribute? :s, Types::Integer           # Starting tick timestamp
+      attribute? :e, Types::Integer           # Ending tick timestamp
+      attribute? :otc, Types::Bool         # Whether or not this aggregate is for an OTC ticker.
+    end 
+
+    class StockTradeEvent < Dry::Struct
+      attribute :ev, Types::String.enum("T")
+      attribute :sym, Types::String
+      attribute? :i, Types::String           # Trade ID
+      attribute :x, Types::Integer          # Exchange ID
+      attribute :p, Types::JSON::Decimal    # Price
+      attribute? :c, Types::Array
+      attribute :s, Types::Integer   # Size
+      attribute :t, Types::Integer          # Exchange Timestamp Unix ( ms )
+      attribute :q, Types::Integer          # Exchange ID
+      attribute :z, Types::Integer          #(1 = NYSE, 2 = AMEX, 3 = Nasdaq)
+      attribute? :trfi, Types::Integer      #(1 = NYSE, 2 = AMEX, 3 = Nasdaq)
+      attribute? :trft, Types::Integer      #(1 = NYSE, 2 = AMEX, 3 = Nasdaq)
+    end    
+    class StockQuoteEvent < Dry::Struct
+      attribute :ev, Types::String.enum("Q")
+      attribute :sym, Types::String
+      attribute? :bx, Types::Integer
+      attribute? :bp, Types::JSON::Decimal         # Exchange ID
+      attribute? :bs, Types::Integer
+      attribute? :ax, Types::Integer
+      attribute? :ap, Types::JSON::Decimal
+      attribute? :as, Types::Integer
+      attribute? :i, Types::Array.of(Types::Integer)
+      attribute :t, Types::Integer          # Exchange Timestamp Unix ( ms )
+      attribute :q, Types::Integer          # Exchange ID
+      attribute :z, Types::Integer          # Exchange ID
+    end    
+
+    class CryptoQuoteEvent < Dry::Struct
+      attribute :ev, Types::String.enum("XQ")
+      attribute :pair, Types::String
+      attribute :lp, Types::JSON::Decimal   # Last Trade Price
+      attribute :ls, Types::JSON::Decimal   # Last Trade Size
+      attribute :bp, Types::JSON::Decimal   # Bid Price
+      attribute :bs, Types::JSON::Decimal   # Bid Size
+      attribute :ap, Types::JSON::Decimal   # Ask Price
+      attribute :as, Types::JSON::Decimal   # Ask Size
+      attribute :t, Types::Integer          # Exchange Timestamp Unix ( ms )
+      attribute :x, Types::Integer          # Exchange ID
+      attribute :r, Types::Integer          # Received @ Polygon Timestamp
+    end
+
+    class CryptoTradeEvent < Dry::Struct
+      attribute :ev, Types::String.enum("XT")
+      attribute :pair, Types::String
+      attribute :p, Types::JSON::Decimal    # Price
+      attribute :t, Types::Integer          # Timestamp Unix ( ms )
+      attribute :s, Types::JSON::Decimal    # Size
+      attribute :c, Types::Array.of(Types::Integer) # Condition
+      attribute :i, Types::String           # Trade ID ( Optional )
+      attribute :x, Types::Integer          # Exchange ID
+      attribute :r, Types::Integer          # Received @ Polygon Timestamp
+    end
+
+    class CryptoAggregateEvent < Dry::Struct
+      attribute :ev, Types::String.enum("XA")
+      attribute :pair, Types::String
+      attribute :o, Types::JSON::Decimal    # Open Price
+      attribute? :ox, Types::Integer        # Open Exchange
+      attribute :h, Types::JSON::Decimal    # High Price
+      attribute? :hx, Types::Integer        # High Exchange
+      attribute :l, Types::JSON::Decimal    # Low Price
+      attribute? :lx, Types::Integer        # Low Exchange
+      attribute :c, Types::JSON::Decimal    # Close Price
+      attribute? :cx, Types::Integer        # Close Exchange
+      attribute :v, Types::JSON::Decimal    # Volume of Trades in Tick
+      attribute :s, Types::Integer          # Tick Start Timestamp
+      attribute :e, Types::Integer          # Tick End Timestamp
+    end
+
+    class CryptoSipEvent < Dry::Struct
+      attribute :ev, Types::String.enum("XS")
+      attribute :pair, Types::String
+      attribute :as, Types::JSON::Decimal   # Ask Size
+      attribute :ap, Types::JSON::Decimal   # Ask Price
+      attribute :ax, Types::Integer         # Ask Exchange
+      attribute :bs, Types::JSON::Decimal   # Bid Size
+      attribute :bp, Types::JSON::Decimal   # Bid Price
+      attribute :bx, Types::Integer         # Bid Exchange
+      attribute :t, Types::Integer          # Tick Start Timestamp
+    end
+
+    class CryptoLevel2Event < Dry::Struct
+      attribute :ev, Types::String.enum("XL2")
+      attribute :pair, Types::String
+      attribute :b, Types::Array.of(Types::Array.of(Types::JSON::Decimal))
+      # Bid Prices ( 100 depth cap )
+      # [ Price, Size ]
+      attribute :a, Types::Array.of(Types::Array.of(Types::JSON::Decimal))
+      # Ask Prices ( 100 depth cap )
+      # [ Price, Size ]
+      attribute :t, Types::Integer          # Timestamp Unix ( ms )
+      attribute :x, Types::Integer          # Exchange ID
+      attribute :r, Types::Integer          # Tick Received @ Polygon Timestamp
+    end
+  end
+end

data/lib/polygonio/websocket.rb

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

data/lib/polygonio.rb

@@ -0,0 +1,16 @@
+# frozen_string_literal: true
+
+require "polygonio/version"
+
+require "eventmachine"
+require "faraday"
+require "faraday_middleware"
+require "faraday_middleware/parse_oj"
+require "dry-struct"
+require "dry-types"
+require "permessage_deflate"
+require "websocket/driver"
+
+require "polygonio/types"
+require "polygonio/rest"
+require "polygonio/websocket"

data/polygonio.gemspec

@@ -0,0 +1,53 @@
+# frozen_string_literal: true
+
+lib = File.expand_path("lib", __dir__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require "polygonio/version"
+
+Gem::Specification.new do |spec|
+  spec.name          = "polygonio-ruby"
+  spec.version       = Polygonio::VERSION
+  spec.authors       = ["Anthony Eufemio"]
+  spec.email         = ["ace@135.io"]
+
+  spec.license       = "MIT"
+
+  spec.summary       = "Client library for polygon.io. Polygon IO is an API for market data. Modernized version"
+  spec.description   = "Client library for polygon.io's REST and Websocket API's. Polygon IO is an API for market data. Modernized version"
+
+  spec.metadata = {
+    "homepage_uri" => "https://github.com/tymat/polygonio-ruby",
+    "source_code_uri" => "https://github.com/tymat/polygonio-ruby",
+    "bug_tracker_uri" => "https://github.com/tymat/polygonio-ruby/issues"
+  }
+
+  # Specify which files should be added to the gem when it is released.
+  # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
+  spec.files = Dir.chdir(File.expand_path(__dir__)) do
+    `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
+  end
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+
+  spec.add_runtime_dependency "activesupport", ["~> 6.0", ">= 6.0.2.2"]
+  spec.add_runtime_dependency "dry-struct", ["~> 1.2", ">= 1.2.0"]
+  spec.add_runtime_dependency "dry-types", ["~> 1.2", ">= 1.2.2"]
+  spec.add_runtime_dependency "eventmachine", ["~> 1.2", ">= 1.2.7"]
+  spec.add_runtime_dependency "faraday", ["~> 0.17", ">= 0.17.3"]
+  spec.add_runtime_dependency "faraday_middleware", ["~> 0.13", ">= 0.13.1"]
+  spec.add_runtime_dependency "faraday_middleware-parse_oj", ["~> 0.3", ">= 0.3.2"]
+  spec.add_runtime_dependency "oj", ["~> 3.10", ">= 3.10.1"]
+  spec.add_runtime_dependency "permessage_deflate", ["~> 0.1", ">= 0.1.4"]
+  spec.add_runtime_dependency "websocket-driver", ["~> 0.7", ">= 0.7.1"]
+
+  spec.add_development_dependency "bundler", "~> 2.0"
+  spec.add_development_dependency "bundler-audit", "~> 0.6"
+  spec.add_development_dependency "dotenv", "~> 2.7"
+  spec.add_development_dependency "faker", "~> 2.11"
+  spec.add_development_dependency "minitest", "~> 5.0"
+  spec.add_development_dependency "rake", "~> 13.0"
+  spec.add_development_dependency "rubocop", "~> 0.80"
+  spec.add_development_dependency "rubocop-performance", "~> 1.5"
+  spec.add_development_dependency "vcr", "~> 5.1"
+end