Styjun

I am trying to resample live ticks from KiteTicker websocket into OHLC candles using pandas and this is the code I have written, which works fine with single instrument (The commented trd_portfolio on line 9) but doesn't work with multiple instruments (Line 8) as it mixes up data of different instruments.

Is there any way to relate the final candles df to instrument tokens? or make this work with multiple intruments?

I would like to run my algo on multiple instruments at once, please suggest if there is a better way around it.

from kiteconnect import KiteTicker;
from kiteconnect import KiteConnect;
import logging
import time,os,datetime,math;
import winsound
import pandas as pd

trd_portfolio = 954883:"USDINR19MARFUT",4632577:"JUBLFOOD" 
# trd_portfolio = 954883:"USDINR19MARFUT"

trd_tkn1 = [];

for x in trd_portfolio:
 trd_tkn1.append(x)


c_id = '****************'
ak = '************'
asecret = '*************************'

kite = KiteConnect(api_key=ak)
print('[*] Generate access Token : ',kite.login_url())
request_tkn = input('[*] Enter Your Request Token Here : ')[-32:];
data = kite.generate_session(request_tkn, api_secret=asecret)
kite.set_access_token(data['access_token'])
kws = KiteTicker(ak, data['access_token'])

#columns in data frame
df_cols = ["Timestamp", "Token", "LTP"]

data_frame = pd.DataFrame(data=[],columns=df_cols, index=[])

def on_ticks(ws, ticks):

 global data_frame, df_cols

 data = dict() 

 for company_data in ticks:
 token = company_data["instrument_token"]
 ltp = company_data["last_price"]
 timestamp = company_data['timestamp']

 data[timestamp] = [timestamp, token, ltp]

 tick_df = pd.DataFrame(data.values(), columns=df_cols, index=data.keys()) #
 data_frame = data_frame.append(tick_df)

 ggframe=data_frame.set_index(['Timestamp'],['Token'])
 print ggframe
 gticks=ggframe.ix[:,['LTP']]
 candles=gticks['LTP'].resample('1min').ohlc().dropna()
 print candles

def on_connect(kws , response):
 print('Connected')
 kws.subscribe(trd_tkn1)
 kws.set_mode(kws.MODE_FULL, trd_tkn1)

def on_close(ws, code, reason):
 print('Connection Error')


kws.on_ticks = on_ticks
kws.on_connect = on_connect
kws.on_close = on_close

kws.connect()