polygon-io-websocket-options-large-value-shared.ps1

$api_key = '{0}' -f  (Get-Content C:\Users\dharm\Dropbox\api-keys\polygon-io)

$ws = [System.Net.WebSockets.ClientWebSocket]::new()

$buffer = [byte[]]::new(1024 * 4)

function send ($msg)
{
    $msg_bytes = [System.Text.Encoding]::UTF8.GetBytes($msg)

    $array_segment = New-Object System.ArraySegment[byte] -ArgumentList @(,$msg_bytes)
    
    $ws.SendAsync($array_segment, [System.Net.WebSockets.WebSocketMessageType]::Text, $true, [System.Threading.CancellationToken]::None).GetAwaiter().GetResult()
}

function receive ()
{
    $buffer_ = New-Object System.ArraySegment[byte] -ArgumentList @(,$buffer)
    
    $memory_stream = [System.IO.MemoryStream]::new()

    do {
        $task = $ws.ReceiveAsync($buffer_, [System.Threading.CancellationToken]::None)

        while (!$task.IsCompleted) { Start-Sleep -Milliseconds 100; Write-Host '_' -ForegroundColor Yellow -NoNewline }

        $result = $task.GetAwaiter().GetResult()

        $result_write = $memory_stream.Write($buffer_.Array, $buffer_.Offset, $result.Count)
    } 
    while (!$result.EndOfMessage)

    $result_seek = $memory_stream.Seek(0, [System.IO.SeekOrigin]::Begin)
    
    $stream_reader = [System.IO.StreamReader]::new($memory_stream, [System.Text.Encoding]::UTF8)

    $json = $stream_reader.ReadToEnd()
    
    $json | ConvertFrom-Json            
}

# ----------------------------------------------------------------------
Write-Host 'ConnectAsync' -ForegroundColor Yellow

# $task = $ws.ConnectAsync([Uri]::new('wss://delayed.polygon.io/stocks'), [System.Threading.CancellationToken]::None)

$task = $ws.ConnectAsync([Uri]::new('wss://delayed.polygon.io/options'), [System.Threading.CancellationToken]::None)

while (!$task.IsCompleted) { Start-Sleep -Milliseconds 100 }

receive
# ----------------------------------------------------------------------
send (@{ action = 'auth'; params = $api_key } | ConvertTo-Json)

receive
# ----------------------------------------------------------------------
send '{"action":"subscribe", "params":"AM.*"}'

receive
# ----------------------------------------------------------------------
# options loop
# ----------------------------------------------------------------------
$data = @()

while ($true)
{
    $result = receive
           
    $data += $result
        
    $result = $result | Select-Object *, @{ Label = 'value'; Expression = { $_.c * $_.v }; }

    $result | ? value -ge 5000 | ft *
}

exit
# ----------------------------------------------------------------------
$data | Select-Object *, @{ Label = 'value'; Expression = { $_.c * $_.v }; } | Sort-Object value | Select-Object -Last 20 | ft *