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$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 * |
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