created script save shares data

it loads our shares stats, gets the most liquid ones and starts gathering them aggresively

tools/save_shares_data.py

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+import market_trade.constants
+import tinkoff_grpc
+import json
+import time
+import grpc
+
+
+if __name__ == '__main__':
+    # loading shares liquidity stats gathered
+    with open(market_trade.constants.SHARES_STATS_PATH, encoding="utf-8", mode="r") as shares_stats_file:
+        sorted_shares_liquidity_stats = json.load(shares_stats_file)
+
+    # getting sorted list by liquidity and extracting first n, where n is subscription limit
+    sorted_shares_figis = list(sorted_shares_liquidity_stats.keys())
+    most_liquid_figis_limited = sorted_shares_figis[:market_trade.constants.MARKETDATA_CONNECTION_LIMIT_SUBSCRIPTIONS]
+
+    # instantiating a channel
+    api_address = market_trade.constants.TINKOFF_API_ADDRESS
+    token = market_trade.constants.TINKOFF_BEARER_TOKEN
+    authorization_field = market_trade.constants.TINKOFF_AUTHORIZATION_HEADER
+    with tinkoff_grpc.Channel(api_address=api_address,
+                              token=token,
+                              authorization_field=authorization_field) as tinkoff_channel:
+        # getting all share objects list
+        instrument_service = tinkoff_grpc.InstrumentsService(tinkoff_channel)
+        shares = instrument_service.get_shares(market_trade.constants.DEFAULT_INSTRUMENT_STATUS)
+
+        # getting final object of shares
+        shares_to_gather = [share for share in shares if share.figi in most_liquid_figis_limited]
+
+        # gathering shares data
+        while True:
+            time.sleep(1)
+            try:
+                tinkoff_trades_saver = tinkoff_grpc.savers.TradesSaver(channel=tinkoff_channel,
+                                                                       instruments=shares_to_gather,
+                                                                       filepath=market_trade.constants.SHARES_TRADES_PATH)
+                tinkoff_trades_saver.start()
+            except grpc.RpcError as grpc_error:
+                pass
+