Added cryptofeed and pyarrow necessary for the feed, enable deribit
in the brokers init file, at this point the feed is working, to check the tables use vd tool.
parent
0be454c3d6
commit
00406028ea
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@ -51,6 +51,7 @@ __brokers__: list[str] = [
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'ib',
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'kraken',
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'kucoin',
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'deribit',
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# broken but used to work
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# 'questrade',
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@ -61,7 +62,6 @@ __brokers__: list[str] = [
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# wstrade
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# iex
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# deribit
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# bitso
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]
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@ -31,7 +31,7 @@ from typing import (
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Callable,
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)
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import pendulum
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from pendulum import now
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import trio
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from trio_typing import TaskStatus
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from rapidfuzz import process as fuzzy
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@ -51,7 +51,9 @@ from cryptofeed.defines import (
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OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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# types for managing the cb callbacks.
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# from cryptofeed.types import L1Book
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from piker.accounting import MktPair
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from piker.data import (
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def_iohlcv_fields,
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match_from_pairs,
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@ -80,19 +82,19 @@ _testnet_ws_url = 'wss://test.deribit.com/ws/api/v2'
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class JSONRPCResult(Struct):
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jsonrpc: str = '2.0'
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id: int
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result: Optional[list[dict]] = None
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error: Optional[dict] = None
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usIn: int
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usOut: int
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usDiff: int
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testnet: bool
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jsonrpc: str = '2.0'
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result: Optional[list[dict]] = None
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error: Optional[dict] = None
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class JSONRPCChannel(Struct):
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jsonrpc: str = '2.0'
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method: str
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params: dict
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jsonrpc: str = '2.0'
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class KLinesResult(Struct):
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@ -116,9 +118,10 @@ class Trade(Struct):
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instrument_name: str
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index_price: float
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direction: str
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amount: float
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contracts: float
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combo_trade_id: Optional[int] = 0,
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combo_id: Optional[str] = '',
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amount: float
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class LastTradesResult(Struct):
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trades: list[Trade]
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@ -142,13 +145,17 @@ def str_to_cb_sym(name: str) -> Symbol:
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else:
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raise Exception("Couldn\'t parse option type")
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year, month, day = get_values_from_cb_normalized_date(expiry_date)
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exp = f'{day}{month}{year}'
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return Symbol(
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base, quote,
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base=base,
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quote=quote,
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type=OPTION,
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strike_price=strike_price,
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option_type=option_type,
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expiry_date=expiry_date,
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expiry_normalize=False)
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expiry_date=exp)
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def piker_sym_to_cb_sym(name: str) -> Symbol:
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@ -159,52 +166,70 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
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if option_type == 'P':
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option_type = PUT
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elif option_type == 'C':
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elif option_type == 'C':
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option_type = CALL
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else:
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raise Exception("Couldn\'t parse option type")
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return Symbol(
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base, quote,
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base=base,
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quote=quote,
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type=OPTION,
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strike_price=strike_price,
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option_type=option_type,
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expiry_date=expiry_date.upper())
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expiry_date=expiry_date)
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def cb_sym_to_deribit_inst(sym: Symbol):
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# cryptofeed normalized
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cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
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# deribit specific
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months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
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exp = sym.expiry_date
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# YYMDD
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# 01234
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year, month, day = (
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exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
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year, month, day = get_values_from_cb_normalized_date(sym.expiry_date)
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exp = f'{day}{month}{year}'
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otype = 'C' if sym.option_type == CALL else 'P'
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return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}'
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return f'{sym.base}-{exp}-{sym.strike_price}-{otype}'
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def get_values_from_cb_normalized_date(expiry_date: str):
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# deribit specific
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cb_norm = [
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'F', 'G', 'H', 'J',
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'K', 'M', 'N', 'Q',
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'U', 'V', 'X', 'Z'
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]
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months = [
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'JAN', 'FEB', 'MAR', 'APR',
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'MAY', 'JUN', 'JUL', 'AUG',
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'SEP', 'OCT', 'NOV', 'DEC'
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]
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# YYMDD
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# 01234
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return (
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expiry_date[:2],
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months[cb_norm.index(expiry_date[2:3])],
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expiry_date[3:]
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)
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def get_config() -> dict[str, Any]:
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conf, path = config.load()
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conf: dict
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path: Path
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section = conf.get('deribit')
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conf, path = config.load(
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conf_name='brokers',
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touch_if_dne=True,
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)
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section: dict = {}
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section['deribit'] = conf.get('deribit')
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# TODO: document why we send this, basically because logging params for cryptofeed
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conf['log'] = {}
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conf['log']['disabled'] = True
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section['log'] = {}
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section['log']['disabled'] = True
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if section is None:
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log.warning(f'No config section found for deribit in {path}')
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return {}
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return conf
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return section
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class Client:
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@ -214,13 +239,8 @@ class Client:
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config = get_config().get('deribit', {})
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if ('key_id' in config) and ('key_secret' in config):
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self._key_id = config['key_id']
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self._key_secret = config['key_secret']
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else:
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self._key_id = None
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self._key_secret = None
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self._key_id = config.get('key_id')
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self._key_secret = config.get('key_secret')
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self.json_rpc = json_rpc
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@ -358,16 +378,19 @@ class Client:
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async def bars(
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self,
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symbol: str,
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mkt: MktPair,
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start_dt: Optional[datetime] = None,
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end_dt: Optional[datetime] = None,
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limit: int = 1000,
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as_np: bool = True,
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) -> dict:
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instrument = symbol
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) -> list[tuple] | np.ndarray:
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instrument: str = mkt.bs_fqme
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if end_dt is None:
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end_dt = pendulum.now('UTC')
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end_dt = now('UTC')
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if start_dt is None:
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start_dt = end_dt.start_of(
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@ -387,29 +410,27 @@ class Client:
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})
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result = KLinesResult(**resp.result)
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new_bars = []
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new_bars: list[tuple] = []
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for i in range(len(result.close)):
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_open = result.open[i]
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high = result.high[i]
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low = result.low[i]
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close = result.close[i]
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volume = result.volume[i]
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row = [
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(start_time + (i * (60 * 1000))) / 1000.0, # time
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result.open[i],
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result.high[i],
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result.low[i],
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result.close[i],
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result.volume[i],
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0
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result.volume[i]
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]
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new_bars.append((i,) + tuple(row))
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array = np.array(new_bars, dtype=def_iohlcv_fields) if as_np else klines
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return array
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if not as_np:
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return result
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return np.array(
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new_bars,
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dtype=def_iohlcv_fields
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)
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async def last_trades(
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self,
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@ -434,7 +455,7 @@ async def get_client(
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async with (
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trio.open_nursery() as n,
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open_jsonrpc_session(
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_testnet_ws_url, dtype=JSONRPCResult) as json_rpc
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_ws_url, response_type=JSONRPCResult) as json_rpc
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):
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client = Client(json_rpc)
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@ -450,7 +471,7 @@ async def get_client(
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https://docs.deribit.com/?python#authentication-2
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"""
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renew_time = 10
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access_scope = 'trade:read_write'
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access_scope = 'trade:read'
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_expiry_time = time.time()
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got_access = False
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nonlocal _refresh_token
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@ -523,14 +544,14 @@ async def maybe_open_feed_handler() -> trio.abc.ReceiveStream:
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async def aio_price_feed_relay(
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fh: FeedHandler,
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instrument: Symbol,
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instrument: str,
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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) -> None:
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async def _trade(data: dict, receipt_timestamp):
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piker_symbol = cb_sym_to_deribit_inst(str_to_cb_sym(data.symbol)).lower()
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to_trio.send_nowait(('trade', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'symbol': piker_symbol,
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'last': data,
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'broker_ts': time.time(),
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'data': data.to_dict(),
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@ -538,9 +559,9 @@ async def aio_price_feed_relay(
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}))
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async def _l1(data: dict, receipt_timestamp):
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piker_symbol = cb_sym_to_deribit_inst(str_to_cb_sym(data.symbol)).lower()
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to_trio.send_nowait(('l1', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'symbol': piker_symbol,
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'ticks': [
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{'type': 'bid',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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@ -25,12 +25,19 @@ import time
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import trio
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from trio_typing import TaskStatus
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import pendulum
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from pendulum import (
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from_timestamp,
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now,
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)
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from rapidfuzz import process as fuzzy
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import numpy as np
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import tractor
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from piker.brokers import open_cached_client
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from piker.accounting import MktPair
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from piker.brokers import (
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open_cached_client,
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NoData,
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)
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from piker.log import get_logger, get_console_log
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from piker.data import ShmArray
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from piker.brokers._util import (
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@ -47,7 +54,7 @@ from cryptofeed.symbols import Symbol
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from .api import (
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Client, Trade,
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get_config,
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str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
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piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
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maybe_open_price_feed
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)
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@ -64,30 +71,46 @@ async def open_history_client(
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mkt: MktPair,
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) -> tuple[Callable, int]:
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fnstrument: str = mkt.bs_fqme
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# TODO implement history getter for the new storage layer.
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async with open_cached_client('deribit') as client:
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async def get_ohlc(
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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timeframe: float,
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end_dt: datetime | None = None,
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start_dt: datetime | None = None,
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) -> tuple[
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np.ndarray,
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datetime, # start
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datetime, # end
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]:
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if timeframe != 60:
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raise DataUnavailable('Only 1m bars are supported')
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array = await client.bars(
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instrument,
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array: np.ndarray = await client.bars(
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mkt,
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start_dt=start_dt,
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end_dt=end_dt,
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)
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if len(array) == 0:
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raise DataUnavailable
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raise NoData(
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f'No frame for {start_dt} -> {end_dt}\n'
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)
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start_dt = pendulum.from_timestamp(array[0]['time'])
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end_dt = pendulum.from_timestamp(array[-1]['time'])
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start_dt = from_timestamp(array[0]['time'])
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end_dt = from_timestamp(array[-1]['time'])
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times = array['time']
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if not times.any():
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raise ValueError(
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'Bad frame with null-times?\n\n'
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f'{times}'
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)
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if end_dt is None:
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inow: int = round(time.time())
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if (inow - times[-1]) > 60:
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await tractor.pause()
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return array, start_dt, end_dt
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@ -110,6 +133,8 @@ async def stream_quotes(
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sym = symbols[0]
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#init_msgs: list[FeedInit] = []
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async with (
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open_cached_client('deribit') as client,
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send_chan as send_chan
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File diff suppressed because it is too large
Load Diff
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@ -69,6 +69,8 @@ pdbp = "^1.5.0"
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trio = "^0.24"
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pendulum = "^3.0.0"
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httpx = "^0.27.0"
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cryptofeed = "^2.4.0"
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pyarrow = "^17.0.0"
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[tool.poetry.dependencies.tractor]
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develop = true
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Loading…
Reference in New Issue