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Merge pull request #298 from pikers/kraken_cleaning 

Kraken cleaning, disable order support due to #299!
kraken_editorder
goodboy 2022-04-10 17:28:20 -04:00 committed by GitHub
parent d26fea70c7 58517295d2
commit 039d06cc48
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 99 additions and 69 deletions
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154
piker/brokers/kraken.py
View File

@ -33,7 +33,7 @@ import tractor
from pydantic.dataclasses import dataclass
from pydantic import BaseModel
import wsproto
from itertools import count
import itertools
import urllib.parse
import hashlib
import hmac
@ -124,11 +124,11 @@ class Trade(BaseModel):
Trade class that helps parse and validate ownTrades stream
'''
reqid: str # kraken order transaction id
action: str # buy or sell
price: str # price of asset
size: str # vol of asset
broker_time: str # e.g GTC, GTD
reqid: str # kraken order transaction id
action: str # buy or sell
price: str # price of asset
size: str # vol of asset
broker_time: str # e.g GTC, GTD
@dataclass
@ -159,9 +159,15 @@ class OHLC:
def get_config() -> dict[str, Any]:
conf, path = config.load()
section = conf.get('kraken')
if section:
log.warning(
'Kraken order mode is currently disabled due to bug!\n'
'See https://github.com/pikers/piker/issues/299'
)
return {}
if section is None:
log.warning(f'No config section found for kraken in {path}')
return {}
@ -446,7 +452,6 @@ class Client:
raise SymbolNotFound(json['error'][0] + f': {symbol}')
@asynccontextmanager
async def get_client() -> Client:
@ -541,7 +546,8 @@ async def handle_order_requests(
request_msg: dict
order: BrokerdOrder
userref_counter = count()
userref_counter = itertools.count()
async for request_msg in ems_order_stream:
log.info(f'Received order request {request_msg}')
@ -558,7 +564,13 @@ async def handle_order_requests(
await ems_order_stream.send(BrokerdError(
oid=request_msg['oid'],
symbol=request_msg['symbol'],
reason=f'Kraken only, No account found: `{account}` ?',
# reason=f'Kraken only, No account found: `{account}` ?',
reason=(
'Kraken only, order mode disabled due to '
'https://github.com/pikers/piker/issues/299'
),
).dict())
continue
@ -578,7 +590,9 @@ async def handle_order_requests(
err = resp['error']
if err:
log.error(f'Failed to submit order')
oid = order.oid
log.error(f'Failed to submit order: {oid}')
await ems_order_stream.send(
BrokerdError(
oid=order.oid,
@ -616,30 +630,16 @@ async def handle_order_requests(
reqid=msg.reqid
)
# Check to make sure there was no error returned by
# the kraken endpoint. Assert one order was cancelled.
try:
# Check to make sure there was no error returned by
# the kraken endpoint. Assert one order was cancelled
assert resp['error'] == []
assert resp['result']['count'] == 1
result = resp['result']
count = result['count']
# check for 'error' key if we received no 'result'
except KeyError:
error = resp.get('error')
# TODO: Change this code using .get
try:
pending = resp['result']['pending']
# Check to make sure the cancellation is NOT pending,
# then send the confirmation to the ems order stream
except KeyError:
await ems_order_stream.send(
BrokerdStatus(
reqid=msg.reqid,
account=msg.account,
time_ns=time.time_ns(),
status='cancelled',
reason='Order cancelled',
broker_details={'name': 'kraken'}
).dict()
)
except AssertionError:
log.error(f'Order cancel was not successful')
await ems_order_stream.send(
BrokerdError(
oid=order.oid,
@ -650,8 +650,46 @@ async def handle_order_requests(
).dict()
)
else:
log.error(f'Unknown order command: {request_msg}')
if not error:
raise BrokerError(f'Unknown order cancel response: {resp}')
else:
if not count: # no orders were cancelled?
# XXX: what exactly is this from and why would we care?
# there doesn't seem to be any docs here?
# https://docs.kraken.com/rest/#operation/cancelOrder
# Check to make sure the cancellation is NOT pending,
# then send the confirmation to the ems order stream
pending = result.get('pending')
if pending:
log.error(f'Order {oid} cancel was not yet successful')
await ems_order_stream.send(
BrokerdError(
oid=order.oid,
reqid=temp_id,
symbol=order.symbol,
reason="Order cancel is still pending?",
broker_details=resp
).dict()
)
else: # order cancel success case.
await ems_order_stream.send(
BrokerdStatus(
reqid=msg.reqid,
account=msg.account,
time_ns=time.time_ns(),
status='cancelled',
reason='Order cancelled',
broker_details={'name': 'kraken'}
).dict()
)
else:
log.error(f'Unknown order command: {request_msg}')
@tractor.context
@ -694,7 +732,7 @@ async def trades_dialogue(
async with get_client() as client:
if not client._api_key:
log.error('Missing Kraken API key: Trades WS connection failed')
await ctx.started(({}, {'paper',}))
await ctx.started(({}, ['paper']))
async with (
ctx.open_stream() as ems_stream,
@ -713,7 +751,7 @@ async def trades_dialogue(
_positions={},
)
## TODO: maybe add multiple accounts
# TODO: maybe add multiple accounts
n.start_soon(handle_order_requests, client, ems_stream)
acc_name = 'kraken.' + client._name
@ -724,7 +762,7 @@ async def trades_dialogue(
await ctx.started((position_msgs, (acc_name,)))
# Get websocket token for authenticated data stream
# Assert that a token was actually received
# Assert that a token was actually received.
resp = await client.endpoint('GetWebSocketsToken', {})
assert resp['error'] == []
token = resp['result']['token']
@ -733,7 +771,7 @@ async def trades_dialogue(
ctx.open_stream() as ems_stream,
trio.open_nursery() as n,
):
## TODO: maybe add multiple accounts
# TODO: maybe add multiple accounts
n.start_soon(handle_order_requests, client, ems_stream)
# Process trades msg stream of ws
@ -746,24 +784,8 @@ async def trades_dialogue(
for trade in msg:
# check the type of packaged message
assert type(trade) == Trade
# prepare and send a status update for line update
trade_msg = BrokerdStatus(
reqid=trade.reqid,
time_ns=time.time_ns(),
account='kraken.spot',
status='executed',
filled=float(trade.size),
reason='Order filled by kraken',
# remaining='' # TODO: not sure what to do here.
broker_details={
'name': 'kraken',
'broker_time': trade.broker_time
}
)
await ems_stream.send(trade_msg.dict())
# prepare and send a filled status update
filled_msg = BrokerdStatus(
reqid=trade.reqid,
time_ns=time.time_ns(),
@ -772,11 +794,19 @@ async def trades_dialogue(
status='filled',
filled=float(trade.size),
reason='Order filled by kraken',
# remaining='' # TODO: not sure what to do here.
broker_details={
'name': 'kraken',
'broker_time': trade.broker_time
}
},
# TODO: figure out if kraken gives a count
# of how many units of underlying were
# filled. Alternatively we can decrement
# this value ourselves by associating and
# calcing from the diff with the original
# client-side request, see:
# https://github.com/pikers/piker/issues/296
remaining=0,
)
await ems_stream.send(filled_msg.dict())
@ -899,10 +929,10 @@ async def process_trade_msgs(
async for msg in stream_messages(ws):
try:
# check that we are on the ownTrades stream and that msgs are
# arriving in sequence with kraken
# For clarification the kraken ws api docs for this stream:
# https://docs.kraken.com/websockets/#message-ownTrades
# check that we are on the ownTrades stream and that msgs
# are arriving in sequence with kraken For clarification the
# kraken ws api docs for this stream:
# https://docs.kraken.com/websockets/#message-ownTrades
assert msg[1] == 'ownTrades'
assert msg[2]['sequence'] > sequence_counter
sequence_counter += 1

2
piker/clearing/_messages.py
View File

@ -184,7 +184,7 @@ class BrokerdStatus(BaseModel):
# {
# 'submitted',
# 'cancelled',
# 'executed',
# 'filled',
# }
status: str