connect to krakens openOrders websocket
Konstantine Tsafatinos
parent
03d2eddce3
commit
0c905920e2
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@ -475,6 +475,21 @@ def normalize_symbol(
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return ticker.lower()
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def make_auth_sub(data: Dict[str, Any]) -> Dict[str, str]:
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"""Create a request subscription packet dict.
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## TODO: point to the auth urls
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https://docs.kraken.com/websockets/#message-subscribe
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"""
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# eg. specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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'event': 'subscribe',
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'subscription': data,
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}
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async def handle_order_requests(
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client: Client,
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@ -556,30 +571,35 @@ async def handle_order_requests(
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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# Send order cancellation to kraken
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resp = await client.submit_cancel(
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reqid=msg.reqid
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)
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# Check to make sure there was no error returned by
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# the kraken endpoint. Assert one order was cancelled
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assert resp['error'] == []
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assert resp['result']['count'] == 1
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try:
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pending = resp['result']['pending']
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# Check to make sure the cancellation is NOT pending,
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# then send the confirmation to the ems order stream
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except KeyError:
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await ems_order_stream.send(
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BrokerdStatus(
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reqid=msg.reqid,
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account=msg.account,
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time_ns=time.time_ns(),
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status='cancelled',
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reason='Order cancelled',
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broker_details={'name': 'kraken'}
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).dict()
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)
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# Check to make sure there was no error returned by
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# the kraken endpoint. Assert one order was cancelled
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assert resp['error'] == []
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assert resp['result']['count'] == 1
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## TODO: Change this code using .get
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try:
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pending = resp['result']['pending']
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# Check to make sure the cancellation is NOT pending,
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# then send the confirmation to the ems order stream
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except KeyError:
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await ems_order_stream.send(
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BrokerdStatus(
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reqid=msg.reqid,
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account=msg.account,
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time_ns=time.time_ns(),
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status='cancelled',
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reason='Order cancelled',
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broker_details={'name': 'kraken'}
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).dict()
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)
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except AssertionError:
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log.error(f'Order cancel was not successful')
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else:
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log.error(f'Unknown order command: {request_msg}')
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@ -594,6 +614,46 @@ async def trades_dialogue(
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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# Generate
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@asynccontextmanager
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async def subscribe(ws: wsproto.WSConnection, token: str):
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## TODO: Fix docs and points to right urls
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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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# specific logic for this in kraken's shitty sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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trades_sub = make_auth_sub(
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{'name': 'openOrders', 'token': token}
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)
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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# since internally the ws methods appear to be FIFO
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# locked.
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await ws.send_msg(trades_sub)
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## trade data (aka L1)
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#l1_sub = make_sub(
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# list(ws_pairs.values()),
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# {'name': 'spread'} # 'depth': 10}
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#)
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## pull a first quote and deliver
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#await ws.send_msg(l1_sub)
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yield
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# unsub from all pairs on teardown
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await ws.send_msg({
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'event': 'unsubscribe',
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'subscription': ['openOrders'],
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})
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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# Authenticated block
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async with get_client() as client:
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acc_name = 'kraken.' + client._name
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@ -606,7 +666,7 @@ async def trades_dialogue(
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if float(vols[ticker]) != 0:
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msg = pack_position(acc_name, norm_sym, pos, vols[ticker])
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all_positions.append(msg.dict())
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open_orders = await client.kraken_endpoint('OpenOrders', {})
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#await tractor.breakpoint()
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@ -614,13 +674,85 @@ async def trades_dialogue(
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#await trio.sleep_forever()
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# Get websocket token for authenticated data stream
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# Assert that a token was actually received
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resp = await client.kraken_endpoint('GetWebSocketsToken', {})
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assert resp['error'] == []
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token = resp['result']['token']
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async with (
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n,
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):
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## TODO: maybe add multiple accounts
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n.start_soon(handle_order_requests, client, ems_stream)
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async with open_autorecon_ws(
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'wss://ws-auth.kraken.com/',
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fixture=subscribe,
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token=token,
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) as ws:
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while True:
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with trio.move_on_after(5) as cs:
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msg = await ws.recv_msg()
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print(msg)
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## pull a first quote and deliver
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#msg_gen = stream_messages(ws)
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## TODO: use ``anext()`` when it lands in 3.10!
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#typ, ohlc_last = await msg_gen.__anext__()
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#topic, quote = normalize(ohlc_last)
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#first_quote = {topic: quote}
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#task_status.started((init_msgs, first_quote))
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## lol, only "closes" when they're margin squeezing clients ;P
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#feed_is_live.set()
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## keep start of last interval for volume tracking
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#last_interval_start = ohlc_last.etime
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## start streaming
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#async for typ, ohlc in msg_gen:
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# if typ == 'ohlc':
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# # TODO: can get rid of all this by using
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# # ``trades`` subscription...
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# # generate tick values to match time & sales pane:
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# # https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
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# volume = ohlc.volume
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# # new OHLC sample interval
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# if ohlc.etime > last_interval_start:
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# last_interval_start = ohlc.etime
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# tick_volume = volume
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# else:
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# # this is the tick volume *within the interval*
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# tick_volume = volume - ohlc_last.volume
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# ohlc_last = ohlc
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# last = ohlc.close
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# if tick_volume:
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# ohlc.ticks.append({
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# 'type': 'trade',
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# 'price': last,
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# 'size': tick_volume,
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# })
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# topic, quote = normalize(ohlc)
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# elif typ == 'l1':
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# quote = ohlc
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# topic = quote['symbol'].lower()
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# await send_chan.send({topic: quote})
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async def stream_messages(ws):
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@ -832,7 +964,7 @@ async def stream_quotes(
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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# see the tips on reonnection logic:
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# see the tips on reconnection logic:
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# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
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async with open_autorecon_ws(
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'wss://ws.kraken.com/',
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@ -53,11 +53,13 @@ class NoBsWs:
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def __init__(
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self,
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url: str,
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token: str,
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stack: AsyncExitStack,
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fixture: Callable,
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serializer: ModuleType = json,
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):
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self.url = url
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self.token = token
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self.fixture = fixture
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self._stack = stack
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self._ws: 'WebSocketConnection' = None # noqa
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@ -81,9 +83,15 @@ class NoBsWs:
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trio_websocket.open_websocket_url(self.url)
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)
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# rerun user code fixture
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ret = await self._stack.enter_async_context(
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self.fixture(self)
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)
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if self.token == '':
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ret = await self._stack.enter_async_context(
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self.fixture(self)
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)
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else:
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ret = await self._stack.enter_async_context(
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self.fixture(self, self.token)
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)
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assert ret is None
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log.info(f'Connection success: {self.url}')
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@ -127,12 +135,14 @@ async def open_autorecon_ws(
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# TODO: proper type annot smh
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fixture: Callable,
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# used for authenticated websockets
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token: str = '',
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) -> AsyncGenerator[tuple[...], NoBsWs]:
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"""Apparently we can QoS for all sorts of reasons..so catch em.
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"""
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async with AsyncExitStack() as stack:
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ws = NoBsWs(url, stack, fixture=fixture)
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ws = NoBsWs(url, token, stack, fixture=fixture)
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await ws._connect()
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try:
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