connect to krakens openOrders websocket

piker/brokers/kraken.py

@@ -475,6 +475,21 @@ def normalize_symbol(
         return ticker.lower()
 
 
+def make_auth_sub(data: Dict[str, Any]) -> Dict[str, str]:
+    """Create a request subscription packet dict.
+
+    ## TODO: point to the auth urls
+    https://docs.kraken.com/websockets/#message-subscribe
+
+    """
+    # eg. specific logic for this in kraken's sync client:
+    # https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
+    return {
+        'event': 'subscribe',
+        'subscription': data,
+    }
+
+
 async def handle_order_requests(
 
         client: Client,
@@ -556,30 +571,35 @@ async def handle_order_requests(
         elif action == 'cancel':
             msg = BrokerdCancel(**request_msg)
 
+            # Send order cancellation to kraken
             resp = await client.submit_cancel(
                 reqid=msg.reqid
             )
 
-            # 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
-
             try:
-                pending = resp['result']['pending']
+                # Check to make sure there was no error returned by
-            # Check to make sure the cancellation is NOT pending,
+                # the kraken endpoint. Assert one order was cancelled
-            # then send the confirmation to the ems order stream
+                assert resp['error'] == []
-            except KeyError:
+                assert resp['result']['count'] == 1
-                await ems_order_stream.send(
+
-                    BrokerdStatus(
+                ## TODO: Change this code using .get
-                        reqid=msg.reqid,
+                try:
-                        account=msg.account,
+                    pending = resp['result']['pending']
-                        time_ns=time.time_ns(),
+                # Check to make sure the cancellation is NOT pending,
-                        status='cancelled',
+                # then send the confirmation to the ems order stream
-                        reason='Order cancelled',
+                except KeyError:
-                        broker_details={'name': 'kraken'}
+                    await ems_order_stream.send(
-                    ).dict()
+                        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')
 
         else:
             log.error(f'Unknown order command: {request_msg}')
@@ -594,6 +614,46 @@ async def trades_dialogue(
     # XXX: required to propagate ``tractor`` loglevel to piker logging
     get_console_log(loglevel or tractor.current_actor().loglevel)
 
+    # Generate
+
+    @asynccontextmanager
+    async def subscribe(ws: wsproto.WSConnection, token: str):
+        ## TODO: Fix docs and points to right urls
+        # XXX: setup subs
+        # https://docs.kraken.com/websockets/#message-subscribe
+        # specific logic for this in kraken's shitty sync client:
+        # https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
+        trades_sub = make_auth_sub(
+            {'name': 'openOrders', 'token': token}
+        )
+
+        # TODO: we want to eventually allow unsubs which should
+        # be completely fine to request from a separate task
+        # since internally the ws methods appear to be FIFO
+        # locked.
+        await ws.send_msg(trades_sub)
+
+        ## trade data (aka L1)
+        #l1_sub = make_sub(
+        #    list(ws_pairs.values()),
+        #    {'name': 'spread'}  # 'depth': 10}
+        #)
+
+        ## pull a first quote and deliver
+        #await ws.send_msg(l1_sub)
+
+        yield
+
+        # unsub from all pairs on teardown
+        await ws.send_msg({
+            'event': 'unsubscribe',
+            'subscription': ['openOrders'],
+        })
+
+        # XXX: do we need to ack the unsub?
+        # await ws.recv_msg()
+
+
     # Authenticated block
     async with get_client() as client:
         acc_name = 'kraken.' + client._name
@@ -606,7 +666,7 @@ async def trades_dialogue(
             if float(vols[ticker]) != 0:
                 msg = pack_position(acc_name, norm_sym, pos, vols[ticker])
                 all_positions.append(msg.dict())
-        
+
         open_orders = await client.kraken_endpoint('OpenOrders', {})
         #await tractor.breakpoint()
 
@@ -614,13 +674,85 @@ async def trades_dialogue(
 
         #await trio.sleep_forever()
 
+        # Get websocket token for authenticated data stream
+        # Assert that a token was actually received 
+        resp = await client.kraken_endpoint('GetWebSocketsToken', {})
+        assert resp['error'] == []
+        token = resp['result']['token']
+
         async with (
             ctx.open_stream() as ems_stream,
             trio.open_nursery() as n,
         ):
             ## TODO: maybe add multiple accounts
             n.start_soon(handle_order_requests, client, ems_stream)
-            
+            async with open_autorecon_ws(
+                'wss://ws-auth.kraken.com/',
+                fixture=subscribe,
+                token=token,
+            ) as ws:
+
+                while True:
+                    with trio.move_on_after(5) as cs:
+                        msg = await ws.recv_msg()
+                        print(msg)
+
+                ## pull a first quote and deliver
+                #msg_gen = stream_messages(ws)
+
+                ## TODO: use ``anext()`` when it lands in 3.10!
+                #typ, ohlc_last = await msg_gen.__anext__()
+
+                #topic, quote = normalize(ohlc_last)
+
+                #first_quote = {topic: quote}
+                #task_status.started((init_msgs,  first_quote))
+
+                ## lol, only "closes" when they're margin squeezing clients ;P
+                #feed_is_live.set()
+
+                ## keep start of last interval for volume tracking
+                #last_interval_start = ohlc_last.etime
+
+                ## start streaming
+                #async for typ, ohlc in msg_gen:
+
+                #    if typ == 'ohlc':
+
+                #        # TODO: can get rid of all this by using
+                #        # ``trades`` subscription...
+
+                #        # generate tick values to match time & sales pane:
+                #        # https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
+                #        volume = ohlc.volume
+
+                #        # new OHLC sample interval
+                #        if ohlc.etime > last_interval_start:
+                #            last_interval_start = ohlc.etime
+                #            tick_volume = volume
+
+                #        else:
+                #            # this is the tick volume *within the interval*
+                #            tick_volume = volume - ohlc_last.volume
+
+                #        ohlc_last = ohlc
+                #        last = ohlc.close
+
+                #        if tick_volume:
+                #            ohlc.ticks.append({
+                #                'type': 'trade',
+                #                'price': last,
+                #                'size': tick_volume,
+                #            })
+
+                #        topic, quote = normalize(ohlc)
+
+                #    elif typ == 'l1':
+                #        quote = ohlc
+                #        topic = quote['symbol'].lower()
+
+                #    await send_chan.send({topic: quote})
+
 
 async def stream_messages(ws):
 
@@ -832,7 +964,7 @@ async def stream_quotes(
             # XXX: do we need to ack the unsub?
             # await ws.recv_msg()
 
-        # see the tips on reonnection logic:
+        # see the tips on reconnection logic:
         # https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
         async with open_autorecon_ws(
             'wss://ws.kraken.com/',

piker/data/_web_bs.py

@@ -53,11 +53,13 @@ class NoBsWs:
     def __init__(
         self,
         url: str,
+        token: str,
         stack: AsyncExitStack,
         fixture: Callable,
         serializer: ModuleType = json,
     ):
         self.url = url
+        self.token = token
         self.fixture = fixture
         self._stack = stack
         self._ws: 'WebSocketConnection' = None  # noqa
@@ -81,9 +83,15 @@ class NoBsWs:
                     trio_websocket.open_websocket_url(self.url)
                 )
                 # rerun user code fixture
-                ret = await self._stack.enter_async_context(
+                if self.token == '':
-                    self.fixture(self)
+                    ret = await self._stack.enter_async_context(
-                )
+                        self.fixture(self)
+                    )
+                else:
+                    ret = await self._stack.enter_async_context(
+                        self.fixture(self, self.token)
+                    )
+
                 assert ret is None
 
                 log.info(f'Connection success: {self.url}')
@@ -127,12 +135,14 @@ async def open_autorecon_ws(
 
     # TODO: proper type annot smh
     fixture: Callable,
+    # used for authenticated websockets
+    token: str = '',
 ) -> AsyncGenerator[tuple[...],  NoBsWs]:
     """Apparently we can QoS for all sorts of reasons..so catch em.
 
     """
     async with AsyncExitStack() as stack:
-        ws = NoBsWs(url, stack, fixture=fixture)
+        ws = NoBsWs(url, token, stack, fixture=fixture)
         await ws._connect()
 
         try: