refactor get_positions into get_trades, and refactor pack_position with postion calc logic
Konstantine Tsafatinos
parent
fd0acd21fb
commit
1525c645ce
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@ -265,15 +265,14 @@ class Client:
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data['nonce'] = str(int(1000*time.time()))
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return await self._private(method, data, uri_path)
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async def get_positions(
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async def get_trades(
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self,
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data: Dict[str, Any] = {}
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) -> (Dict[str, Any], Dict[str, Any]):
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) -> Dict[str, Any]:
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data['ofs'] = 0
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positions = {}
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vols = {}
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# Grab all trade history
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# https://docs.kraken.com/rest/#operation/getTradeHistory
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# Kraken uses 'ofs' to refer to the offset
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while True:
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resp = await self.endpoint('TradesHistory', data)
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# grab the first 50 trades
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@ -298,31 +297,7 @@ class Client:
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# make sure you grabbed all the trades
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assert count == len(trades.values())
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# positions
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# TODO: Make sure to add option to include fees in positions calc
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for trade in trades.values():
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sign = -1 if trade['type'] == 'sell' else 1
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# This catch is for populating the dict with new values
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# as the plus assigment will fail if there no value
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# tied to the key
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try:
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positions[trade['pair']] += sign * float(trade['cost'])
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vols[trade['pair']] += sign * float(trade['vol'])
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except KeyError:
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positions[trade['pair']] = sign * float(trade['cost'])
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vols[trade['pair']] = sign * float(trade['vol'])
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# This cycles through the summed trades of an asset and then
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# normalizes the price with the current volume of the asset
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# you are holding. If you have no more of the asset, the balance
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# is 0, then it sets the position to 0.
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for pair in positions.keys():
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asset_balance = vols[pair]
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if asset_balance == 0:
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positions[pair] = 0
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else:
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positions[pair] /= asset_balance
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return positions, vols
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return trades
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async def submit_limit(
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self,
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@ -488,21 +463,49 @@ async def get_client() -> Client:
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yield client
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def pack_position(
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def pack_positions(
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acc: str,
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symkey: str,
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pos: float,
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vol: float
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) -> dict[str, Any]:
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trades: dict
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) -> list[Any]:
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positions: dict[str, float] = {}
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vols: dict[str, float] = {}
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costs: dict[str, float] = {}
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position_msgs: list[Any] = []
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return BrokerdPosition(
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for trade in trades.values():
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sign = -1 if trade['type'] == 'sell' else 1
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# This catch is for populating the dict with new values
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# as the plus assigment will fail if there no value
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# tied to the key
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pair = trade['pair']
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vol = float(trade['vol'])
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# This is for the initial addition of a pair so the
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# += operation does not fail.
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vols[pair] = vols.setdefault(pair, 0)
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costs[pair] = costs.setdefault(pair, 0)
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positions[pair] = positions.setdefault(pair, 0)
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vols[pair] += sign * vol
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costs[pair] += sign * float(trade['cost'])
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if vols[pair] != 0:
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positions[pair] = costs[pair] / vols[pair]
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else:
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positions[pair] = 0
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for ticker, pos in positions.items():
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norm_sym = normalize_symbol(ticker)
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vol = float(vols[ticker])
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if vol != 0:
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msg = BrokerdPosition(
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broker='kraken',
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account=acc,
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symbol=symkey,
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currency=symkey[-3:],
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size=float(vol),
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symbol=norm_sym,
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currency=norm_sym[-3:],
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size=vol,
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avg_price=float(pos),
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)
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position_msgs.append(msg.dict())
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return position_msgs
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def normalize_symbol(
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@ -667,8 +670,6 @@ 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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# XXX: setup subs
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@ -699,17 +700,11 @@ async def trades_dialogue(
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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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positions, vols = await client.get_positions()
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trades = await client.get_trades()
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all_positions = []
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position_msgs = pack_positions(acc_name, trades)
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for ticker, pos in positions.items():
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norm_sym = normalize_symbol(ticker)
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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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await ctx.started((all_positions, (acc_name,)))
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await ctx.started((position_msgs, (acc_name,)))
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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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