Emit fills from `openOrders` block
The (partial) fills from this sub are most indicative of clears (also says support) whereas the msgs in the `ownTrades` sub are only emitted after the entire order request has completed - there is no size-vlm remaining. Further enhancements: - this also includes proper subscription-syncing inside `subscribe()` with a small pre-msg-loop which waits on ack-msgs for each sub and raises any errors. This approach should probably be implemented for the data feed streams as well. - configure the `ownTrades` sub to not bother sending historical data on startup. - make the `openOrders` sub include rate limit counters. - handle the rare case where the ems is trying to cancel an order which was just edited and hasn't yet had it's new `txid` registered.kraken_ws_orders
Tyler Goodlet
parent
1a291939c3
commit
30bcfdcc83
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@ -114,16 +114,32 @@ async def handle_order_requests(
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}:
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cancel = BrokerdCancel(**msg)
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reqid = ids[cancel.oid]
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txid = reqids2txids[reqid]
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# call ws api to cancel:
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# https://docs.kraken.com/websockets/#message-cancelOrder
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid,
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'txid': [txid], # should be txid from submission
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})
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try:
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txid = reqids2txids[reqid]
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except KeyError:
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# XXX: not sure if this block ever gets hit now?
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log.error('TOO FAST CANCEL/EDIT')
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reqids2txids[reqid] = TooFastEdit(reqid)
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await ems_order_stream.send(
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BrokerdError(
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oid=msg['oid'],
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symbol=msg['symbol'],
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reason=(
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f'TooFastEdit reqid:{reqid}, could not cancelling..'
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),
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)
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)
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else:
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# call ws api to cancel:
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# https://docs.kraken.com/websockets/#message-cancelOrder
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid,
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'txid': [txid], # should be txid from submission
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})
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case {
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'account': 'kraken.spot' as account,
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@ -235,9 +251,17 @@ async def handle_order_requests(
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async def subscribe(
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ws: wsproto.WSConnection,
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token: str,
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subs: list[str] = [
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'ownTrades',
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'openOrders',
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subs: list[tuple[str, dict]] = [
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('ownTrades', {
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# don't send first 50 trades on startup,
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# we already pull this manually from the rest endpoint.
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'snapshot': False,
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},),
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('openOrders', {
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# include rate limit counters
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'ratecounter': True,
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},),
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],
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):
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'''
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@ -250,12 +274,15 @@ async def subscribe(
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# more 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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assert token
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for sub in subs:
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subnames: set[str] = set()
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for name, sub_opts in subs:
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msg = {
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'event': 'subscribe',
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'subscription': {
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'name': sub,
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'name': name,
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'token': token,
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**sub_opts,
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}
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}
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@ -264,7 +291,34 @@ async def subscribe(
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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(msg)
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subnames.add(name)
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# wait on subscriptionn acks
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with trio.move_on_after(5):
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while True:
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match (msg := await ws.recv_msg()):
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case {
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'event': 'subscriptionStatus',
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'status': 'subscribed',
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'subscription': sub_opts,
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} as msg:
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log.info(
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f'Sucessful subscribe for {sub_opts}:\n'
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f'{pformat(msg)}'
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)
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subnames.remove(sub_opts['name'])
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if not subnames:
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break
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case {
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'event': 'subscriptionStatus',
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'status': 'error',
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'errorMessage': errmsg,
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} as msg:
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raise RuntimeError(
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f'{errmsg}\n\n'
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f'{pformat(msg)}'
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)
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yield
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for sub in subs:
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@ -616,9 +670,10 @@ async def handle_order_updates(
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for (tid, trade) in entry.items()
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# don't re-process datums we've already seen
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if tid not in ledger_trans
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# if tid not in ledger_trans
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}
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for tid, trade in trades.items():
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assert tid not in ledger_trans
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txid = trade['ordertxid']
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reqid = trade.get('userref')
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@ -636,22 +691,8 @@ async def handle_order_updates(
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size = float(trade['vol'])
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broker_time = float(trade['time'])
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# send a fill msg for gui update
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fill_msg = BrokerdFill(
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time_ns=time.time_ns(),
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reqid=reqid,
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action=action,
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size=size,
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price=price,
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# TODO: maybe capture more msg data
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# i.e fees?
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broker_details={'name': 'kraken'} | trade,
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broker_time=broker_time
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)
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await ems_stream.send(fill_msg)
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# TODO: we can emit this on the "closed" state in
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# the `openOrders` sub-block below.
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status_msg = BrokerdStatus(
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reqid=reqid,
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time_ns=time.time_ns(),
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@ -905,17 +946,33 @@ async def handle_order_updates(
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# NOTE: there is no `status` field
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case {
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'vol_exec': vlm,
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'avg_price': price,
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'userref': reqid,
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**rest,
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}:
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# TODO: emit fill msg from here?
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} as msg:
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ourreqid = reqids2txids.inverse[txid]
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assert reqid == ourreqid
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log.info(
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f'openOrders vlm={vlm} Fill for {reqid}:\n'
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f'{update_msg}'
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)
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continue
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fill_msg = BrokerdFill(
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time_ns=time.time_ns(),
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reqid=reqid,
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# action=action, # just use size value
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# for now?
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size=vlm,
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price=price,
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# TODO: maybe capture more msg data
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# i.e fees?
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broker_details={'name': 'kraken'} | trade,
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broker_time=broker_time
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)
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await ems_stream.send(fill_msg)
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case _:
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log.warning(
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@ -923,17 +980,7 @@ async def handle_order_updates(
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f'{txid}:{order_msg}'
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)
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# NOTE: The only reason for this seems to be remapping
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# underlying `txid` values on order "edits" which the
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# `openOrders` sub doesn't seem to have any knowledge of.
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# UPDATE: seems like we don't need this any more thanks to
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# passing through the dialog key / reqid in the `newuserref`
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# field on edit requests.
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# I'd also like to ask them which event guarantees that the
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# the live order is now in the book, since these status ones
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# almost seem more like request-acks then state guarantees.
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# ANSWER the `openOrders` is more indicative of "liveness".
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# order request status updates
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case {
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'event': etype,
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'status': status,
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@ -1003,8 +1050,8 @@ async def handle_order_updates(
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'reqid': reqid or 0,
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'txid': [txid],
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})
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case _:
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log.warning(f'Unhandled trades update msg: {msg}')
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