Merge pull request #184 from pikers/binance_syminfo_and_mintick

Binance syminfo and mintick

piker/brokers/__init__.py

@@ -25,6 +25,7 @@ import asks
 asks.init('trio')
 
 __brokers__ = [
+    'binance',
     'questrade',
     'robinhood',
     'ib',

piker/brokers/binance.py

@@ -36,6 +36,7 @@ from trio_websocket._impl import (
 
 import arrow
 import asks
+from fuzzywuzzy import process as fuzzy
 import numpy as np
 import trio
 import tractor
@@ -81,6 +82,7 @@ _ohlc_dtype = [
 ohlc_dtype = np.dtype(_ohlc_dtype)
 
 _show_wap_in_history = False
+_search_conf = {'pause_period': 0.375}
 
 
 # https://binance-docs.github.io/apidocs/spot/en/#exchange-information
@@ -148,38 +150,66 @@ class Client:
     def __init__(self) -> None:
         self._sesh = asks.Session(connections=4)
         self._sesh.base_location = _url
+        self._pairs: dict[str, Any] = {}
 
     async def _api(
         self,
         method: str,
-        data: dict,
+        params: dict,
     ) -> Dict[str, Any]:
         resp = await self._sesh.get(
             path=f'/api/v3/{method}',
-            params=data,
+            params=params,
             timeout=float('inf')
         )
         return resproc(resp, log)
 
     async def symbol_info(
+
         self,
-        sym: Optional[str] = None
+        sym: Optional[str] = None,
 
-    ) -> dict:
+    ) -> dict[str, Any]:
+        '''Get symbol info for the exchange.
+
+        '''
+        # TODO: we can load from our self._pairs cache
+        # on repeat calls...
+
+        # will retrieve all symbols by default
+        params = {}
 
-        resp = await self._api('exchangeInfo', {})
         if sym is not None:
-            for sym_info in resp['symbols']:
-                if sym_info['symbol'] == sym:
-                    return sym_info
-            else:
-                raise SymbolNotFound(f'{sym} not found')
+            sym = sym.upper()
+            params = {'symbol': sym}
+
+        resp = await self._api(
+            'exchangeInfo',
+            params=params,
+        )
+
+        entries = resp['symbols']
+        if not entries:
+            raise SymbolNotFound(f'{sym} not found')
+
+        syms = {item['symbol']: item for item in entries}
+
+        if sym is not None:
+            return syms[sym]
         else:
-            return resp['symbols']
+            return syms
+
+    async def cache_symbols(
+        self,
+    ) -> dict:
+        if not self._pairs:
+            self._pairs = await self.symbol_info()
+
+        return self._pairs
 
     async def bars(
         self,
-        symbol: str = 'BTCUSDT',
+        symbol: str,
         start_time: int = None,
         end_time: int = None,
         limit: int = 1000,  # <- max allowed per query
@@ -198,8 +228,8 @@ class Client:
         # https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
         bars = await self._api(
             'klines',
-            {
-                'symbol': symbol,
+            params={
+                'symbol': symbol.upper(),
                 'interval': '1m',
                 'startTime': start_time,
                 'endTime': end_time,
@@ -237,7 +267,9 @@ class Client:
 
 @asynccontextmanager
 async def get_client() -> Client:
-    yield Client()
+    client = Client()
+    await client.cache_symbols()
+    yield client
 
 
 # validation type
@@ -256,11 +288,21 @@ class AggTrade(BaseModel):
 
 
 async def stream_messages(ws):
+
+    timeouts = 0
     while True:
 
-        with trio.move_on_after(5):
+        with trio.move_on_after(5) as cs:
             msg = await ws.recv_msg()
 
+        if cs.cancelled_caught:
+
+            timeouts += 1
+            if timeouts > 2:
+                raise trio.TooSlowError("binance feed seems down?")
+
+            continue
+
         # for l1 streams binance doesn't add an event type field so
         # identify those messages by matching keys
         # https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
@@ -436,13 +478,24 @@ async def stream_quotes(
     sym_infos = {}
     uid = 0
 
-    async with open_cached_client('binance') as client, send_chan as send_chan:
+    async with (
+        open_cached_client('binance') as client,
+        send_chan as send_chan,
+    ):
 
         # keep client cached for real-time section
+        cache = await client.cache_symbols()
+
         for sym in symbols:
-            d = await client.symbol_info(sym)
+            d = cache[sym.upper()]
             syminfo = Pair(**d)  # validation
-            sym_infos[sym] = syminfo.dict()
+
+            si = sym_infos[sym] = syminfo.dict()
+
+            # XXX: after manually inspecting the response format we
+            # just directly pick out the info we need
+            si['price_tick_size'] = syminfo.filters[0]['tickSize']
+            si['lot_tick_size'] = syminfo.filters[2]['stepSize']
 
         symbol = symbols[0]
 
@@ -483,7 +536,7 @@ async def stream_quotes(
                 # TODO: use ``anext()`` when it lands in 3.10!
                 typ, quote = await msg_gen.__anext__()
 
-            first_quote = {quote['symbol']: quote}
+            first_quote = {quote['symbol'].lower(): quote}
             task_status.started((init_msgs,  first_quote))
 
             # signal to caller feed is ready for consumption
@@ -492,5 +545,32 @@ async def stream_quotes(
             # start streaming
             async for typ, msg in msg_gen:
 
-                topic = msg['symbol']
+                topic = msg['symbol'].lower()
                 await send_chan.send({topic: msg})
+
+
+@tractor.context
+async def open_symbol_search(
+    ctx: tractor.Context,
+) -> Client:
+    async with open_cached_client('binance') as client:
+
+        # load all symbols locally for fast search
+        cache = await client.cache_symbols()
+        await ctx.started()
+
+        async with ctx.open_stream() as stream:
+
+            async for pattern in stream:
+                # results = await client.symbol_info(sym=pattern.upper())
+
+                matches = fuzzy.extractBests(
+                    pattern,
+                    cache,
+                    score_cutoff=50,
+                )
+                # repack in dict form
+                await stream.send(
+                    {item[0]['symbol']: item[0]
+                     for item in matches}
+                )

setup.py

@@ -75,6 +75,10 @@ setup(
         # tsdbs
         'pymarketstore',
         #'kivy',  see requirement.txt; using a custom branch atm
+
+        # fuzzy search
+        'fuzzywuzzy[speedup]',
+
     ],
     tests_require=['pytest'],
     python_requires=">=3.9",  # literally for ``datetime.datetime.fromisoformat``...