Merge pull request #184 from pikers/binance_syminfo_and_mintick
Binance syminfo and mintickems_hotfixes
goodboy
GitHub
commit
36530d9cf6
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@ -25,6 +25,7 @@ import asks
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asks.init('trio')
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__brokers__ = [
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'binance',
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'questrade',
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'robinhood',
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'ib',
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@ -36,6 +36,7 @@ from trio_websocket._impl import (
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import arrow
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import trio
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import tractor
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@ -81,6 +82,7 @@ _ohlc_dtype = [
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ohlc_dtype = np.dtype(_ohlc_dtype)
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_show_wap_in_history = False
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_search_conf = {'pause_period': 0.375}
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# https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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@ -148,38 +150,66 @@ class Client:
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def __init__(self) -> None:
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self._sesh = asks.Session(connections=4)
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self._sesh.base_location = _url
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self._pairs: dict[str, Any] = {}
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async def _api(
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self,
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method: str,
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data: dict,
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params: dict,
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) -> Dict[str, Any]:
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resp = await self._sesh.get(
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path=f'/api/v3/{method}',
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params=data,
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params=params,
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timeout=float('inf')
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)
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return resproc(resp, log)
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async def symbol_info(
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self,
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sym: Optional[str] = None
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sym: Optional[str] = None,
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) -> dict:
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) -> dict[str, Any]:
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'''Get symbol info for the exchange.
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'''
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# TODO: we can load from our self._pairs cache
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# on repeat calls...
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# will retrieve all symbols by default
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params = {}
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resp = await self._api('exchangeInfo', {})
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if sym is not None:
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for sym_info in resp['symbols']:
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if sym_info['symbol'] == sym:
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return sym_info
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else:
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sym = sym.upper()
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params = {'symbol': sym}
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resp = await self._api(
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'exchangeInfo',
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params=params,
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)
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entries = resp['symbols']
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if not entries:
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raise SymbolNotFound(f'{sym} not found')
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syms = {item['symbol']: item for item in entries}
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if sym is not None:
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return syms[sym]
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else:
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return resp['symbols']
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return syms
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async def cache_symbols(
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self,
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) -> dict:
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if not self._pairs:
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self._pairs = await self.symbol_info()
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return self._pairs
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async def bars(
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self,
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symbol: str = 'BTCUSDT',
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symbol: str,
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start_time: int = None,
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end_time: int = None,
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limit: int = 1000, # <- max allowed per query
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@ -198,8 +228,8 @@ class Client:
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# https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
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bars = await self._api(
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'klines',
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{
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'symbol': symbol,
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params={
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'symbol': symbol.upper(),
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'interval': '1m',
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'startTime': start_time,
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'endTime': end_time,
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@ -237,7 +267,9 @@ class Client:
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@asynccontextmanager
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async def get_client() -> Client:
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yield Client()
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client = Client()
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await client.cache_symbols()
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yield client
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# validation type
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@ -256,11 +288,21 @@ class AggTrade(BaseModel):
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async def stream_messages(ws):
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timeouts = 0
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while True:
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with trio.move_on_after(5):
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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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if cs.cancelled_caught:
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timeouts += 1
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if timeouts > 2:
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raise trio.TooSlowError("binance feed seems down?")
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continue
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# for l1 streams binance doesn't add an event type field so
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# identify those messages by matching keys
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# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
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@ -436,13 +478,24 @@ async def stream_quotes(
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sym_infos = {}
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uid = 0
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async with open_cached_client('binance') as client, send_chan as send_chan:
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async with (
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open_cached_client('binance') as client,
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send_chan as send_chan,
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):
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# keep client cached for real-time section
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cache = await client.cache_symbols()
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for sym in symbols:
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d = await client.symbol_info(sym)
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d = cache[sym.upper()]
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syminfo = Pair(**d) # validation
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sym_infos[sym] = syminfo.dict()
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si = sym_infos[sym] = syminfo.dict()
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# XXX: after manually inspecting the response format we
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# just directly pick out the info we need
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si['price_tick_size'] = syminfo.filters[0]['tickSize']
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si['lot_tick_size'] = syminfo.filters[2]['stepSize']
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symbol = symbols[0]
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@ -483,7 +536,7 @@ async def stream_quotes(
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# TODO: use ``anext()`` when it lands in 3.10!
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typ, quote = await msg_gen.__anext__()
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first_quote = {quote['symbol']: quote}
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first_quote = {quote['symbol'].lower(): quote}
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task_status.started((init_msgs, first_quote))
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# signal to caller feed is ready for consumption
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@ -492,5 +545,32 @@ async def stream_quotes(
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# start streaming
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async for typ, msg in msg_gen:
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topic = msg['symbol']
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topic = msg['symbol'].lower()
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await send_chan.send({topic: msg})
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@tractor.context
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async def open_symbol_search(
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ctx: tractor.Context,
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) -> Client:
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async with open_cached_client('binance') as client:
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# load all symbols locally for fast search
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cache = await client.cache_symbols()
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await ctx.started()
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async with ctx.open_stream() as stream:
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async for pattern in stream:
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# results = await client.symbol_info(sym=pattern.upper())
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matches = fuzzy.extractBests(
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pattern,
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cache,
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score_cutoff=50,
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)
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# repack in dict form
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await stream.send(
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{item[0]['symbol']: item[0]
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for item in matches}
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)
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