goodboy
GitHub
commit
3c76a3e03d
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"""
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Kraken backend.
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"""
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, asdict, field
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from itertools import starmap
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from typing import List, Dict, Any, Callable
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import json
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import time
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import trio_websocket
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from trio_websocket._impl import ConnectionClosed, DisconnectionTimeout
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import arrow
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import asks
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import numpy as np
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import trio
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import tractor
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from ._util import resproc, SymbolNotFound, BrokerError
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from ..log import get_logger, get_console_log
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log = get_logger(__name__)
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# <uri>/<version>/
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_url = 'https://api.kraken.com/0'
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# conversion to numpy worthy types
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_ohlc_dtype = [
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('index', int),
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('time', int),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('vwap', float),
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('volume', float),
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('count', int)
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]
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# UI components allow this to be declared such that additional
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# (historical) fields can be exposed.
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ohlc_dtype = np.dtype(_ohlc_dtype)
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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._sesh.headers.update({
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'User-Agent':
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'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
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})
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async def _public(
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self,
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method: str,
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data: dict,
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) -> Dict[str, Any]:
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resp = await self._sesh.post(
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path=f'/public/{method}',
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json=data,
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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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pair: str = 'all',
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):
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resp = await self._public('AssetPairs', {'pair': pair})
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err = resp['error']
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if err:
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raise BrokerError(err)
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true_pair_key, data = next(iter(resp['result'].items()))
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return data
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async def bars(
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self,
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symbol: str = 'XBTUSD',
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# UTC 2017-07-02 12:53:20
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since: int = None,
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count: int = 720, # <- max allowed per query
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as_np: bool = True,
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) -> dict:
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if since is None:
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since = arrow.utcnow().floor('minute').shift(
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minutes=-count).timestamp
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# UTC 2017-07-02 12:53:20 is oldest seconds value
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since = str(max(1499000000, since))
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json = await self._public(
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'OHLC',
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data={
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'pair': symbol,
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'since': since,
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},
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)
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try:
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res = json['result']
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res.pop('last')
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bars = next(iter(res.values()))
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# convert all fields to native types
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new_bars = []
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last_nz_vwap = None
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for i, bar in enumerate(bars):
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# normalize weird zero-ed vwap values..cmon kraken..
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vwap = float(bar[-3])
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if vwap != 0:
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last_nz_vwap = vwap
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if vwap == 0:
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bar[-3] = last_nz_vwap
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new_bars.append(
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(i,) + tuple(
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ftype(bar[j]) for j, (name, ftype) in enumerate(_ohlc_dtype[1:])
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)
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)
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return np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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except KeyError:
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raise SymbolNotFound(json['error'][0] + f': {symbol}')
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@asynccontextmanager
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async def get_client() -> Client:
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yield Client()
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@dataclass
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class OHLC:
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"""Description of the flattened OHLC quote format.
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For schema details see:
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https://docs.kraken.com/websockets/#message-ohlc
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"""
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chan_id: int # internal kraken id
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chan_name: str # eg. ohlc-1 (name-interval)
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pair: str # fx pair
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time: float # Begin time of interval, in seconds since epoch
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etime: float # End time of interval, in seconds since epoch
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open: float # Open price of interval
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high: float # High price within interval
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low: float # Low price within interval
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close: float # Close price of interval
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vwap: float # Volume weighted average price within interval
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volume: float # Accumulated volume **within interval**
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count: int # Number of trades within interval
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# (sampled) generated tick data
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ticks: List[Any] = field(default_factory=list)
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# XXX: ugh, super hideous.. needs built-in converters.
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def __post_init__(self):
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for f, val in self.__dataclass_fields__.items():
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if f == 'ticks':
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continue
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setattr(self, f, val.type(getattr(self, f)))
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async def recv_ohlc(recv):
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too_slow_count = last_hb = 0
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while True:
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with trio.move_on_after(1.5) as cs:
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msg = await recv()
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# trigger reconnection logic if too slow
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if cs.cancelled_caught:
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too_slow_count += 1
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if too_slow_count > 2:
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log.warning(
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"Heartbeat is to slow, "
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"resetting ws connection")
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raise trio_websocket._impl.ConnectionClosed(
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"Reset Connection")
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if isinstance(msg, dict):
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if msg.get('event') == 'heartbeat':
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now = time.time()
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delay = now - last_hb
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last_hb = now
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log.trace(f"Heartbeat after {delay}")
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# TODO: hmm i guess we should use this
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# for determining when to do connection
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# resets eh?
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continue
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err = msg.get('errorMessage')
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if err:
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raise BrokerError(err)
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else:
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chan_id, ohlc_array, chan_name, pair = msg
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yield OHLC(chan_id, chan_name, pair, *ohlc_array)
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def normalize(
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ohlc: OHLC,
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) -> dict:
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quote = asdict(ohlc)
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quote['broker_ts'] = quote['time']
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quote['brokerd_ts'] = time.time()
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quote['pair'] = quote['pair'].replace('/', '')
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# seriously eh? what's with this non-symmetry everywhere
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# in subscription systems...
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topic = quote['pair'].replace('/', '')
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# print(quote)
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return topic, quote
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@tractor.msg.pub
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async def stream_quotes(
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get_topics: Callable,
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# These are the symbols not expected by the ws api
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# they are looked up inside this routine.
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symbols: List[str] = ['XBTUSD', 'XMRUSD'],
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sub_type: str = 'ohlc',
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loglevel: str = None,
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) -> None:
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"""Subscribe for ohlc stream of quotes for ``pairs``.
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``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
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"""
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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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ws_pairs = {}
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async with get_client() as client:
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for sym in symbols:
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ws_pairs[sym] = (await client.symbol_info(sym))['wsname']
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while True:
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try:
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async with trio_websocket.open_websocket_url(
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'wss://ws.kraken.com',
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) as ws:
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# setup subs
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# see: https://docs.kraken.com/websockets/#message-subscribe
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subs = {
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'pair': list(ws_pairs.values()),
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'event': 'subscribe',
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'subscription': {
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'name': sub_type,
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'interval': 1, # 1 min
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# 'name': 'ticker',
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# 'name': 'openOrders',
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# 'depth': '25',
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},
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}
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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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_message(json.dumps(subs))
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async def recv():
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return json.loads(await ws.get_message())
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# pull a first quote and deliver
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ohlc_gen = recv_ohlc(recv)
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ohlc_last = await ohlc_gen.__anext__()
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topic, quote = normalize(ohlc_last)
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# packetize as {topic: quote}
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yield {topic: quote}
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# keep start of last interval for volume tracking
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last_interval_start = ohlc_last.etime
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# start streaming
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async for ohlc in ohlc_gen:
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# generate tick values to match time & sales pane:
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# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
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volume = ohlc.volume
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if ohlc.etime > last_interval_start: # new interval
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last_interval_start = ohlc.etime
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tick_volume = volume
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else:
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# this is the tick volume *within the interval*
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tick_volume = volume - ohlc_last.volume
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if tick_volume:
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ohlc.ticks.append({
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'type': 'trade',
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'price': ohlc.close,
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'size': tick_volume,
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})
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topic, quote = normalize(ohlc)
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# XXX: format required by ``tractor.msg.pub``
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# requires a ``Dict[topic: str, quote: dict]``
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yield {topic: quote}
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ohlc_last = ohlc
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except (ConnectionClosed, DisconnectionTimeout):
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log.exception("Good job kraken...reconnecting")
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if __name__ == '__main__':
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async def stream_ohlc():
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async for msg in stream_quotes():
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print(msg)
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tractor.run(stream_ohlc)
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@ -1164,10 +1164,10 @@ async def stream_quotes(
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packetizer=partial(
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packetizer,
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formatter=formatter,
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symboal_data=sd,
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symbol_data=sd,
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),
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# actual func args
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# actual target "streaming func" args
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get_quotes=get_quotes,
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diff_cached=diff_cached,
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rate=rate,
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