Venues

Moved from api to venues all the msgspecs structs, also added critical imports in api, feed and __init__ mods.

piker/brokers/deribit/__init__.py

@@ -34,6 +34,9 @@ from .feed import (
     # open_trade_dialog,
     # norm_trade_records,
 # )
+from .venues import (
+    OptionPair,
+)
 
 log = get_logger(__name__)
 
@@ -43,6 +46,7 @@ __all__ = [
     'open_history_client',
     'open_symbol_search',
     'stream_quotes',
+    'OptionPair',
 #    'norm_trade_records',
 ]
 

piker/brokers/deribit/api.py

@@ -19,10 +19,14 @@ Deribit backend.
 
 '''
 import asyncio
+from collections import ChainMap
 from contextlib import (
     asynccontextmanager as acm,
 )
 from datetime import datetime
+from decimal import (
+    Decimal,
+)
 from functools import partial
 import time
 from typing import (
@@ -31,7 +35,7 @@ from typing import (
     Callable,
 )
 
-import pendulum
+from pendulum import now
 import trio
 from trio_typing import TaskStatus
 from rapidfuzz import process as fuzzy
@@ -51,7 +55,25 @@ from cryptofeed.defines import (
     OPTION, CALL, PUT
 )
 from cryptofeed.symbols import Symbol
-
+# types for managing the cb callbacks.
+# from cryptofeed.types import L1Book
+from .venues import (
+    _ws_url,
+    MarketType,
+    PAIRTYPES,
+    Pair,
+    OptionPair,
+    JSONRPCResult,
+    JSONRPCChannel,
+    KLinesResult,
+    Trade,
+    LastTradesResult,
+)
+from piker.accounting import (
+    Asset,
+    digits_to_dec,
+    MktPair,
+)
 from piker.data import (
     def_iohlcv_fields,
     match_from_pairs,
@@ -74,57 +96,6 @@ _spawn_kwargs = {
 }
 
 
-_url = 'https://www.deribit.com'
-_ws_url = 'wss://www.deribit.com/ws/api/v2'
-_testnet_ws_url = 'wss://test.deribit.com/ws/api/v2'
-
-
-class JSONRPCResult(Struct):
-    jsonrpc: str = '2.0'
-    id: int
-    result: Optional[list[dict]] = None
-    error: Optional[dict] = None
-    usIn: int
-    usOut: int
-    usDiff: int
-    testnet: bool
-
-class JSONRPCChannel(Struct):
-    jsonrpc: str = '2.0'
-    method: str
-    params: dict
-
-
-class KLinesResult(Struct):
-    close: list[float]
-    cost: list[float]
-    high: list[float]
-    low: list[float]
-    open: list[float]
-    status: str
-    ticks: list[int]
-    volume: list[float]
-
-class Trade(Struct):
-    trade_seq: int
-    trade_id: str
-    timestamp: int
-    tick_direction: int
-    price: float
-    mark_price: float
-    iv: float
-    instrument_name: str
-    index_price: float
-    direction: str
-    combo_trade_id: Optional[int] = 0,
-    combo_id: Optional[str] = '',
-    amount: float
-
-class LastTradesResult(Struct):
-    trades: list[Trade]
-    has_more: bool
-
-
 # convert datetime obj timestamp to unixtime in milliseconds
 def deribit_timestamp(when):
     return int((when.timestamp() * 1000) + (when.microsecond / 1000))

piker/brokers/deribit/feed.py

@@ -21,11 +21,15 @@ Deribit backend.
 from contextlib import asynccontextmanager as acm
 from datetime import datetime
 from typing import Any, Optional, Callable
+from pprint import pformat
 import time
 
 import trio
 from trio_typing import TaskStatus
-import pendulum
+from pendulum import (
+    from_timestamp,
+    now,
+)
 from rapidfuzz import process as fuzzy
 import numpy as np
 import tractor
@@ -50,6 +54,10 @@ from .api import (
     str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
     maybe_open_price_feed
 )
+from .venues import (
+    Pair,
+    OptionPair,
+)
 
 _spawn_kwargs = {
     'infect_asyncio': True,

piker/brokers/deribit/venues.py

@@ -0,0 +1,191 @@
+# piker: trading gear for hackers
+# Copyright (C) Tyler Goodlet (in stewardship for pikers)
+
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU Affero General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU Affero General Public License for more details.
+
+# You should have received a copy of the GNU Affero General Public License
+# along with this program.  If not, see <https://www.gnu.org/licenses/>.
+
+"""
+Per market data-type definitions and schemas types.
+
+"""
+from __future__ import annotations
+import pendulum
+from typing import (
+    Literal,
+)
+from decimal import Decimal
+
+from msgspec import field
+
+from piker.types import Struct
+
+
+# API endpoint paths by venue / sub-API
+_domain: str = 'deribit.com'
+_url = f'https://www.{_domain}'
+
+# WEBsocketz
+_ws_url: str = f'wss://www.{_domain}/ws/api/v2'
+
+# test nets
+_testnet_ws_url: str = f'wss://test.{_domain}/ws/api/v2'
+
+MarketType = Literal[
+    'option'
+]
+
+
+def get_api_eps(venue: MarketType) -> tuple[str, str]:
+    '''
+    Return API ep root paths per venue.
+
+    '''
+    return {
+        'option': (
+            _ws_url,
+        ),
+    }[venue]
+
+
+class Pair(Struct, frozen=True, kw_only=True):
+
+    symbol: str
+
+    # src
+    quote_currency: str # 'BTC'
+
+    # dst
+    base_currency: str # "BTC",
+
+    tick_size: float # 0.0001 # [{'above_price': 0.005, 'tick_size': 0.0005}]
+    tick_size_steps: list[dict[str, float]] 
+
+    @property
+    def price_tick(self) -> Decimal:
+        return Decimal(str(self.tick_size_steps[0]['above_price']))
+
+    @property
+    def size_tick(self) -> Decimal:
+        return Decimal(str(self.tick_size))
+
+    @property
+    def bs_fqme(self) -> str:
+        return f'{self.symbol}'
+
+    @property
+    def bs_mktid(self) -> str:
+        return f'{self.symbol}.{self.venue}'
+
+
+class OptionPair(Pair, frozen=True):
+
+    taker_commission: float # 0.0003
+    strike: float # 5000.0
+    settlement_period: str # 'day'
+    settlement_currency: str # "BTC",
+    rfq: bool # false
+    price_index: str # 'btc_usd'
+    option_type: str # 'call'
+    min_trade_amount: float # 0.1
+    maker_commission: float # 0.0003
+    kind: str # 'option'
+    is_active: bool # true
+    instrument_type: str # 'reversed'
+    instrument_name: str # 'BTC-1SEP24-55000-C'
+    instrument_id: int # 364671
+    expiration_timestamp: int # 1725177600000
+    creation_timestamp: int # 1724918461000
+    counter_currency: str # 'USD' 
+    contract_size: float # '1.0'
+    block_trade_tick_size: float # '0.0001'
+    block_trade_min_trade_amount: int # '25'
+    block_trade_commission: float # '0.003'
+
+
+    # NOTE: see `.data._symcache.SymbologyCache.load()` for why
+    ns_path: str = 'piker.brokers.deribit:OptionPair'
+
+    @property
+    def expiry(self) -> str:
+        iso_date = pendulum.from_timestamp(self.expiration_timestamp / 1000).isoformat()
+        return iso_date 
+
+    @property
+    def venue(self) -> str:
+        return 'option'
+
+    @property
+    def bs_fqme(self) -> str:
+        return f'{self.symbol}'
+
+    @property
+    def bs_src_asset(self) -> str:
+        return f'{self.quote_currency}'
+
+    @property
+    def bs_dst_asset(self) -> str:
+        return f'{self.symbol}'
+
+
+PAIRTYPES: dict[MarketType, Pair] = {
+    'option': OptionPair,
+}
+
+
+class JSONRPCResult(Struct):
+    id: int
+    usIn: int
+    usOut: int
+    usDiff: int
+    testnet: bool
+    jsonrpc: str = '2.0'
+    error: Optional[dict] = None
+    result: Optional[list[dict]] = None
+
+class JSONRPCChannel(Struct):
+    method: str
+    params: dict
+    jsonrpc: str = '2.0'
+
+
+class KLinesResult(Struct):
+    low: list[float]
+    cost: list[float]
+    high: list[float]
+    open: list[float]
+    close: list[float]
+    ticks: list[int]
+    status: str
+    volume: list[float]
+
+class Trade(Struct):
+    iv: float
+    price: float
+    amount: float
+    trade_id: str
+    contracts: float
+    direction: str
+    trade_seq: int
+    timestamp: int
+    mark_price: float
+    index_price: float
+    tick_direction: int
+    instrument_name: str
+    combo_id: Optional[str] = '',
+    combo_trade_id: Optional[int] = 0,
+    block_trade_id: Optional[str] = '',
+    block_trade_leg_count: Optional[int] = 0,
+
+class LastTradesResult(Struct):
+    trades: list[Trade]
+    has_more: bool