goodboy
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Kraken backend.
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Sub-modules within break into the core functionalities:
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- ``broker.py`` part for orders / trading endpoints
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- ``feed.py`` for real-time data feed endpoints
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- ``api.py`` for the core API machinery which is ``trio``-ized
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wrapping around ``ib_insync``.
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'''
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from piker.log import get_logger
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log = get_logger(__name__)
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from .api import (
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get_client,
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)
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from .feed import (
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open_history_client,
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open_symbol_search,
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stream_quotes,
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)
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from .broker import (
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trades_dialogue,
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norm_trade_records,
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)
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__all__ = [
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'get_client',
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'trades_dialogue',
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'open_history_client',
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'open_symbol_search',
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'stream_quotes',
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'norm_trade_records',
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]
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# tractor RPC enable arg
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__enable_modules__: list[str] = [
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'api',
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'feed',
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'broker',
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]
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@ -0,0 +1,468 @@
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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# 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
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||||
# (at your option) any later version.
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||||
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||||
# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Kraken web API wrapping.
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'''
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from contextlib import asynccontextmanager as acm
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from dataclasses import field
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from datetime import datetime
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import itertools
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from typing import (
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Any,
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Optional,
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Union,
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)
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import time
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# import trio
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# import tractor
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import pendulum
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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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from pydantic.dataclasses import dataclass
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import urllib.parse
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import hashlib
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import hmac
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import base64
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from piker import config
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from piker.brokers._util import (
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resproc,
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SymbolNotFound,
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BrokerError,
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DataThrottle,
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)
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from . import log
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# <uri>/<version>/
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_url = 'https://api.kraken.com/0'
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# Broker specific ohlc schema which includes a vwap field
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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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('volume', float),
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('count', int),
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('bar_wap', float),
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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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_show_wap_in_history = True
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_symbol_info_translation: dict[str, str] = {
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'tick_decimals': 'pair_decimals',
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}
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@dataclass
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class OHLC:
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'''
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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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def get_config() -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get('kraken')
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if section is None:
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log.warning(f'No config section found for kraken in {path}')
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return {}
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return section
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def get_kraken_signature(
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urlpath: str,
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data: dict[str, Any],
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secret: str
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) -> str:
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postdata = urllib.parse.urlencode(data)
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encoded = (str(data['nonce']) + postdata).encode()
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message = urlpath.encode() + hashlib.sha256(encoded).digest()
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mac = hmac.new(base64.b64decode(secret), message, hashlib.sha512)
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sigdigest = base64.b64encode(mac.digest())
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return sigdigest.decode()
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class InvalidKey(ValueError):
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'''
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EAPI:Invalid key
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This error is returned when the API key used for the call is
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either expired or disabled, please review the API key in your
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Settings -> API tab of account management or generate a new one
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and update your application.
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'''
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class Client:
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def __init__(
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self,
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name: str = '',
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api_key: str = '',
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secret: str = ''
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) -> 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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self._pairs: list[str] = []
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self._name = name
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self._api_key = api_key
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self._secret = secret
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@property
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def pairs(self) -> dict[str, Any]:
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if self._pairs is None:
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raise RuntimeError(
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"Make sure to run `cache_symbols()` on startup!"
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)
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# retreive and cache all symbols
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return self._pairs
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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 _private(
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self,
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method: str,
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data: dict,
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uri_path: str
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) -> dict[str, Any]:
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headers = {
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'Content-Type':
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'application/x-www-form-urlencoded',
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'API-Key':
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self._api_key,
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'API-Sign':
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get_kraken_signature(uri_path, data, self._secret)
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}
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resp = await self._sesh.post(
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path=f'/private/{method}',
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data=data,
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headers=headers,
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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 endpoint(
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self,
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method: str,
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data: dict[str, Any]
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) -> dict[str, Any]:
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uri_path = f'/0/private/{method}'
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data['nonce'] = str(int(1000*time.time()))
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return await self._private(method, data, uri_path)
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async def get_trades(
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self,
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) -> dict[str, Any]:
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'''
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Get the trades (aka cleared orders) history from the rest endpoint:
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https://docs.kraken.com/rest/#operation/getTradeHistory
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'''
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ofs = 0
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trades_by_id: dict[str, Any] = {}
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for i in itertools.count():
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# increment 'ofs' pagination offset
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ofs = i*50
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resp = await self.endpoint(
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'TradesHistory',
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{'ofs': ofs},
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)
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by_id = resp['result']['trades']
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trades_by_id.update(by_id)
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# we can get up to 50 results per query
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if (
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len(by_id) < 50
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):
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err = resp.get('error')
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if err:
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raise BrokerError(err)
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# we know we received the max amount of
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# trade results so there may be more history.
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# catch the end of the trades
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count = resp['result']['count']
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break
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# santity check on update
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assert count == len(trades_by_id.values())
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return trades_by_id
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async def submit_limit(
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self,
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symbol: str,
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price: float,
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action: str,
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size: float,
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reqid: str = None,
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validate: bool = False # set True test call without a real submission
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) -> dict:
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'''
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Place an order and return integer request id provided by client.
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'''
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# Build common data dict for common keys from both endpoints
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data = {
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"pair": symbol,
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"price": str(price),
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"validate": validate
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}
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if reqid is None:
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# Build order data for kraken api
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data |= {
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"ordertype": "limit",
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"type": action,
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"volume": str(size),
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}
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return await self.endpoint('AddOrder', data)
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else:
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# Edit order data for kraken api
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data["txid"] = reqid
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return await self.endpoint('EditOrder', data)
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async def submit_cancel(
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self,
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reqid: str,
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) -> dict:
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'''
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Send cancel request for order id ``reqid``.
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'''
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# txid is a transaction id given by kraken
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return await self.endpoint('CancelOrder', {"txid": reqid})
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async def symbol_info(
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self,
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pair: Optional[str] = None,
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):
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if pair is not None:
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pairs = {'pair': pair}
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else:
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pairs = None # get all pairs
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resp = await self._public('AssetPairs', pairs)
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err = resp['error']
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if err:
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symbolname = pairs['pair'] if pair else None
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raise SymbolNotFound(f'{symbolname}.kraken')
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pairs = resp['result']
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if pair is not None:
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_, data = next(iter(pairs.items()))
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return data
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else:
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return pairs
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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 search_symbols(
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self,
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pattern: str,
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limit: int = None,
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) -> dict[str, Any]:
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if self._pairs is not None:
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data = self._pairs
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else:
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data = await self.symbol_info()
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matches = fuzzy.extractBests(
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pattern,
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data,
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score_cutoff=50,
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)
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# repack in dict form
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return {item[0]['altname']: item[0] for item in matches}
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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: Optional[Union[int, datetime]] = 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 = pendulum.now('UTC').start_of('minute').subtract(
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minutes=count).timestamp()
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elif isinstance(since, int):
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since = pendulum.from_timestamp(since).timestamp()
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else: # presumably a pendulum datetime
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since = since.timestamp()
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# UTC 2017-07-02 12:53:20 is oldest seconds value
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since = str(max(1499000000, int(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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new_bars = []
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first = bars[0]
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last_nz_vwap = first[-3]
|
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if last_nz_vwap == 0:
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# use close if vwap is zero
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last_nz_vwap = first[-4]
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||||
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||||
# convert all fields to native types
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for i, bar in enumerate(bars):
|
||||
# normalize weird zero-ed vwap values..cmon kraken..
|
||||
# indicates vwap didn't change since last bar
|
||||
vwap = float(bar.pop(-3))
|
||||
if vwap != 0:
|
||||
last_nz_vwap = vwap
|
||||
if vwap == 0:
|
||||
vwap = last_nz_vwap
|
||||
|
||||
# re-insert vwap as the last of the fields
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bar.append(vwap)
|
||||
|
||||
new_bars.append(
|
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(i,) + tuple(
|
||||
ftype(bar[j]) for j, (name, ftype) in enumerate(
|
||||
_ohlc_dtype[1:]
|
||||
)
|
||||
)
|
||||
)
|
||||
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
|
||||
return array
|
||||
except KeyError:
|
||||
errmsg = json['error'][0]
|
||||
|
||||
if 'not found' in errmsg:
|
||||
raise SymbolNotFound(errmsg + f': {symbol}')
|
||||
|
||||
elif 'Too many requests' in errmsg:
|
||||
raise DataThrottle(f'{symbol}')
|
||||
|
||||
else:
|
||||
raise BrokerError(errmsg)
|
||||
|
||||
|
||||
@acm
|
||||
async def get_client() -> Client:
|
||||
|
||||
section = get_config()
|
||||
if section:
|
||||
client = Client(
|
||||
name=section['key_descr'],
|
||||
api_key=section['api_key'],
|
||||
secret=section['secret']
|
||||
)
|
||||
else:
|
||||
client = Client()
|
||||
|
||||
# at startup, load all symbols locally for fast search
|
||||
await client.cache_symbols()
|
||||
|
||||
yield client
|
||||
|
||||
|
||||
def normalize_symbol(
|
||||
ticker: str
|
||||
) -> str:
|
||||
'''
|
||||
Normalize symbol names to to a 3x3 pair.
|
||||
|
||||
'''
|
||||
remap = {
|
||||
'XXBTZEUR': 'XBTEUR',
|
||||
'XXMRZEUR': 'XMREUR',
|
||||
|
||||
# ws versions? pretty weird..
|
||||
'XBT/EUR': 'XBTEUR',
|
||||
'XMR/EUR': 'XMREUR',
|
||||
}
|
||||
symlen = len(ticker)
|
||||
if symlen != 6:
|
||||
ticker = remap[ticker]
|
||||
else:
|
||||
raise ValueError(f'Unhandled symbol: {ticker}')
|
||||
|
||||
return ticker.lower()
|
||||
|
|
@ -0,0 +1,540 @@
|
|||
# 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/>.
|
||||
|
||||
'''
|
||||
Order api and machinery
|
||||
|
||||
'''
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from functools import partial
|
||||
from itertools import chain
|
||||
from pprint import pformat
|
||||
import time
|
||||
from typing import (
|
||||
Any,
|
||||
AsyncIterator,
|
||||
# Callable,
|
||||
# Optional,
|
||||
# Union,
|
||||
)
|
||||
|
||||
import pendulum
|
||||
from pydantic import BaseModel
|
||||
import trio
|
||||
import tractor
|
||||
import wsproto
|
||||
|
||||
from piker import pp
|
||||
from piker.clearing._messages import (
|
||||
BrokerdCancel,
|
||||
BrokerdError,
|
||||
BrokerdFill,
|
||||
BrokerdOrder,
|
||||
BrokerdOrderAck,
|
||||
BrokerdPosition,
|
||||
BrokerdStatus,
|
||||
)
|
||||
from . import log
|
||||
from .api import (
|
||||
Client,
|
||||
BrokerError,
|
||||
get_client,
|
||||
normalize_symbol,
|
||||
)
|
||||
from .feed import (
|
||||
get_console_log,
|
||||
open_autorecon_ws,
|
||||
NoBsWs,
|
||||
stream_messages,
|
||||
)
|
||||
|
||||
|
||||
class Trade(BaseModel):
|
||||
'''
|
||||
Trade class that helps parse and validate ownTrades stream
|
||||
|
||||
'''
|
||||
reqid: str # kraken order transaction id
|
||||
action: str # buy or sell
|
||||
price: float # price of asset
|
||||
size: float # vol of asset
|
||||
broker_time: str # e.g GTC, GTD
|
||||
|
||||
|
||||
async def handle_order_requests(
|
||||
|
||||
client: Client,
|
||||
ems_order_stream: tractor.MsgStream,
|
||||
|
||||
) -> None:
|
||||
|
||||
request_msg: dict
|
||||
order: BrokerdOrder
|
||||
|
||||
async for request_msg in ems_order_stream:
|
||||
log.info(
|
||||
'Received order request:\n'
|
||||
f'{pformat(request_msg)}'
|
||||
)
|
||||
|
||||
action = request_msg['action']
|
||||
|
||||
if action in {'buy', 'sell'}:
|
||||
|
||||
account = request_msg['account']
|
||||
if account != 'kraken.spot':
|
||||
log.error(
|
||||
'This is a kraken account, \
|
||||
only a `kraken.spot` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
|
||||
# reason=f'Kraken only, No account found: `{account}` ?',
|
||||
reason=(
|
||||
'Kraken only, order mode disabled due to '
|
||||
'https://github.com/pikers/piker/issues/299'
|
||||
),
|
||||
|
||||
).dict())
|
||||
continue
|
||||
|
||||
# validate
|
||||
order = BrokerdOrder(**request_msg)
|
||||
# call our client api to submit the order
|
||||
resp = await client.submit_limit(
|
||||
symbol=order.symbol,
|
||||
price=order.price,
|
||||
action=order.action,
|
||||
size=order.size,
|
||||
reqid=order.reqid,
|
||||
)
|
||||
|
||||
err = resp['error']
|
||||
if err:
|
||||
oid = order.oid
|
||||
log.error(f'Failed to submit order: {oid}')
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdError(
|
||||
oid=order.oid,
|
||||
reqid=order.reqid,
|
||||
symbol=order.symbol,
|
||||
reason="Failed order submission",
|
||||
broker_details=resp
|
||||
).dict()
|
||||
)
|
||||
else:
|
||||
# TODO: handle multiple orders (cancels?)
|
||||
# txid is an array of strings
|
||||
if order.reqid is None:
|
||||
reqid = resp['result']['txid'][0]
|
||||
else:
|
||||
# update the internal pairing of oid to krakens
|
||||
# txid with the new txid that is returned on edit
|
||||
reqid = resp['result']['txid']
|
||||
|
||||
# deliver ack that order has been submitted to broker routing
|
||||
await ems_order_stream.send(
|
||||
BrokerdOrderAck(
|
||||
|
||||
# ems order request id
|
||||
oid=order.oid,
|
||||
|
||||
# broker specific request id
|
||||
reqid=reqid,
|
||||
|
||||
# account the made the order
|
||||
account=order.account
|
||||
|
||||
).dict()
|
||||
)
|
||||
|
||||
elif action == 'cancel':
|
||||
msg = BrokerdCancel(**request_msg)
|
||||
|
||||
# Send order cancellation to kraken
|
||||
resp = await client.submit_cancel(
|
||||
reqid=msg.reqid
|
||||
)
|
||||
|
||||
# Check to make sure there was no error returned by
|
||||
# the kraken endpoint. Assert one order was cancelled.
|
||||
try:
|
||||
result = resp['result']
|
||||
count = result['count']
|
||||
|
||||
# check for 'error' key if we received no 'result'
|
||||
except KeyError:
|
||||
error = resp.get('error')
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdError(
|
||||
oid=msg.oid,
|
||||
reqid=msg.reqid,
|
||||
symbol=msg.symbol,
|
||||
reason="Failed order cancel",
|
||||
broker_details=resp
|
||||
).dict()
|
||||
)
|
||||
|
||||
if not error:
|
||||
raise BrokerError(f'Unknown order cancel response: {resp}')
|
||||
|
||||
else:
|
||||
if not count: # no orders were cancelled?
|
||||
|
||||
# XXX: what exactly is this from and why would we care?
|
||||
# there doesn't seem to be any docs here?
|
||||
# https://docs.kraken.com/rest/#operation/cancelOrder
|
||||
|
||||
# Check to make sure the cancellation is NOT pending,
|
||||
# then send the confirmation to the ems order stream
|
||||
pending = result.get('pending')
|
||||
if pending:
|
||||
log.error(f'Order {oid} cancel was not yet successful')
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdError(
|
||||
oid=msg.oid,
|
||||
reqid=msg.reqid,
|
||||
symbol=msg.symbol,
|
||||
# TODO: maybe figure out if pending
|
||||
# cancels will eventually get cancelled
|
||||
reason="Order cancel is still pending?",
|
||||
broker_details=resp
|
||||
).dict()
|
||||
)
|
||||
|
||||
else: # order cancel success case.
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdStatus(
|
||||
reqid=msg.reqid,
|
||||
account=msg.account,
|
||||
time_ns=time.time_ns(),
|
||||
status='cancelled',
|
||||
reason='Order cancelled',
|
||||
broker_details={'name': 'kraken'}
|
||||
).dict()
|
||||
)
|
||||
else:
|
||||
log.error(f'Unknown order command: {request_msg}')
|
||||
|
||||
|
||||
@acm
|
||||
async def subscribe(
|
||||
ws: wsproto.WSConnection,
|
||||
token: str,
|
||||
subs: list[str] = ['ownTrades', 'openOrders'],
|
||||
):
|
||||
'''
|
||||
Setup ws api subscriptions:
|
||||
https://docs.kraken.com/websockets/#message-subscribe
|
||||
|
||||
By default we sign up for trade and order update events.
|
||||
|
||||
'''
|
||||
# more specific logic for this in kraken's sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
|
||||
assert token
|
||||
for sub in subs:
|
||||
msg = {
|
||||
'event': 'subscribe',
|
||||
'subscription': {
|
||||
'name': sub,
|
||||
'token': token,
|
||||
}
|
||||
}
|
||||
|
||||
# TODO: we want to eventually allow unsubs which should
|
||||
# be completely fine to request from a separate task
|
||||
# since internally the ws methods appear to be FIFO
|
||||
# locked.
|
||||
await ws.send_msg(msg)
|
||||
|
||||
yield
|
||||
|
||||
for sub in subs:
|
||||
# unsub from all pairs on teardown
|
||||
await ws.send_msg({
|
||||
'event': 'unsubscribe',
|
||||
'subscription': [sub],
|
||||
})
|
||||
|
||||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def trades_dialogue(
|
||||
ctx: tractor.Context,
|
||||
loglevel: str = None,
|
||||
) -> AsyncIterator[dict[str, Any]]:
|
||||
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
async with get_client() as client:
|
||||
|
||||
# TODO: make ems flip to paper mode via
|
||||
# some returned signal if the user only wants to use
|
||||
# the data feed or we return this?
|
||||
# await ctx.started(({}, ['paper']))
|
||||
|
||||
if not client._api_key:
|
||||
raise RuntimeError(
|
||||
'Missing Kraken API key in `brokers.toml`!?!?')
|
||||
|
||||
# auth required block
|
||||
acctid = client._name
|
||||
acc_name = 'kraken.' + acctid
|
||||
|
||||
# pull and deliver trades ledger
|
||||
trades = await client.get_trades()
|
||||
log.info(
|
||||
f'Loaded {len(trades)} trades from account `{acc_name}`'
|
||||
)
|
||||
trans = await update_ledger(acctid, trades)
|
||||
active, closed = pp.update_pps_conf(
|
||||
'kraken',
|
||||
acctid,
|
||||
trade_records=trans,
|
||||
ledger_reload={}.fromkeys(t.bsuid for t in trans),
|
||||
)
|
||||
|
||||
position_msgs: list[dict] = []
|
||||
pps: dict[int, pp.Position]
|
||||
for pps in [active, closed]:
|
||||
for tid, p in pps.items():
|
||||
msg = BrokerdPosition(
|
||||
broker='kraken',
|
||||
account=acc_name,
|
||||
symbol=p.symbol.front_fqsn(),
|
||||
size=p.size,
|
||||
avg_price=p.be_price,
|
||||
currency='',
|
||||
)
|
||||
position_msgs.append(msg.dict())
|
||||
|
||||
await ctx.started(
|
||||
(position_msgs, [acc_name])
|
||||
)
|
||||
|
||||
# Get websocket token for authenticated data stream
|
||||
# Assert that a token was actually received.
|
||||
resp = await client.endpoint('GetWebSocketsToken', {})
|
||||
|
||||
err = resp.get('error')
|
||||
if err:
|
||||
raise BrokerError(err)
|
||||
|
||||
token = resp['result']['token']
|
||||
|
||||
ws: NoBsWs
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
open_autorecon_ws(
|
||||
'wss://ws-auth.kraken.com/',
|
||||
fixture=partial(
|
||||
subscribe,
|
||||
token=token,
|
||||
),
|
||||
) as ws,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
# task for processing inbound requests from ems
|
||||
n.start_soon(handle_order_requests, client, ems_stream)
|
||||
|
||||
count: int = 0
|
||||
|
||||
# process and relay trades events to ems
|
||||
# https://docs.kraken.com/websockets/#message-ownTrades
|
||||
async for msg in stream_messages(ws):
|
||||
match msg:
|
||||
case [
|
||||
trades_msgs,
|
||||
'ownTrades',
|
||||
{'sequence': seq},
|
||||
]:
|
||||
# XXX: do we actually need this orrr?
|
||||
# ensure that we are only processing new trades?
|
||||
assert seq > count
|
||||
count += 1
|
||||
|
||||
# flatten msgs for processing
|
||||
trades = {
|
||||
tid: trade
|
||||
for entry in trades_msgs
|
||||
for (tid, trade) in entry.items()
|
||||
|
||||
# only emit entries which are already not-in-ledger
|
||||
if tid not in {r.tid for r in trans}
|
||||
}
|
||||
for tid, trade in trades.items():
|
||||
|
||||
# parse-cast
|
||||
reqid = trade['ordertxid']
|
||||
action = trade['type']
|
||||
price = float(trade['price'])
|
||||
size = float(trade['vol'])
|
||||
broker_time = float(trade['time'])
|
||||
|
||||
# send a fill msg for gui update
|
||||
fill_msg = BrokerdFill(
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
action=action,
|
||||
size=size,
|
||||
price=price,
|
||||
# TODO: maybe capture more msg data
|
||||
# i.e fees?
|
||||
broker_details={'name': 'kraken'},
|
||||
broker_time=broker_time
|
||||
)
|
||||
await ems_stream.send(fill_msg.dict())
|
||||
|
||||
filled_msg = BrokerdStatus(
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
account=acc_name,
|
||||
status='filled',
|
||||
filled=size,
|
||||
reason='Order filled by kraken',
|
||||
broker_details={
|
||||
'name': 'kraken',
|
||||
'broker_time': broker_time
|
||||
},
|
||||
|
||||
# TODO: figure out if kraken gives a count
|
||||
# of how many units of underlying were
|
||||
# filled. Alternatively we can decrement
|
||||
# this value ourselves by associating and
|
||||
# calcing from the diff with the original
|
||||
# client-side request, see:
|
||||
# https://github.com/pikers/piker/issues/296
|
||||
remaining=0,
|
||||
)
|
||||
await ems_stream.send(filled_msg.dict())
|
||||
|
||||
# update ledger and position tracking
|
||||
trans = await update_ledger(acctid, trades)
|
||||
active, closed = pp.update_pps_conf(
|
||||
'kraken',
|
||||
acctid,
|
||||
trade_records=trans,
|
||||
ledger_reload={}.fromkeys(
|
||||
t.bsuid for t in trans),
|
||||
)
|
||||
|
||||
# emit pp msgs
|
||||
for pos in filter(
|
||||
bool,
|
||||
chain(active.values(), closed.values()),
|
||||
):
|
||||
pp_msg = BrokerdPosition(
|
||||
broker='kraken',
|
||||
|
||||
# XXX: ok so this is annoying, we're
|
||||
# relaying an account name with the
|
||||
# backend suffix prefixed but when
|
||||
# reading accounts from ledgers we
|
||||
# don't need it and/or it's prefixed
|
||||
# in the section table.. we should
|
||||
# just strip this from the message
|
||||
# right since `.broker` is already
|
||||
# included?
|
||||
account=f'kraken.{acctid}',
|
||||
symbol=pos.symbol.front_fqsn(),
|
||||
size=pos.size,
|
||||
avg_price=pos.be_price,
|
||||
|
||||
# TODO
|
||||
# currency=''
|
||||
)
|
||||
await ems_stream.send(pp_msg.dict())
|
||||
|
||||
case [
|
||||
trades_msgs,
|
||||
'openOrders',
|
||||
{'sequence': seq},
|
||||
]:
|
||||
# TODO: async order update handling which we
|
||||
# should remove from `handle_order_requests()`
|
||||
# above:
|
||||
# https://github.com/pikers/piker/issues/293
|
||||
# https://github.com/pikers/piker/issues/310
|
||||
log.info(f'Order update {seq}:{trades_msgs}')
|
||||
|
||||
case _:
|
||||
log.warning(f'Unhandled trades msg: {msg}')
|
||||
await tractor.breakpoint()
|
||||
|
||||
|
||||
def norm_trade_records(
|
||||
ledger: dict[str, Any],
|
||||
|
||||
) -> list[pp.Transaction]:
|
||||
|
||||
records: list[pp.Transaction] = []
|
||||
|
||||
for tid, record in ledger.items():
|
||||
|
||||
size = record.get('vol') * {
|
||||
'buy': 1,
|
||||
'sell': -1,
|
||||
}[record['type']]
|
||||
bsuid = record['pair']
|
||||
norm_sym = normalize_symbol(bsuid)
|
||||
|
||||
records.append(
|
||||
pp.Transaction(
|
||||
fqsn=f'{norm_sym}.kraken',
|
||||
tid=tid,
|
||||
size=float(size),
|
||||
price=float(record['price']),
|
||||
cost=float(record['fee']),
|
||||
dt=pendulum.from_timestamp(float(record['time'])),
|
||||
bsuid=bsuid,
|
||||
|
||||
# XXX: there are no derivs on kraken right?
|
||||
# expiry=expiry,
|
||||
)
|
||||
)
|
||||
|
||||
return records
|
||||
|
||||
|
||||
async def update_ledger(
|
||||
acctid: str,
|
||||
trade_entries: list[dict[str, Any]],
|
||||
|
||||
) -> list[pp.Transaction]:
|
||||
|
||||
# write recent session's trades to the user's (local) ledger file.
|
||||
with pp.open_trade_ledger(
|
||||
'kraken',
|
||||
acctid,
|
||||
) as ledger:
|
||||
ledger.update(trade_entries)
|
||||
|
||||
# normalize to transaction form
|
||||
records = norm_trade_records(trade_entries)
|
||||
return records
|
||||
|
|
@ -0,0 +1,464 @@
|
|||
# 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/>.
|
||||
|
||||
'''
|
||||
Real-time and historical data feed endpoints.
|
||||
|
||||
'''
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from dataclasses import asdict
|
||||
from datetime import datetime
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
Callable,
|
||||
)
|
||||
import time
|
||||
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
import pendulum
|
||||
from pydantic import BaseModel
|
||||
from trio_typing import TaskStatus
|
||||
import tractor
|
||||
import trio
|
||||
import wsproto
|
||||
|
||||
from piker._cacheables import open_cached_client
|
||||
from piker.brokers._util import (
|
||||
BrokerError,
|
||||
DataThrottle,
|
||||
DataUnavailable,
|
||||
)
|
||||
from piker.log import get_console_log
|
||||
from piker.data import ShmArray
|
||||
from piker.data._web_bs import open_autorecon_ws, NoBsWs
|
||||
from . import log
|
||||
from .api import (
|
||||
Client,
|
||||
OHLC,
|
||||
)
|
||||
|
||||
|
||||
# https://www.kraken.com/features/api#get-tradable-pairs
|
||||
class Pair(BaseModel):
|
||||
altname: str # alternate pair name
|
||||
wsname: str # WebSocket pair name (if available)
|
||||
aclass_base: str # asset class of base component
|
||||
base: str # asset id of base component
|
||||
aclass_quote: str # asset class of quote component
|
||||
quote: str # asset id of quote component
|
||||
lot: str # volume lot size
|
||||
|
||||
pair_decimals: int # scaling decimal places for pair
|
||||
lot_decimals: int # scaling decimal places for volume
|
||||
|
||||
# amount to multiply lot volume by to get currency volume
|
||||
lot_multiplier: float
|
||||
|
||||
# array of leverage amounts available when buying
|
||||
leverage_buy: list[int]
|
||||
# array of leverage amounts available when selling
|
||||
leverage_sell: list[int]
|
||||
|
||||
# fee schedule array in [volume, percent fee] tuples
|
||||
fees: list[tuple[int, float]]
|
||||
|
||||
# maker fee schedule array in [volume, percent fee] tuples (if on
|
||||
# maker/taker)
|
||||
fees_maker: list[tuple[int, float]]
|
||||
|
||||
fee_volume_currency: str # volume discount currency
|
||||
margin_call: str # margin call level
|
||||
margin_stop: str # stop-out/liquidation margin level
|
||||
ordermin: float # minimum order volume for pair
|
||||
|
||||
|
||||
async def stream_messages(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Message stream parser and heartbeat handler.
|
||||
|
||||
Deliver ws subscription messages as well as handle heartbeat logic
|
||||
though a single async generator.
|
||||
|
||||
'''
|
||||
too_slow_count = last_hb = 0
|
||||
|
||||
while True:
|
||||
|
||||
with trio.move_on_after(5) as cs:
|
||||
msg = await ws.recv_msg()
|
||||
|
||||
# trigger reconnection if heartbeat is laggy
|
||||
if cs.cancelled_caught:
|
||||
|
||||
too_slow_count += 1
|
||||
|
||||
if too_slow_count > 20:
|
||||
log.warning(
|
||||
"Heartbeat is too slow, resetting ws connection")
|
||||
|
||||
await ws._connect()
|
||||
too_slow_count = 0
|
||||
continue
|
||||
|
||||
if isinstance(msg, dict):
|
||||
if msg.get('event') == 'heartbeat':
|
||||
|
||||
now = time.time()
|
||||
delay = now - last_hb
|
||||
last_hb = now
|
||||
|
||||
# XXX: why tf is this not printing without --tl flag?
|
||||
log.debug(f"Heartbeat after {delay}")
|
||||
# print(f"Heartbeat after {delay}")
|
||||
|
||||
continue
|
||||
|
||||
err = msg.get('errorMessage')
|
||||
if err:
|
||||
raise BrokerError(err)
|
||||
else:
|
||||
yield msg
|
||||
|
||||
|
||||
async def process_data_feed_msgs(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Parse and pack data feed messages.
|
||||
|
||||
'''
|
||||
async for msg in stream_messages(ws):
|
||||
|
||||
chan_id, *payload_array, chan_name, pair = msg
|
||||
|
||||
if 'ohlc' in chan_name:
|
||||
|
||||
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
||||
|
||||
elif 'spread' in chan_name:
|
||||
|
||||
bid, ask, ts, bsize, asize = map(float, payload_array[0])
|
||||
|
||||
# TODO: really makes you think IB has a horrible API...
|
||||
quote = {
|
||||
'symbol': pair.replace('/', ''),
|
||||
'ticks': [
|
||||
{'type': 'bid', 'price': bid, 'size': bsize},
|
||||
{'type': 'bsize', 'price': bid, 'size': bsize},
|
||||
|
||||
{'type': 'ask', 'price': ask, 'size': asize},
|
||||
{'type': 'asize', 'price': ask, 'size': asize},
|
||||
],
|
||||
}
|
||||
yield 'l1', quote
|
||||
|
||||
# elif 'book' in msg[-2]:
|
||||
# chan_id, *payload_array, chan_name, pair = msg
|
||||
# print(msg)
|
||||
|
||||
else:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
yield msg
|
||||
|
||||
|
||||
def normalize(
|
||||
ohlc: OHLC,
|
||||
|
||||
) -> dict:
|
||||
quote = asdict(ohlc)
|
||||
quote['broker_ts'] = quote['time']
|
||||
quote['brokerd_ts'] = time.time()
|
||||
quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
|
||||
quote['last'] = quote['close']
|
||||
quote['bar_wap'] = ohlc.vwap
|
||||
|
||||
# seriously eh? what's with this non-symmetry everywhere
|
||||
# in subscription systems...
|
||||
# XXX: piker style is always lowercases symbols.
|
||||
topic = quote['pair'].replace('/', '').lower()
|
||||
|
||||
# print(quote)
|
||||
return topic, quote
|
||||
|
||||
|
||||
def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
|
||||
'''
|
||||
Create a request subscription packet dict.
|
||||
|
||||
https://docs.kraken.com/websockets/#message-subscribe
|
||||
|
||||
'''
|
||||
# eg. specific logic for this in kraken's sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
return {
|
||||
'pair': pairs,
|
||||
'event': 'subscribe',
|
||||
'subscription': data,
|
||||
}
|
||||
|
||||
|
||||
@acm
|
||||
async def open_history_client(
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Callable, int]:
|
||||
|
||||
# TODO implement history getter for the new storage layer.
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
# lol, kraken won't send any more then the "last"
|
||||
# 720 1m bars.. so we have to just ignore further
|
||||
# requests of this type..
|
||||
queries: int = 0
|
||||
|
||||
async def get_ohlc(
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_dt: Optional[datetime] = None,
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray,
|
||||
datetime, # start
|
||||
datetime, # end
|
||||
]:
|
||||
|
||||
nonlocal queries
|
||||
if queries > 0:
|
||||
raise DataUnavailable
|
||||
|
||||
count = 0
|
||||
while count <= 3:
|
||||
try:
|
||||
array = await client.bars(
|
||||
symbol,
|
||||
since=end_dt,
|
||||
)
|
||||
count += 1
|
||||
queries += 1
|
||||
break
|
||||
except DataThrottle:
|
||||
log.warning(f'kraken OHLC throttle for {symbol}')
|
||||
await trio.sleep(1)
|
||||
|
||||
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||
return array, start_dt, end_dt
|
||||
|
||||
yield get_ohlc, {'erlangs': 1, 'rate': 1}
|
||||
|
||||
|
||||
async def backfill_bars(
|
||||
|
||||
sym: str,
|
||||
shm: ShmArray, # type: ignore # noqa
|
||||
count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
|
||||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Fill historical bars into shared mem / storage afap.
|
||||
'''
|
||||
with trio.CancelScope() as cs:
|
||||
async with open_cached_client('kraken') as client:
|
||||
bars = await client.bars(symbol=sym)
|
||||
shm.push(bars)
|
||||
task_status.started(cs)
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# backend specific
|
||||
sub_type: str = 'ohlc',
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Subscribe for ohlc stream of quotes for ``pairs``.
|
||||
|
||||
``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
|
||||
|
||||
'''
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
ws_pairs = {}
|
||||
sym_infos = {}
|
||||
|
||||
async with open_cached_client('kraken') as client, send_chan as send_chan:
|
||||
|
||||
# keep client cached for real-time section
|
||||
for sym in symbols:
|
||||
|
||||
# transform to upper since piker style is always lower
|
||||
sym = sym.upper()
|
||||
|
||||
si = Pair(**await client.symbol_info(sym)) # validation
|
||||
syminfo = si.dict()
|
||||
syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
|
||||
syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
|
||||
syminfo['asset_type'] = 'crypto'
|
||||
sym_infos[sym] = syminfo
|
||||
ws_pairs[sym] = si.wsname
|
||||
|
||||
symbol = symbols[0].lower()
|
||||
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
symbol: {
|
||||
'symbol_info': sym_infos[sym],
|
||||
'shm_write_opts': {'sum_tick_vml': False},
|
||||
'fqsn': sym,
|
||||
},
|
||||
}
|
||||
|
||||
@acm
|
||||
async def subscribe(ws: wsproto.WSConnection):
|
||||
# XXX: setup subs
|
||||
# https://docs.kraken.com/websockets/#message-subscribe
|
||||
# specific logic for this in kraken's shitty sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
ohlc_sub = make_sub(
|
||||
list(ws_pairs.values()),
|
||||
{'name': 'ohlc', 'interval': 1}
|
||||
)
|
||||
|
||||
# TODO: we want to eventually allow unsubs which should
|
||||
# be completely fine to request from a separate task
|
||||
# since internally the ws methods appear to be FIFO
|
||||
# locked.
|
||||
await ws.send_msg(ohlc_sub)
|
||||
|
||||
# trade data (aka L1)
|
||||
l1_sub = make_sub(
|
||||
list(ws_pairs.values()),
|
||||
{'name': 'spread'} # 'depth': 10}
|
||||
)
|
||||
|
||||
# pull a first quote and deliver
|
||||
await ws.send_msg(l1_sub)
|
||||
|
||||
yield
|
||||
|
||||
# unsub from all pairs on teardown
|
||||
await ws.send_msg({
|
||||
'pair': list(ws_pairs.values()),
|
||||
'event': 'unsubscribe',
|
||||
'subscription': ['ohlc', 'spread'],
|
||||
})
|
||||
|
||||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
# see the tips on reconnection logic:
|
||||
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
||||
ws: NoBsWs
|
||||
async with open_autorecon_ws(
|
||||
'wss://ws.kraken.com/',
|
||||
fixture=subscribe,
|
||||
) as ws:
|
||||
|
||||
# pull a first quote and deliver
|
||||
msg_gen = process_data_feed_msgs(ws)
|
||||
|
||||
# TODO: use ``anext()`` when it lands in 3.10!
|
||||
typ, ohlc_last = await msg_gen.__anext__()
|
||||
|
||||
topic, quote = normalize(ohlc_last)
|
||||
|
||||
task_status.started((init_msgs, quote))
|
||||
|
||||
# lol, only "closes" when they're margin squeezing clients ;P
|
||||
feed_is_live.set()
|
||||
|
||||
# keep start of last interval for volume tracking
|
||||
last_interval_start = ohlc_last.etime
|
||||
|
||||
# start streaming
|
||||
async for typ, ohlc in msg_gen:
|
||||
|
||||
if typ == 'ohlc':
|
||||
|
||||
# TODO: can get rid of all this by using
|
||||
# ``trades`` subscription...
|
||||
|
||||
# generate tick values to match time & sales pane:
|
||||
# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
|
||||
volume = ohlc.volume
|
||||
|
||||
# new OHLC sample interval
|
||||
if ohlc.etime > last_interval_start:
|
||||
last_interval_start = ohlc.etime
|
||||
tick_volume = volume
|
||||
|
||||
else:
|
||||
# this is the tick volume *within the interval*
|
||||
tick_volume = volume - ohlc_last.volume
|
||||
|
||||
ohlc_last = ohlc
|
||||
last = ohlc.close
|
||||
|
||||
if tick_volume:
|
||||
ohlc.ticks.append({
|
||||
'type': 'trade',
|
||||
'price': last,
|
||||
'size': tick_volume,
|
||||
})
|
||||
|
||||
topic, quote = normalize(ohlc)
|
||||
|
||||
elif typ == 'l1':
|
||||
quote = ohlc
|
||||
topic = quote['symbol'].lower()
|
||||
|
||||
await send_chan.send({topic: quote})
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> Client:
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
# load all symbols locally for fast search
|
||||
cache = await client.cache_symbols()
|
||||
await ctx.started(cache)
|
||||
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
async for pattern in stream:
|
||||
|
||||
matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
cache,
|
||||
score_cutoff=50,
|
||||
)
|
||||
# repack in dict form
|
||||
await stream.send(
|
||||
{item[0]['altname']: item[0]
|
||||
for item in matches}
|
||||
)
|
||||
|
|
@ -615,7 +615,7 @@ def load_pps_from_toml(
|
|||
|
||||
if not pps:
|
||||
log.warning(
|
||||
f'No trade history could be loaded for {brokername}:{acctid}'
|
||||
f'No `pps.toml` positions could be loaded {brokername}:{acctid}'
|
||||
)
|
||||
|
||||
# unmarshal/load ``pps.toml`` config entries into object form.
|
||||
|
|
@ -752,11 +752,11 @@ def update_pps_conf(
|
|||
# drop symbol obj in serialized form
|
||||
s = asdict.pop('symbol')
|
||||
fqsn = s.front_fqsn()
|
||||
print(f'Updating active pp: {fqsn}')
|
||||
log.info(f'Updating active pp: {fqsn}')
|
||||
|
||||
# XXX: ugh, it's cuz we push the section under
|
||||
# the broker name.. maybe we need to rethink this?
|
||||
brokerless_key = fqsn.rstrip(f'.{brokername}')
|
||||
brokerless_key = fqsn.removeprefix(f'{brokername}.')
|
||||
|
||||
pp_entries[brokerless_key] = asdict
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue