Implement `open_history_client()` correctly for `kraken`
parent
6ba3c15c4e
commit
49509d55d2
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@ -20,7 +20,8 @@ Kraken backend.
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'''
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'''
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from contextlib import asynccontextmanager as acm
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict, field
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from dataclasses import asdict, field
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from typing import Any, Optional, AsyncIterator, Callable
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from datetime import datetime
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from typing import Any, Optional, AsyncIterator, Callable, Union
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import time
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import time
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from trio_typing import TaskStatus
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from trio_typing import TaskStatus
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@ -40,7 +41,13 @@ import base64
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from .. import config
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from .. import config
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from .._cacheables import open_cached_client
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from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound, BrokerError
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from ._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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DataUnavailable,
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)
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from ..log import get_logger, get_console_log
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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@ -391,17 +398,26 @@ class Client:
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async def bars(
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async def bars(
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self,
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self,
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symbol: str = 'XBTUSD',
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symbol: str = 'XBTUSD',
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# UTC 2017-07-02 12:53:20
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# UTC 2017-07-02 12:53:20
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since: int = None,
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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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count: int = 720, # <- max allowed per query
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as_np: bool = True,
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as_np: bool = True,
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) -> dict:
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) -> dict:
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if since is None:
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if since is None:
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since = pendulum.now('UTC').start_of('minute').subtract(
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since = pendulum.now('UTC').start_of('minute').subtract(
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minutes=count).timestamp()
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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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# UTC 2017-07-02 12:53:20 is oldest seconds value
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since = str(max(1499000000, since))
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since = str(max(1499000000, int(since)))
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json = await self._public(
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json = await self._public(
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'OHLC',
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'OHLC',
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data={
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data={
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@ -445,7 +461,16 @@ class Client:
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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return array
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return array
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except KeyError:
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except KeyError:
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raise SymbolNotFound(json['error'][0] + f': {symbol}')
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errmsg = json['error'][0]
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if 'not found' in errmsg:
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raise SymbolNotFound(errmsg + f': {symbol}')
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elif 'Too many requests' in errmsg:
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raise DataThrottle(f'{symbol}')
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else:
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raise BrokerError(errmsg)
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@acm
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@acm
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@ -668,8 +693,8 @@ async def handle_order_requests(
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oid=msg.oid,
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oid=msg.oid,
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reqid=msg.reqid,
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reqid=msg.reqid,
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symbol=msg.symbol,
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symbol=msg.symbol,
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# TODO: maybe figure out if pending cancels will
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# TODO: maybe figure out if pending
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# eventually get cancelled
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# cancels will eventually get cancelled
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reason="Order cancel is still pending?",
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reason="Order cancel is still pending?",
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broker_details=resp
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broker_details=resp
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).dict()
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).dict()
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@ -1003,7 +1028,45 @@ async def open_history_client(
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# TODO implement history getter for the new storage layer.
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# TODO implement history getter for the new storage layer.
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async with open_cached_client('kraken') as client:
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async with open_cached_client('kraken') as client:
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yield client
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# lol, kraken won't send any more then the "last"
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# 720 1m bars.. so we have to just ignore further
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# requests of this type..
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queries: int = 0
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async def get_ohlc(
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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) -> tuple[
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np.ndarray,
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datetime, # start
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datetime, # end
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]:
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nonlocal queries
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if queries > 0:
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raise DataUnavailable
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count = 0
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while count <= 3:
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try:
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array = await client.bars(
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symbol,
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since=end_dt,
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)
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count += 1
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queries += 1
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break
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except DataThrottle:
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log.warning(f'kraken OHLC throttle for {symbol}')
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await trio.sleep(1)
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start_dt = pendulum.from_timestamp(array[0]['time'])
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end_dt = pendulum.from_timestamp(array[-1]['time'])
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return array, start_dt, end_dt
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yield get_ohlc
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async def backfill_bars(
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async def backfill_bars(
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