Add support for Trades ep

piker/brokers/kraken.py

@@ -1,5 +1,5 @@
 # piker: trading gear for hackers
-# Copyright (C) 2018-present  Tyler Goodlet (in stewardship of piker0)
+# Copyright (C) Tyler Goodlet (in stewardship for piker0)
 
 # 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
@@ -15,10 +15,12 @@
 # along with this program.  If not, see <https://www.gnu.org/licenses/>.
 
 """
-Kraken backend.
+kraken buttz.
+
+Get da crypto bois pampin da btcccccssssss (and or da tezos)
+
 """
 
-import sys
 from contextlib import asynccontextmanager
 from dataclasses import dataclass, asdict, field
 from typing import List, Dict, Any, Tuple, Optional, AsyncIterator
@@ -30,6 +32,8 @@ from trio_websocket._impl import ConnectionClosed, DisconnectionTimeout
 import arrow
 import asks
 import numpy as np
+from numba import njit, float64
+from numba import from_dtype
 import trio
 import tractor
 
@@ -46,8 +50,9 @@ log = get_logger(__name__)
 
 
 # <uri>/<version>/
-_url = 'https://api.kraken.com/0'
+_url: str = 'https://api.kraken.com/0'
 
+_epoch_s: int = 1499000000
 
 # Broker specific ohlc schema which includes a vwap field
 _ohlc_dtype = [
@@ -62,13 +67,49 @@ _ohlc_dtype = [
     ('bar_wap', float),
 ]
 
+_trade_dtype = [
+    # ('index', int),
+    ('price', float),
+    ('volume', float),
+    ('time', int),
+    ('is_bid', bool),
+    ('is_limit', bool),
+    ('exchange', 'U16'),
+]
+
 # UI components allow this to be declared such that additional
 # (historical) fields can be exposed.
 ohlc_dtype = np.dtype(_ohlc_dtype)
+trade_dtype = np.dtype(_trade_dtype)
+trade_ndtype = from_dtype(trade_dtype)
 
 _show_wap_in_history = True
 
 
+# @njit
+def json2np(
+    trades: list,
+    out: np.ndarray,
+    # _dtype=_trade_dtype,
+) -> np.ndarray:
+
+    for i, trade in enumerate(trades):
+        price, volume, t, direction, typ, misc = trade
+        time_ns = float64(t) * 1e9
+        is_bid = {'s': False, 'b': True}[direction]
+        is_trade = True  # do we care if it's a market vs. limti?
+        out[i] = (
+            float64(price),
+            float64(volume),
+            time_ns,
+            is_bid,
+            is_trade,
+            'kraken',
+        )
+
+    return out
+
+
 class Client:
 
     def __init__(self) -> None:
@@ -102,19 +143,57 @@ class Client:
         true_pair_key, data = next(iter(resp['result'].items()))
         return data
 
+    async def trades(
+        self,
+        symbol: str = 'XBTUSD',
+        # UTC 2017-07-02 12:53:20
+        since: int = 0,  # this is a special value indicating epoch of symbol
+        as_np: bool = True,
+    ) -> dict:
+
+        # UTC 2017-07-02 12:53:20 is oldest seconds value
+        # since_s = max(_epoch_s, int(since))
+
+        # pick a timestamp 1H ago
+        since_ns = time.time_ns() - 60*60*1e9
+
+        json = await self._public(
+            'Trades',
+            data={
+                'pair': symbol,
+                'since': since_ns,
+            },
+        )
+        res = json['result']
+        last_ns = res.pop('last')
+        trades = next(iter(res.values()))
+
+        out = np.zeros(1000, dtype=trade_ndtype)
+        array = json2np(trades, out)
+        return array
+
     async def bars(
         self,
         symbol: str = 'XBTUSD',
         # UTC 2017-07-02 12:53:20
-        since: int = None,
         count: int = 720,  # <- max allowed per query
         as_np: bool = True,
     ) -> dict:
-        if since is None:
+        """Retreive OHLC bars.
-            since = arrow.utcnow().floor('minute').shift(
+
-                minutes=-count).timestamp
+        Note only a max of 720 candles for each sampling interval 
-        # UTC 2017-07-02 12:53:20 is oldest seconds value
+        can be retreived. To acquire longer term history use .`trades()`
-        since = str(max(1499000000, since))
+        above. See here:
+        https://support.kraken.com/hc/en-us/articles/218198197-How-to-retrieve-historical-time-and-sales-trading-history-using-the-REST-API-Trades-endpoint-
+
+        We're mostly just keeping this method for bookkeeping
+        but we can probably just remove it eventually.
+
+        """
+        # member 720 is farthest back they'll go
+        since = arrow.utcnow().floor('minute').shift(
+            minutes=-720).timestamp
+
         json = await self._public(
             'OHLC',
             data={
@@ -131,12 +210,14 @@ class Client:
 
             first = bars[0]
             last_nz_vwap = first[-3]
+
             if last_nz_vwap == 0:
                 # use close if vwap is zero
                 last_nz_vwap = first[-4]
 
             # convert all fields to native types
             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))
@@ -295,31 +376,34 @@ def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
 async def fill_bars(
     first_bars,
     shm,
+    client,
     symbol: str,
     count: int = 75
 ) -> None:
 
-    async with get_client() as client:
+    # async with get_client() as client:
 
-        next_dt = first_bars[0][1]
+    next_dt = first_bars[0][1]
-        i = 0
+    i = 0
-        while i < count:
+    while i < count:
 
-            try:
+        # timestamp in seconds?
-                bars_array = await client.bars(
+        since = arrow.get(next_dt).floor(
-                    symbol=symbol,
+            'minute').shift(minutes=-(2*720)).timestamp
-                    since=arrow.get(next_dt).floor('minute')
-                        .shift(minutes=-720).timestamp
-                )
-                shm.push(bars_array, prepend=True)
-                i += 1
-                next_dt = bars_array[0][1]
 
-                await trio.sleep(5)
+        try:
+            bars_array = await client.bars(symbol=symbol, since=since)
 
-            except BaseException as e:
+            # push to shared mem
-                log.exception(e)
+            shm.push(bars_array, prepend=True)
-                await tractor.breakpoint()
+
+            i += 1
+
+            next_dt = bars_array[0][1]
+
+        except BaseException as e:
+            log.exception(e)
+            await tractor.breakpoint()
 
 
 _local_buffer_writers = {}
@@ -372,13 +456,15 @@ async def stream_quotes(
                     # we are writer
                     readonly=False,
                 )
-                bars = await client.bars(symbol=symbol)
+                trades = await client.trades(symbol=symbol)
+                await tractor.breakpoint()
 
                 shm.push(bars)
                 shm_token = shm.token
 
-                ln.start_soon(fill_bars, bars, shm, symbol)            
+                ln.start_soon(fill_bars, bars, shm, client, symbol)
 
+                #
                 times = shm.array['time']
                 delay_s = times[-1] - times[times != times[-1]][-1]
                 subscribe_ohlc_for_increment(shm, delay_s)