`flake8` linter cleanup and comment out order ctl draft code
Tyler Goodlet
parent
1bd421a0f3
commit
4c838474be
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@ -1,5 +1,5 @@
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# piker: trading gear for hackers
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# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
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# Copyright (C) Guillermo Rodriguez (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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@ -18,49 +18,48 @@
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Deribit backend.
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'''
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import json
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from __future__ import annotations
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import time
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import asyncio
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from contextlib import asynccontextmanager as acm, AsyncExitStack
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from contextlib import asynccontextmanager as acm
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from functools import partial
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from datetime import datetime
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from typing import Any, Optional, Iterable, Callable
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from typing import (
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Any,
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Optional,
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Callable,
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)
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from cryptofeed import FeedHandler
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from cryptofeed.defines import (
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DERIBIT,
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L1_BOOK,
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TRADES,
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OPTION,
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CALL,
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PUT,
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)
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import pendulum
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import asks
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import trio
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from trio_typing import Nursery, TaskStatus
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from trio_typing import TaskStatus
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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from tractor.trionics import (
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broadcast_receiver,
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maybe_open_context
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)
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from tractor import to_asyncio
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from cryptofeed.symbols import Symbol
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from piker.data.types import Struct
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from piker.data._web_bs import (
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NoBsWs,
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open_autorecon_ws,
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open_jsonrpc_session
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)
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from .._util import resproc
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from piker import config
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from piker.log import get_logger
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from tractor.trionics import (
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broadcast_receiver,
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BroadcastReceiver,
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maybe_open_context
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)
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from tractor import to_asyncio
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from cryptofeed import FeedHandler
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from cryptofeed.defines import (
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DERIBIT,
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L1_BOOK, TRADES,
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OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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log = get_logger(__name__)
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@ -189,8 +188,13 @@ def cb_sym_to_deribit_inst(sym: Symbol):
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# cryptofeed normalized
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cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
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# deribit specific
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months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
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# deribit specific
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months = [
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'JAN', 'FEB', 'MAR',
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'APR', 'MAY', 'JUN',
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'JUL', 'AUG', 'SEP',
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'OCT', 'NOV', 'DEC',
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]
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exp = sym.expiry_date
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@ -210,14 +214,15 @@ def get_config() -> dict[str, Any]:
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section = conf.get('deribit')
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# TODO: document why we send this, basically because logging params for cryptofeed
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# TODO: document why we send this, basically because logging params
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# for cryptofeed
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conf['log'] = {}
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conf['log']['disabled'] = True
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if section is None:
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log.warning(f'No config section found for deribit in {path}')
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return conf
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return conf
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class Client:
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@ -364,6 +369,7 @@ class Client:
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end_dt: Optional[datetime] = None,
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limit: int = 1000,
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as_np: bool = True,
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) -> dict:
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instrument = symbol
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@ -389,14 +395,8 @@ class Client:
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result = KLinesResult(**resp.result)
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new_bars = []
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for i in range(len(result.close)):
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_open = result.open[i]
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high = result.high[i]
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low = result.low[i]
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close = result.close[i]
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volume = result.volume[i]
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row = [
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(start_time + (i * (60 * 1000))) / 1000.0, # time
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result.open[i],
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@ -409,7 +409,7 @@ class Client:
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new_bars.append((i,) + tuple(row))
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else klines
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else new_bars
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return array
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async def last_trades(
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@ -463,7 +463,7 @@ async def get_client(
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if time.time() - _expiry_time < renew_time:
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# if we are close to token expiry time
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if _refresh_token != None:
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if _refresh_token is not None:
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# if we have a refresh token already dont need to send
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# secret
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params = {
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@ -473,7 +473,8 @@ async def get_client(
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}
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else:
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# we don't have refresh token, send secret to initialize
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# we don't have refresh token, send secret to
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# initialize
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params = {
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'grant_type': 'client_credentials',
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'client_id': client._key_id,
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@ -541,20 +542,30 @@ async def aio_price_feed_relay(
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}))
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async def _l1(data: dict, receipt_timestamp):
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to_trio.send_nowait(('l1', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'ticks': [
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{'type': 'bid',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'bsize',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'ask',
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'price': float(data.ask_price), 'size': float(data.ask_size)},
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{'type': 'asize',
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'price': float(data.ask_price), 'size': float(data.ask_size)}
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]
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}))
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to_trio.send_nowait(
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('l1', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'ticks': [
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{'type': 'bid',
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'price': float(data.bid_price),
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'size': float(data.bid_size)},
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{'type': 'bsize',
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'price': float(data.bid_price),
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'size': float(data.bid_size)},
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{'type': 'ask',
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'price': float(data.ask_price),
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'size': float(data.ask_size)},
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{'type': 'asize',
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'price': float(data.ask_price),
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'size': float(data.ask_size)}
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]
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})
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)
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fh.add_feed(
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DERIBIT,
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@ -610,69 +621,71 @@ async def maybe_open_price_feed(
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yield feed
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# TODO: order broker support: this is all draft code from @guilledk B)
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async def aio_order_feed_relay(
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fh: FeedHandler,
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instrument: Symbol,
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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) -> None:
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async def _fill(data: dict, receipt_timestamp):
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breakpoint()
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# async def aio_order_feed_relay(
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# fh: FeedHandler,
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# instrument: Symbol,
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# from_trio: asyncio.Queue,
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# to_trio: trio.abc.SendChannel,
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async def _order_info(data: dict, receipt_timestamp):
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breakpoint()
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# ) -> None:
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# async def _fill(data: dict, receipt_timestamp):
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# breakpoint()
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fh.add_feed(
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DERIBIT,
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channels=[FILLS, ORDER_INFO],
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symbols=[instrument.upper()],
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callbacks={
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FILLS: _fill,
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ORDER_INFO: _order_info,
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})
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# async def _order_info(data: dict, receipt_timestamp):
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# breakpoint()
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if not fh.running:
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fh.run(
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start_loop=False,
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install_signal_handlers=False)
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# fh.add_feed(
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# DERIBIT,
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# channels=[FILLS, ORDER_INFO],
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# symbols=[instrument.upper()],
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# callbacks={
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# FILLS: _fill,
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# ORDER_INFO: _order_info,
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# })
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# sync with trio
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to_trio.send_nowait(None)
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# if not fh.running:
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# fh.run(
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# start_loop=False,
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# install_signal_handlers=False)
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await asyncio.sleep(float('inf'))
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# # sync with trio
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# to_trio.send_nowait(None)
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# await asyncio.sleep(float('inf'))
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@acm
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async def open_order_feed(
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instrument: list[str]
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) -> trio.abc.ReceiveStream:
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async with maybe_open_feed_handler() as fh:
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async with to_asyncio.open_channel_from(
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partial(
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aio_order_feed_relay,
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fh,
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instrument
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)
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) as (first, chan):
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yield chan
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# @acm
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# async def open_order_feed(
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# instrument: list[str]
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# ) -> trio.abc.ReceiveStream:
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# async with maybe_open_feed_handler() as fh:
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# async with to_asyncio.open_channel_from(
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# partial(
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# aio_order_feed_relay,
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# fh,
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# instrument
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# )
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# ) as (first, chan):
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# yield chan
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@acm
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async def maybe_open_order_feed(
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instrument: str
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) -> trio.abc.ReceiveStream:
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# @acm
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# async def maybe_open_order_feed(
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# instrument: str
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# ) -> trio.abc.ReceiveStream:
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# TODO: add a predicate to maybe_open_context
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async with maybe_open_context(
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acm_func=open_order_feed,
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kwargs={
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'instrument': instrument,
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'fh': fh
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},
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key=f'{instrument}-order',
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) as (cache_hit, feed):
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if cache_hit:
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yield broadcast_receiver(feed, 10)
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else:
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yield feed
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# # TODO: add a predicate to maybe_open_context
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# async with maybe_open_context(
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# acm_func=open_order_feed,
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# kwargs={
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# 'instrument': instrument,
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# 'fh': fh
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# },
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# key=f'{instrument}-order',
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# ) as (cache_hit, feed):
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# if cache_hit:
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# yield broadcast_receiver(feed, 10)
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# else:
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# yield feed
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@ -20,36 +20,26 @@ Deribit backend.
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'''
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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from typing import Any, Optional, Callable
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import time
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from typing import (
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Callable,
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)
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import trio
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from trio_typing import TaskStatus
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import pendulum
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from piker._cacheables import open_cached_client
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from piker.log import get_logger, get_console_log
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from piker.data import ShmArray
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from piker.brokers._util import (
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BrokerError,
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DataUnavailable,
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)
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from cryptofeed import FeedHandler
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from cryptofeed.defines import (
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DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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from .api import (
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Client,
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Trade,
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get_config,
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str_to_cb_sym,
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piker_sym_to_cb_sym,
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cb_sym_to_deribit_inst,
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maybe_open_price_feed
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@ -73,8 +63,8 @@ async def open_history_client(
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async def get_ohlc(
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timeframe: float,
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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end_dt: datetime | None = None,
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start_dt: datetime | None = None,
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) -> tuple[
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np.ndarray,
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@ -139,7 +129,7 @@ async def stream_quotes(
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async with maybe_open_price_feed(sym) as stream:
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cache = await client.cache_symbols()
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await client.cache_symbols()
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last_trades = (await client.last_trades(
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cb_sym_to_deribit_inst(nsym), count=1)).trades
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@ -181,7 +171,7 @@ async def open_symbol_search(
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async with open_cached_client('deribit') as client:
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# load all symbols locally for fast search
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cache = await client.cache_symbols()
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await client.cache_symbols()
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await ctx.started()
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async with ctx.open_stream() as stream:
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