pikers
/
piker
3
0
Fork 0
Code Issues 4 Pull Requests 6 Packages Projects Releases Wiki Activity

`flake8` linter cleanup and comment out order ctl draft code

deribit_updates
Tyler Goodlet 2023-03-03 18:32:24 -05:00
parent 1bd421a0f3
commit 4c838474be
2 changed files with 128 additions and 125 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

209
piker/brokers/deribit/api.py
View File

@ -1,5 +1,5 @@
# piker: trading gear for hackers # piker: trading gear for hackers
# Copyright (C) Guillermo Rodriguez (in stewardship for piker0) # Copyright (C) Guillermo Rodriguez (in stewardship for pikers)
# This program is free software: you can redistribute it and/or modify # 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 # it under the terms of the GNU Affero General Public License as published by
@ -18,49 +18,48 @@
Deribit backend. Deribit backend.
''' '''
import json from __future__ import annotations
import time import time
import asyncio import asyncio
from contextlib import asynccontextmanager as acm, AsyncExitStack from contextlib import asynccontextmanager as acm
from functools import partial from functools import partial
from datetime import datetime from datetime import datetime
from typing import Any, Optional, Iterable, Callable from typing import (
Any,
Optional,
Callable,
)
from cryptofeed import FeedHandler
from cryptofeed.defines import (
DERIBIT,
L1_BOOK,
TRADES,
OPTION,
CALL,
PUT,
)
import pendulum import pendulum
import asks
import trio import trio
from trio_typing import Nursery, TaskStatus from trio_typing import TaskStatus
from fuzzywuzzy import process as fuzzy from fuzzywuzzy import process as fuzzy
import numpy as np import numpy as np
from tractor.trionics import (
broadcast_receiver,
maybe_open_context
)
from tractor import to_asyncio
from cryptofeed.symbols import Symbol
from piker.data.types import Struct from piker.data.types import Struct
from piker.data._web_bs import ( from piker.data._web_bs import (
NoBsWs,
open_autorecon_ws,
open_jsonrpc_session open_jsonrpc_session
) )
from .._util import resproc
from piker import config from piker import config
from piker.log import get_logger from piker.log import get_logger
from tractor.trionics import (
broadcast_receiver,
BroadcastReceiver,
maybe_open_context
)
from tractor import to_asyncio
from cryptofeed import FeedHandler
from cryptofeed.defines import (
DERIBIT,
L1_BOOK, TRADES,
OPTION, CALL, PUT
)
from cryptofeed.symbols import Symbol
log = get_logger(__name__) log = get_logger(__name__)
@ -190,7 +189,12 @@ def cb_sym_to_deribit_inst(sym: Symbol):
cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z'] cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
# deribit specific # deribit specific
months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC'] months = [
'JAN', 'FEB', 'MAR',
'APR', 'MAY', 'JUN',
'JUL', 'AUG', 'SEP',
'OCT', 'NOV', 'DEC',
]
exp = sym.expiry_date exp = sym.expiry_date
@ -210,7 +214,8 @@ def get_config() -> dict[str, Any]:
section = conf.get('deribit') section = conf.get('deribit')
# TODO: document why we send this, basically because logging params for cryptofeed # TODO: document why we send this, basically because logging params
# for cryptofeed
conf['log'] = {} conf['log'] = {}
conf['log']['disabled'] = True conf['log']['disabled'] = True
@ -364,6 +369,7 @@ class Client:
end_dt: Optional[datetime] = None, end_dt: Optional[datetime] = None,
limit: int = 1000, limit: int = 1000,
as_np: bool = True, as_np: bool = True,
) -> dict: ) -> dict:
instrument = symbol instrument = symbol
@ -389,14 +395,8 @@ class Client:
result = KLinesResult(**resp.result) result = KLinesResult(**resp.result)
new_bars = [] new_bars = []
for i in range(len(result.close)): for i in range(len(result.close)):
_open = result.open[i]
high = result.high[i]
low = result.low[i]
close = result.close[i]
volume = result.volume[i]
row = [ row = [
(start_time + (i * (60 * 1000))) / 1000.0, # time (start_time + (i * (60 * 1000))) / 1000.0, # time
result.open[i], result.open[i],
@ -409,7 +409,7 @@ class Client:
new_bars.append((i,) + tuple(row)) new_bars.append((i,) + tuple(row))
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else klines array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else new_bars
return array return array
async def last_trades( async def last_trades(
@ -463,7 +463,7 @@ async def get_client(
if time.time() - _expiry_time < renew_time: if time.time() - _expiry_time < renew_time:
# if we are close to token expiry time # if we are close to token expiry time
if _refresh_token != None: if _refresh_token is not None:
# if we have a refresh token already dont need to send # if we have a refresh token already dont need to send
# secret # secret
params = { params = {
@ -473,7 +473,8 @@ async def get_client(
} }
else: else:
# we don't have refresh token, send secret to initialize # we don't have refresh token, send secret to
# initialize
params = { params = {
'grant_type': 'client_credentials', 'grant_type': 'client_credentials',
'client_id': client._key_id, 'client_id': client._key_id,
@ -541,20 +542,30 @@ async def aio_price_feed_relay(
})) }))
async def _l1(data: dict, receipt_timestamp): async def _l1(data: dict, receipt_timestamp):
to_trio.send_nowait(('l1', { to_trio.send_nowait(
('l1', {
'symbol': cb_sym_to_deribit_inst( 'symbol': cb_sym_to_deribit_inst(
str_to_cb_sym(data.symbol)).lower(), str_to_cb_sym(data.symbol)).lower(),
'ticks': [ 'ticks': [
{'type': 'bid', {'type': 'bid',
'price': float(data.bid_price), 'size': float(data.bid_size)}, 'price': float(data.bid_price),
'size': float(data.bid_size)},
{'type': 'bsize', {'type': 'bsize',
'price': float(data.bid_price), 'size': float(data.bid_size)}, 'price': float(data.bid_price),
'size': float(data.bid_size)},
{'type': 'ask', {'type': 'ask',
'price': float(data.ask_price), 'size': float(data.ask_size)}, 'price': float(data.ask_price),
'size': float(data.ask_size)},
{'type': 'asize', {'type': 'asize',
'price': float(data.ask_price), 'size': float(data.ask_size)} 'price': float(data.ask_price),
'size': float(data.ask_size)}
] ]
})) })
)
fh.add_feed( fh.add_feed(
DERIBIT, DERIBIT,
@ -610,69 +621,71 @@ async def maybe_open_price_feed(
yield feed yield feed
# TODO: order broker support: this is all draft code from @guilledk B)
async def aio_order_feed_relay( # async def aio_order_feed_relay(
fh: FeedHandler, # fh: FeedHandler,
instrument: Symbol, # instrument: Symbol,
from_trio: asyncio.Queue, # from_trio: asyncio.Queue,
to_trio: trio.abc.SendChannel, # to_trio: trio.abc.SendChannel,
) -> None:
async def _fill(data: dict, receipt_timestamp):
breakpoint()
async def _order_info(data: dict, receipt_timestamp): # ) -> None:
breakpoint() # async def _fill(data: dict, receipt_timestamp):
# breakpoint()
fh.add_feed( # async def _order_info(data: dict, receipt_timestamp):
DERIBIT, # breakpoint()
channels=[FILLS, ORDER_INFO],
symbols=[instrument.upper()],
callbacks={
FILLS: _fill,
ORDER_INFO: _order_info,
})
if not fh.running: # fh.add_feed(
fh.run( # DERIBIT,
start_loop=False, # channels=[FILLS, ORDER_INFO],
install_signal_handlers=False) # symbols=[instrument.upper()],
# callbacks={
# FILLS: _fill,
# ORDER_INFO: _order_info,
# })
# sync with trio # if not fh.running:
to_trio.send_nowait(None) # fh.run(
# start_loop=False,
# install_signal_handlers=False)
await asyncio.sleep(float('inf')) # # sync with trio
# to_trio.send_nowait(None)
# await asyncio.sleep(float('inf'))
@acm # @acm
async def open_order_feed( # async def open_order_feed(
instrument: list[str] # instrument: list[str]
) -> trio.abc.ReceiveStream: # ) -> trio.abc.ReceiveStream:
async with maybe_open_feed_handler() as fh: # async with maybe_open_feed_handler() as fh:
async with to_asyncio.open_channel_from( # async with to_asyncio.open_channel_from(
partial( # partial(
aio_order_feed_relay, # aio_order_feed_relay,
fh, # fh,
instrument # instrument
) # )
) as (first, chan): # ) as (first, chan):
yield chan # yield chan
@acm # @acm
async def maybe_open_order_feed( # async def maybe_open_order_feed(
instrument: str # instrument: str
) -> trio.abc.ReceiveStream: # ) -> trio.abc.ReceiveStream:
# TODO: add a predicate to maybe_open_context # # TODO: add a predicate to maybe_open_context
async with maybe_open_context( # async with maybe_open_context(
acm_func=open_order_feed, # acm_func=open_order_feed,
kwargs={ # kwargs={
'instrument': instrument, # 'instrument': instrument,
'fh': fh # 'fh': fh
}, # },
key=f'{instrument}-order', # key=f'{instrument}-order',
) as (cache_hit, feed): # ) as (cache_hit, feed):
if cache_hit: # if cache_hit:
yield broadcast_receiver(feed, 10) # yield broadcast_receiver(feed, 10)
else: # else:
yield feed # yield feed

24
piker/brokers/deribit/feed.py
View File

@ -20,36 +20,26 @@ Deribit backend.
''' '''
from contextlib import asynccontextmanager as acm from contextlib import asynccontextmanager as acm
from datetime import datetime from datetime import datetime
from typing import Any, Optional, Callable from typing import (
import time Callable,
)
import trio import trio
from trio_typing import TaskStatus from trio_typing import TaskStatus
import pendulum import pendulum
from fuzzywuzzy import process as fuzzy
import numpy as np import numpy as np
import tractor import tractor
from piker._cacheables import open_cached_client from piker._cacheables import open_cached_client
from piker.log import get_logger, get_console_log from piker.log import get_logger, get_console_log
from piker.data import ShmArray
from piker.brokers._util import ( from piker.brokers._util import (
BrokerError,
DataUnavailable, DataUnavailable,
) )
from cryptofeed import FeedHandler
from cryptofeed.defines import (
DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
)
from cryptofeed.symbols import Symbol
from .api import ( from .api import (
Client, Client,
Trade, Trade,
get_config,
str_to_cb_sym,
piker_sym_to_cb_sym, piker_sym_to_cb_sym,
cb_sym_to_deribit_inst, cb_sym_to_deribit_inst,
maybe_open_price_feed maybe_open_price_feed
@ -73,8 +63,8 @@ async def open_history_client(
async def get_ohlc( async def get_ohlc(
timeframe: float, timeframe: float,
end_dt: Optional[datetime] = None, end_dt: datetime | None = None,
start_dt: Optional[datetime] = None, start_dt: datetime | None = None,
) -> tuple[ ) -> tuple[
np.ndarray, np.ndarray,
@ -139,7 +129,7 @@ async def stream_quotes(
async with maybe_open_price_feed(sym) as stream: async with maybe_open_price_feed(sym) as stream:
cache = await client.cache_symbols() await client.cache_symbols()
last_trades = (await client.last_trades( last_trades = (await client.last_trades(
cb_sym_to_deribit_inst(nsym), count=1)).trades cb_sym_to_deribit_inst(nsym), count=1)).trades
@ -181,7 +171,7 @@ async def open_symbol_search(
async with open_cached_client('deribit') as client: async with open_cached_client('deribit') as client:
# load all symbols locally for fast search # load all symbols locally for fast search
cache = await client.cache_symbols() await client.cache_symbols()
await ctx.started() await ctx.started()
async with ctx.open_stream() as stream: async with ctx.open_stream() as stream: