Label private methods accordingly, remove cryptofeeds module
parent
65915832ed
commit
4da8b7861e
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@ -246,7 +246,7 @@ class Client:
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f'Error making request for Kucoin ws token -> {res.json()["msg"]}'
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f'Error making request for Kucoin ws token -> {res.json()["msg"]}'
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)
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)
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async def get_pairs(
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async def _get_pairs(
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self,
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self,
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) -> dict[str, KucoinMktPair]:
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) -> dict[str, KucoinMktPair]:
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if self._pairs:
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if self._pairs:
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@ -265,12 +265,12 @@ class Client:
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'''
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'''
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if not self._pairs:
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if not self._pairs:
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self._pairs = await self.get_pairs()
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self._pairs = await self._get_pairs()
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if normalize:
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if normalize:
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self._pairs = self.normalize_pairs(self._pairs)
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self._pairs = self._normalize_pairs(self._pairs)
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return self._pairs
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return self._pairs
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def normalize_pairs(
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def _normalize_pairs(
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self, pairs: dict[str, KucoinMktPair]
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self, pairs: dict[str, KucoinMktPair]
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) -> dict[str, KucoinMktPair]:
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) -> dict[str, KucoinMktPair]:
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"""
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"""
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@ -290,7 +290,7 @@ class Client:
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pattern: str,
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pattern: str,
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limit: int = 30,
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limit: int = 30,
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) -> dict[str, KucoinMktPair]:
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) -> dict[str, KucoinMktPair]:
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data = await self.get_pairs()
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data = await self._get_pairs()
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matches = fuzzy.extractBests(pattern, data, score_cutoff=35, limit=limit)
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matches = fuzzy.extractBests(pattern, data, score_cutoff=35, limit=limit)
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# repack in dict form
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# repack in dict form
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@ -300,7 +300,7 @@ class Client:
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trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
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trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
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return trades.items
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return trades.items
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async def get_bars(
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async def _get_bars(
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self,
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self,
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fqsn: str,
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fqsn: str,
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start_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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@ -564,7 +564,7 @@ async def open_history_client(
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if timeframe != 60:
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if timeframe != 60:
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raise DataUnavailable("Only 1m bars are supported")
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raise DataUnavailable("Only 1m bars are supported")
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array = await client.get_bars(
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array = await client._get_bars(
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symbol,
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symbol,
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start_dt=start_dt,
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start_dt=start_dt,
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end_dt=end_dt,
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end_dt=end_dt,
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@ -1,316 +0,0 @@
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# piker: trading gear for hackers
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# Copyright (C) Jared Goldman (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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"""
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from os import walk
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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from types import ModuleType
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from typing import Any, Literal, Optional, Callable
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import time
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from functools import partial
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import trio
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from trio_typing import TaskStatus
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from tractor.trionics import broadcast_receiver, maybe_open_context
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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 tractor import to_asyncio
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from cryptofeed import FeedHandler
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from cryptofeed.defines import TRADES, L2_BOOK
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from cryptofeed.symbols import Symbol
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from cryptofeed.types import OrderBook
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import asyncio
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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 piker.pp import config
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_spawn_kwargs = {
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"infect_asyncio": True,
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}
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log = get_logger(__name__)
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def fqsn_to_cb_sym(pair_data: Symbol) -> Symbol:
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return Symbol(base=pair_data["baseCurrency"], quote=pair_data["quoteCurrency"])
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def fqsn_to_cf_sym(fqsn: str, pairs: dict[str, Symbol]) -> str:
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pair_data = pairs[fqsn]
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return pair_data["baseCurrency"] + "-" + pair_data["quoteCurrency"]
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def pair_data_to_cf_sym(sym_data: Symbol):
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return sym_data["baseCurrency"] + "-" + sym_data["quoteCurrency"]
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def cf_sym_to_fqsn(sym: str) -> str:
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return sym.lower().replace("-", "")
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def get_config(exchange: str) -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get(exchange.lower())
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# TODO: document why we send this, basically because logging params 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 {exchange}")
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return conf
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async def mk_stream_quotes(
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exchange: str,
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channels: list[str],
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send_chan: trio.abc.SendChannel,
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symbols: list[str],
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feed_is_live: trio.Event,
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loglevel: str = None,
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# startup sync
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task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
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) -> None:
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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sym = symbols[0]
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async with (
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open_cached_client(exchange.lower()) as client,
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# send_chan as send_chan,
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):
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pairs = await client.cache_pairs()
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pair_data = pairs[sym]
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async with maybe_open_price_feed(
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pair_data,
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exchange,
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channels,
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) as stream:
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init_msgs = {
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sym: {
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"symbol_info": {"asset_type": "crypto", "price_tick_size": 0.0005},
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"shm_write_opts": {"sum_tick_vml": False},
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"fqsn": sym,
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},
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}
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quote_msg = {"symbol": pair_data["name"], "last": 0, "ticks": []}
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task_status.started((init_msgs, quote_msg))
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feed_is_live.set()
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async for typ, quote in stream:
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topic = quote["symbol"]
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await send_chan.send({topic: quote})
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log.info(
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f'sending {typ} quote:\n'
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f'{quote}'
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)
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# try:
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# finally:
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# breakpoint()
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# while True:
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# with trio.move_on_after(16) as cancel_scope:
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# log.warning(f'WAITING FOR MESSAGE')
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# typ, quote = await stream.receive()
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# log.warning(f'RECEIVED MSG: {quote}')
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# topic = quote["symbol"]
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# await send_chan.send({topic: quote})
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# log.warning(f'SENT TO CHAN')
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# if cancel_scope.cancelled_caught:
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# await tractor.breakpoint()
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@acm
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async def maybe_open_price_feed(
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pair_data: Symbol,
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exchange: str,
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channels,
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) -> trio.abc.ReceiveStream:
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# TODO: add a predicate to maybe_open_context
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# TODO: ensure we can dynamically pass down args here
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async with maybe_open_context(
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acm_func=open_price_feed,
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kwargs={
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"pair_data": pair_data,
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"exchange": exchange,
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"channels": channels,
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},
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key=pair_data["name"],
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) as (cache_hit, feed):
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yield feed
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@acm
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async def open_price_feed(
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pair_data: Symbol, exchange, channels
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) -> trio.abc.ReceiveStream:
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async with maybe_open_feed_handler(exchange) as fh:
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async with to_asyncio.open_channel_from(
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partial(
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aio_price_feed_relay,
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pair_data,
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exchange,
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channels,
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fh,
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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_feed_handler(exchange: str) -> trio.abc.ReceiveStream:
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async with maybe_open_context(
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acm_func=open_feed_handler,
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kwargs={
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"exchange": exchange,
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},
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key="feedhandler",
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) as (cache_hit, fh):
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yield fh
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@acm
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async def open_feed_handler(exchange: str):
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fh = FeedHandler(config=get_config(exchange))
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yield fh
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await to_asyncio.run_task(fh.stop_async)
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async def aio_price_feed_relay(
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pair_data: Symbol,
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exchange: str,
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channels: list[str],
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fh: FeedHandler,
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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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# sync with trio
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to_trio.send_nowait(None)
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async def _trade(data: dict, receipt_timestamp):
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data = data.to_dict()
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message = (
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"trade",
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{
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"symbol": cf_sym_to_fqsn(data['symbol']),
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"last": float(data['price']),
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"broker_ts": time.time(),
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"ticks": [{
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'type': 'trade',
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'price': float(data['price']),
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'size': float(data['amount']),
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'broker_ts': receipt_timestamp
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}],
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},
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)
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try:
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to_trio.send_nowait(message)
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await asyncio.sleep(0.001)
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except trio.WouldBlock as e:
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log.exception(
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'l1: OVERRUN ASYNCIO -> TRIO\n'
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f'TO_TRIO.stats -> {to_trio.statistics()}'
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)
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await asyncio.sleep(0)
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async def _l1(
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data: dict,
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receipt_timestamp: str | None,
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) -> None:
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log.info(f'RECV L1 {receipt_timestamp}')
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bid = data.book.to_dict()['bid']
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ask = data.book.to_dict()['ask']
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l1_ask_price, l1_ask_size = next(iter(ask.items()))
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l1_bid_price, l1_bid_size = next(iter(bid.items()))
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message = (
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"l1",
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{
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"symbol": cf_sym_to_fqsn(data.symbol),
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"broker_ts": time.time(),
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"ticks": [
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{
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"type": "bid",
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"price": float(l1_bid_price),
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"size": float(l1_bid_size),
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},
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{
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"type": "bsize",
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"price": float(l1_bid_price),
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"size": float(l1_bid_size),
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},
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{
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"type": "ask",
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"price": float(l1_ask_price),
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"size": float(l1_ask_size),
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},
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{
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"type": "asize",
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"price": float(l1_ask_price),
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"size": float(l1_ask_size),
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},
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]
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}
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)
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try:
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to_trio.send_nowait(message)
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await asyncio.sleep(0.001)
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except trio.WouldBlock as e:
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log.exception(
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'l1: OVERRUN ASYNCIO -> TRIO\n'
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f'TO_TRIO.stats -> {to_trio.statistics()}'
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)
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await asyncio.sleep(0)
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# breakpoint()
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# raise
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fh.add_feed(
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exchange,
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channels=channels,
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symbols=[pair_data_to_cf_sym(pair_data)],
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callbacks={TRADES: _trade, L2_BOOK: _l1}
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)
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if not fh.running:
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fh.run(start_loop=False, install_signal_handlers=False)
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await asyncio.sleep(float("inf"))
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