Begin jsonrpc over ws refactor

piker/brokers/deribit/api.py

@@ -1,3 +1,6 @@
+# piker: trading gear for hackers
+# Copyright (C) Guillermo Rodriguez (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
 # the Free Software Foundation, either version 3 of the License, or
@@ -15,17 +18,22 @@
 Deribit backend.
 
 '''
+import time
 
-from contextlib import asynccontextmanager as acm
+from contextlib import asynccontextmanager as acm, AsyncExitStack
+from itertools import count
 from datetime import datetime
-from typing import Any, Optional, List
+from typing import Any, List, Dict, Optional, Iterable
 
 import pendulum
 import asks
+import trio
+from trio_typing import Nursery, TaskStatus
 from fuzzywuzzy import process as fuzzy
 import numpy as np
 
 from piker.data.types import Struct
+from piker.data._web_bs import NoBsWs, open_autorecon_ws
 
 from .._util import resproc
 
@@ -38,6 +46,7 @@ log = get_logger(__name__)
 
 
 _url = 'https://www.deribit.com'
+_ws_url = 'wss://www.deribit.com/ws/api/v2'
 
 
 # Broker specific ohlc schema (rest)
@@ -54,6 +63,15 @@ _ohlc_dtype = [
 
 
 class JSONRPCResult(Struct):
+    jsonrpc: str = '2.0'
+    id: int
+    result: dict 
+    usIn: int 
+    usOut: int 
+    usDiff: int 
+    testnet: bool
+
+class JSONRPCHTTPResult(Struct):
     jsonrpc: str = '2.0'
     result: dict 
     usIn: int 
@@ -95,13 +113,131 @@ def deribit_timestamp(when):
     return int((when.timestamp() * 1000) + (when.microsecond / 1000))
 
 
+def get_config() -> dict[str, Any]:
+
+    conf, path = config.load()
+
+    section = conf.get('deribit')
+
+    if section is None:
+        log.warning(f'No config section found for deribit in {path}')
+        return {}
+
+    conf['log'] = {}
+    conf['log']['disabled'] = True
+
+    return conf 
+
+
 class Client:
 
-    def __init__(self) -> None:
+    def __init__(self, n: Nursery, ws: NoBsWs) -> None:
         self._sesh = asks.Session(connections=4)
         self._sesh.base_location = _url
         self._pairs: dict[str, Any] = {}
 
+        config = get_config()['deribit']
+        self._key_id = config['key_id']
+        self._key_secret = config['key_secret']
+
+        self._ws = ws 
+        self._n = n 
+
+        self._rpc_id: Iterable = count(0)
+        self._rpc_results: Dict[int, Dict] = {}
+
+        self._expiry_time: int = float('inf')
+        self._access_token: Optional[str] = None
+        self._refresh_token: Optional[str] = None
+
+    def _next_json_body(self, method: str, params: Dict):
+        return {
+            'jsonrpc': '2.0',
+            'id': next(self._rpc_id),
+            'method': method,
+            'params': params
+        }
+
+    async def start_rpc(self):
+        self._n.start_soon(self._recv_task)
+        await self._n.start(self._auth_loop)
+
+    async def _recv_task(self):
+        while True:
+            msg = JSONRPCResult(**(await self._ws.recv_msg()))
+
+            if msg.id not in self._rpc_results:
+                self._rpc_results[msg.id] = {
+                    'result': None,
+                    'event': trio.Event()
+                }
+
+            self._rpc_results[msg.id]['result'] = msg
+            self._rpc_results[msg.id]['event'].set()
+
+    async def json_rpc(self, method: str, params: Dict) -> Dict:
+        msg = self._next_json_body(method, params)
+        _id = msg['id']
+
+        self._rpc_results[_id] = {
+            'result': None,
+            'event': trio.Event()
+        }
+
+        await self._ws.send_msg(msg)
+
+        await self._rpc_results[_id]['event'].wait()
+
+        ret = self._rpc_results[_id]['result']
+
+        del self._rpc_results[_id]
+
+        return ret
+
+    async def _auth_loop(
+        self,
+        task_status: TaskStatus = trio.TASK_STATUS_IGNORED
+    ):
+        '''https://docs.deribit.com/?python#authentication-2
+        '''
+        renew_time = 10
+        access_scope = 'trade:read_write'
+        self._expiry_time = time.time()
+        got_access = False
+
+        while True:
+            if time.time() - self._expiry_time < renew_time:
+                if self._refresh_token != None:
+                    params = {
+                        'grant_type': 'refresh_token',
+                        'refresh_token': self._refresh_token,
+                        'scope': access_scope
+                    }
+
+                else:
+                    params = {
+                        'grant_type': 'client_credentials',
+                        'client_id': self._key_id,
+                        'client_secret': self._key_secret,
+                        'scope': access_scope
+                    }
+               
+                resp = await self.json_rpc('public/auth', params)
+                result = resp.result
+
+                self._expiry_time = time.time() + result['expires_in']
+                self._refresh_token = result['refresh_token']
+
+                if 'access_token' in result:
+                    self._access_token = result['access_token']
+
+                if not got_access:
+                    got_access = True
+                    task_status.started()
+
+            else:
+                await trio.sleep(renew_time / 2)
+
     async def _api(
         self,
         method: str,
@@ -134,10 +270,8 @@ class Client:
             'expired': str(expired).lower()
         }
 
-        resp = await self._api(
+        resp = await self.json_rpc('public/get_instruments', params)
-            'get_instruments', params=params)
+        results = resp.result
-
-        results = resp['result']
 
         instruments = {
             item['instrument_name']: item for item in results}
@@ -195,19 +329,16 @@ class Client:
         end_time = deribit_timestamp(end_dt)
 
         # https://docs.deribit.com/#public-get_tradingview_chart_data
-        response = await self._api(
+        resp = await self.json_rpc(
-            'get_tradingview_chart_data',
+            'public/get_tradingview_chart_data',
             params={
                 'instrument_name': instrument.upper(),
                 'start_timestamp': start_time,
                 'end_timestamp': end_time,
                 'resolution': '1'
-            }
+            })
-        )
 
-        klines = JSONRPCResult(**response)
+        result = KLinesResult(**resp.result)
-    
-        result = KLinesResult(**klines.result)
         new_bars = []
         for i in range(len(result.close)):
 
@@ -237,19 +368,24 @@ class Client:
         instrument: str,
         count: int = 10
     ):
-        response = await self._api(
+        resp = await self.json_rpc(
-            'get_last_trades_by_instrument',
+            'public/get_last_trades_by_instrument',
             params={
                 'instrument_name': instrument,
                 'count': count
-            }
+            })
-        )
 
-        return LastTradesResult(**(JSONRPCResult(**response).result))
+        return LastTradesResult(**resp.result)
 
 
 @acm
 async def get_client() -> Client:
-    client = Client()
+    async with (
-    await client.cache_symbols()
+        trio.open_nursery() as n,
-    yield client
+        open_autorecon_ws(_ws_url) as ws
+    ):
+
+        client = Client(n, ws)
+        await client.start_rpc()
+        await client.cache_symbols()
+        yield client

piker/brokers/deribit/broker.py

@@ -0,0 +1,32 @@
+# piker: trading gear for hackers
+# Copyright (C) Guillermo Rodriguez (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
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU Affero General Public License for more details.
+
+# You should have received a copy of the GNU Affero General Public License
+# along with this program.  If not, see <https://www.gnu.org/licenses/>.
+'''
+Order api and machinery
+
+'''
+
+
+@tractor.context
+async def trades_dialogue(
+    ctx: tractor.Context,
+    loglevel: str = None,
+
+) -> AsyncIterator[dict[str, Any]]:
+
+    # XXX: required to propagate ``tractor`` loglevel to piker logging
+    get_console_log(loglevel or tractor.current_actor().loglevel)
+
+    async with get_client() as client:

piker/brokers/deribit/feed.py

@@ -1,3 +1,6 @@
+# piker: trading gear for hackers
+# Copyright (C) Guillermo Rodriguez (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
 # the Free Software Foundation, either version 3 of the License, or
@@ -31,7 +34,6 @@ import numpy as np
 import tractor
 from tractor import to_asyncio
 
-from piker import config
 from piker._cacheables import open_cached_client
 from piker.log import get_logger, get_console_log
 from piker.data import ShmArray
@@ -47,32 +49,13 @@ from cryptofeed.defines import (
 )
 from cryptofeed.symbols import Symbol
 
-from .api import Client, Trade
+from .api import Client, Trade, get_config
 
 _spawn_kwargs = {
     'infect_asyncio': True,
 }
 
 
-def get_config() -> dict[str, Any]:
-
-    conf, path = config.load()
-
-    section = conf.get('deribit')
-
-    if section is None:
-        log.warning(f'No config section found for deribit in {path}')
-        return {}
-
-    conf['log'] = {}
-    conf['log']['disabled'] = True
-
-#    conf['log']['filename'] = '/tmp/feedhandler.log'
-#    conf['log']['level'] = 'WARNING'
-
-    return conf 
-
-
 log = get_logger(__name__)
 
 
@@ -128,7 +111,7 @@ def cb_sym_to_deribit_inst(sym: Symbol):
 
     # deribit specific 
     months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
-    
+
     exp = sym.expiry_date
 
     # YYMDD

piker/data/_web_bs.py

@@ -20,7 +20,7 @@ ToOlS fOr CoPInG wITh "tHE wEB" protocols.
 """
 from contextlib import asynccontextmanager, AsyncExitStack
 from types import ModuleType
-from typing import Any, Callable, AsyncGenerator
+from typing import Any, Optional, Callable, AsyncGenerator
 import json
 
 import trio
@@ -54,8 +54,8 @@ class NoBsWs:
         self,
         url: str,
         stack: AsyncExitStack,
-        fixture: Callable,
+        fixture: Optional[Callable] = None,
-        serializer: ModuleType = json,
+        serializer: ModuleType = json
     ):
         self.url = url
         self.fixture = fixture
@@ -80,12 +80,14 @@ class NoBsWs:
                 self._ws = await self._stack.enter_async_context(
                     trio_websocket.open_websocket_url(self.url)
                 )
-                # rerun user code fixture
-                ret = await self._stack.enter_async_context(
-                    self.fixture(self)
-                )
 
-                assert ret is None
+                if self.fixture is not None:
+                    # rerun user code fixture
+                    ret = await self._stack.enter_async_context(
+                        self.fixture(self)
+                    )
+
+                    assert ret is None
 
                 log.info(f'Connection success: {self.url}')
                 return self._ws
@@ -127,7 +129,7 @@ async def open_autorecon_ws(
     url: str,
 
     # TODO: proper type annot smh
-    fixture: Callable,
+    fixture: Optional[Callable] = None,
 
 ) -> AsyncGenerator[tuple[...],  NoBsWs]:
     """Apparently we can QoS for all sorts of reasons..so catch em.