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Format and ensure we're only grabbing the most closest bid and ask

small_kucoin_fixes
jaredgoldman 2023-03-27 21:51:54 -04:00
parent 52aadb374b
commit 68a06093e9
1 changed files with 143 additions and 150 deletions
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293
piker/brokers/kucoin.py
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@ -13,10 +13,10 @@
# 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/>.
"""
'''
Kucoin broker backend
"""
'''
from random import randint
from typing import Any, Callable, Optional, Literal, AsyncGenerator
@ -51,14 +51,14 @@ from ..data._web_bs import (
log = get_logger(__name__)
_ohlc_dtype = [
("index", int),
("time", int),
("open", float),
("high", float),
("low", float),
("close", float),
("volume", float),
("bar_wap", float), # will be zeroed by sampler if not filled
('index', int),
('time', int),
('open', float),
('high', float),
('low', float),
('close', float),
('volume', float),
('bar_wap', float), # will be zeroed by sampler if not filled
]
@ -67,6 +67,7 @@ class KucoinMktPair(Struct, frozen=True):
Kucoin's pair format
'''
baseCurrency: str
baseIncrement: float
baseMaxSize: float
@ -91,6 +92,7 @@ class AccountTrade(Struct, frozen=True):
Historical trade format
'''
id: str
currency: str
amount: float
@ -98,7 +100,7 @@ class AccountTrade(Struct, frozen=True):
balance: float
accountType: str
bizType: str
direction: Literal["in", "out"]
direction: Literal['in', 'out']
createdAt: float
context: list[str]
@ -116,6 +118,7 @@ class KucoinTrade(Struct, frozen=True):
Real-time trade format
'''
bestAsk: float
bestAskSize: float
bestBid: float
@ -131,6 +134,7 @@ class KucoinL2(Struct, frozen=True):
Real-time L2 order book format
'''
asks: list[list[float]]
bids: list[list[float]]
timestamp: float
@ -152,10 +156,10 @@ class BrokerConfig(Struct, frozen=True):
def get_config() -> BrokerConfig | None:
conf, path = config.load()
section = conf.get("kucoin")
section = conf.get('kucoin')
if section is None:
log.warning("No config section found for kucoin in config")
log.warning('No config section found for kucoin in config')
return None
return BrokerConfig(**section)
@ -172,9 +176,7 @@ class Client:
config: BrokerConfig | None = get_config()
if (
config and config.key_id and config.key_secret and config.key_passphrase
):
if config and config.key_id and config.key_secret and config.key_passphrase:
self._authenticated = True
self._key_id = config.key_id
self._key_secret = config.key_secret
@ -182,9 +184,9 @@ class Client:
def _gen_auth_req_headers(
self,
action: Literal["POST", "GET"],
action: Literal['POST', 'GET'],
endpoint: str,
api_v: str = "v2",
api_v: str = 'v2',
) -> dict[str, str | bytes]:
'''
Generate authenticated request headers
@ -193,39 +195,39 @@ class Client:
'''
breakpoint()
now = int(time.time() * 1000)
path = f"/api/{api_v}{endpoint}"
path = f'/api/{api_v}{endpoint}'
str_to_sign = str(now) + action + path
signature = base64.b64encode(
hmac.new(
self._key_secret.encode("utf-8"),
str_to_sign.encode("utf-8"),
self._key_secret.encode('utf-8'),
str_to_sign.encode('utf-8'),
hashlib.sha256,
).digest()
)
passphrase = base64.b64encode(
hmac.new(
self._key_secret.encode("utf-8"),
self._key_passphrase.encode("utf-8"),
self._key_secret.encode('utf-8'),
self._key_passphrase.encode('utf-8'),
hashlib.sha256,
).digest()
)
return {
"KC-API-SIGN": signature,
"KC-API-TIMESTAMP": str(now),
"KC-API-KEY": self._key_id,
"KC-API-PASSPHRASE": passphrase,
'KC-API-SIGN': signature,
'KC-API-TIMESTAMP': str(now),
'KC-API-KEY': self._key_id,
'KC-API-PASSPHRASE': passphrase,
# XXX: Even if using the v1 api - this stays the same
"KC-API-KEY-VERSION": "2",
'KC-API-KEY-VERSION': '2',
}
async def _request(
self,
action: Literal["POST", "GET"],
action: Literal['POST', 'GET'],
endpoint: str,
api_v: str = "v2",
api_v: str = 'v2',
headers: dict = {},
) -> Any:
'''
@ -235,34 +237,29 @@ class Client:
if self._authenticated:
headers = self._gen_auth_req_headers(action, endpoint, api_v)
api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
res = await asks.request(action, api_url, headers=headers)
if "data" in res.json():
return res.json()["data"]
if 'data' in res.json():
return res.json()['data']
else:
log.error(f'Error making request to {api_url} -> {res.json()["msg"]}')
return res.json()["msg"]
return res.json()['msg']
async def _get_ws_token(
self,
private: bool = False
) -> tuple[str, int] | None:
async def _get_ws_token(self, private: bool = False) -> tuple[str, int] | None:
'''
Fetch ws token needed for sub access
'''
token_type = "private" if private else "public"
token_type = 'private' if private else 'public'
data: dict[str, Any] | None = await self._request(
"POST",
f"/bullet-{token_type}",
"v1"
'POST', f'/bullet-{token_type}', 'v1'
)
if data and "token" in data:
ping_interval: int = data["instanceServers"][0]["pingInterval"]
return data["token"], ping_interval
if data and 'token' in data:
ping_interval: int = data['instanceServers'][0]['pingInterval']
return data['token'], ping_interval
elif data:
log.error(
f'Error making request for Kucoin ws token -> {data.json()["msg"]}'
@ -274,8 +271,8 @@ class Client:
if self._pairs:
return self._pairs
entries = await self._request("GET", "/symbols")
syms = {item["name"]: KucoinMktPair(**item) for item in entries}
entries = await self._request('GET', '/symbols')
syms = {item['name']: KucoinMktPair(**item) for item in entries}
return syms
async def cache_pairs(
@ -295,14 +292,14 @@ class Client:
def _normalize_pairs(
self, pairs: dict[str, KucoinMktPair]
) -> dict[str, KucoinMktPair]:
"""
'''
Map kucoin pairs to fqsn strings
"""
'''
norm_pairs = {}
for key, value in pairs.items():
fqsn = key.lower().replace("-", "")
fqsn = key.lower().replace('-', '')
norm_pairs[fqsn] = value
return norm_pairs
@ -319,7 +316,7 @@ class Client:
return {kucoin_sym_to_fqsn(item[0].name): item[0] for item in matches}
async def last_trades(self, sym: str) -> list[AccountTrade]:
trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
trades = await self._request('GET', f'/accounts/ledgers?currency={sym}', 'v1')
trades = AccountResponse(**trades)
return trades.items
@ -330,7 +327,7 @@ class Client:
end_dt: Optional[datetime] = None,
limit: int = 1000,
as_np: bool = True,
type: str = "1min",
type: str = '1min',
) -> np.ndarray:
'''
Get OHLC data and convert to numpy array for perffff
@ -339,24 +336,24 @@ class Client:
# Generate generic end and start time if values not passed
# Currently gives us 12hrs of data
if end_dt is None:
end_dt = pendulum.now("UTC").add(minutes=1)
end_dt = pendulum.now('UTC').add(minutes=1)
if start_dt is None:
start_dt = end_dt.start_of("minute").subtract(minutes=limit)
start_dt = end_dt.start_of('minute').subtract(minutes=limit)
start_dt = int(start_dt.timestamp())
end_dt = int(end_dt.timestamp())
kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
url = f"/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}"
url = f'/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}'
bars = []
for i in range(10):
data = await self._request(
"GET",
'GET',
url,
api_v="v1",
api_v='v1',
)
if not isinstance(data, list):
@ -371,28 +368,26 @@ class Client:
# Map to OHLC values to dict then to np array
new_bars = []
for i, bar in enumerate(bars[::-1]):
data = {
"index": i,
"time": bar[0],
"open": bar[1],
"close": bar[2],
"high": bar[3],
"low": bar[4],
"volume": bar[5],
"amount": bar[6],
"bar_wap": 0.0,
'index': i,
'time': bar[0],
'open': bar[1],
'close': bar[2],
'high': bar[3],
'low': bar[4],
'volume': bar[5],
'amount': bar[6],
'bar_wap': 0.0,
}
row = []
for _, (field_name, field_type) in enumerate(_ohlc_dtype):
value = data[field_name]
match field_name:
case "index":
case 'index':
row.append(int(value))
case "time":
case 'time':
# row.append(int(value) + (3600 * 4))
row.append(value)
case _:
@ -408,33 +403,28 @@ def kucoin_timestamp(dt: datetime):
return math.trunc(time.mktime(dt.timetuple()))
def fqsn_to_kucoin_sym(
fqsn: str,
pairs: dict[str, KucoinMktPair]
) -> str:
def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
pair_data = pairs[fqsn]
return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
def kucoin_sym_to_fqsn(sym: str) -> str:
return sym.lower().replace("-", "")
return sym.lower().replace('-', '')
@ acm
@acm
async def get_client() -> AsyncGenerator[Client, None]:
client = Client()
await client.cache_pairs()
yield client
@ tractor.context
@tractor.context
async def open_symbol_search(
ctx: tractor.Context,
) -> None:
async with open_cached_client("kucoin") as client:
async with open_cached_client('kucoin') as client:
# load all symbols locally for fast search
await client.cache_pairs()
await ctx.started()
@ -442,7 +432,7 @@ async def open_symbol_search(
async with ctx.open_stream() as stream:
async for pattern in stream:
await stream.send(await client.search_symbols(pattern))
log.info("Kucoin symbol search opened")
log.info('Kucoin symbol search opened')
async def stream_quotes(
@ -460,11 +450,10 @@ async def stream_quotes(
'''
connect_id = str(uuid4())
async with open_cached_client("kucoin") as client:
log.info("Starting up quote stream")
async with open_cached_client('kucoin') as client:
log.info('Starting up quote stream')
# loop through symbols and sub to feedz
for sym in symbols:
token, ping_interval = await client._get_ws_token()
pairs = await client.cache_pairs()
kucoin_sym = pairs[sym].symbol
@ -473,19 +462,18 @@ async def stream_quotes(
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
"symbol_info": {
"asset_type": "crypto",
"price_tick_size": 0.0005,
"lot_tick_size": 0.1,
'symbol_info': {
'asset_type': 'crypto',
'price_tick_size': 0.0005,
'lot_tick_size': 0.1,
},
"shm_write_opts": {"sum_tick_vml": False},
"fqsn": sym,
'shm_write_opts': {'sum_tick_vml': False},
'fqsn': sym,
},
}
@acm
async def subscribe(ws: wsproto.WSConnection):
@acm
async def open_ping_task(ws: wsproto.WSConnection):
'''
@ -499,7 +487,7 @@ async def stream_quotes(
async def ping_server():
while True:
await trio.sleep((ping_interval - 1000) / 1000)
await ws.send_msg({"id": connect_id, "type": "ping"})
await ws.send_msg({'id': connect_id, 'type': 'ping'})
n.start_soon(ping_server)
@ -523,22 +511,22 @@ async def stream_quotes(
log.info(f'Unsubscribing to {kucoin_sym} feed')
await ws.send_msg(
{
"id": connect_id,
"type": "unsubscribe",
"topic": f"/market/ticker:{sym}",
"privateChannel": False,
"response": True,
'id': connect_id,
'type': 'unsubscribe',
'topic': f'/market/ticker:{sym}',
'privateChannel': False,
'response': True,
}
)
async with open_autorecon_ws(
f"wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]",
f'wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]',
fixture=subscribe,
) as ws:
msg_gen = stream_messages(ws, sym)
typ, quote = await msg_gen.__anext__()
while typ != "trade":
while typ != 'trade':
# TODO: use ``anext()`` when it lands in 3.10!
typ, quote = await msg_gen.__anext__()
@ -553,29 +541,25 @@ def make_sub(sym, connect_id, level='l1') -> dict[str, str | bool]:
match level:
case 'l1':
return {
"id": connect_id,
"type": "subscribe",
"topic": f"/spotMarket/level2Depth5:{sym}",
"privateChannel": False,
"response": True,
'id': connect_id,
'type': 'subscribe',
'topic': f'/spotMarket/level2Depth5:{sym}',
'privateChannel': False,
'response': True,
}
case 'l3':
return {
"id": connect_id,
"type": "subscribe",
"topic": f"/market/ticker:{sym}",
"privateChannel": False,
"response": True,
'id': connect_id,
'type': 'subscribe',
'topic': f'/market/ticker:{sym}',
'privateChannel': False,
'response': True,
}
case _:
return {}
async def stream_messages(
ws: NoBsWs,
sym: str
) -> AsyncGenerator[NoBsWs, dict]:
async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
timeouts = 0
while True:
@ -584,67 +568,77 @@ async def stream_messages(
if cs.cancelled_caught:
timeouts += 1
if timeouts > 2:
log.error("kucoin feed is sh**ing the bed... rebooting...")
log.error('kucoin feed is sh**ing the bed... rebooting...')
await ws._connect()
continue
if msg.get("subject") != None:
if msg.get('subject') != None:
msg = KucoinMsg(**msg)
match msg.subject:
case "trade.ticker":
case 'trade.ticker':
trade_data = KucoinTrade(**msg.data)
yield "trade", {
"symbol": sym,
"last": trade_data.price,
"brokerd_ts": trade_data.time,
"ticks": [
yield 'trade', {
'symbol': sym,
'last': trade_data.price,
'brokerd_ts': trade_data.time,
'ticks': [
{
"type": "trade",
"price": float(trade_data.price),
"size": float(trade_data.size),
"broker_ts": trade_data.time,
'type': 'trade',
'price': float(trade_data.price),
'size': float(trade_data.size),
'broker_ts': trade_data.time,
}
],
}
case "level2":
case 'level2':
l2_data = KucoinL2(**msg.data)
ticks = []
for trade in l2_data.bids:
tick = {'type': 'bid', 'price': float(trade[0]), 'size': float(trade[1])}
ticks.append(tick)
for trade in l2_data.asks:
tick = {'type': 'ask', 'price': float(trade[0]), 'size': float(trade[1])}
ticks.append(tick)
first_ask = l2_data.asks[0]
first_bid = l2_data.bids[0]
yield 'l1', {
'symbol': sym,
'ticks': ticks,
'ticks': [
{
'type': 'bid',
'price': float(first_bid[0]),
'size': float(first_bid[1]),
},
{
'type': 'bsize',
'price': float(first_bid[0]),
'size': float(first_bid[1]),
},
{
'type': 'ask',
'price': float(first_ask[0]),
'size': float(first_ask[1]),
},
{
'type': 'asize',
'price': float(first_ask[0]),
'size': float(first_ask[1]),
},
],
}
@acm
async def open_history_client(
symbol: str,
type: str = "1m",
type: str = '1m',
) -> AsyncGenerator[Callable, None]:
async with open_cached_client("kucoin") as client:
log.info("Attempting to open kucoin history client")
async with open_cached_client('kucoin') as client:
log.info('Attempting to open kucoin history client')
async def get_ohlc_history(
timeframe: float,
end_dt: datetime | None = None,
start_dt: datetime | None = None,
) -> tuple[np.ndarray, datetime | None, datetime | None]: # start # end
if timeframe != 60:
raise DataUnavailable("Only 1m bars are supported")
raise DataUnavailable('Only 1m bars are supported')
array = await client._get_bars(
symbol,
@ -652,13 +646,12 @@ async def open_history_client(
end_dt=end_dt,
)
times = array["time"]
times = array['time']
if end_dt is None:
inow = round(time.time())
print(
f"difference in time between load and processing {inow - times[-1]}"
f'difference in time between load and processing {inow - times[-1]}'
)
if (inow - times[-1]) > 60: