Implement Kucoin auth and last trades call
parent
8e91e215b3
commit
7074ca7713
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@ -18,32 +18,28 @@
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"""
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from dataclasses import field
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from logging import warning
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from typing import Any, Optional, Literal
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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import time
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import math
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from os import path, walk
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import base64
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import hmac
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import hashlib
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import asks
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import tractor
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import trio
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from trio_typing import TaskStatus
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from fuzzywuzzy import process as fuzzy
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from cryptofeed.defines import KUCOIN, TRADES, L2_BOOK
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from cryptofeed.symbols import Symbol
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import pendulum
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import numpy as np
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from piker.data.cryptofeeds import (
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fqsn_to_cf_sym,
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mk_stream_quotes,
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get_config,
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)
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from piker._cacheables import open_cached_client
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from piker.log import get_logger
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from piker.pp import config
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from ._util import DataUnavailable
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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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@ -51,45 +47,80 @@ _spawn_kwargs = {
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log = get_logger(__name__)
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_ohlc_dtype = [
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('index', int),
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('time', int),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('volume', float),
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('bar_wap', float), # will be zeroed by sampler if not filled
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("index", int),
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("time", int),
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("open", float),
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("high", float),
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("low", float),
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("close", float),
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("volume", float),
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("bar_wap", float), # will be zeroed by sampler if not filled
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]
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class Client:
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def __init__(self) -> None:
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self._pairs: dict[str, Symbol] = {}
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self._pairs: dict[str, any] = {}
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self._bars: list[list] = []
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# TODO" Shouldn't have to write kucoin twice here
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self._key_id: str
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self._key_secret: str
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self._key_passphrase: str
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self._authenticated: bool = False
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config = get_config("kucoin").get("kucoin", {})
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#
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if ("key_id" in config) and ("key_secret" in config):
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config = get_config()
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breakpoint()
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if ("key_id" in config) and \
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("key_secret" in config) and \
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("key_passphrase" in config):
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self._authenticated = True
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self._key_id = config["key_id"]
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self._key_secret = config["key_secret"]
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else:
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self._key_id = None
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self._key_secret = None
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self._key_passphrase = config["key_passphrase"]
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async def _request(
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self,
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action: Literal["POST", "GET", "PUT", "DELETE"],
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route: str,
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endpoint: str,
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api_v: str = "v2",
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) -> Any:
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api_url = f"https://api.kucoin.com/api/{api_v}{route}"
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res = await asks.request(action, api_url)
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#breakpoint()
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try:
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now = int(time.time() * 1000)
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path = f'/api/{api_v}{endpoint}'
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str_to_sign = str(now) + action + path
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headers = {}
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# Add headers to request if authenticated
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if self._authenticated:
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signature = base64.b64encode(
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hmac.new(
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self._key_secret.encode('utf-8'),
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str_to_sign.encode('utf-8'),
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hashlib.sha256
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).digest()
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)
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passphrase = base64.b64encode(
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hmac.new(
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self._key_secret.encode('utf-8'),
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self._key_passphrase.encode('utf-8'),
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hashlib.sha256
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).digest()
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)
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headers = {
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"KC-API-SIGN": signature,
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"KC-API-TIMESTAMP": str(now),
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"KC-API-KEY": self._key_id,
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"KC-API-PASSPHRASE": passphrase,
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"KC-API-KEY-VERSION": "2"
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}
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api_url = f"https://api.kucoin.com{path}"
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res = await asks.request(action, api_url, headers=headers)
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# breakpoint()
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if "data" in res.json():
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return res.json()["data"]
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except KeyError as e:
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else:
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print(f'KUCOIN ERROR: {res.json()["msg"]}')
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breakpoint()
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@ -106,14 +137,14 @@ class Client:
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async def cache_pairs(
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self,
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normalize: bool = True,
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) -> dict[str, Symbol]:
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) -> dict[str, any]:
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if not self._pairs:
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self._pairs = await self.get_pairs()
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if normalize:
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self._pairs = self.normalize_pairs(self._pairs)
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return self._pairs
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def normalize_pairs(self, pairs: dict[str, Symbol]) -> dict[str, Symbol]:
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def normalize_pairs(self, pairs: dict[str, any]) -> dict[str, any]:
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"""
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Map crypfeeds symbols to fqsn strings
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@ -137,6 +168,10 @@ class Client:
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# repack in dict form
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return {item[0]["name"].lower(): item[0] for item in matches}
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async def last_trades(self, sym: str):
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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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async def get_bars(
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self,
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fqsn: str,
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@ -158,7 +193,7 @@ class Client:
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# Format datetime to unix
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start_dt = math.trunc(time.mktime(start_dt.timetuple()))
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end_dt = math.trunc(time.mktime(end_dt.timetuple()))
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kucoin_sym = fqsn_to_cf_sym(fqsn, self._pairs)
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kucoin_sym = fqsn_to_cf_sym(fqsn, self._pairs)
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url = f"/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}"
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bars = await self._request(
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@ -170,39 +205,58 @@ class Client:
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new_bars = []
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for i, bar in enumerate(bars[::-1]):
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# TODO: implement struct/typecasting/validation here
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data = {
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'index': i,
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'time': bar[0],
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'open': bar[1],
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'close': bar[2],
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'high': bar[3],
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'low': bar[4],
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'volume': bar[5],
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'amount': bar [6],
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'bar_wap': 0.0,
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"index": i,
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"time": bar[0],
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"open": bar[1],
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"close": bar[2],
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"high": bar[3],
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"low": bar[4],
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"volume": bar[5],
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"amount": bar[6],
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"bar_wap": 0.0,
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}
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row = []
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for j, (field_name, field_type) in enumerate(_ohlc_dtype):
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value = data[field_name]
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value = data[field_name]
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match field_name:
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case 'index' | 'time':
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case "index" | "time":
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row.append(int(value))
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# case 'time':
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# dt_from_unix_ts = datetime.utcfromtimestamp(int(value))
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# # convert unix time to epoch seconds
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# row.append(int(dt_from_unix_ts.timestamp()))
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case _:
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# dt_from_unix_ts = datetime.utcfromtimestamp(int(value))
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# # convert unix time to epoch seconds
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# row.append(int(dt_from_unix_ts.timestamp()))
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case _:
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row.append(float(value))
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new_bars.append(tuple(row))
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self._bars = array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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return array
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def fqsn_to_cf_sym(fqsn: str, pairs: dict[str, any]) -> 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 get_config() -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get('kucoin')
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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("No config section found for deribit in kucoin")
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return section
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@acm
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async def get_client():
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client = Client()
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@ -217,7 +271,7 @@ async def open_symbol_search(
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):
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async with open_cached_client("kucoin") as client:
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# load all symbols locally for fast search
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cache = await client.cache_pairs()
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await client.cache_pairs()
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await ctx.started()
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async with ctx.open_stream() as stream:
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@ -234,15 +288,24 @@ async def stream_quotes(
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# startup sync
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task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
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):
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return await mk_stream_quotes(
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KUCOIN,
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[L2_BOOK, TRADES],
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send_chan,
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symbols,
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feed_is_live,
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loglevel,
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task_status,
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)
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sym = symbols[0]
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async with open_cached_client("kucoin") as client:
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init_msgs = {
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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sym: {
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"symbol_info": {
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"asset_type": "option",
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"price_tick_size": 0.0005,
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"lot_tick_size": 0.1,
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},
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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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last_trades = await client.last_trades(sym)
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@acm
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@ -256,13 +319,9 @@ async def open_history_client(
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timeframe: float,
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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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datetime | None, # start
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datetime | None, # end
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]:
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) -> tuple[np.ndarray, datetime | None, datetime | None,]: # start # end
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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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symbol,
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@ -270,13 +329,13 @@ async def open_history_client(
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end_dt=end_dt,
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)
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times = array['time']
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times = array["time"]
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if (
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end_dt is None
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):
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if end_dt is None:
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inow = round(time.time())
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print(f'difference in time between load and processing {inow - times[-1]}')
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print(
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f"difference in time between load and processing {inow - times[-1]}"
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)
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if (inow - times[-1]) > 60:
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await tractor.breakpoint()
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@ -284,4 +343,4 @@ async def open_history_client(
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end_dt = pendulum.from_timestamp(times[-1])
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return array, start_dt, end_dt
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yield get_ohlc_history, {'erlangs': 3, 'rate': 3}
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yield get_ohlc_history, {"erlangs": 3, "rate": 3}
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