Implement Kucoin auth and last trades call

piker/brokers/kucoin.py

@@ -18,32 +18,28 @@
 
 """
 
-from dataclasses import field
+from logging import warning
 from typing import Any, Optional, Literal
 from contextlib import asynccontextmanager as acm
 from datetime import datetime
 import time
 import math
-from os import path, walk
+import base64
+import hmac
+import hashlib
 
 import asks
 import tractor
 import trio
 from trio_typing import TaskStatus
 from fuzzywuzzy import process as fuzzy
-from cryptofeed.defines import KUCOIN, TRADES, L2_BOOK
-from cryptofeed.symbols import Symbol
 import pendulum
 import numpy as np
-from piker.data.cryptofeeds import (
+
-    fqsn_to_cf_sym,
-    mk_stream_quotes, 
-    get_config,
-)
 from piker._cacheables import open_cached_client
 from piker.log import get_logger
-from piker.pp import config
 from ._util import DataUnavailable
+from piker.pp import config
 
 _spawn_kwargs = {
     "infect_asyncio": True,
@@ -51,45 +47,80 @@ _spawn_kwargs = {
 
 log = get_logger(__name__)
 _ohlc_dtype = [
-    ('index', int),
+    ("index", int),
-    ('time', int),
+    ("time", int),
-    ('open', float),
+    ("open", float),
-    ('high', float),
+    ("high", float),
-    ('low', float),
+    ("low", float),
-    ('close', float),
+    ("close", float),
-    ('volume', float),
+    ("volume", float),
-    ('bar_wap', float),  # will be zeroed by sampler if not filled
+    ("bar_wap", float),  # will be zeroed by sampler if not filled
 ]
 
 
 class Client:
     def __init__(self) -> None:
-        self._pairs: dict[str, Symbol] = {}
+        self._pairs: dict[str, any] = {}
         self._bars: list[list] = []
-        # TODO" Shouldn't have to write kucoin twice here
+        self._key_id: str
+        self._key_secret: str
+        self._key_passphrase: str
+        self._authenticated: bool = False
 
-        config = get_config("kucoin").get("kucoin", {})
+        config = get_config()
-        #
+        breakpoint()
-        if ("key_id" in config) and ("key_secret" in config):
+        if ("key_id" in config) and \
+            ("key_secret" in config) and \
+                ("key_passphrase" in config):
+            self._authenticated = True
             self._key_id = config["key_id"]
             self._key_secret = config["key_secret"]
-
+            self._key_passphrase = config["key_passphrase"]
-        else:
-            self._key_id = None
-            self._key_secret = None
 
     async def _request(
         self,
         action: Literal["POST", "GET", "PUT", "DELETE"],
-        route: str,
+        endpoint: str,
         api_v: str = "v2",
     ) -> Any:
-        api_url = f"https://api.kucoin.com/api/{api_v}{route}"
+
-        res = await asks.request(action, api_url)
+        now = int(time.time() * 1000)
-        #breakpoint()
+        path = f'/api/{api_v}{endpoint}'
-        try:
+        str_to_sign = str(now) + action + path
+        headers = {}
+
+        # Add headers to request if authenticated
+        if self._authenticated:
+            signature = base64.b64encode(
+                hmac.new(
+                    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'),
+                    hashlib.sha256
+                ).digest()
+            )
+
+            headers = {
+                "KC-API-SIGN": signature,
+                "KC-API-TIMESTAMP": str(now),
+                "KC-API-KEY": self._key_id,
+                "KC-API-PASSPHRASE": passphrase,
+                "KC-API-KEY-VERSION": "2"
+            }
+
+        api_url = f"https://api.kucoin.com{path}"
+        res = await asks.request(action, api_url, headers=headers)
+        # breakpoint()
+        if "data" in res.json():
             return res.json()["data"]
-        except KeyError as e:
+        else:
             print(f'KUCOIN ERROR: {res.json()["msg"]}')
             breakpoint()
 
@@ -106,14 +137,14 @@ class Client:
     async def cache_pairs(
         self,
         normalize: bool = True,
-    ) -> dict[str, Symbol]:
+    ) -> dict[str, any]:
         if not self._pairs:
             self._pairs = await self.get_pairs()
         if normalize:
             self._pairs = self.normalize_pairs(self._pairs)
         return self._pairs
 
-    def normalize_pairs(self, pairs: dict[str, Symbol]) -> dict[str, Symbol]:
+    def normalize_pairs(self, pairs: dict[str, any]) -> dict[str, any]:
         """
         Map crypfeeds symbols to fqsn strings
 
@@ -137,6 +168,10 @@ class Client:
         # repack in dict form
         return {item[0]["name"].lower(): item[0] for item in matches}
 
+    async def last_trades(self, sym: str):
+        trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
+        return trades.items
+
     async def get_bars(
         self,
         fqsn: str,
@@ -172,23 +207,22 @@ class Client:
             # TODO: implement struct/typecasting/validation here
 
             data = {
-                'index': i,
+                "index": i,
-                'time': bar[0],
+                "time": bar[0],
-                'open': bar[1],
+                "open": bar[1],
-                'close': bar[2],
+                "close": bar[2],
-                'high': bar[3],
+                "high": bar[3],
-                'low': bar[4],
+                "low": bar[4],
-                'volume': bar[5],
+                "volume": bar[5],
-                'amount': bar [6],
+                "amount": bar[6],
-                'bar_wap': 0.0,
+                "bar_wap": 0.0,
             }
 
             row = []
             for j, (field_name, field_type) in enumerate(_ohlc_dtype):
- 
                 value = data[field_name]
                 match field_name:
-                    case 'index' | 'time':
+                    case "index" | "time":
                         row.append(int(value))
                     # case 'time':
                     # dt_from_unix_ts = datetime.utcfromtimestamp(int(value))
@@ -203,6 +237,26 @@ class Client:
         return array
 
 
+def fqsn_to_cf_sym(fqsn: str, pairs: dict[str, any]) -> str:
+    pair_data = pairs[fqsn]
+    return pair_data["baseCurrency"] + "-" + pair_data["quoteCurrency"]
+
+
+def get_config() -> dict[str, Any]:
+    conf, path = config.load()
+
+    section = conf.get('kucoin')
+
+    # TODO: document why we send this, basically because logging params for cryptofeed
+    conf["log"] = {}
+    conf["log"]["disabled"] = True
+
+    if section is None:
+        log.warning("No config section found for deribit in kucoin")
+
+    return section
+
+
 @acm
 async def get_client():
     client = Client()
@@ -217,7 +271,7 @@ async def open_symbol_search(
 ):
     async with open_cached_client("kucoin") as client:
         # load all symbols locally for fast search
-        cache = await client.cache_pairs()
+        await client.cache_pairs()
         await ctx.started()
 
         async with ctx.open_stream() as stream:
@@ -234,15 +288,24 @@ async def stream_quotes(
     # startup sync
     task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
 ):
-    return await mk_stream_quotes(
+    sym = symbols[0]
-        KUCOIN,
+
-        [L2_BOOK, TRADES],
+    async with open_cached_client("kucoin") as client:
-        send_chan,
+        init_msgs = {
-        symbols,
+            # pass back token, and bool, signalling if we're the writer
-        feed_is_live,
+            # and that history has been written
-        loglevel,
+            sym: {
-        task_status,
+                "symbol_info": {
-    )
+                    "asset_type": "option",
+                    "price_tick_size": 0.0005,
+                    "lot_tick_size": 0.1,
+                },
+                "shm_write_opts": {"sum_tick_vml": False},
+                "fqsn": sym,
+            },
+        }
+
+        last_trades = await client.last_trades(sym)
 
 
 @acm
@@ -256,13 +319,9 @@ async def open_history_client(
             timeframe: float,
             end_dt: datetime | None = None,
             start_dt: datetime | None = None,
-        ) -> tuple[
+        ) -> tuple[np.ndarray, datetime | None, datetime | None,]:  # start  # end
-            np.ndarray,
-            datetime | None,  # start
-            datetime | None,  # end
-        ]:
             if timeframe != 60:
-                raise DataUnavailable('Only 1m bars are supported')
+                raise DataUnavailable("Only 1m bars are supported")
 
             array = await client.get_bars(
                 symbol,
@@ -270,13 +329,13 @@ async def open_history_client(
                 end_dt=end_dt,
             )
 
-            times = array['time']
+            times = array["time"]
 
-            if (
+            if end_dt is None:
-                end_dt is None
-            ):
                 inow = round(time.time())
-                print(f'difference in time between load and processing {inow - times[-1]}')
+                print(
+                    f"difference in time between load and processing {inow - times[-1]}"
+                )
                 if (inow - times[-1]) > 60:
                     await tractor.breakpoint()
 
@@ -284,4 +343,4 @@ async def open_history_client(
             end_dt = pendulum.from_timestamp(times[-1])
             return array, start_dt, end_dt
 
-        yield get_ohlc_history, {'erlangs': 3, 'rate': 3}
+        yield get_ohlc_history, {"erlangs": 3, "rate": 3}