Fruther generalize json_rpc hook mechanic to allow for multi hook, Add new maybe_open_ticker_feed to stream greeks, iv, open interest of an instrument
parent
fef8073113
commit
77fbc7eb86
|
|
@ -152,7 +152,7 @@ class Client:
|
|||
def __init__(
|
||||
self,
|
||||
json_rpc: Callable,
|
||||
update_hooks: Callable,
|
||||
append_hooks: Callable,
|
||||
update_types: Callable,
|
||||
) -> None:
|
||||
|
||||
|
|
@ -169,7 +169,7 @@ class Client:
|
|||
self._key_secret = None
|
||||
|
||||
self.json_rpc = json_rpc
|
||||
self.update_hooks = update_hooks
|
||||
self.append_hooks = append_hooks
|
||||
self.update_types = update_types
|
||||
|
||||
@property
|
||||
|
|
@ -490,6 +490,7 @@ async def open_price_feed(
|
|||
}]
|
||||
}
|
||||
))
|
||||
return True
|
||||
|
||||
elif chan == book_chan:
|
||||
bid, bsize = data['bids'][0]
|
||||
|
|
@ -504,11 +505,14 @@ async def open_price_feed(
|
|||
{'type': 'asize', 'price': ask, 'size': asize}
|
||||
]}
|
||||
))
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
async with open_cached_client('deribit') as client:
|
||||
|
||||
client.update_hooks({
|
||||
'request': sub_hook
|
||||
client.append_hooks({
|
||||
'request': [sub_hook]
|
||||
})
|
||||
client.update_types({
|
||||
'request': JSONRPCSubRequest
|
||||
|
|
@ -517,12 +521,15 @@ async def open_price_feed(
|
|||
resp = await client.json_rpc(
|
||||
'private/subscribe', {'channels': channels})
|
||||
|
||||
assert resp.result == channels
|
||||
assert not resp.error
|
||||
|
||||
log.info(f'Subscribed to {channels}')
|
||||
|
||||
yield recv_chann
|
||||
|
||||
resp = await client.json_rpc('private/unsubscribe', {'channels': channels})
|
||||
|
||||
assert not resp.error
|
||||
|
||||
@acm
|
||||
async def maybe_open_price_feed(
|
||||
|
|
@ -543,71 +550,64 @@ async def maybe_open_price_feed(
|
|||
yield feed
|
||||
|
||||
|
||||
# TODO: order broker support: this is all draft code from @guilledk B)
|
||||
@acm
|
||||
async def open_ticker_feed(
|
||||
instrument: str
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
# async def aio_order_feed_relay(
|
||||
# fh: FeedHandler,
|
||||
# instrument: Symbol,
|
||||
# from_trio: asyncio.Queue,
|
||||
# to_trio: trio.abc.SendChannel,
|
||||
instrument_db = sym_fmt_piker_to_deribit(instrument)
|
||||
|
||||
# ) -> None:
|
||||
# async def _fill(data: dict, receipt_timestamp):
|
||||
# breakpoint()
|
||||
ticker_chan = f'incremental_ticker.{instrument_db}'
|
||||
|
||||
# async def _order_info(data: dict, receipt_timestamp):
|
||||
# breakpoint()
|
||||
channels = [ticker_chan]
|
||||
|
||||
# fh.add_feed(
|
||||
# DERIBIT,
|
||||
# channels=[FILLS, ORDER_INFO],
|
||||
# symbols=[instrument.upper()],
|
||||
# callbacks={
|
||||
# FILLS: _fill,
|
||||
# ORDER_INFO: _order_info,
|
||||
# })
|
||||
send_chann, recv_chann = trio.open_memory_channel(0)
|
||||
async def sub_hook(msg):
|
||||
chann = msg.params['channel']
|
||||
if chann == ticker_chan:
|
||||
data = msg.params['data']
|
||||
await send_chann.send((
|
||||
'ticker', {
|
||||
'symbol': instrument,
|
||||
'data': data
|
||||
}
|
||||
))
|
||||
return True
|
||||
|
||||
# if not fh.running:
|
||||
# fh.run(
|
||||
# start_loop=False,
|
||||
# install_signal_handlers=False)
|
||||
return False
|
||||
|
||||
# # sync with trio
|
||||
# to_trio.send_nowait(None)
|
||||
async with open_cached_client('deribit') as client:
|
||||
|
||||
# await asyncio.sleep(float('inf'))
|
||||
client.append_hooks({
|
||||
'request': [sub_hook]
|
||||
})
|
||||
|
||||
resp = await client.json_rpc(
|
||||
'private/subscribe', {'channels': channels})
|
||||
|
||||
# @acm
|
||||
# async def open_order_feed(
|
||||
# instrument: list[str]
|
||||
# ) -> trio.abc.ReceiveStream:
|
||||
# async with maybe_open_feed_handler() as fh:
|
||||
# async with to_asyncio.open_channel_from(
|
||||
# partial(
|
||||
# aio_order_feed_relay,
|
||||
# fh,
|
||||
# instrument
|
||||
# )
|
||||
# ) as (first, chan):
|
||||
# yield chan
|
||||
assert not resp.error
|
||||
|
||||
log.info(f'Subscribed to {channels}')
|
||||
|
||||
# @acm
|
||||
# async def maybe_open_order_feed(
|
||||
# instrument: str
|
||||
# ) -> trio.abc.ReceiveStream:
|
||||
yield recv_chann
|
||||
|
||||
# # TODO: add a predicate to maybe_open_context
|
||||
# async with maybe_open_context(
|
||||
# acm_func=open_order_feed,
|
||||
# kwargs={
|
||||
# 'instrument': instrument,
|
||||
# 'fh': fh
|
||||
# },
|
||||
# key=f'{instrument}-order',
|
||||
# ) as (cache_hit, feed):
|
||||
# if cache_hit:
|
||||
# yield broadcast_receiver(feed, 10)
|
||||
# else:
|
||||
# yield feed
|
||||
resp = await client.json_rpc('private/unsubscribe', {'channels': channels})
|
||||
|
||||
assert not resp.error
|
||||
|
||||
@acm
|
||||
async def maybe_open_ticker_feed(
|
||||
instrument: str
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
async with maybe_open_context(
|
||||
acm_func=open_ticker_feed,
|
||||
kwargs={
|
||||
'instrument': instrument
|
||||
},
|
||||
key=f'{instrument}-ticker',
|
||||
) as (cache_hit, feed):
|
||||
if cache_hit:
|
||||
yield broadcast_receiver(feed, 10)
|
||||
else:
|
||||
yield feed
|
||||
|
|
|
|||
|
|
@ -209,9 +209,17 @@ async def open_jsonrpc_session(
|
|||
raise ValueError(
|
||||
'Need to path both a request_type and request_hook')
|
||||
|
||||
req_hooks = []
|
||||
if request_hook:
|
||||
req_hooks.append(request_hook)
|
||||
|
||||
err_hooks = []
|
||||
if error_hook:
|
||||
err_hooks.append(error_hook)
|
||||
|
||||
hook_table = {
|
||||
'request': request_hook,
|
||||
'error': error_hook
|
||||
'request': req_hooks,
|
||||
'error': err_hooks
|
||||
}
|
||||
|
||||
types_table = {
|
||||
|
|
@ -219,9 +227,10 @@ async def open_jsonrpc_session(
|
|||
'request': request_type
|
||||
}
|
||||
|
||||
def update_hooks(new_hooks: dict):
|
||||
def append_hooks(new_hooks: dict):
|
||||
nonlocal hook_table
|
||||
hook_table.update(new_hooks)
|
||||
for htype, hooks in new_hooks.items():
|
||||
hook_table[htype] += hooks
|
||||
|
||||
def update_types(new_types: dict):
|
||||
nonlocal types_table
|
||||
|
|
@ -234,7 +243,7 @@ async def open_jsonrpc_session(
|
|||
rpc_id: Iterable = count(start_id)
|
||||
rpc_results: dict[int, dict] = {}
|
||||
|
||||
async def json_rpc(method: str, params: dict) -> dict:
|
||||
async def json_rpc(method: str, params: dict = {}) -> dict:
|
||||
'''
|
||||
perform a json rpc call and wait for the result, raise exception in
|
||||
case of error field present on response
|
||||
|
|
@ -303,19 +312,25 @@ async def open_jsonrpc_session(
|
|||
'params': _,
|
||||
}:
|
||||
log.info(f'Recieved\n{msg}')
|
||||
if hook_table['request']:
|
||||
await hook_table['request'](types_table['request'](**msg))
|
||||
if len(hook_table['request']) > 0:
|
||||
for hook in hook_table['request']:
|
||||
result = await hook(types_table['request'](**msg))
|
||||
if result:
|
||||
break
|
||||
|
||||
case {
|
||||
'error': error,
|
||||
}:
|
||||
log.warning(f'Recieved\n{error}')
|
||||
if hook_table['error']:
|
||||
await hook_table['error'](types_table['response'](**msg))
|
||||
if len(hook_table['error']) > 0:
|
||||
for hook in hook_table['error']:
|
||||
result = await hook(types_table['response'](**msg))
|
||||
if result:
|
||||
break
|
||||
|
||||
case _:
|
||||
log.warning(f'Unhandled JSON-RPC msg!?\n{msg}')
|
||||
|
||||
n.start_soon(recv_task)
|
||||
yield json_rpc, update_hooks, update_types
|
||||
yield json_rpc, append_hooks, update_types
|
||||
n.cancel_scope.cancel()
|
||||
|
|
|
|||
Loading…
Reference in New Issue