Add real-time incremental pp updates
Moves to using the new `piker.pp` apis to both store real-time trade events in a ledger file as well emit position update msgs (which were not in this backend at all prior) when new orders clear (aka fill). In terms of outstanding issues, - solves the pp update part of the bugs reported in #310 - starts a msg case block in prep for #293 Details of rework: - move the `subscribe()` ws fixture to module level and `partial()` in the client token instead of passing it to the instance; in prep for removal of the `.token` attr from the `NoBsWs` wrapper. - drop `make_auth_sub()` since it was too thin and we can just do it all succinctly in `subscribe()` - filter trade update msgs to those not yet stored int the toml ledger - much better kraken api msg unpacking using new `match:` synax B) Resolves #311notokeninwswrapper
Tyler Goodlet
parent
214f864dcf
commit
7846446a44
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@ -19,6 +19,8 @@ Order api and machinery
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'''
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from contextlib import asynccontextmanager as acm
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from functools import partial
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from itertools import chain
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from pprint import pformat
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import time
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from typing import (
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@ -234,20 +236,49 @@ async def handle_order_requests(
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log.error(f'Unknown order command: {request_msg}')
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def make_auth_sub(data: dict[str, Any]) -> dict[str, str]:
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@acm
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async def subscribe(
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ws: wsproto.WSConnection,
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token: str,
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subs: list[str] = ['ownTrades', 'openOrders'],
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):
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'''
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Create a request subscription packet dict.
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## TODO: point to the auth urls
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Setup ws api subscriptions:
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https://docs.kraken.com/websockets/#message-subscribe
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By default we sign up for trade and order update events.
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'''
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# eg. specific logic for this in kraken's sync client:
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# more specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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'event': 'subscribe',
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'subscription': data,
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}
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assert token
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for sub in subs:
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msg = {
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'event': 'subscribe',
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'subscription': {
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'name': sub,
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'token': token,
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}
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}
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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# since internally the ws methods appear to be FIFO
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# locked.
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await ws.send_msg(msg)
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yield
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for sub in subs:
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# unsub from all pairs on teardown
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await ws.send_msg({
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'event': 'unsubscribe',
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'subscription': [sub],
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})
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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@tractor.context
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@ -259,33 +290,6 @@ async def trades_dialogue(
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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@acm
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async def subscribe(ws: wsproto.WSConnection, token: str):
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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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# specific logic for this in kraken's shitty sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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trades_sub = make_auth_sub(
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{'name': 'ownTrades', 'token': token}
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)
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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# since internally the ws methods appear to be FIFO
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# locked.
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await ws.send_msg(trades_sub)
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yield
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# unsub from all pairs on teardown
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await ws.send_msg({
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'event': 'unsubscribe',
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'subscription': ['ownTrades'],
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})
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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async with get_client() as client:
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# TODO: make ems flip to paper mode via
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@ -347,8 +351,10 @@ async def trades_dialogue(
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ctx.open_stream() as ems_stream,
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open_autorecon_ws(
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'wss://ws-auth.kraken.com/',
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fixture=subscribe,
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token=token,
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fixture=partial(
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subscribe,
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token=token,
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),
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) as ws,
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trio.open_nursery() as n,
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):
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@ -356,7 +362,6 @@ async def trades_dialogue(
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n.start_soon(handle_order_requests, client, ems_stream)
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count: int = 0
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ledger_txids = {r.tid for r in trans}
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# process and relay trades events to ems
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# https://docs.kraken.com/websockets/#message-ownTrades
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@ -367,62 +372,116 @@ async def trades_dialogue(
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'ownTrades',
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{'sequence': seq},
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]:
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# ensure that we are only processing new trades
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# XXX: do we actually need this orrr?
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# ensure that we are only processing new trades?
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assert seq > count
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count += 1
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for entries in trades_msgs:
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for tid, msg in entries.items():
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# flatten msgs for processing
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trades = {
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tid: trade
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for entry in trades_msgs
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for (tid, trade) in entry.items()
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if tid in ledger_txids:
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log.debug(f'Skipping ledgered {tid}:{msg}')
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continue
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# only emit entries which are already not-in-ledger
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if tid not in {r.tid for r in trans}
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}
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for tid, trade in trades.items():
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# yield trade
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reqid = msg['ordertxid']
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action = msg['type']
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price = float(msg['price'])
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size = float(msg['vol'])
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broker_time = float(msg['time'])
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# parse-cast
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reqid = trade['ordertxid']
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action = trade['type']
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price = float(trade['price'])
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size = float(trade['vol'])
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broker_time = float(trade['time'])
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# send a fill msg for gui update
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fill_msg = BrokerdFill(
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reqid=reqid,
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time_ns=time.time_ns(),
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# send a fill msg for gui update
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fill_msg = BrokerdFill(
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reqid=reqid,
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time_ns=time.time_ns(),
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action=action,
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size=size,
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price=price,
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# TODO: maybe capture more msg data
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# i.e fees?
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broker_details={'name': 'kraken'},
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broker_time=broker_time
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)
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action=action,
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size=size,
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price=price,
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# TODO: maybe capture more msg data
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# i.e fees?
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broker_details={'name': 'kraken'},
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broker_time=broker_time
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)
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await ems_stream.send(fill_msg.dict())
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await ems_stream.send(fill_msg.dict())
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filled_msg = BrokerdStatus(
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reqid=reqid,
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time_ns=time.time_ns(),
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filled_msg = BrokerdStatus(
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reqid=reqid,
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time_ns=time.time_ns(),
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account=acc_name,
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status='filled',
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filled=size,
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reason='Order filled by kraken',
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broker_details={
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'name': 'kraken',
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'broker_time': broker_time
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},
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account=acc_name,
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status='filled',
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filled=size,
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reason='Order filled by kraken',
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broker_details={
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'name': 'kraken',
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'broker_time': broker_time
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},
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# TODO: figure out if kraken gives a count
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# of how many units of underlying were
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# filled. Alternatively we can decrement
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# this value ourselves by associating and
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# calcing from the diff with the original
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# client-side request, see:
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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)
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await ems_stream.send(filled_msg.dict())
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# TODO: figure out if kraken gives a count
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# of how many units of underlying were
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# filled. Alternatively we can decrement
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# this value ourselves by associating and
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# calcing from the diff with the original
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# client-side request, see:
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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)
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await ems_stream.send(filled_msg.dict())
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# update ledger and position tracking
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trans = await update_ledger(acctid, trades)
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active, closed = pp.update_pps_conf(
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'kraken',
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acctid,
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trade_records=trans,
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ledger_reload={}.fromkeys(
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t.bsuid for t in trans),
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)
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# emit pp msgs
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for pos in filter(
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bool,
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chain(active.values(), closed.values()),
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):
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pp_msg = BrokerdPosition(
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broker='kraken',
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# XXX: ok so this is annoying, we're
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# relaying an account name with the
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# backend suffix prefixed but when
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# reading accounts from ledgers we
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# don't need it and/or it's prefixed
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# in the section table.. we should
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# just strip this from the message
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# right since `.broker` is already
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# included?
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account=f'kraken.{acctid}',
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symbol=pos.symbol.front_fqsn(),
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size=pos.size,
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avg_price=pos.be_price,
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# TODO
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# currency=''
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)
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await ems_stream.send(pp_msg.dict())
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case [
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trades_msgs,
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'openOrders',
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{'sequence': seq},
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]:
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# TODO: async order update handling which we
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# should remove from `handle_order_requests()`
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# above:
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# https://github.com/pikers/piker/issues/293
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# https://github.com/pikers/piker/issues/310
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log.info(f'Order update {seq}:{trades_msgs}')
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case _:
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log.warning(f'Unhandled trades msg: {msg}')
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@ -452,7 +511,7 @@ def norm_trade_records(
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size=float(size),
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price=float(record['price']),
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cost=float(record['fee']),
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dt=pendulum.from_timestamp(record['time']),
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dt=pendulum.from_timestamp(float(record['time'])),
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bsuid=bsuid,
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# XXX: there are no derivs on kraken right?
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Loading…
Reference in New Issue