WIP - setup basic history and streaming client
parent
f3f8aeae8d
commit
79feb1073d
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@ -24,7 +24,7 @@ __brokers__ = [
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'binance',
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'ib',
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'kraken',
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'kucoin'
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# broken but used to work
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# 'questrade',
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# 'robinhood',
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@ -35,7 +35,6 @@ __brokers__ = [
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# iex
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# deribit
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# kucoin
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# bitso
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]
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@ -15,89 +15,196 @@
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"""
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from dataclasses import field
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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 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 (
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KUCOIN,
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TRADES,
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L2_BOOK
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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.data.cryptofeeds import mk_stream_quotes
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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 ._util import SymbolNotFound
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from piker.pp import config
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from ._util import DataUnavailable
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_spawn_kwargs = {
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"infect_asyncio": True,
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}
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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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]
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class Client:
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def __init__(self) -> None:
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self._pairs: dict[str, Any] = None
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self._pairs: dict[str, Symbol] = {}
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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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# config = get_config('kucoin').get('kucoin', {})
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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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# self._key_id = config['key_id']
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# self._key_secret = config['key_secret']
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#
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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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async def request(self, action: Literal["POST", "GET", "PUT", "DELETE"], route: str, api_v: str = 'v2'):
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if ("key_id" in config) and ("key_secret" in config):
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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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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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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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return res.json()['data']
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#breakpoint()
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try:
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return res.json()["data"]
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except KeyError as e:
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print(f'KUCOIN ERROR: {res.json()["msg"]}')
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breakpoint()
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async def symbol_info(
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async def get_pairs(
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self,
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sym: str = None,
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) -> dict[str, Any]:
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if self._pairs:
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return self._pairs
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entries = await self.request("GET", "/symbols")
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if not entries:
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raise SymbolNotFound(f'{sym} not found')
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syms = {item['name']: item for item in entries}
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entries = await self._request("GET", "/symbols")
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syms = {item["name"]: item for item in entries}
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return syms
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async def cache_symbols(
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async def cache_pairs(
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self,
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) -> dict:
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normalize: bool = True,
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) -> dict[str, Symbol]:
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if not self._pairs:
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self._pairs = await self.symbol_info()
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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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"""
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Map crypfeeds symbols to fqsn strings
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"""
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norm_pairs = {}
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for key, value in pairs.items():
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fqsn = key.lower().replace("-", "")
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norm_pairs[fqsn] = value
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return norm_pairs
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async def search_symbols(
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self,
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pattern: str,
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limit: int = 30,
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) -> dict[str, Any]:
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data = await self.symbol_info()
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data = await self.get_pairs()
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matches = fuzzy.extractBests(pattern, data, score_cutoff=35, limit=limit)
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# repack in dict form
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return {item[0]["instrument_name"].lower(): item[0] for item in matches}
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return {item[0]["name"].lower(): item[0] for item in matches}
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async def get_bars(
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self,
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fqsn: str,
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start_dt: Optional[datetime] = None,
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end_dt: Optional[datetime] = None,
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limit: int = 1000,
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as_np: bool = True,
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type: str = "1min",
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):
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if len(self._bars):
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return self._bars
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if end_dt is None:
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end_dt = pendulum.now("UTC").add(minutes=1)
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if start_dt is None:
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start_dt = end_dt.start_of("minute").subtract(minutes=limit)
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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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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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"GET",
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url,
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api_v="v1",
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)
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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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}
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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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match field_name:
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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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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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@acm
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async def get_client():
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client = Client()
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# Do we need to open a nursery here?
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await client.cache_symbols()
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await client.cache_pairs()
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yield client
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@ -107,13 +214,13 @@ 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_symbols()
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cache = 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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# async for pattern in stream:
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# # repack in dict form
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# await stream.send(await client.search_symbols(pattern))
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async with ctx.open_stream() as stream:
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async for pattern in stream:
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# repack in dict form
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await stream.send(await client.search_symbols(pattern))
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async def stream_quotes(
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@ -126,7 +233,7 @@ async def stream_quotes(
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):
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return await mk_stream_quotes(
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KUCOIN,
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[L2_BOOK],
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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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@ -134,5 +241,44 @@ async def stream_quotes(
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task_status,
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)
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async def open_history_client():
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@acm
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async def open_history_client(
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symbol: str,
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type: str = "1m",
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):
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async with open_cached_client("kucoin") as client:
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# call bars on kucoin
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async def get_ohlc_history(
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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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if timeframe != 60:
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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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start_dt=start_dt,
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end_dt=end_dt,
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)
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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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inow = round(time.time())
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print(f'difference in time between load and processing {inow - times[-1]}')
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if (inow - times[-1]) > 60:
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await tractor.breakpoint()
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start_dt = pendulum.from_timestamp(times[0])
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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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@ -1,5 +1,5 @@
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# piker: trading gear for hackers
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# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
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# Copyright (C) Jared Goldman (in stewardship for piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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@ -35,6 +35,7 @@ from tractor import to_asyncio
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from cryptofeed import FeedHandler
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from cryptofeed.defines import TRADES, L2_BOOK
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from cryptofeed.symbols import Symbol
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from cryptofeed.types import OrderBook
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import asyncio
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from piker._cacheables import open_cached_client
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@ -53,84 +54,34 @@ _spawn_kwargs = {
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log = get_logger(__name__)
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def deribit_timestamp(when):
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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def fqsn_to_cb_sym(pair_data: Symbol) -> Symbol:
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return Symbol(base=pair_data["baseCurrency"], quote=pair_data["quoteCurrency"])
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# def str_to_cb_sym(name: str) -> Symbol:
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# base, strike_price, expiry_date, option_type = name.split("-")
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#
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# quote = base
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#
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# if option_type == "put":
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# option_type = PUT
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# elif option_type == "call":
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# option_type = CALL
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# else:
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# raise Exception("Couldn't parse option type")
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#
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# return Symbol(
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# base,
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# quote,
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# type=OPTION,
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# strike_price=strike_price,
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# option_type=option_type,
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# expiry_date=expiry_date,
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# expiry_normalize=False,
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# )
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#
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def fqsn_to_cf_sym(fqsn: str, pairs: dict[str, Symbol]) -> 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 piker_sym_to_cb_sym(symbol) -> Symbol:
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return Symbol(
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base=symbol['baseCurrency'],
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quote=symbol['quoteCurrency']
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)
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def pair_data_to_cf_sym(sym_data: Symbol):
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return sym_data["baseCurrency"] + "-" + sym_data["quoteCurrency"]
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def cb_sym_to_deribit_inst(sym: Symbol):
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# cryptofeed normalized
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cb_norm = ["F", "G", "H", "J", "K", "M", "N", "Q", "U", "V", "X", "Z"]
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# deribit specific
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months = [
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"JAN",
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"FEB",
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"MAR",
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"APR",
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"MAY",
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"JUN",
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"JUL",
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"AUG",
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"SEP",
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"OCT",
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"NOV",
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"DEC",
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]
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exp = sym.expiry_date
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# YYMDD
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# 01234
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year, month, day = (exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
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otype = "C" if sym.option_type == CALL else "P"
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return f"{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}"
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def cf_sym_to_fqsn(sym: str) -> str:
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return sym.lower().replace("-", "")
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def get_config(exchange: str) -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get(exchange.lower())
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breakpoint()
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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(f"No config section found for deribit in {path}")
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log.warning(f"No config section found for deribit in {exchange}")
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return conf
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@ -145,64 +96,53 @@ async def mk_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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) -> None:
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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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sym = symbols[0]
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async with (open_cached_client(exchange.lower()) as client, send_chan as send_chan):
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# create init message here
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pairs = await client.cache_pairs()
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cache = await client.cache_symbols()
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cf_syms = {}
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for key, value in cache.items():
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cf_sym = key.lower().replace('-', '')
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cf_syms[cf_sym] = value
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cf_sym = cf_syms[sym]
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async with maybe_open_price_feed(cf_sym, exchange, channels) as stream:
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pair_data = pairs[sym]
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async with maybe_open_price_feed(pair_data, exchange, channels) as stream:
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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': 'crypto',
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'price_tick_size': 0.0005
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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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"symbol_info": {"asset_type": "crypto", "price_tick_size": 0.0005},
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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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# broker schemas to validate symbol data
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quote_msg = {"symbol": cf_sym["name"], "last": 0, "ticks": []}
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quote_msg = {"symbol": pair_data["name"], "last": 0, "ticks": []}
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task_status.started((init_msgs, quote_msg))
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feed_is_live.set()
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async for typ, quote in stream:
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print(f'streaming {typ} quote: {quote}')
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topic = quote["symbol"]
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await send_chan.send({topic: quote})
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@acm
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async def maybe_open_price_feed(
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symbol, exchange, channels
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pair_data: Symbol, exchange: str, channels
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) -> trio.abc.ReceiveStream:
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# TODO: add a predicate to maybe_open_context
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# TODO: ensure we can dynamically pass down args here
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async with maybe_open_context(
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acm_func=open_price_feed,
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kwargs={
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"symbol": symbol,
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"pair_data": pair_data,
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"exchange": exchange,
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"channels": channels,
|
||||
},
|
||||
key=symbol['name'],
|
||||
key=pair_data["name"],
|
||||
) as (cache_hit, feed):
|
||||
if cache_hit:
|
||||
yield broadcast_receiver(feed, 10)
|
||||
|
|
@ -211,10 +151,12 @@ async def maybe_open_price_feed(
|
|||
|
||||
|
||||
@acm
|
||||
async def open_price_feed(symbol: str, exchange, channels) -> trio.abc.ReceiveStream:
|
||||
async def open_price_feed(
|
||||
pair_data: Symbol, exchange, channels
|
||||
) -> trio.abc.ReceiveStream:
|
||||
async with maybe_open_feed_handler(exchange) as fh:
|
||||
async with to_asyncio.open_channel_from(
|
||||
partial(aio_price_feed_relay, exchange, channels, fh, symbol)
|
||||
partial(aio_price_feed_relay, pair_data, exchange, channels, fh)
|
||||
) as (first, chan):
|
||||
yield chan
|
||||
|
||||
|
|
@ -224,7 +166,7 @@ async def maybe_open_feed_handler(exchange: str) -> trio.abc.ReceiveStream:
|
|||
async with maybe_open_context(
|
||||
acm_func=open_feed_handler,
|
||||
kwargs={
|
||||
'exchange': exchange,
|
||||
"exchange": exchange,
|
||||
},
|
||||
key="feedhandler",
|
||||
) as (cache_hit, fh):
|
||||
|
|
@ -239,74 +181,78 @@ async def open_feed_handler(exchange: str):
|
|||
|
||||
|
||||
async def aio_price_feed_relay(
|
||||
pair_data: Symbol,
|
||||
exchange: str,
|
||||
channels: list[str],
|
||||
fh: FeedHandler,
|
||||
symbol: Symbol,
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
) -> None:
|
||||
async def _trade(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
# to_trio.send_nowait(
|
||||
# (
|
||||
# "trade",
|
||||
# {
|
||||
# "symbol": cb_sym_to_deribit_inst(
|
||||
# str_to_cb_sym(data.symbol)
|
||||
# ).lower(),
|
||||
# "last": data,
|
||||
# "broker_ts": time.time(),
|
||||
# "data": data.to_dict(),
|
||||
# "receipt": receipt_timestamp,
|
||||
# },
|
||||
# )
|
||||
# )
|
||||
print(f' trade data: {data}')
|
||||
to_trio.send_nowait(
|
||||
(
|
||||
"trade",
|
||||
{
|
||||
"symbol": cf_sym_to_fqsn(data.symbol),
|
||||
"last": float(data.to_dict()['price']),
|
||||
"broker_ts": time.time(),
|
||||
"data": data.to_dict(),
|
||||
"receipt": receipt_timestamp,
|
||||
},
|
||||
)
|
||||
)
|
||||
|
||||
async def _l1(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
# to_trio.send_nowait(
|
||||
# (
|
||||
# "l1",
|
||||
# {
|
||||
# "symbol": cb_sym_to_deribit_inst(
|
||||
# str_to_cb_sym(data.symbol)
|
||||
# ).lower(),
|
||||
# "ticks": [
|
||||
# {
|
||||
# "type": "bid",
|
||||
# "price": float(data.bid_price),
|
||||
# "size": float(data.bid_size),
|
||||
# },
|
||||
# {
|
||||
# "type": "bsize",
|
||||
# "price": float(data.bid_price),
|
||||
# "size": float(data.bid_size),
|
||||
# },
|
||||
# {
|
||||
# "type": "ask",
|
||||
# "price": float(data.ask_price),
|
||||
# "size": float(data.ask_size),
|
||||
# },
|
||||
# {
|
||||
# "type": "asize",
|
||||
# "price": float(data.ask_price),
|
||||
# "size": float(data.ask_size),
|
||||
# },
|
||||
# ],
|
||||
# },
|
||||
# )
|
||||
# )
|
||||
print(f'l2 data: {data}')
|
||||
bid = data.book.to_dict()['bid']
|
||||
ask = data.book.to_dict()['ask']
|
||||
l1_ask_price, l1_ask_size = next(iter(ask.items()))
|
||||
l1_bid_price, l1_bid_size = next(iter(bid.items()))
|
||||
|
||||
to_trio.send_nowait(
|
||||
(
|
||||
"l1",
|
||||
{
|
||||
"symbol": cf_sym_to_fqsn(data.symbol),
|
||||
"ticks": [
|
||||
{
|
||||
"type": "bid",
|
||||
"price": float(l1_bid_price),
|
||||
"size": float(l1_bid_size),
|
||||
},
|
||||
{
|
||||
"type": "bsize",
|
||||
"price": float(l1_bid_price),
|
||||
"size": float(l1_bid_size),
|
||||
},
|
||||
{
|
||||
"type": "ask",
|
||||
"price": float(l1_ask_price),
|
||||
"size": float(l1_ask_size),
|
||||
},
|
||||
{
|
||||
"type": "asize",
|
||||
"price": float(l1_ask_price),
|
||||
"size": float(l1_ask_size),
|
||||
},
|
||||
]
|
||||
}
|
||||
)
|
||||
)
|
||||
|
||||
fh.add_feed(
|
||||
exchange,
|
||||
channels=channels,
|
||||
symbols=[piker_sym_to_cb_sym(symbol)],
|
||||
callbacks={TRADES: _trade, L2_BOOK: _l1},
|
||||
symbols=[pair_data_to_cf_sym(pair_data)],
|
||||
callbacks={TRADES: _trade, L2_BOOK: _l1}
|
||||
)
|
||||
|
||||
if not fh.running:
|
||||
fh.run(start_loop=False, install_signal_handlers=False)
|
||||
|
||||
try:
|
||||
fh.run(start_loop=False, install_signal_handlers=False)
|
||||
except BaseExceptionGroup as e:
|
||||
breakpoint()
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue