Initial deribit mock up
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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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# 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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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Deribit backend
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"""
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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from typing import (
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Any, Union, Optional,
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AsyncGenerator, Callable,
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)
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import time
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import trio
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from trio_typing import TaskStatus
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import pendulum
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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from cryptofeed import FeedHandler
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from cryptofeed.callback import (
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L1BookCallback,
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TradeCallback
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)
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from cryptofeed.defines import DERIBIT, L1_BOOK, TRADES
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log = get_logger(__name__)
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_url = 'https://www.deribit.com'
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# Broker specific ohlc schema (rest)
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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 KLinesResult(BaseModel):
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close: List[float]
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cost: List[float]
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high: List[float]
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low: List[float]
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open: List[float]
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status: str
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ticks: List[int]
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volume: List[float]
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class KLines(BaseModel):
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id: int
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jsonrpc: str = '2.0'
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result: KLinesResult
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# convert datetime obj timestamp to unixtime in milliseconds
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def deribit_timestamp(when):
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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class Client:
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def __init__(self) -> None:
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self._sesh = asks.Session(connections=4)
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self._sesh.base_location = _url
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self._pairs: dict[str, Any] = {}
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async def _api(
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self,
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method: str,
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params: dict,
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) -> dict[str, Any]:
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resp = await self._sesh.get(
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path=f'/api/v2/public/{method}',
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params=params,
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timeout=float('inf')
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)
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return resproc(resp, log)
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async def symbol_info(
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self,
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instrument: Optional[str] = None,
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currency: str = 'btc', # BTC, ETH, SOL, USDC
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kind: str = 'option',
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expired: bool = False
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) -> dict[str, Any]:
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'''Get symbol info for the exchange.
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'''
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# TODO: we can load from our self._pairs cache
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# on repeat calls...
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# will retrieve all symbols by default
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params = {
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'currency': currency.to_upper(),
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'kind': kind,
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'expired': expired
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}
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resp = await self._api(
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'get_instrument', params=params)
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if 'result' in resp:
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raise SymbolNotFound
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results = resp['result']
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instruments = {
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item['instrument_name']: item for item in results}
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if instrument is not None:
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return instruments[instrument]
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else:
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return instruments
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async def cache_symbols(
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self,
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) -> dict:
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if not self._pairs:
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self._pairs = await self.symbol_info()
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return self._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 = None,
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) -> dict[str, Any]:
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if self._pairs is not None:
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data = self._pairs
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else:
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data = await self.symbol_info()
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matches = fuzzy.extractBests(
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pattern,
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data,
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score_cutoff=50,
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)
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# repack in dict form
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return {item[0]['instrument_name']: item[0]
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for item in matches}
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async def bars(
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self,
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instrument: str,
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start_dt: Optional[datetime] = None,
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end_dt: Optional[datetime] = None,
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as_np: bool = True,
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) -> dict:
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if end_dt is None:
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end_dt = pendulum.now('UTC')
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if start_dt is None:
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start_dt = end_dt.start_of(
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'minute').subtract(minutes=limit)
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start_time = deribit_timestamp(start_dt)
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end_time = deribit_timestamp(end_dt)
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# https://docs.deribit.com/#public-get_tradingview_chart_data
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response = await self._api(
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'get_tradingview_chart_data',
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params={
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'instrument_name': instrument.upper(),
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'start_timestamp': start_time,
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'end_timestamp': end_time,
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'resolution': '1'
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}
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)
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klines = KLines(**response)
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result = klines.result
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new_bars = []
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for i in range(len(result.close)):
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_open = result.open[i]
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high = result.high[i]
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low = result.low[i]
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close = result.close[i]
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volume = result.volume[i]
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row = [
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(start_time + (i * (60 * 1000))) / 1000.0, # time
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result.open[i],
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result.high[i],
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result.low[i],
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result.close[i],
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result.volume[i]
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]
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new_bars.append((i,) + tuple(row))
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array = np.array(
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[i, ], dtype=_ohlc_dtype) if as_np else klines
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return array
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@acm
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async def get_client() -> Client:
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client = Client()
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await client.cache_symbols()
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yield client
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# inside here we are in an asyncio context
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async def open_aio_cryptofeed_relay(
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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event_consumers: dict[str, trio.Event],
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instruments: List[str] = []
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) -> None:
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async def trade_cb(feed, instrument, data: dict, receipt_timestamp):
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to_trio.send_nowait({
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'type': 'trade',
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instrument: data,
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'receipt': receipt_timestamp})
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async def l1_book_cb(feed, instrument, data: dict, receipt_timestamp):
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to_trio.send_nowait({
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'type': 'l1_book',
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instrument: data,
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'receipt': receipt_timestamp})
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fh = FeedHandler()
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fh.run(start_loop=False)
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fh.add_feed(
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DERIBIT,
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channels=[TRADES],
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symbols=instruments,
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callbacks={TRADES: TradeCallback(trade_cb)})
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fh.add_feed(
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DERIBIT,
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channels=[L1_BOOK],
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symbols=instruments,
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callbacks={L1_BOOK: L1BookCallback(l1_book_cb)})
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# sync with trio
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to_trio.send_nowait(None)
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await from_trio.get()
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@acm
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async def open_cryptofeeds():
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# try:
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event_table = {}
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async with (
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to_asyncio.open_channel_from(
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open_aio_cryptofeed_relay,
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event_consumers=event_table,
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instruments=['BTC-10JUN22-30000-C']
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) as (first, chan),
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trio.open_nursery() as n,
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):
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assert first is None
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async def relay_events():
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async with chan.subscribe() as msg_stream:
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async for msg in msg_stream:
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print(msg)
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n.start_soon(relay_events)
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yield None
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await chan.send(None)
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@acm
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async def open_history_client(
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instrument: str,
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) -> tuple[Callable, int]:
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# TODO implement history getter for the new storage layer.
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async with open_cached_client('deribit') as client:
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async def get_ohlc(
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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) -> tuple[
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np.ndarray,
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datetime, # start
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datetime, # end
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]:
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array = await client.bars(
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instrument,
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start_dt=start_dt,
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end_dt=end_dt,
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)
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start_dt = pendulum.from_timestamp(array[0]['time'])
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end_dt = pendulum.from_timestamp(array[-1]['time'])
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return array, start_dt, end_dt
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yield get_ohlc, {'erlangs': 3, 'rate': 3}
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async def backfill_bars(
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instrument: str,
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shm: ShmArray, # type: ignore # noqa
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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"""Fill historical bars into shared mem / storage afap.
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"""
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with trio.CancelScope() as cs:
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async with open_cached_client('deribit') as client:
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bars = await client.bars(instrument)
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shm.push(bars)
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task_status.started(cs)
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async def stream_quotes(
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send_chan: trio.abc.SendChannel,
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symbols: list[str],
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feed_is_live: trio.Event,
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loglevel: str = None,
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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_infos = {}
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uid = 0
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async with (
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open_cached_client('deribit') as client,
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send_chan as send_chan,
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):
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# keep client cached for real-time section
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cache = await client.cache_symbols()
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breakpoint()
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@tractor.context
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async def open_symbol_search(
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ctx: tractor.Context,
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) -> Client:
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async with open_cached_client('deribit') 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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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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# results = await client.symbol_info(sym=pattern.upper())
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matches = fuzzy.extractBests(
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pattern,
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cache,
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score_cutoff=50,
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)
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# repack in dict form
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await stream.send(
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{item[0]['instrument_name']: item[0]
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for item in matches}
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)
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