kucoin: WIP moving to FeedInit API

piker/brokers/kucoin.py

@@ -18,29 +18,45 @@ Kucoin broker backend
 
 '''
 
-from typing import Any, Callable, Literal, AsyncGenerator
-from contextlib import asynccontextmanager as acm
+from contextlib import (
+    asynccontextmanager as acm,
+    aclosing,
+)
 from datetime import datetime
-import time
+from decimal import Decimal
 import base64
 import hmac
 import hashlib
+import time
+from functools import partial
+from typing import (
+    Any,
+    Callable,
+    Literal,
+    AsyncGenerator,
+)
 import wsproto
 from uuid import uuid4
 
 import asks
 import tractor
 import trio
-from trio_util import trio_async_generator
 from trio_typing import TaskStatus
 from fuzzywuzzy import process as fuzzy
 import pendulum
 import numpy as np
 
-from piker._cacheables import open_cached_client
+from piker.accounting._mktinfo import (
+    Asset,
+    MktPair,
+)
+from piker import config
+from piker._cacheables import (
+    open_cached_client,
+    async_lifo_cache,
+)
 from piker.log import get_logger
 from ._util import DataUnavailable
-from piker.pp import config
 from ..data.types import Struct
 from ..data._web_bs import (
     open_autorecon_ws,
@@ -67,11 +83,20 @@ class KucoinMktPair(Struct, frozen=True):
     https://docs.kucoin.com/#get-symbols-list
 
     '''
-
     baseCurrency: str
     baseIncrement: float
+
+    @property
+    def price_tick(self) -> Decimal:
+        return Decimal(str(self.self.baseIncrement))
+
     baseMaxSize: float
     baseMinSize: float
+
+    @property
+    def size_tick(self) -> Decimal:
+        return Decimal(str(self.baseMinSize))
+
     enableTrading: bool
     feeCurrency: str
     isMarginEnabled: bool
@@ -84,7 +109,7 @@ class KucoinMktPair(Struct, frozen=True):
     quoteIncrement: float
     quoteMaxSize: float
     quoteMinSize: float
-    symbol: str
+    symbol: str  # our bs_mktid, kucoin's internal id
 
 
 class AccountTrade(Struct, frozen=True):
@@ -293,7 +318,7 @@ class Client:
     ) -> dict[str, KucoinMktPair]:
         entries = await self._request('GET', '/symbols')
         syms = {
-            kucoin_sym_to_fqsn(item['name']): KucoinMktPair(**item)
+            item['name'].lower().replace('-', ''): KucoinMktPair(**item)
             for item in entries
         }
 
@@ -439,15 +464,15 @@ class Client:
         return array
 
 
-def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
+def fqsn_to_kucoin_sym(
+    fqsn: str,
+    pairs: dict[str, KucoinMktPair],
+
+) -> str:
     pair_data = pairs[fqsn]
     return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
 
 
-def kucoin_sym_to_fqsn(sym: str) -> str:
-    return sym.lower().replace('-', '')
-
-
 @acm
 async def get_client() -> AsyncGenerator[Client, None]:
     client = Client()
@@ -497,14 +522,51 @@ async def open_ping_task(
         n.cancel_scope.cancel()
 
 
+@async_lifo_cache()
+async def get_mkt_info(
+    fqme: str,
+
+) -> tuple[MktPair, KucoinMktPair]:
+    '''
+    Query for and return a `MktPair` and `KucoinMktPair`.
+
+    '''
+    async with open_cached_client('kucoin') as client:
+        # split off any fqme broker part
+        bs_fqme, _, broker = fqme.partition('.')
+
+        pairs: dict[str, KucoinMktPair] = await client.cache_pairs()
+        pair: KucoinMktPair = pairs[bs_fqme]
+        bs_mktid: str = pair.symbol
+
+        # pair: KucoinMktPair = await client.pair_info(pair_str)
+
+        # assets = client.assets
+        # dst_asset: Asset = assets[pair.base]
+        # src_asset: Asset = assets[pair.quote]
+
+        mkt = MktPair(
+            dst=dst_asset,
+            src=src_asset,
+
+            price_tick=pair.price_tick,
+            size_tick=pair.size_tick,
+            bs_mktid=bs_mktid,
+
+            broker='kucoin',
+        )
+        return mkt, pair
+
+
 async def stream_quotes(
     send_chan: trio.abc.SendChannel,
     symbols: list[str],
     feed_is_live: trio.Event,
-    loglevel: str = '',
-    # startup sync
-    task_status: TaskStatus[tuple[dict, dict]
-                            ] = trio.TASK_STATUS_IGNORED,
+
+    task_status: TaskStatus[
+        tuple[dict, dict]
+    ] = trio.TASK_STATUS_IGNORED,
+
 ) -> None:
     '''
     Required piker api to stream real-time data.
@@ -512,64 +574,71 @@ async def stream_quotes(
 
     '''
     async with open_cached_client('kucoin') as client:
+
+        log.info('Starting up quote stream')
+        # loop through symbols and sub to feedz
+        for sym_str in symbols:
+            mkt, pair = await get_mkt_info(sym_str)
+
+            init_msgs = {
+                # pass back token, and bool, signalling if we're the
+                # writer and that history has been written
+                sym_str: {
+                    'symbol_info': {
+                        'asset_type': 'crypto',
+                        'price_tick_size': pair.baseIncrement,
+                        'lot_tick_size': pair.baseMinSize,
+                    },
+                    'shm_write_opts': {'sum_tick_vml': False},
+                    'fqsn': sym_str,
+                }
+            }
+
         token, ping_interval = await client._get_ws_token()
         connect_id = str(uuid4())
-        pairs = await client.cache_pairs()
-        ws_url = (
-            f'wss://ws-api-spot.kucoin.com/?'
-            f'token={token}&[connectId={connect_id}]'
-        )
 
-        # open ping task
         async with (
-            open_autorecon_ws(ws_url) as ws,
+            open_autorecon_ws(
+                (
+                    f'wss://ws-api-spot.kucoin.com/?'
+                    f'token={token}&[connectId={connect_id}]'
+                ),
+                fixture=partial(
+                    subscribe,
+                    connect_id=connect_id,
+                    kucoin_sym=pair.sym,
+                ),
+            ) as ws,
             open_ping_task(ws, ping_interval, connect_id),
+            # subscribe(ws, connect_id, kucoin_sym),
+            aclosing(stream_messages(ws, sym_str)) as msg_gen,
         ):
-            log.info('Starting up quote stream')
-            # loop through symbols and sub to feedz
-            for sym in symbols:
-                pair: KucoinMktPair = pairs[sym]
-                kucoin_sym = pair.symbol
+            typ, quote = await anext(msg_gen)
+            while typ != 'trade':
+                # take care to not unblock here until we get a real
+                # trade quote
+                typ, quote = await anext(msg_gen)
 
-                init_msgs = {
-                    # pass back token, and bool, signalling if we're the writer
-                    # and that history has been written
-                    sym: {
-                        'symbol_info': {
-                            'asset_type': 'crypto',
-                            'price_tick_size': float(pair.baseIncrement),
-                            'lot_tick_size': float(pair.baseMinSize),
-                        },
-                        'shm_write_opts': {'sum_tick_vml': False},
-                        'fqsn': sym,
-                    }
-                }
+            task_status.started((init_msgs, quote))
+            feed_is_live.set()
 
-                async with (
-                    subscribe(ws, connect_id, kucoin_sym),
-                    stream_messages(ws, sym) as msg_gen,
-                ):
-                    typ, quote = await anext(msg_gen)
-                    while typ != 'trade':
-                        # take care to not unblock here until we get a real
-                        # trade quote
-                        typ, quote = await anext(msg_gen)
-
-                    task_status.started((init_msgs, quote))
-                    feed_is_live.set()
-
-                    async for typ, msg in msg_gen:
-                        await send_chan.send({sym: msg})
+            async for typ, msg in msg_gen:
+                await send_chan.send({sym_str: msg})
 
 
 @acm
-async def subscribe(ws: wsproto.WSConnection, connect_id, sym) -> AsyncGenerator[None, None]:
+async def subscribe(
+    ws: NoBsWs,
+    connect_id,
+    bs_mktid,
+
+) -> AsyncGenerator[None, None]:
     # level 2 sub
     await ws.send_msg(
         {
             'id': connect_id,
             'type': 'subscribe',
-            'topic': f'/spotMarket/level2Depth5:{sym}',
+            'topic': f'/spotMarket/level2Depth5:{bs_mktid}',
             'privateChannel': False,
             'response': True,
         }
@@ -580,7 +649,7 @@ async def subscribe(ws: wsproto.WSConnection, connect_id, sym) -> AsyncGenerator
         {
             'id': connect_id,
             'type': 'subscribe',
-            'topic': f'/market/ticker:{sym}',
+            'topic': f'/market/ticker:{bs_mktid}',
             'privateChannel': False,
             'response': True,
         }
@@ -590,21 +659,22 @@ async def subscribe(ws: wsproto.WSConnection, connect_id, sym) -> AsyncGenerator
 
     # unsub
     if ws.connected():
-        log.info(f'Unsubscribing to {sym} feed')
+        log.info(f'Unsubscribing to {bs_mktid} feed')
         await ws.send_msg(
             {
                 'id': connect_id,
                 'type': 'unsubscribe',
-                'topic': f'/market/ticker:{sym}',
+                'topic': f'/market/ticker:{bs_mktid}',
                 'privateChannel': False,
                 'response': True,
             }
         )
 
 
-@trio_async_generator
 async def stream_messages(
-    ws: NoBsWs, sym: str
+    ws: NoBsWs,
+    sym: str,
+
 ) -> AsyncGenerator[tuple[str, dict], None]:
     timeouts = 0
     last_trade_ts = 0