Refactor cryptofeed relay api and move it to client
Added submit_limit and submit_cancel Cache syms correctly Lowercase search resultssize_in_shm_token
parent
d60f222bb7
commit
80a1a58bfc
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@ -32,8 +32,8 @@ from .feed import (
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stream_quotes,
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)
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# from .broker import (
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# trades_dialogue,
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# norm_trade_records,
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# trades_dialogue,
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# norm_trade_records,
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# )
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__all__ = [
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@ -50,7 +50,7 @@ __all__ = [
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__enable_modules__: list[str] = [
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'api',
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'feed',
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# 'broker',
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# 'broker',
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]
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# passed to ``tractor.ActorNursery.start_actor()``
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@ -20,9 +20,11 @@ Deribit backend.
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'''
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import json
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import time
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import asyncio
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from contextlib import asynccontextmanager as acm, AsyncExitStack
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from itertools import count
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from functools import partial
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from datetime import datetime
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from typing import Any, List, Dict, Optional, Iterable
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@ -41,11 +43,24 @@ from .._util import resproc
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from piker import config
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from piker.log import get_logger
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from tractor.trionics import broadcast_receiver, BroadcastReceiver
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from tractor import to_asyncio
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from cryptofeed import FeedHandler
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from cryptofeed.defines import (
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DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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log = get_logger(__name__)
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_spawn_kwargs = {
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'infect_asyncio': True,
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}
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_url = 'https://www.deribit.com'
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_ws_url = 'wss://www.deribit.com/ws/api/v2'
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_testnet_ws_url = 'wss://test.deribit.com/ws/api/v2'
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@ -96,6 +111,8 @@ class Trade(Struct):
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instrument_name: str
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index_price: float
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direction: str
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combo_trade_id: Optional[int] = 0,
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combo_id: Optional[str] = '',
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amount: float
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class LastTradesResult(Struct):
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@ -108,6 +125,67 @@ def deribit_timestamp(when):
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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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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quote = base
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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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return Symbol(
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base, 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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def piker_sym_to_cb_sym(name: str) -> Symbol:
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base, expiry_date, strike_price, option_type = tuple(
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name.upper().split('-'))
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quote = base
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if option_type == 'P':
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option_type = PUT
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elif option_type == 'C':
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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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return Symbol(
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base, 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.upper())
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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 = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
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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 = (
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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 get_config() -> dict[str, Any]:
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conf, path = config.load()
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@ -126,7 +204,7 @@ def get_config() -> dict[str, Any]:
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class Client:
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def __init__(self, n: Nursery, ws: NoBsWs) -> None:
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self._pairs: dict[str, Any] = {}
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self._pairs: dict[str, Any] = None
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config = get_config().get('deribit', {})
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@ -148,6 +226,8 @@ class Client:
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self._access_token: Optional[str] = None
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self._refresh_token: Optional[str] = None
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self.feeds = CryptoFeedRelay()
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@property
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def currencies(self):
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return ['btc', 'eth', 'sol', 'usd']
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@ -298,6 +378,33 @@ class Client:
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return balances
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async def submit_limit(
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self,
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symbol: str,
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price: float,
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action: str,
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size: float
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) -> dict:
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"""Place an order
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"""
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params = {
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'instrument_name': symbol.upper(),
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'amount': size,
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'type': 'limit',
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'price': price,
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}
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resp = await self.json_rpc(
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f'private/{action}', params)
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return resp.result
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async def submit_cancel(self, oid: str):
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"""Send cancel request for order id
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"""
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resp = await self.json_rpc(
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'private/cancel', {'order_id': oid})
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return resp.result
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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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@ -308,8 +415,8 @@ class Client:
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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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if self._pairs:
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return self._pairs
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# will retrieve all symbols by default
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params = {
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@ -322,7 +429,9 @@ class Client:
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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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item['instrument_name'].lower(): item
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for item in results
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}
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if instrument is not None:
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return instruments[instrument]
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@ -342,10 +451,7 @@ class Client:
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pattern: str,
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limit: int = 30,
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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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data = await self.symbol_info()
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matches = fuzzy.extractBests(
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pattern,
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@ -354,7 +460,7 @@ class Client:
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limit=limit
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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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return {item[0]['instrument_name'].lower(): item[0]
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for item in matches}
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async def bars(
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@ -437,3 +543,141 @@ async def get_client() -> Client:
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await client.start_rpc()
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await client.cache_symbols()
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yield client
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await client.feeds.stop()
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class CryptoFeedRelay:
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def __init__(self):
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self._fh = FeedHandler(config=get_config())
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self._price_streams: dict[str, BroadcastReceiver] = {}
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self._order_stream: Optional[BroadcastReceiver] = None
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self._loop = None
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async def stop(self):
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await to_asyncio.run_task(
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partial(self._fh.stop_async, loop=self._loop))
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@acm
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async def open_price_feed(
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self,
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instruments: List[str]
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) -> trio.abc.ReceiveStream:
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inst_str = ','.join(instruments)
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instruments = [piker_sym_to_cb_sym(i) for i in instruments]
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if inst_str in self._price_streams:
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# TODO: a good value for maxlen?
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yield broadcast_receiver(self._price_streams[inst_str], 10)
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else:
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async def relay(
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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) -> None:
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async def _trade(data: dict, receipt_timestamp):
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to_trio.send_nowait(('trade', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'last': data,
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'broker_ts': time.time(),
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'data': data.to_dict(),
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'receipt': receipt_timestamp
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}))
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async def _l1(data: dict, receipt_timestamp):
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to_trio.send_nowait(('l1', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'ticks': [
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{'type': 'bid',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'bsize',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'ask',
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'price': float(data.ask_price), 'size': float(data.ask_size)},
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{'type': 'asize',
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'price': float(data.ask_price), 'size': float(data.ask_size)}
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]
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}))
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self._fh.add_feed(
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DERIBIT,
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channels=[TRADES, L1_BOOK],
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symbols=instruments,
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callbacks={
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TRADES: _trade,
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L1_BOOK: _l1
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})
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if not self._fh.running:
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self._fh.run(start_loop=False)
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self._loop = asyncio.get_event_loop()
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# sync with trio
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to_trio.send_nowait(None)
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try:
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await asyncio.sleep(float('inf'))
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except asyncio.exceptions.CancelledError:
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...
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async with to_asyncio.open_channel_from(
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relay
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) as (first, chan):
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self._price_streams[inst_str] = chan
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yield self._price_streams[inst_str]
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@acm
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async def open_order_feed(
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self,
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instruments: List[str]
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) -> trio.abc.ReceiveStream:
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inst_str = ','.join(instruments)
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instruments = [piker_sym_to_cb_sym(i) for i in instruments]
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if self._order_stream:
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yield broadcast_receiver(self._order_streams[inst_str], 10)
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else:
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async def relay(
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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) -> None:
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async def _fill(data: dict, receipt_timestamp):
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breakpoint()
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async def _order_info(data: dict, receipt_timestamp):
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breakpoint()
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self._fh.add_feed(
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DERIBIT,
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channels=[FILLS, ORDER_INFO],
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symbols=instruments,
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callbacks={
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FILLS: _fill,
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ORDER_INFO: _order_info,
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})
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if not self._fh.running:
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self._fh.run(start_loop=False)
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self._loop = asyncio.get_event_loop()
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# sync with trio
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to_trio.send_nowait(None)
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try:
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await asyncio.sleep(float('inf'))
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except asyncio.exceptions.CancelledError:
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...
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async with to_asyncio.open_channel_from(
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relay
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) as (first, chan):
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self._order_stream = chan
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yield self._order_stream
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@ -18,9 +18,6 @@
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Deribit backend.
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'''
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import asyncio
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from async_generator import aclosing
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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 Any, Optional, List, Callable
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@ -32,7 +29,6 @@ import pendulum
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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 tractor import to_asyncio
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from piker._cacheables import open_cached_client
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from piker.log import get_logger, get_console_log
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@ -49,7 +45,11 @@ from cryptofeed.defines import (
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)
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from cryptofeed.symbols import Symbol
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from .api import Client, Trade, get_config
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from .api import (
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Client, Trade,
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get_config,
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str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst
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)
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_spawn_kwargs = {
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'infect_asyncio': True,
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@ -59,145 +59,6 @@ _spawn_kwargs = {
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log = get_logger(__name__)
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_url = 'https://www.deribit.com'
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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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quote = base
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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 BaseException("Couldn\'t parse option type")
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return Symbol(
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base, 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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def piker_sym_to_cb_sym(name: str) -> Symbol:
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base, expiry_date, strike_price, option_type = tuple(
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name.upper().split('-'))
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quote = base
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if option_type == 'P':
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option_type = PUT
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elif option_type == 'C':
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option_type = CALL
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else:
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raise BaseException("Couldn\'t parse option type")
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return Symbol(
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base, 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.upper())
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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 = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
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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 = (
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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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# 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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instruments: List[str] = []
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) -> None:
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instruments = [piker_sym_to_cb_sym(i) for i in instruments]
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async def trade_cb(data: dict, receipt_timestamp):
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to_trio.send_nowait(('trade', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'last': data,
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'broker_ts': time.time(),
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'data': data.to_dict(),
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'receipt': receipt_timestamp
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}))
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async def l1_book_cb(data: dict, receipt_timestamp):
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to_trio.send_nowait(('l1', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'ticks': [
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{'type': 'bid',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'bsize',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'ask',
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'price': float(data.ask_price), 'size': float(data.ask_size)},
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{'type': 'asize',
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'price': float(data.ask_price), 'size': float(data.ask_size)}
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]
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}))
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fh = FeedHandler(config=get_config())
|
||||
fh.run(start_loop=False)
|
||||
|
||||
fh.add_feed(
|
||||
DERIBIT,
|
||||
channels=[L1_BOOK],
|
||||
symbols=instruments,
|
||||
callbacks={L1_BOOK: l1_book_cb})
|
||||
|
||||
fh.add_feed(
|
||||
DERIBIT,
|
||||
channels=[TRADES],
|
||||
symbols=instruments,
|
||||
callbacks={TRADES: trade_cb})
|
||||
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
try:
|
||||
await asyncio.sleep(float('inf'))
|
||||
|
||||
except asyncio.exceptions.CancelledError:
|
||||
...
|
||||
|
||||
|
||||
@acm
|
||||
async def open_cryptofeeds(
|
||||
|
||||
instruments: List[str]
|
||||
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
async with to_asyncio.open_channel_from(
|
||||
open_aio_cryptofeed_relay,
|
||||
instruments=instruments,
|
||||
) as (first, chan):
|
||||
yield chan
|
||||
|
||||
|
||||
@acm
|
||||
async def open_history_client(
|
||||
instrument: str,
|
||||
|
|
@ -265,8 +126,7 @@ async def stream_quotes(
|
|||
|
||||
async with (
|
||||
open_cached_client('deribit') as client,
|
||||
send_chan as send_chan,
|
||||
open_cryptofeeds(symbols) as stream
|
||||
send_chan as send_chan
|
||||
):
|
||||
|
||||
init_msgs = {
|
||||
|
|
@ -284,20 +144,23 @@ async def stream_quotes(
|
|||
|
||||
nsym = piker_sym_to_cb_sym(sym)
|
||||
|
||||
# keep client cached for real-time section
|
||||
cache = await client.cache_symbols()
|
||||
async with client.feeds.open_price_feed(
|
||||
symbols) as stream:
|
||||
|
||||
cache = await client.cache_symbols()
|
||||
|
||||
async with aclosing(stream):
|
||||
last_trades = (await client.last_trades(
|
||||
cb_sym_to_deribit_inst(nsym), count=1)).trades
|
||||
|
||||
if len(last_trades) == 0:
|
||||
async for typ, quote in stream:
|
||||
last_trade = None
|
||||
while not last_trade:
|
||||
typ, quote = await stream.receive()
|
||||
if typ == 'trade':
|
||||
last_trade = Trade(**quote['data'])
|
||||
last_trade = Trade(**(quote['data']))
|
||||
|
||||
else:
|
||||
last_trade = Trade(**last_trades[0])
|
||||
last_trade = Trade(**(last_trades[0]))
|
||||
|
||||
first_quote = {
|
||||
'symbol': sym,
|
||||
|
|
@ -314,9 +177,14 @@ async def stream_quotes(
|
|||
|
||||
feed_is_live.set()
|
||||
|
||||
async for typ, quote in stream:
|
||||
topic = quote['symbol']
|
||||
await send_chan.send({topic: quote})
|
||||
try:
|
||||
while True:
|
||||
typ, quote = await stream.receive()
|
||||
topic = quote['symbol']
|
||||
await send_chan.send({topic: quote})
|
||||
|
||||
except trio.ClosedResourceError:
|
||||
...
|
||||
|
||||
|
||||
@tractor.context
|
||||
|
|
|
|||
Loading…
Reference in New Issue