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
|
|
@ -20,9 +20,11 @@ Deribit backend.
|
|||
'''
|
||||
import json
|
||||
import time
|
||||
import asyncio
|
||||
|
||||
from contextlib import asynccontextmanager as acm, AsyncExitStack
|
||||
from itertools import count
|
||||
from functools import partial
|
||||
from datetime import datetime
|
||||
from typing import Any, List, Dict, Optional, Iterable
|
||||
|
||||
|
|
@ -41,11 +43,24 @@ from .._util import resproc
|
|||
from piker import config
|
||||
from piker.log import get_logger
|
||||
|
||||
from tractor.trionics import broadcast_receiver, BroadcastReceiver
|
||||
from tractor import to_asyncio
|
||||
|
||||
from cryptofeed import FeedHandler
|
||||
|
||||
from cryptofeed.defines import (
|
||||
DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
|
||||
)
|
||||
from cryptofeed.symbols import Symbol
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
_spawn_kwargs = {
|
||||
'infect_asyncio': True,
|
||||
}
|
||||
|
||||
|
||||
_url = 'https://www.deribit.com'
|
||||
_ws_url = 'wss://www.deribit.com/ws/api/v2'
|
||||
_testnet_ws_url = 'wss://test.deribit.com/ws/api/v2'
|
||||
|
|
@ -96,6 +111,8 @@ class Trade(Struct):
|
|||
instrument_name: str
|
||||
index_price: float
|
||||
direction: str
|
||||
combo_trade_id: Optional[int] = 0,
|
||||
combo_id: Optional[str] = '',
|
||||
amount: float
|
||||
|
||||
class LastTradesResult(Struct):
|
||||
|
|
@ -108,6 +125,67 @@ def deribit_timestamp(when):
|
|||
return int((when.timestamp() * 1000) + (when.microsecond / 1000))
|
||||
|
||||
|
||||
def str_to_cb_sym(name: str) -> Symbol:
|
||||
base, strike_price, expiry_date, option_type = name.split('-')
|
||||
|
||||
quote = base
|
||||
|
||||
if option_type == 'put':
|
||||
option_type = PUT
|
||||
elif option_type == 'call':
|
||||
option_type = CALL
|
||||
else:
|
||||
raise Exception("Couldn\'t parse option type")
|
||||
|
||||
return Symbol(
|
||||
base, quote,
|
||||
type=OPTION,
|
||||
strike_price=strike_price,
|
||||
option_type=option_type,
|
||||
expiry_date=expiry_date,
|
||||
expiry_normalize=False)
|
||||
|
||||
|
||||
def piker_sym_to_cb_sym(name: str) -> Symbol:
|
||||
base, expiry_date, strike_price, option_type = tuple(
|
||||
name.upper().split('-'))
|
||||
|
||||
quote = base
|
||||
|
||||
if option_type == 'P':
|
||||
option_type = PUT
|
||||
elif option_type == 'C':
|
||||
option_type = CALL
|
||||
else:
|
||||
raise Exception("Couldn\'t parse option type")
|
||||
|
||||
return Symbol(
|
||||
base, quote,
|
||||
type=OPTION,
|
||||
strike_price=strike_price,
|
||||
option_type=option_type,
|
||||
expiry_date=expiry_date.upper())
|
||||
|
||||
|
||||
def cb_sym_to_deribit_inst(sym: Symbol):
|
||||
# cryptofeed normalized
|
||||
cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
|
||||
|
||||
# deribit specific
|
||||
months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
|
||||
|
||||
exp = sym.expiry_date
|
||||
|
||||
# YYMDD
|
||||
# 01234
|
||||
year, month, day = (
|
||||
exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
|
||||
|
||||
otype = 'C' if sym.option_type == CALL else 'P'
|
||||
|
||||
return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}'
|
||||
|
||||
|
||||
def get_config() -> dict[str, Any]:
|
||||
|
||||
conf, path = config.load()
|
||||
|
|
@ -126,7 +204,7 @@ def get_config() -> dict[str, Any]:
|
|||
class Client:
|
||||
|
||||
def __init__(self, n: Nursery, ws: NoBsWs) -> None:
|
||||
self._pairs: dict[str, Any] = {}
|
||||
self._pairs: dict[str, Any] = None
|
||||
|
||||
config = get_config().get('deribit', {})
|
||||
|
||||
|
|
@ -148,6 +226,8 @@ class Client:
|
|||
self._access_token: Optional[str] = None
|
||||
self._refresh_token: Optional[str] = None
|
||||
|
||||
self.feeds = CryptoFeedRelay()
|
||||
|
||||
@property
|
||||
def currencies(self):
|
||||
return ['btc', 'eth', 'sol', 'usd']
|
||||
|
|
@ -298,6 +378,33 @@ class Client:
|
|||
|
||||
return balances
|
||||
|
||||
async def submit_limit(
|
||||
self,
|
||||
symbol: str,
|
||||
price: float,
|
||||
action: str,
|
||||
size: float
|
||||
) -> dict:
|
||||
"""Place an order
|
||||
"""
|
||||
params = {
|
||||
'instrument_name': symbol.upper(),
|
||||
'amount': size,
|
||||
'type': 'limit',
|
||||
'price': price,
|
||||
}
|
||||
resp = await self.json_rpc(
|
||||
f'private/{action}', params)
|
||||
|
||||
return resp.result
|
||||
|
||||
async def submit_cancel(self, oid: str):
|
||||
"""Send cancel request for order id
|
||||
"""
|
||||
resp = await self.json_rpc(
|
||||
'private/cancel', {'order_id': oid})
|
||||
return resp.result
|
||||
|
||||
async def symbol_info(
|
||||
self,
|
||||
instrument: Optional[str] = None,
|
||||
|
|
@ -308,8 +415,8 @@ class Client:
|
|||
"""Get symbol info for the exchange.
|
||||
|
||||
"""
|
||||
# TODO: we can load from our self._pairs cache
|
||||
# on repeat calls...
|
||||
if self._pairs:
|
||||
return self._pairs
|
||||
|
||||
# will retrieve all symbols by default
|
||||
params = {
|
||||
|
|
@ -322,7 +429,9 @@ class Client:
|
|||
results = resp.result
|
||||
|
||||
instruments = {
|
||||
item['instrument_name']: item for item in results}
|
||||
item['instrument_name'].lower(): item
|
||||
for item in results
|
||||
}
|
||||
|
||||
if instrument is not None:
|
||||
return instruments[instrument]
|
||||
|
|
@ -342,9 +451,6 @@ class Client:
|
|||
pattern: str,
|
||||
limit: int = 30,
|
||||
) -> dict[str, Any]:
|
||||
if self._pairs is not None:
|
||||
data = self._pairs
|
||||
else:
|
||||
data = await self.symbol_info()
|
||||
|
||||
matches = fuzzy.extractBests(
|
||||
|
|
@ -354,7 +460,7 @@ class Client:
|
|||
limit=limit
|
||||
)
|
||||
# repack in dict form
|
||||
return {item[0]['instrument_name']: item[0]
|
||||
return {item[0]['instrument_name'].lower(): item[0]
|
||||
for item in matches}
|
||||
|
||||
async def bars(
|
||||
|
|
@ -437,3 +543,141 @@ async def get_client() -> Client:
|
|||
await client.start_rpc()
|
||||
await client.cache_symbols()
|
||||
yield client
|
||||
await client.feeds.stop()
|
||||
|
||||
|
||||
class CryptoFeedRelay:
|
||||
|
||||
def __init__(self):
|
||||
self._fh = FeedHandler(config=get_config())
|
||||
|
||||
self._price_streams: dict[str, BroadcastReceiver] = {}
|
||||
self._order_stream: Optional[BroadcastReceiver] = None
|
||||
|
||||
self._loop = None
|
||||
|
||||
async def stop(self):
|
||||
await to_asyncio.run_task(
|
||||
partial(self._fh.stop_async, loop=self._loop))
|
||||
|
||||
@acm
|
||||
async def open_price_feed(
|
||||
self,
|
||||
instruments: List[str]
|
||||
) -> trio.abc.ReceiveStream:
|
||||
inst_str = ','.join(instruments)
|
||||
instruments = [piker_sym_to_cb_sym(i) for i in instruments]
|
||||
|
||||
if inst_str in self._price_streams:
|
||||
# TODO: a good value for maxlen?
|
||||
yield broadcast_receiver(self._price_streams[inst_str], 10)
|
||||
|
||||
else:
|
||||
async def relay(
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
) -> None:
|
||||
async def _trade(data: dict, receipt_timestamp):
|
||||
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
|
||||
}))
|
||||
|
||||
async def _l1(data: dict, receipt_timestamp):
|
||||
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)}
|
||||
]
|
||||
}))
|
||||
|
||||
self._fh.add_feed(
|
||||
DERIBIT,
|
||||
channels=[TRADES, L1_BOOK],
|
||||
symbols=instruments,
|
||||
callbacks={
|
||||
TRADES: _trade,
|
||||
L1_BOOK: _l1
|
||||
})
|
||||
|
||||
if not self._fh.running:
|
||||
self._fh.run(start_loop=False)
|
||||
self._loop = asyncio.get_event_loop()
|
||||
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
try:
|
||||
await asyncio.sleep(float('inf'))
|
||||
|
||||
except asyncio.exceptions.CancelledError:
|
||||
...
|
||||
|
||||
async with to_asyncio.open_channel_from(
|
||||
relay
|
||||
) as (first, chan):
|
||||
self._price_streams[inst_str] = chan
|
||||
yield self._price_streams[inst_str]
|
||||
|
||||
@acm
|
||||
async def open_order_feed(
|
||||
self,
|
||||
instruments: List[str]
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
inst_str = ','.join(instruments)
|
||||
instruments = [piker_sym_to_cb_sym(i) for i in instruments]
|
||||
|
||||
if self._order_stream:
|
||||
yield broadcast_receiver(self._order_streams[inst_str], 10)
|
||||
|
||||
else:
|
||||
async def relay(
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
) -> None:
|
||||
async def _fill(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
|
||||
async def _order_info(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
|
||||
self._fh.add_feed(
|
||||
DERIBIT,
|
||||
channels=[FILLS, ORDER_INFO],
|
||||
symbols=instruments,
|
||||
callbacks={
|
||||
FILLS: _fill,
|
||||
ORDER_INFO: _order_info,
|
||||
})
|
||||
|
||||
if not self._fh.running:
|
||||
self._fh.run(start_loop=False)
|
||||
self._loop = asyncio.get_event_loop()
|
||||
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
try:
|
||||
await asyncio.sleep(float('inf'))
|
||||
|
||||
except asyncio.exceptions.CancelledError:
|
||||
...
|
||||
|
||||
async with to_asyncio.open_channel_from(
|
||||
relay
|
||||
) as (first, chan):
|
||||
self._order_stream = chan
|
||||
yield self._order_stream
|
||||
|
|
|
|||
|
|
@ -18,9 +18,6 @@
|
|||
Deribit backend.
|
||||
|
||||
'''
|
||||
|
||||
import asyncio
|
||||
from async_generator import aclosing
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
from typing import Any, Optional, List, Callable
|
||||
|
|
@ -32,7 +29,6 @@ import pendulum
|
|||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
import tractor
|
||||
from tractor import to_asyncio
|
||||
|
||||
from piker._cacheables import open_cached_client
|
||||
from piker.log import get_logger, get_console_log
|
||||
|
|
@ -49,7 +45,11 @@ from cryptofeed.defines import (
|
|||
)
|
||||
from cryptofeed.symbols import Symbol
|
||||
|
||||
from .api import Client, Trade, get_config
|
||||
from .api import (
|
||||
Client, Trade,
|
||||
get_config,
|
||||
str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst
|
||||
)
|
||||
|
||||
_spawn_kwargs = {
|
||||
'infect_asyncio': True,
|
||||
|
|
@ -59,145 +59,6 @@ _spawn_kwargs = {
|
|||
log = get_logger(__name__)
|
||||
|
||||
|
||||
_url = 'https://www.deribit.com'
|
||||
|
||||
|
||||
def str_to_cb_sym(name: str) -> Symbol:
|
||||
base, strike_price, expiry_date, option_type = name.split('-')
|
||||
|
||||
quote = base
|
||||
|
||||
if option_type == 'put':
|
||||
option_type = PUT
|
||||
elif option_type == 'call':
|
||||
option_type = CALL
|
||||
else:
|
||||
raise BaseException("Couldn\'t parse option type")
|
||||
|
||||
return Symbol(
|
||||
base, quote,
|
||||
type=OPTION,
|
||||
strike_price=strike_price,
|
||||
option_type=option_type,
|
||||
expiry_date=expiry_date,
|
||||
expiry_normalize=False)
|
||||
|
||||
|
||||
|
||||
def piker_sym_to_cb_sym(name: str) -> Symbol:
|
||||
base, expiry_date, strike_price, option_type = tuple(
|
||||
name.upper().split('-'))
|
||||
|
||||
quote = base
|
||||
|
||||
if option_type == 'P':
|
||||
option_type = PUT
|
||||
elif option_type == 'C':
|
||||
option_type = CALL
|
||||
else:
|
||||
raise BaseException("Couldn\'t parse option type")
|
||||
|
||||
return Symbol(
|
||||
base, quote,
|
||||
type=OPTION,
|
||||
strike_price=strike_price,
|
||||
option_type=option_type,
|
||||
expiry_date=expiry_date.upper())
|
||||
|
||||
|
||||
def cb_sym_to_deribit_inst(sym: Symbol):
|
||||
# cryptofeed normalized
|
||||
cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
|
||||
|
||||
# deribit specific
|
||||
months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
|
||||
|
||||
exp = sym.expiry_date
|
||||
|
||||
# YYMDD
|
||||
# 01234
|
||||
year, month, day = (
|
||||
exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
|
||||
|
||||
otype = 'C' if sym.option_type == CALL else 'P'
|
||||
|
||||
return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}'
|
||||
|
||||
|
||||
# inside here we are in an asyncio context
|
||||
async def open_aio_cryptofeed_relay(
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
instruments: List[str] = []
|
||||
) -> None:
|
||||
|
||||
instruments = [piker_sym_to_cb_sym(i) for i in instruments]
|
||||
|
||||
async def trade_cb(data: dict, receipt_timestamp):
|
||||
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
|
||||
}))
|
||||
|
||||
async def l1_book_cb(data: dict, receipt_timestamp):
|
||||
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)}
|
||||
]
|
||||
}))
|
||||
|
||||
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
|
||||
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,
|
||||
|
|
@ -314,10 +177,15 @@ async def stream_quotes(
|
|||
|
||||
feed_is_live.set()
|
||||
|
||||
async for typ, quote in stream:
|
||||
try:
|
||||
while True:
|
||||
typ, quote = await stream.receive()
|
||||
topic = quote['symbol']
|
||||
await send_chan.send({topic: quote})
|
||||
|
||||
except trio.ClosedResourceError:
|
||||
...
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
|
|
|
|||
Loading…
Reference in New Issue