Add brokercheck test and got deribit to dump l1 and trades to console
parent
f970b7c563
commit
8f338b334a
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@ -39,6 +39,97 @@ _config_dir = click.get_app_dir('piker')
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_watchlists_data_path = os.path.join(_config_dir, 'watchlists.json')
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@cli.command()
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@click.option('--loglevel', '-l', default='info', help='Logging level')
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@click.argument('broker', nargs=1, required=True)
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@click.pass_obj
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def brokercheck(config, loglevel, broker):
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'''
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Test broker apis for completeness.
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'''
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log = get_console_log(loglevel)
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async def run_method(client, meth_name: str, **kwargs):
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log.info(f'checking client for method \'{meth_name}\'...')
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method = getattr(client, meth_name, None)
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assert method
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log.info('found!, running...')
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result = await method(**kwargs)
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log.info(f'done! result: {type(result)}')
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return result
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async def run_test(broker_name: str):
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brokermod = get_brokermod(broker_name)
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total = 0
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passed = 0
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failed = 0
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log.info(f'getting client...')
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if not hasattr(brokermod, 'get_client'):
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log.error('fail! no \'get_client\' context manager found.')
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return
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async with brokermod.get_client() as client:
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log.info(f'done! inside client context.')
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# check for methods present on brokermod
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method_list = [
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'stream_messages',
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'open_history_client',
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'backfill_bars',
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'stream_quotes',
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'open_symbol_search'
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]
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for method in method_list:
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log.info(
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f'checking brokermod for method \'{method}\'...')
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if not hasattr(brokermod, method):
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log.error(f'fail! method \'{method}\' not found.')
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failed += 1
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else:
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log.info('done!')
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passed += 1
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total += 1
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# check for methods present con brokermod.Client and their
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# results
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syms = await run_method(client, 'symbol_info')
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total += 1
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if len(syms) == 0:
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raise BaseException('Empty Symbol list?')
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passed += 1
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first_sym = tuple(syms.keys())[0]
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method_list = [
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('cache_symbols', {}),
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('search_symbols', {'pattern': first_sym[:-1]}),
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('bars', {'symbol': first_sym})
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]
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for method_name, method_kwargs in method_list:
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try:
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await run_method(client, method_name, **method_kwargs)
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passed += 1
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except AssertionError:
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log.error(f'fail! method \'{method_name}\' not found.')
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failed += 1
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total += 1
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log.info(f'total: {total}, passed: {passed}, failed: {failed}')
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trio.run(run_test, broker)
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@cli.command()
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@click.option('--keys', '-k', multiple=True,
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help='Return results only for these keys')
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@ -193,6 +284,8 @@ def contracts(ctx, loglevel, broker, symbol, ids):
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brokermod = get_brokermod(broker)
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get_console_log(loglevel)
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contracts = trio.run(partial(core.contracts, brokermod, symbol))
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if not ids:
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# just print out expiry dates which can be used with
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@ -18,10 +18,11 @@
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Deribit backend
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"""
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import asyncio
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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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Any, Union, Optional, List,
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AsyncGenerator, Callable,
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)
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import time
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@ -33,10 +34,12 @@ 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 tractor import to_asyncio
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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 .. import config
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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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@ -50,7 +53,31 @@ 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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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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_spawn_kwargs = {
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'infect_asyncio': True,
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}
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def get_config() -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get('deribit')
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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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return {}
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conf['log'] = {}
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conf['log']['filename'] = 'feedhandler.log'
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conf['log']['level'] = 'WARNING'
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return conf
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log = get_logger(__name__)
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@ -126,16 +153,13 @@ class Client:
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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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'currency': currency.upper(),
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'kind': kind,
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'expired': expired
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'expired': str(expired).lower()
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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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'get_instruments', params=params)
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results = resp['result']
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@ -246,20 +270,43 @@ async def open_aio_cryptofeed_relay(
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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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conf = get_config()
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def format_sym(name: str) -> str:
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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("Instrument name must end in 'c' for calls or 'p' for puts")
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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()).normalized
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instruments = [format_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({
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'type': 'trade',
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instrument: data,
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data.symbol: data.to_dict(),
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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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async def l1_book_cb(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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data.symbol: data.to_dict(),
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'receipt': receipt_timestamp})
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fh = FeedHandler()
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fh = FeedHandler(config=conf)
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fh.run(start_loop=False)
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fh.add_feed(
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@ -281,7 +328,7 @@ async def open_aio_cryptofeed_relay(
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@acm
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async def open_cryptofeeds():
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async def open_cryptofeeds(instruments: List[str]):
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# try:
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event_table = {}
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@ -290,7 +337,7 @@ async def open_cryptofeeds():
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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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instruments=instruments
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) as (first, chan),
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trio.open_nursery() as n,
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):
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@ -303,7 +350,7 @@ async def open_cryptofeeds():
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n.start_soon(relay_events)
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yield None
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yield chan
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await chan.send(None)
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@ -372,12 +419,15 @@ async def stream_quotes(
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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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open_cryptofeeds(symbols) as feed_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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async with feed_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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@tractor.context
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