Crypto$ backend updates
- move to 3.9+ type annots - add initial draft `open_history_client()` endpoints - deliver `'fqsn'` keys in quote-stream init msgsfqsns
Tyler Goodlet
parent
493e45e70a
commit
998a5acd92
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@ -18,8 +18,11 @@
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Binance backend
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"""
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from contextlib import asynccontextmanager
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from typing import List, Dict, Any, Tuple, Union, Optional, AsyncGenerator
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from contextlib import asynccontextmanager as acm
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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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@ -88,7 +91,7 @@ class Pair(BaseModel):
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baseCommissionPrecision: int
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quoteCommissionPrecision: int
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orderTypes: List[str]
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orderTypes: list[str]
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icebergAllowed: bool
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ocoAllowed: bool
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@ -96,8 +99,8 @@ class Pair(BaseModel):
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isSpotTradingAllowed: bool
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isMarginTradingAllowed: bool
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filters: List[Dict[str, Union[str, int, float]]]
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permissions: List[str]
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filters: list[dict[str, Union[str, int, float]]]
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permissions: list[str]
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@dataclass
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@ -145,7 +148,7 @@ class Client:
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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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) -> dict[str, Any]:
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resp = await self._sesh.get(
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path=f'/api/v3/{method}',
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params=params,
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@ -200,7 +203,7 @@ class Client:
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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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) -> 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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@ -273,7 +276,7 @@ class Client:
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return array
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@asynccontextmanager
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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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@ -353,7 +356,7 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
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}
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def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
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def make_sub(pairs: list[str], sub_name: str, uid: int) -> dict[str, str]:
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"""Create a request subscription packet dict.
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https://binance-docs.github.io/apidocs/spot/en/#live-subscribing-unsubscribing-to-streams
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@ -368,6 +371,17 @@ def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
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}
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@acm
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async def open_history_client(
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symbol: 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('binance') as client:
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yield client
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async def backfill_bars(
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sym: str,
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shm: ShmArray, # type: ignore # noqa
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@ -385,12 +399,12 @@ async def backfill_bars(
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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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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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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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@ -427,10 +441,11 @@ async def stream_quotes(
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symbol: {
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'symbol_info': sym_infos[sym],
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'shm_write_opts': {'sum_tick_vml': False},
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'fqsn': sym,
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},
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}
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@asynccontextmanager
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@acm
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async def subscribe(ws: wsproto.WSConnection):
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# setup subs
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@ -480,8 +495,7 @@ async def stream_quotes(
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# TODO: use ``anext()`` when it lands in 3.10!
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typ, quote = await msg_gen.__anext__()
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first_quote = {quote['symbol'].lower(): quote}
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task_status.started((init_msgs, first_quote))
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task_status.started((init_msgs, quote))
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# signal to caller feed is ready for consumption
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feed_is_live.set()
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@ -18,9 +18,9 @@
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Kraken backend.
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'''
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict, field
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from typing import Dict, List, Tuple, Any, Optional, AsyncIterator
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from typing import Any, Optional, AsyncIterator, Callable
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import time
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from trio_typing import TaskStatus
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@ -80,7 +80,7 @@ ohlc_dtype = np.dtype(_ohlc_dtype)
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_show_wap_in_history = True
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_symbol_info_translation: Dict[str, str] = {
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_symbol_info_translation: dict[str, str] = {
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'tick_decimals': 'pair_decimals',
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}
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@ -102,16 +102,16 @@ class Pair(BaseModel):
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lot_multiplier: float
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# array of leverage amounts available when buying
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leverage_buy: List[int]
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leverage_buy: list[int]
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# array of leverage amounts available when selling
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leverage_sell: List[int]
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leverage_sell: list[int]
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# fee schedule array in [volume, percent fee] tuples
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fees: List[Tuple[int, float]]
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fees: list[tuple[int, float]]
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# maker fee schedule array in [volume, percent fee] tuples (if on
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# maker/taker)
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fees_maker: List[Tuple[int, float]]
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fees_maker: list[tuple[int, float]]
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fee_volume_currency: str # volume discount currency
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margin_call: str # margin call level
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@ -153,7 +153,7 @@ class OHLC:
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volume: float # Accumulated volume **within interval**
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count: int # Number of trades within interval
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# (sampled) generated tick data
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ticks: List[Any] = field(default_factory=list)
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ticks: list[Any] = field(default_factory=list)
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def get_config() -> dict[str, Any]:
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@ -177,7 +177,7 @@ def get_config() -> dict[str, Any]:
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def get_kraken_signature(
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urlpath: str,
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data: Dict[str, Any],
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data: dict[str, Any],
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secret: str
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) -> str:
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postdata = urllib.parse.urlencode(data)
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@ -220,7 +220,7 @@ class Client:
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self._secret = secret
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@property
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def pairs(self) -> Dict[str, Any]:
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def pairs(self) -> dict[str, Any]:
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if self._pairs is None:
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raise RuntimeError(
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"Make sure to run `cache_symbols()` on startup!"
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@ -233,7 +233,7 @@ class Client:
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self,
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method: str,
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data: dict,
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) -> Dict[str, Any]:
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) -> dict[str, Any]:
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resp = await self._sesh.post(
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path=f'/public/{method}',
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json=data,
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@ -246,7 +246,7 @@ class Client:
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method: str,
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data: dict,
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uri_path: str
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) -> Dict[str, Any]:
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) -> dict[str, Any]:
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headers = {
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'Content-Type':
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'application/x-www-form-urlencoded',
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@ -266,16 +266,16 @@ class Client:
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async def endpoint(
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self,
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method: str,
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data: Dict[str, Any]
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) -> Dict[str, Any]:
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data: dict[str, Any]
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) -> dict[str, Any]:
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uri_path = f'/0/private/{method}'
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data['nonce'] = str(int(1000*time.time()))
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return await self._private(method, data, uri_path)
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async def get_trades(
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self,
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data: Dict[str, Any] = {}
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) -> Dict[str, Any]:
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data: dict[str, Any] = {}
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) -> dict[str, Any]:
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data['ofs'] = 0
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# Grab all trade history
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# https://docs.kraken.com/rest/#operation/getTradeHistory
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@ -378,7 +378,7 @@ class Client:
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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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) -> 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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@ -452,7 +452,7 @@ class Client:
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raise SymbolNotFound(json['error'][0] + f': {symbol}')
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@asynccontextmanager
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@acm
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async def get_client() -> Client:
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section = get_config()
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@ -521,7 +521,7 @@ def normalize_symbol(
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return ticker.lower()
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def make_auth_sub(data: Dict[str, Any]) -> Dict[str, str]:
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def make_auth_sub(data: dict[str, Any]) -> dict[str, str]:
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'''
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Create a request subscription packet dict.
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@ -696,12 +696,12 @@ async def handle_order_requests(
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async def trades_dialogue(
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ctx: tractor.Context,
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loglevel: str = None,
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) -> AsyncIterator[Dict[str, Any]]:
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) -> AsyncIterator[dict[str, Any]]:
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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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@asynccontextmanager
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@acm
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async def subscribe(ws: wsproto.WSConnection, token: str):
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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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@ -980,7 +980,7 @@ def normalize(
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return topic, quote
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def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
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def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
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'''
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Create a request subscription packet dict.
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@ -996,6 +996,17 @@ def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
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}
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@acm
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async def open_history_client(
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symbol: 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('kraken') as client:
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yield client
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async def backfill_bars(
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sym: str,
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@ -1017,7 +1028,7 @@ async def backfill_bars(
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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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symbols: list[str],
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feed_is_live: trio.Event,
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loglevel: str = None,
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@ -1025,7 +1036,7 @@ async def stream_quotes(
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sub_type: str = 'ohlc',
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# startup sync
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task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
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task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
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) -> None:
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'''
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@ -1064,10 +1075,11 @@ async def stream_quotes(
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symbol: {
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'symbol_info': sym_infos[sym],
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'shm_write_opts': {'sum_tick_vml': False},
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'fqsn': sym,
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},
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}
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@asynccontextmanager
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@acm
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async def subscribe(ws: wsproto.WSConnection):
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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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@ -1121,8 +1133,7 @@ async def stream_quotes(
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topic, quote = normalize(ohlc_last)
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first_quote = {topic: quote}
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task_status.started((init_msgs, first_quote))
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task_status.started((init_msgs, quote))
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# lol, only "closes" when they're margin squeezing clients ;P
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feed_is_live.set()
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