Label private methods accordingly, remove cryptofeeds module
parent
50e1070004
commit
9bf6f557ed
|
|
@ -246,7 +246,7 @@ class Client:
|
|||
f'Error making request for Kucoin ws token -> {res.json()["msg"]}'
|
||||
)
|
||||
|
||||
async def get_pairs(
|
||||
async def _get_pairs(
|
||||
self,
|
||||
) -> dict[str, KucoinMktPair]:
|
||||
if self._pairs:
|
||||
|
|
@ -265,12 +265,12 @@ class Client:
|
|||
|
||||
'''
|
||||
if not self._pairs:
|
||||
self._pairs = await self.get_pairs()
|
||||
self._pairs = await self._get_pairs()
|
||||
if normalize:
|
||||
self._pairs = self.normalize_pairs(self._pairs)
|
||||
self._pairs = self._normalize_pairs(self._pairs)
|
||||
return self._pairs
|
||||
|
||||
def normalize_pairs(
|
||||
def _normalize_pairs(
|
||||
self, pairs: dict[str, KucoinMktPair]
|
||||
) -> dict[str, KucoinMktPair]:
|
||||
"""
|
||||
|
|
@ -290,7 +290,7 @@ class Client:
|
|||
pattern: str,
|
||||
limit: int = 30,
|
||||
) -> dict[str, KucoinMktPair]:
|
||||
data = await self.get_pairs()
|
||||
data = await self._get_pairs()
|
||||
|
||||
matches = fuzzy.extractBests(pattern, data, score_cutoff=35, limit=limit)
|
||||
# repack in dict form
|
||||
|
|
@ -300,7 +300,7 @@ class Client:
|
|||
trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
|
||||
return trades.items
|
||||
|
||||
async def get_bars(
|
||||
async def _get_bars(
|
||||
self,
|
||||
fqsn: str,
|
||||
start_dt: Optional[datetime] = None,
|
||||
|
|
@ -564,7 +564,7 @@ async def open_history_client(
|
|||
if timeframe != 60:
|
||||
raise DataUnavailable("Only 1m bars are supported")
|
||||
|
||||
array = await client.get_bars(
|
||||
array = await client._get_bars(
|
||||
symbol,
|
||||
start_dt=start_dt,
|
||||
end_dt=end_dt,
|
||||
|
|
|
|||
|
|
@ -1,316 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Jared Goldman (in stewardship for pikers)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
# the Free Software Foundation, either version 3 of the License, or
|
||||
# (at your option) any later version.
|
||||
|
||||
# This program is distributed in the hope that it will be useful,
|
||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
"""
|
||||
from os import walk
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
from types import ModuleType
|
||||
from typing import Any, Literal, Optional, Callable
|
||||
import time
|
||||
from functools import partial
|
||||
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
from tractor.trionics import broadcast_receiver, maybe_open_context
|
||||
import pendulum
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
import tractor
|
||||
from tractor import to_asyncio
|
||||
from cryptofeed import FeedHandler
|
||||
from cryptofeed.defines import TRADES, L2_BOOK
|
||||
from cryptofeed.symbols import Symbol
|
||||
from cryptofeed.types import OrderBook
|
||||
import asyncio
|
||||
|
||||
from piker._cacheables import open_cached_client
|
||||
from piker.log import get_logger, get_console_log
|
||||
from piker.data import ShmArray
|
||||
from piker.brokers._util import (
|
||||
BrokerError,
|
||||
DataUnavailable,
|
||||
)
|
||||
from piker.pp import config
|
||||
|
||||
_spawn_kwargs = {
|
||||
"infect_asyncio": True,
|
||||
}
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
def fqsn_to_cb_sym(pair_data: Symbol) -> Symbol:
|
||||
return Symbol(base=pair_data["baseCurrency"], quote=pair_data["quoteCurrency"])
|
||||
|
||||
|
||||
def fqsn_to_cf_sym(fqsn: str, pairs: dict[str, Symbol]) -> str:
|
||||
pair_data = pairs[fqsn]
|
||||
return pair_data["baseCurrency"] + "-" + pair_data["quoteCurrency"]
|
||||
|
||||
|
||||
def pair_data_to_cf_sym(sym_data: Symbol):
|
||||
return sym_data["baseCurrency"] + "-" + sym_data["quoteCurrency"]
|
||||
|
||||
|
||||
def cf_sym_to_fqsn(sym: str) -> str:
|
||||
return sym.lower().replace("-", "")
|
||||
|
||||
|
||||
def get_config(exchange: str) -> dict[str, Any]:
|
||||
conf, path = config.load()
|
||||
|
||||
section = conf.get(exchange.lower())
|
||||
|
||||
# TODO: document why we send this, basically because logging params for cryptofeed
|
||||
conf["log"] = {}
|
||||
conf["log"]["disabled"] = True
|
||||
|
||||
if section is None:
|
||||
log.warning(f"No config section found for deribit in {exchange}")
|
||||
|
||||
return conf
|
||||
|
||||
|
||||
async def mk_stream_quotes(
|
||||
exchange: str,
|
||||
channels: list[str],
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
) -> None:
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
sym = symbols[0]
|
||||
|
||||
async with (
|
||||
open_cached_client(exchange.lower()) as client,
|
||||
# send_chan as send_chan,
|
||||
):
|
||||
pairs = await client.cache_pairs()
|
||||
pair_data = pairs[sym]
|
||||
|
||||
async with maybe_open_price_feed(
|
||||
pair_data,
|
||||
exchange,
|
||||
channels,
|
||||
) as stream:
|
||||
|
||||
init_msgs = {
|
||||
sym: {
|
||||
"symbol_info": {"asset_type": "crypto", "price_tick_size": 0.0005},
|
||||
"shm_write_opts": {"sum_tick_vml": False},
|
||||
"fqsn": sym,
|
||||
},
|
||||
}
|
||||
quote_msg = {"symbol": pair_data["name"], "last": 0, "ticks": []}
|
||||
|
||||
task_status.started((init_msgs, quote_msg))
|
||||
feed_is_live.set()
|
||||
|
||||
async for typ, quote in stream:
|
||||
topic = quote["symbol"]
|
||||
await send_chan.send({topic: quote})
|
||||
log.info(
|
||||
f'sending {typ} quote:\n'
|
||||
f'{quote}'
|
||||
)
|
||||
# try:
|
||||
# finally:
|
||||
# breakpoint()
|
||||
|
||||
# while True:
|
||||
# with trio.move_on_after(16) as cancel_scope:
|
||||
|
||||
# log.warning(f'WAITING FOR MESSAGE')
|
||||
# typ, quote = await stream.receive()
|
||||
|
||||
# log.warning(f'RECEIVED MSG: {quote}')
|
||||
|
||||
# topic = quote["symbol"]
|
||||
# await send_chan.send({topic: quote})
|
||||
|
||||
# log.warning(f'SENT TO CHAN')
|
||||
|
||||
# if cancel_scope.cancelled_caught:
|
||||
# await tractor.breakpoint()
|
||||
|
||||
@acm
|
||||
async def maybe_open_price_feed(
|
||||
pair_data: Symbol,
|
||||
exchange: str,
|
||||
channels,
|
||||
|
||||
) -> trio.abc.ReceiveStream:
|
||||
# TODO: add a predicate to maybe_open_context
|
||||
# TODO: ensure we can dynamically pass down args here
|
||||
async with maybe_open_context(
|
||||
acm_func=open_price_feed,
|
||||
kwargs={
|
||||
"pair_data": pair_data,
|
||||
"exchange": exchange,
|
||||
"channels": channels,
|
||||
},
|
||||
key=pair_data["name"],
|
||||
) as (cache_hit, feed):
|
||||
yield feed
|
||||
|
||||
|
||||
@acm
|
||||
async def open_price_feed(
|
||||
pair_data: Symbol, exchange, channels
|
||||
) -> trio.abc.ReceiveStream:
|
||||
async with maybe_open_feed_handler(exchange) as fh:
|
||||
async with to_asyncio.open_channel_from(
|
||||
partial(
|
||||
aio_price_feed_relay,
|
||||
pair_data,
|
||||
exchange,
|
||||
channels,
|
||||
fh,
|
||||
)
|
||||
) as (first, chan):
|
||||
yield chan
|
||||
|
||||
|
||||
@acm
|
||||
async def maybe_open_feed_handler(exchange: str) -> trio.abc.ReceiveStream:
|
||||
async with maybe_open_context(
|
||||
acm_func=open_feed_handler,
|
||||
kwargs={
|
||||
"exchange": exchange,
|
||||
},
|
||||
key="feedhandler",
|
||||
) as (cache_hit, fh):
|
||||
yield fh
|
||||
|
||||
|
||||
@acm
|
||||
async def open_feed_handler(exchange: str):
|
||||
fh = FeedHandler(config=get_config(exchange))
|
||||
yield fh
|
||||
await to_asyncio.run_task(fh.stop_async)
|
||||
|
||||
|
||||
async def aio_price_feed_relay(
|
||||
pair_data: Symbol,
|
||||
exchange: str,
|
||||
channels: list[str],
|
||||
fh: FeedHandler,
|
||||
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
|
||||
) -> None:
|
||||
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
async def _trade(data: dict, receipt_timestamp):
|
||||
data = data.to_dict()
|
||||
message = (
|
||||
"trade",
|
||||
{
|
||||
"symbol": cf_sym_to_fqsn(data['symbol']),
|
||||
"last": float(data['price']),
|
||||
"broker_ts": time.time(),
|
||||
"ticks": [{
|
||||
'type': 'trade',
|
||||
'price': float(data['price']),
|
||||
'size': float(data['amount']),
|
||||
'broker_ts': receipt_timestamp
|
||||
}],
|
||||
},
|
||||
)
|
||||
try:
|
||||
to_trio.send_nowait(message)
|
||||
await asyncio.sleep(0.001)
|
||||
except trio.WouldBlock as e:
|
||||
log.exception(
|
||||
'l1: OVERRUN ASYNCIO -> TRIO\n'
|
||||
f'TO_TRIO.stats -> {to_trio.statistics()}'
|
||||
|
||||
)
|
||||
await asyncio.sleep(0)
|
||||
|
||||
async def _l1(
|
||||
data: dict,
|
||||
receipt_timestamp: str | None,
|
||||
) -> None:
|
||||
log.info(f'RECV L1 {receipt_timestamp}')
|
||||
|
||||
bid = data.book.to_dict()['bid']
|
||||
ask = data.book.to_dict()['ask']
|
||||
l1_ask_price, l1_ask_size = next(iter(ask.items()))
|
||||
l1_bid_price, l1_bid_size = next(iter(bid.items()))
|
||||
message = (
|
||||
"l1",
|
||||
{
|
||||
"symbol": cf_sym_to_fqsn(data.symbol),
|
||||
"broker_ts": time.time(),
|
||||
"ticks": [
|
||||
{
|
||||
"type": "bid",
|
||||
"price": float(l1_bid_price),
|
||||
"size": float(l1_bid_size),
|
||||
},
|
||||
{
|
||||
"type": "bsize",
|
||||
"price": float(l1_bid_price),
|
||||
"size": float(l1_bid_size),
|
||||
},
|
||||
{
|
||||
"type": "ask",
|
||||
"price": float(l1_ask_price),
|
||||
"size": float(l1_ask_size),
|
||||
},
|
||||
{
|
||||
"type": "asize",
|
||||
"price": float(l1_ask_price),
|
||||
"size": float(l1_ask_size),
|
||||
},
|
||||
]
|
||||
}
|
||||
)
|
||||
try:
|
||||
to_trio.send_nowait(message)
|
||||
await asyncio.sleep(0.001)
|
||||
except trio.WouldBlock as e:
|
||||
log.exception(
|
||||
'l1: OVERRUN ASYNCIO -> TRIO\n'
|
||||
f'TO_TRIO.stats -> {to_trio.statistics()}'
|
||||
|
||||
)
|
||||
await asyncio.sleep(0)
|
||||
# breakpoint()
|
||||
# raise
|
||||
|
||||
fh.add_feed(
|
||||
exchange,
|
||||
channels=channels,
|
||||
symbols=[pair_data_to_cf_sym(pair_data)],
|
||||
callbacks={TRADES: _trade, L2_BOOK: _l1}
|
||||
)
|
||||
|
||||
if not fh.running:
|
||||
fh.run(start_loop=False, install_signal_handlers=False)
|
||||
|
||||
await asyncio.sleep(float("inf"))
|
||||
Loading…
Reference in New Issue