diff --git a/piker/brokers/kucoin.py b/piker/brokers/kucoin.py
index 19726ff6..d326f376 100755
--- a/piker/brokers/kucoin.py
+++ b/piker/brokers/kucoin.py
@@ -11,20 +11,14 @@
# 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
-# .
+# along with this program. If not, see .
-'''
+"""
Kucoin broker backend
-'''
+"""
-from typing import (
- Any,
- Callable,
- Literal,
- AsyncGenerator
-)
+from typing import Any, Callable, Literal, AsyncGenerator
from contextlib import asynccontextmanager as acm
from datetime import datetime
import time
@@ -56,23 +50,24 @@ from ..data._web_bs import (
log = get_logger(__name__)
_ohlc_dtype = [
- ('index', int),
- ('time', int),
- ('open', float),
- ('high', float),
- ('low', float),
- ('close', float),
- ('volume', float),
- ('bar_wap', float), # will be zeroed by sampler if not filled
+ ("index", int),
+ ("time", int),
+ ("open", float),
+ ("high", float),
+ ("low", float),
+ ("close", float),
+ ("volume", float),
+ ("bar_wap", float), # will be zeroed by sampler if not filled
]
class KucoinMktPair(Struct, frozen=True):
- '''
+ """
Kucoin's pair format:
https://docs.kucoin.com/#get-symbols-list
- '''
+ """
+
baseCurrency: str
baseIncrement: float
baseMaxSize: float
@@ -93,11 +88,12 @@ class KucoinMktPair(Struct, frozen=True):
class AccountTrade(Struct, frozen=True):
- '''
+ """
Historical trade format:
https://docs.kucoin.com/#get-account-ledgers
- '''
+ """
+
id: str
currency: str
amount: float
@@ -105,16 +101,17 @@ class AccountTrade(Struct, frozen=True):
balance: float
accountType: str
bizType: str
- direction: Literal['in', 'out']
+ direction: Literal["in", "out"]
createdAt: float
context: list[str]
class AccountResponse(Struct, frozen=True):
- '''
+ """
https://docs.kucoin.com/#get-account-ledgers
- '''
+ """
+
currentPage: int
pageSize: int
totalNum: int
@@ -123,11 +120,12 @@ class AccountResponse(Struct, frozen=True):
class KucoinTrade(Struct, frozen=True):
- '''
+ """
Real-time trade format:
https://docs.kucoin.com/#symbol-ticker
- '''
+ """
+
bestAsk: float
bestAskSize: float
bestBid: float
@@ -139,21 +137,23 @@ class KucoinTrade(Struct, frozen=True):
class KucoinL2(Struct, frozen=True):
- '''
+ """
Real-time L2 order book format:
https://docs.kucoin.com/#level2-5-best-ask-bid-orders
- '''
+ """
+
asks: list[list[float]]
bids: list[list[float]]
timestamp: float
class KucoinMsg(Struct, frozen=True):
- '''
+ """
Generic outer-wrapper for any Kucoin ws msg
- '''
+ """
+
type: str
topic: str
subject: str
@@ -169,10 +169,10 @@ class BrokerConfig(Struct, frozen=True):
def get_config() -> BrokerConfig | None:
conf, _ = config.load()
- section = conf.get('kucoin')
+ section = conf.get("kucoin")
if section is None:
- log.warning('No config section found for kucoin in config')
+ log.warning("No config section found for kucoin in config")
return None
return BrokerConfig(**section).copy()
@@ -186,118 +186,119 @@ class Client:
def _gen_auth_req_headers(
self,
- action: Literal['POST', 'GET'],
+ action: Literal["POST", "GET"],
endpoint: str,
- api_v: str = 'v2',
+ api_v: str = "v2",
) -> dict[str, str | bytes]:
- '''
+ """
Generate authenticated request headers
https://docs.kucoin.com/#authentication
- '''
- str_to_sign = str(int(time.time() * 1000)) + \
- action + f'/api/{api_v}{endpoint}'
+ """
+ str_to_sign = (
+ str(int(time.time() * 1000)) + action + f"/api/{api_v}{endpoint}"
+ )
signature = base64.b64encode(
hmac.new(
- self._config.key_secret.encode('utf-8'),
- str_to_sign.encode('utf-8'),
+ self._config.key_secret.encode("utf-8"),
+ str_to_sign.encode("utf-8"),
hashlib.sha256,
).digest()
)
passphrase = base64.b64encode(
hmac.new(
- self._config.key_secret.encode('utf-8'),
- self._config.key_passphrase.encode('utf-8'),
+ self._config.key_secret.encode("utf-8"),
+ self._config.key_passphrase.encode("utf-8"),
hashlib.sha256,
).digest()
)
return {
- 'KC-API-SIGN': signature,
- 'KC-API-TIMESTAMP': str(pendulum.now().int_timestamp * 1000),
- 'KC-API-KEY': self._config.key_id,
- 'KC-API-PASSPHRASE': passphrase,
+ "KC-API-SIGN": signature,
+ "KC-API-TIMESTAMP": str(pendulum.now().int_timestamp * 1000),
+ "KC-API-KEY": self._config.key_id,
+ "KC-API-PASSPHRASE": passphrase,
# XXX: Even if using the v1 api - this stays the same
- 'KC-API-KEY-VERSION': '2',
+ "KC-API-KEY-VERSION": "2",
}
async def _request(
self,
- action: Literal['POST', 'GET'],
+ action: Literal["POST", "GET"],
endpoint: str,
- api_v: str = 'v2',
+ api_v: str = "v2",
headers: dict = {},
) -> Any:
- '''
+ """
Generic request wrapper for Kucoin API
- '''
+ """
if self._config:
- headers = self._gen_auth_req_headers(
- action, endpoint, api_v)
+ headers = self._gen_auth_req_headers(action, endpoint, api_v)
- api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
+ api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
res = await asks.request(action, api_url, headers=headers)
- if 'data' in res.json():
- return res.json()['data']
+ if "data" in res.json():
+ return res.json()["data"]
else:
log.error(
- f'Error making request to {api_url} -> {res.json()["msg"]}')
- return res.json()['msg']
+ f'Error making request to {api_url} -> {res.json()["msg"]}'
+ )
+ return res.json()["msg"]
async def _get_ws_token(
self,
private: bool = False,
) -> tuple[str, int] | None:
- '''
+ """
Fetch ws token needed for sub access:
https://docs.kucoin.com/#apply-connect-token
returns a token and the interval we must ping
the server at to keep the connection alive
- '''
- token_type = 'private' if private else 'public'
+ """
+ token_type = "private" if private else "public"
try:
data: dict[str, Any] | None = await self._request(
- 'POST', f'/bullet-{token_type}', 'v1'
+ "POST", f"/bullet-{token_type}", "v1"
)
except Exception as e:
- log.error(
- f'Error making request for Kucoin ws token -> {str(e)}')
+ log.error(f"Error making request for Kucoin ws token -> {str(e)}")
return None
- if data and 'token' in data:
+ if data and "token" in data:
# ping_interval is in ms
- ping_interval: int = data['instanceServers'][0]['pingInterval']
- return data['token'], ping_interval
+ ping_interval: int = data["instanceServers"][0]["pingInterval"]
+ return data["token"], ping_interval
elif data:
log.error(
- f'Error making request for Kucoin ws token -> {data.json()["msg"]}'
+ 'Error making request for Kucoin ws token'
+ f'{data.json()["msg"]}'
)
async def _get_pairs(
self,
) -> dict[str, KucoinMktPair]:
- entries = await self._request('GET', '/symbols')
+ entries = await self._request("GET", "/symbols")
syms = {
- kucoin_sym_to_fqsn(
- item['name']): KucoinMktPair(
- **item) for item in entries}
+ kucoin_sym_to_fqsn(item["name"]): KucoinMktPair(**item)
+ for item in entries
+ }
- log.info(f' {len(syms)} Kucoin market pairs fetched')
+ log.info(f" {len(syms)} Kucoin market pairs fetched")
return syms
async def cache_pairs(
self,
) -> dict[str, KucoinMktPair]:
- '''
+ """
Get cached pairs and convert keyed symbols into fqsns if ya want
- '''
+ """
if not self._pairs:
self._pairs = await self._get_pairs()
@@ -311,12 +312,15 @@ class Client:
data = await self.cache_pairs()
matches = fuzzy.extractBests(
- pattern, data, score_cutoff=35, limit=limit)
+ pattern, data, score_cutoff=35, limit=limit
+ )
# repack in dict form
return {item[0].name: item[0] for item in matches}
async def last_trades(self, sym: str) -> list[AccountTrade]:
- trades = await self._request('GET', f'/accounts/ledgers?currency={sym}', 'v1')
+ trades = await self._request(
+ "GET", f"/accounts/ledgers?currency={sym}", "v1"
+ )
trades = AccountResponse(**trades)
return trades.items
@@ -327,9 +331,9 @@ class Client:
end_dt: datetime | None = None,
limit: int = 1000,
as_np: bool = True,
- type: str = '1min',
+ type: str = "1min",
) -> np.ndarray:
- '''
+ """
Get OHLC data and convert to numpy array for perffff:
https://docs.kucoin.com/#get-klines
@@ -356,35 +360,40 @@ class Client:
('bar_wap', float), # will be zeroed by sampler if not filled
]
- '''
+ """
# Generate generic end and start time if values not passed
# Currently gives us 12hrs of data
if end_dt is None:
- end_dt = pendulum.now('UTC').add(minutes=1)
+ end_dt = pendulum.now("UTC").add(minutes=1)
if start_dt is None:
- start_dt = end_dt.start_of(
- 'minute').subtract(minutes=limit)
+ start_dt = end_dt.start_of("minute").subtract(minutes=limit)
start_dt = int(start_dt.timestamp())
end_dt = int(end_dt.timestamp())
kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
- url = f'/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}'
+ url = (
+ f"/market/candles?type={type}"
+ f"&symbol={kucoin_sym}"
+ f"&startAt={start_dt}"
+ f"&endAt={end_dt}"
+ )
for i in range(10):
data = await self._request(
- 'GET',
+ "GET",
url,
- api_v='v1',
+ api_v="v1",
)
if not isinstance(data, list):
# Do a gradual backoff if Kucoin is rate limiting us
backoff_interval = i
log.warn(
- f'History call failed, backing off for {backoff_interval}s')
+ f"History call failed, backing off for {backoff_interval}s"
+ )
await trio.sleep(backoff_interval)
else:
bars: list[list[str]] = data
@@ -416,20 +425,17 @@ class Client:
)
)
- array = np.array(
- new_bars,
- dtype=_ohlc_dtype) if as_np else bars
+ array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
return array
-def fqsn_to_kucoin_sym(
- fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
+def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
pair_data = pairs[fqsn]
- return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
+ return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
def kucoin_sym_to_fqsn(sym: str) -> str:
- return sym.lower().replace('-', '')
+ return sym.lower().replace("-", "")
@acm
@@ -444,7 +450,7 @@ async def get_client() -> AsyncGenerator[Client, None]:
async def open_symbol_search(
ctx: tractor.Context,
) -> None:
- async with open_cached_client('kucoin') as client:
+ async with open_cached_client("kucoin") as client:
# load all symbols locally for fast search
await client.cache_pairs()
await ctx.started()
@@ -452,25 +458,25 @@ async def open_symbol_search(
async with ctx.open_stream() as stream:
async for pattern in stream:
await stream.send(await client.search_symbols(pattern))
- log.info('Kucoin symbol search opened')
+ log.info("Kucoin symbol search opened")
@acm
async def open_ping_task(ws: wsproto.WSConnection, ping_interval, connect_id):
- '''
+ """
Spawn a non-blocking task that pings the ws
server every ping_interval so Kucoin doesn't drop
our connection
- '''
+ """
async with trio.open_nursery() as n:
# TODO: cache this task so it's only called once
async def ping_server():
while True:
await trio.sleep((ping_interval - 1000) / 1000)
- await ws.send_msg({'id': connect_id, 'type': 'ping'})
+ await ws.send_msg({"id": connect_id, "type": "ping"})
- log.info(f'Starting ping task for kucoin ws connection')
+ log.info("Starting ping task for kucoin ws connection")
n.start_soon(ping_server)
yield
@@ -482,29 +488,30 @@ async def stream_quotes(
send_chan: trio.abc.SendChannel,
symbols: list[str],
feed_is_live: trio.Event,
- loglevel: str = '',
+ loglevel: str = "",
# startup sync
- task_status: TaskStatus[tuple[dict, dict]
- ] = trio.TASK_STATUS_IGNORED,
+ task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
) -> None:
- '''
+ """
Required piker api to stream real-time data.
Where the rubber hits the road baby
- '''
- async with open_cached_client('kucoin') as client:
+ """
+ async with open_cached_client("kucoin") as client:
token, ping_interval = await client._get_ws_token()
connect_id = str(uuid4())
pairs = await client.cache_pairs()
+ ws_url = (
+ f"wss://ws-api-spot.kucoin.com/?"
+ f"token={token}&[connectId={connect_id}]"
+ )
- # open ping task
+ # open ping task
async with (
- open_autorecon_ws(
- f'wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]'
- ) as ws,
+ open_autorecon_ws(ws_url) as ws,
open_ping_task(ws, ping_interval, connect_id),
):
- log.info('Starting up quote stream')
+ log.info("Starting up quote stream")
# loop through symbols and sub to feedz
for sym in symbols:
pair: KucoinMktPair = pairs[sym]
@@ -514,13 +521,13 @@ async def stream_quotes(
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
- 'symbol_info': {
- 'asset_type': 'crypto',
- 'price_tick_size': float(pair.baseIncrement),
- 'lot_tick_size': float(pair.baseMinSize),
+ "symbol_info": {
+ "asset_type": "crypto",
+ "price_tick_size": float(pair.baseIncrement),
+ "lot_tick_size": float(pair.baseMinSize),
},
- 'shm_write_opts': {'sum_tick_vml': False},
- 'fqsn': sym,
+ "shm_write_opts": {"sum_tick_vml": False},
+ "fqsn": sym,
}
}
@@ -529,7 +536,7 @@ async def stream_quotes(
stream_messages(ws, sym) as msg_gen,
):
typ, quote = await anext(msg_gen)
- while typ != 'trade':
+ while typ != "trade":
# take care to not unblock here until we get a real
# trade quote
typ, quote = await anext(msg_gen)
@@ -544,41 +551,47 @@ async def stream_quotes(
@acm
async def subscribe(ws: wsproto.WSConnection, connect_id, sym):
# level 2 sub
- await ws.send_msg({
- 'id': connect_id,
- 'type': 'subscribe',
- 'topic': f'/spotMarket/level2Depth5:{sym}',
- 'privateChannel': False,
- 'response': True,
- })
+ await ws.send_msg(
+ {
+ "id": connect_id,
+ "type": "subscribe",
+ "topic": f"/spotMarket/level2Depth5:{sym}",
+ "privateChannel": False,
+ "response": True,
+ }
+ )
# watch trades
- await ws.send_msg({
- 'id': connect_id,
- 'type': 'subscribe',
- 'topic': f'/market/ticker:{sym}',
- 'privateChannel': False,
- 'response': True,
- })
+ await ws.send_msg(
+ {
+ "id": connect_id,
+ "type": "subscribe",
+ "topic": f"/market/ticker:{sym}",
+ "privateChannel": False,
+ "response": True,
+ }
+ )
yield
# unsub
if ws.connected():
- log.info(f'Unsubscribing to {sym} feed')
+ log.info(f"Unsubscribing to {sym} feed")
await ws.send_msg(
{
- 'id': connect_id,
- 'type': 'unsubscribe',
- 'topic': f'/market/ticker:{sym}',
- 'privateChannel': False,
- 'response': True,
+ "id": connect_id,
+ "type": "unsubscribe",
+ "topic": f"/market/ticker:{sym}",
+ "privateChannel": False,
+ "response": True,
}
)
@trio_async_generator
-async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
+async def stream_messages(
+ ws: NoBsWs, sym: str
+) -> AsyncGenerator[NoBsWs, dict]:
timeouts = 0
last_trade_ts = 0
@@ -588,65 +601,65 @@ async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
if cs.cancelled_caught:
timeouts += 1
if timeouts > 2:
- log.error(
- 'kucoin feed is sh**ing the bed... rebooting...')
+ log.error("kucoin feed is sh**ing the bed... rebooting...")
await ws._connect()
continue
- if msg.get('subject'):
+ if msg.get("subject"):
msg = KucoinMsg(**msg)
match msg.subject:
- case 'trade.ticker':
+ case "trade.ticker":
trade_data = KucoinTrade(**msg.data)
- # XXX: Filter for duplicate messages as ws feed will send duplicate market state
+ # XXX: Filter for duplicate messages as ws feed will
+ # send duplicate market state
# https://docs.kucoin.com/#level2-5-best-ask-bid-orders
if trade_data.time == last_trade_ts:
continue
last_trade_ts = trade_data.time
- yield 'trade', {
- 'symbol': sym,
- 'last': trade_data.price,
- 'brokerd_ts': last_trade_ts,
- 'ticks': [
+ yield "trade", {
+ "symbol": sym,
+ "last": trade_data.price,
+ "brokerd_ts": last_trade_ts,
+ "ticks": [
{
- 'type': 'trade',
- 'price': float(trade_data.price),
- 'size': float(trade_data.size),
- 'broker_ts': last_trade_ts,
+ "type": "trade",
+ "price": float(trade_data.price),
+ "size": float(trade_data.size),
+ "broker_ts": last_trade_ts,
}
],
}
- case 'level2':
+ case "level2":
l2_data = KucoinL2(**msg.data)
first_ask = l2_data.asks[0]
first_bid = l2_data.bids[0]
- yield 'l1', {
- 'symbol': sym,
- 'ticks': [
+ yield "l1", {
+ "symbol": sym,
+ "ticks": [
{
- 'type': 'bid',
- 'price': float(first_bid[0]),
- 'size': float(first_bid[1]),
+ "type": "bid",
+ "price": float(first_bid[0]),
+ "size": float(first_bid[1]),
},
{
- 'type': 'bsize',
- 'price': float(first_bid[0]),
- 'size': float(first_bid[1]),
+ "type": "bsize",
+ "price": float(first_bid[0]),
+ "size": float(first_bid[1]),
},
{
- 'type': 'ask',
- 'price': float(first_ask[0]),
- 'size': float(first_ask[1]),
+ "type": "ask",
+ "price": float(first_ask[0]),
+ "size": float(first_ask[1]),
},
{
- 'type': 'asize',
- 'price': float(first_ask[0]),
- 'size': float(first_ask[1]),
+ "type": "asize",
+ "price": float(first_ask[0]),
+ "size": float(first_ask[1]),
},
],
}
@@ -655,20 +668,20 @@ async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
@acm
async def open_history_client(
symbol: str,
- type: str = '1m',
+ type: str = "1m",
) -> AsyncGenerator[Callable, None]:
- async with open_cached_client('kucoin') as client:
-
- log.info('Attempting to open kucoin history client')
+ async with open_cached_client("kucoin") as client:
+ log.info("Attempting to open kucoin history client")
async def get_ohlc_history(
timeframe: float,
end_dt: datetime | None = None,
start_dt: datetime | None = None,
- ) -> tuple[np.ndarray, datetime | None, datetime | None]: # start # end
-
+ ) -> tuple[
+ np.ndarray, datetime | None, datetime | None
+ ]: # start # end
if timeframe != 60:
- raise DataUnavailable('Only 1m bars are supported')
+ raise DataUnavailable("Only 1m bars are supported")
array = await client._get_bars(
symbol,
@@ -676,13 +689,14 @@ async def open_history_client(
end_dt=end_dt,
)
- times = array['time']
+ times = array["time"]
if end_dt is None:
inow = round(time.time())
print(
- f'difference in time between load and processing {inow - times[-1]}'
+ f"difference in time between load and processing"
+ f"{inow - times[-1]}"
)
if (inow - times[-1]) > 60:
@@ -691,7 +705,7 @@ async def open_history_client(
start_dt = pendulum.from_timestamp(times[0])
end_dt = pendulum.from_timestamp(times[-1])
- log.info('History succesfully fetched baby')
+ log.info("History succesfully fetched baby")
return array, start_dt, end_dt