kraken: add `<pair>.spot.kraken` fqme interpolation
As just added for binance move to using an explicit `.<venue>.kraken` style for spot markets which makes the current spot symbology expand to `<PAIR>.SPOT` from the new `Pair.bs_fqme: str`. Reasons for why are laid out in the equivalent patch for binance. Obviously this also primes for supporting kraken's futures venue APIs as well 🏄 https://docs.futures.kraken.com/#introduction Detalles: - add `.spot.kraken` parsing to `get_mkt_info()` so that if the venue token is not passed by caller we implicitly expand it in. - change `normalize()` to only return the `quote: dict` not the topic key. - rewrite live feed msg loop to use `match:` syntax B)basic_buy_bot
Tyler Goodlet
parent
8e03212e40
commit
9ff03ba00c
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@ -153,6 +153,10 @@ class Pair(Struct):
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def size_tick(self) -> Decimal:
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return digits_to_dec(self.lot_decimals)
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@property
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def bs_fqme(self) -> str:
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return f'{self.symbol}.SPOT'
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class Client:
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@ -639,7 +643,7 @@ class Client:
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'''
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try:
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return cls._ntable[ticker].lower()
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return cls._ntable[ticker]
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except KeyError as ke:
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raise SymbolNotFound(f'kraken has no {ke.args[0]}')
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@ -1194,8 +1194,8 @@ async def norm_trade_records(
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}[record['type']]
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# we normalize to kraken's `altname` always..
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bs_mktid = Client.normalize_symbol(record['pair'])
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fqme = f'{bs_mktid}.kraken'
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bs_mktid: str = Client.normalize_symbol(record['pair'])
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fqme = f'{bs_mktid.lower()}.kraken'
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mkt: MktPair = (await get_mkt_info(fqme))[0]
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records[tid] = Transaction(
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@ -41,9 +41,11 @@ import trio
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from piker.accounting._mktinfo import (
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Asset,
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MktPair,
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unpack_fqme,
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)
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from piker.brokers import (
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open_cached_client,
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SymbolNotFound,
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)
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from piker._cacheables import (
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async_lifo_cache,
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@ -195,24 +197,18 @@ async def process_data_feed_msgs(
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# yield msg
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def normalize(
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ohlc: OHLC,
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def normalize(ohlc: OHLC) -> dict:
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'''
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Norm an `OHLC` msg to piker's minimal (live-)quote schema.
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) -> dict:
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'''
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quote = ohlc.to_dict()
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quote['broker_ts'] = quote['time']
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quote['brokerd_ts'] = time.time()
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quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
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quote['last'] = quote['close']
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quote['bar_wap'] = ohlc.vwap
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# seriously eh? what's with this non-symmetry everywhere
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# in subscription systems...
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# XXX: piker style is always lowercases symbols.
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topic = quote['pair'].replace('/', '').lower()
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# print(quote)
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return topic, quote
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return quote
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@acm
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@ -221,7 +217,7 @@ async def open_history_client(
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) -> AsyncGenerator[Callable, None]:
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symbol: str = mkt.bs_fqme
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symbol: str = mkt.bs_mktid
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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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@ -284,6 +280,18 @@ async def get_mkt_info(
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key-strs to `MktPair`s.
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'''
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venue: str = 'spot'
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expiry: str = ''
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if '.kraken' in fqme:
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broker, pair, venue, expiry = unpack_fqme(fqme)
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venue: str = venue or 'spot'
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if venue != 'spot':
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raise SymbolNotFound(
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'kraken only supports spot markets right now!\n'
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f'{fqme}\n'
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)
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async with open_cached_client('kraken') as client:
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# uppercase since kraken bs_mktid is always upper
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@ -304,6 +312,12 @@ async def get_mkt_info(
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size_tick=pair.size_tick,
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bs_mktid=bs_mktid,
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expiry=expiry,
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venue=venue or 'spot',
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# TODO: futes
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# _atype=_atype,
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broker='kraken',
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)
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return mkt, pair
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@ -410,7 +424,7 @@ async def stream_quotes(
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):
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# pull a first quote and deliver
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typ, ohlc_last = await anext(msg_gen)
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topic, quote = normalize(ohlc_last)
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quote = normalize(ohlc_last)
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task_status.started((init_msgs, quote))
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feed_is_live.set()
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@ -419,41 +433,46 @@ async def stream_quotes(
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last_interval_start = ohlc_last.etime
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# start streaming
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async for typ, ohlc in msg_gen:
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if typ == 'ohlc':
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topic: str = mkt.bs_fqme
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async for typ, quote in msg_gen:
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match typ:
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# TODO: can get rid of all this by using
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# ``trades`` subscription...
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# ``trades`` subscription..? Not sure why this
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# wasn't used originally? (music queues) zoltannn..
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# https://docs.kraken.com/websockets/#message-trade
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case 'ohlc':
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# generate tick values to match time & sales pane:
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# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
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volume = quote.volume
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# generate tick values to match time & sales pane:
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# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
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volume = ohlc.volume
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# new OHLC sample interval
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if quote.etime > last_interval_start:
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last_interval_start = quote.etime
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tick_volume = volume
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# new OHLC sample interval
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if ohlc.etime > last_interval_start:
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last_interval_start = ohlc.etime
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tick_volume = volume
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else:
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# this is the tick volume *within the interval*
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tick_volume = volume - ohlc_last.volume
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else:
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# this is the tick volume *within the interval*
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tick_volume = volume - ohlc_last.volume
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ohlc_last = quote
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last = quote.close
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ohlc_last = ohlc
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last = ohlc.close
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if tick_volume:
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quote.ticks.append({
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'type': 'trade',
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'price': last,
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'size': tick_volume,
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})
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if tick_volume:
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ohlc.ticks.append({
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'type': 'trade',
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'price': last,
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'size': tick_volume,
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})
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quote = normalize(quote)
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topic, quote = normalize(ohlc)
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case 'l1':
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# passthrough quote msg
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pass
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elif typ == 'l1':
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quote = ohlc
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topic = quote['symbol'].lower()
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case _:
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log.warning(f'Unknown WSS message: {typ}, {quote}')
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await send_chan.send({topic: quote})
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