cleaned up code and added loop to grab all trades for position calcs

piker/brokers/kraken.py

@@ -120,7 +120,7 @@ class Pair(BaseModel):
 
 
 class Trade(BaseModel):
-    """Order class that helps parse and validate order stream"""
+    """Trade class that helps parse and validate ownTrades stream"""
     reqid: str # kraken order transaction id
     action: str # buy or sell
     price: str # price of asset
@@ -258,17 +258,37 @@ class Client:
         self,
         data: Dict[str, Any] = {}
     ) -> Dict[str, Any]:
-        resp = await self.kraken_endpoint('Balance', data)
-        balances = resp['result']
-        ## TODO: grab all entries, not just first 50
-        resp = await self.kraken_endpoint('TradesHistory', data)
-        traders = resp['result']
+        data['ofs'] = 0
         positions = {}
         vols = {}
+        # Grab all trade history
+        while True:
+            resp = await self.kraken_endpoint('TradesHistory', data)
+            # grab the first 50 trades
+            if data['ofs'] == 0:
+                trades = resp['result']['trades']
+            # load the next 50 trades using dict constructor
+            # for speed
+            elif data['ofs'] == 50:
+                trades = dict(trades, **resp['result']['trades'])
+            # catch the of the trades
+            elif resp['result']['trades'] == {}:
+                count = resp['result']['count']
+                break
+            # update existing dict if num trades exceeds 100
+            else: 
+                trades.update(resp['result']['trades'])
+            # increment the offset counter
+            data['ofs'] += 50
+            # To avoid exceeding API rate limit in case of a lot of trades
+            time.sleep(1)
+
+        # make sure you grabbed all the trades
+        assert count == len(trades.values())
 
         # positions
         ## TODO: Make sure to add option to include fees in positions calc
-        for trade in traders['trades'].values():
+        for trade in trades.values():
             sign = -1 if trade['type'] == 'sell' else 1
             try:
                 positions[trade['pair']] += sign * float(trade['cost'])
@@ -438,15 +458,10 @@ class Client:
 async def get_client() -> Client:
     client = Client()
 
-    ## TODO: maybe add conditional based on section
     section = get_config()
     client._name = section['key_descr']
     client._api_key = section['api_key']
     client._secret = section['secret']
-    ## TODO: Add a client attribute to hold this info
-    #data = {
-    #    # add non-nonce and non-ofs vars
-    #}
 
     # at startup, load all symbols locally for fast search
     await client.cache_symbols()
@@ -628,7 +643,6 @@ async def trades_dialogue(
 
     @asynccontextmanager
     async def subscribe(ws: wsproto.WSConnection, token: str):
-        ## TODO: Fix docs and points to right urls
         # XXX: setup subs
         # https://docs.kraken.com/websockets/#message-subscribe
         # specific logic for this in kraken's shitty sync client:
@@ -643,15 +657,6 @@ async def trades_dialogue(
         # locked.
         await ws.send_msg(trades_sub)
 
-        ## trade data (aka L1)
-        #l1_sub = make_sub(
-        #    list(ws_pairs.values()),
-        #    {'name': 'spread'}  # 'depth': 10}
-        #)
-
-        ## pull a first quote and deliver
-        #await ws.send_msg(l1_sub)
-
         yield
 
         # unsub from all pairs on teardown
@@ -677,11 +682,6 @@ async def trades_dialogue(
                 msg = pack_position(acc_name, norm_sym, pos, vols[ticker])
                 all_positions.append(msg.dict())
 
-        ## TODO: create a new ems message schema for open orders
-        open_orders = await client.kraken_endpoint('OpenOrders', {})
-        print(open_orders)
-        #await tractor.breakpoint()
-
         await ctx.started((all_positions, (acc_name,)))
 
         # Get websocket token for authenticated data stream
@@ -844,10 +844,6 @@ async def process_trade_msgs(
     sequence_counter = 0
     async for msg in stream_messages(ws):
 
-        # TODO: write your order event parser here!
-        # HINT: create a ``pydantic.BaseModel`` to parse and validate
-        # and then in the caller recast to our native ``BrokerdX`` msg types.
-        
         try:
             # check that we are on the ownTrades stream and that msgs are 
             # arriving in sequence with kraken
@@ -855,7 +851,6 @@ async def process_trade_msgs(
             assert msg[2]['sequence'] > sequence_counter
             sequence_counter += 1
             raw_msgs = msg[0]
-            # TODO: get length and start list
             trade_msgs = []
 
             # Check that we are only processing new trades