`binance`: use `MktPair` in live feed setup
Turns out `binance` is pretty great with their schema since they have more or less the same data schema for their exchange info ep which we wrap in a `Pair` struct: https://binance-docs.github.io/apidocs/spot/en/#exchange-information That makes it super easy to provide the most general case for filling out a `MktPair` with both `.src/dst: Asset` to maintain maximum meta-data B) Deatz: - adjust `Pair` to have `.size/price_tick: Decimal` by parsing out the values from the filters field; TODO: we should probably just rewrite the input `.filter` at init time so we can keep the frozen style. - rename `Client.mkt_info()` (was `.symbol_info` to `.exch_info()` better matching the ep name and have it build, cache, and return a `dict[str, Pair]`; allows dropping `.cache_symbols()` - only pass the `mkt_info: MktPair` field in the init msg!pre_overruns_ctxcancelled
parent
2142c13228
commit
a50452dbfd
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@ -37,14 +37,19 @@ import numpy as np
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import tractor
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import wsproto
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from ..accounting._mktinfo import (
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Asset,
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MktPair,
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digits_to_dec,
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)
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from .._cacheables import open_cached_client
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from ._util import (
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resproc,
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SymbolNotFound,
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DataUnavailable,
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)
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from ..log import (
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get_logger,
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from ._util import (
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log,
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get_console_log,
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)
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from ..data.types import Struct
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@ -53,8 +58,6 @@ from ..data._web_bs import (
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NoBsWs,
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)
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log = get_logger(__name__)
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_url = 'https://api.binance.com'
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@ -89,7 +92,10 @@ _show_wap_in_history = False
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# https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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class Pair(Struct, frozen=True):
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# TODO: make this frozen again by pre-processing the
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# filters list to a dict at init time?
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class Pair(Struct): # , frozen=True):
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symbol: str
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status: str
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@ -115,9 +121,41 @@ class Pair(Struct, frozen=True):
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defaultSelfTradePreventionMode: str
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allowedSelfTradePreventionModes: list[str]
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filters: list[dict[str, Union[str, int, float]]]
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filters: list[
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dict[
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str,
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Union[str, int, float]
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]
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]
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permissions: list[str]
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_filtersbykey: dict | None = None
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def get_filter(self) -> dict[str, dict]:
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filters = self._filtersbykey
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if self._filtersbykey:
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return filters
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filters = self._filtersbykey = {}
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for entry in self.filters:
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ftype = entry['filterType']
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filters[ftype] = entry
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return filters
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def size_tick(self) -> Decimal:
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# XXX: lul, after manually inspecting the response format we
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# just directly pick out the info we need
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return Decimal(
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self.get_filter()['PRICE_FILTER']['tickSize'].rstrip('0')
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)
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def price_tick(self) -> Decimal:
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return Decimal(
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self.get_filter()['LOT_SIZE']['stepSize'].rstrip('0')
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)
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class OHLC(Struct):
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'''
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@ -160,7 +198,7 @@ class Client:
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def __init__(self) -> None:
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self._sesh = asks.Session(connections=4)
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self._sesh.base_location = _url
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self._pairs: dict[str, Any] = {}
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self._pairs: dict[str, Pair] = {}
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async def _api(
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self,
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@ -174,50 +212,43 @@ class Client:
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)
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return resproc(resp, log)
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async def mkt_info(
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async def exch_info(
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self,
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sym: str | None = None,
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) -> dict[str, Any]:
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'''Get symbol info for the exchange.
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) -> dict[str, Pair] | Pair:
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'''
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Fresh exchange-pairs info query for symbol ``sym: str``:
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https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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'''
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# TODO: we can load from our self._pairs cache
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# on repeat calls...
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cached_pair = self._pairs.get(sym)
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if cached_pair:
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return cached_pair
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# will retrieve all symbols by default
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# retrieve all symbols by default
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params = {}
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if sym is not None:
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sym = sym.lower()
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params = {'symbol': sym}
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resp = await self._api(
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'exchangeInfo',
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params=params,
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)
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resp = await self._api('exchangeInfo', params=params)
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entries = resp['symbols']
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if not entries:
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raise SymbolNotFound(f'{sym} not found')
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raise SymbolNotFound(f'{sym} not found:\n{resp}')
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syms = {item['symbol']: item for item in entries}
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pairs = {
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item['symbol']: Pair(**item) for item in entries
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}
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self._pairs.update(pairs)
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if sym is not None:
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return syms[sym]
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return pairs[sym]
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else:
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return syms
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return self._pairs
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symbol_info = mkt_info
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async def cache_symbols(
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self,
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) -> dict:
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if not self._pairs:
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self._pairs = await self.mkt_info()
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return self._pairs
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symbol_info = exch_info
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async def search_symbols(
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self,
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@ -227,7 +258,7 @@ class Client:
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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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data = await self.mkt_info()
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data = await self.exch_info()
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matches = fuzzy.extractBests(
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pattern,
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@ -302,7 +333,7 @@ class Client:
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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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await client.exch_info()
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yield client
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@ -465,27 +496,38 @@ async def stream_quotes(
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):
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# keep client cached for real-time section
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cache = await client.cache_symbols()
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pairs = await client.exch_info()
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sym_infos: dict[str, dict] = {}
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mkt_infos: dict[str, MktPair] = {}
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for sym in symbols:
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d = cache[sym.upper()]
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syminfo = Pair(**d) # validation
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si = sym_infos[sym] = syminfo.to_dict()
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filters = {}
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for entry in syminfo.filters:
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ftype = entry['filterType']
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filters[ftype] = entry
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pair: Pair = pairs[sym.upper()]
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price_tick = pair.price_tick()
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size_tick = pair.size_tick()
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# XXX: after manually inspecting the response format we
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# just directly pick out the info we need
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si['price_tick_size'] = Decimal(
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filters['PRICE_FILTER']['tickSize'].rstrip('0')
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mkt_infos[sym] = MktPair(
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dst=Asset(
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name=pair.baseAsset,
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atype='crypto',
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tx_tick=digits_to_dec(pair.baseAssetPrecision),
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),
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src=Asset(
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name=pair.quoteAsset,
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atype='crypto',
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tx_tick=digits_to_dec(pair.quoteAssetPrecision),
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),
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price_tick=price_tick,
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size_tick=size_tick,
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bs_mktid=pair.symbol,
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broker='binance',
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)
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si['lot_tick_size'] = Decimal(
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filters['LOT_SIZE']['stepSize'].rstrip('0')
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)
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si['asset_type'] = 'crypto'
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sym_infos[sym] = {
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'price_tick_size': price_tick,
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'lot_tick_size': size_tick,
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'asset_type': 'crypto',
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}
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symbol = symbols[0]
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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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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# 'symbol_info': sym_infos[sym],
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'mkt_info': mkt_infos[sym],
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'shm_write_opts': {'sum_tick_vml': False},
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},
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}
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@ -582,13 +626,13 @@ async def open_symbol_search(
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async with open_cached_client('binance') as client:
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# load all symbols locally for fast search
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cache = await client.cache_symbols()
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cache = await client.exch_info()
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await ctx.started()
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async with ctx.open_stream() as stream:
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async for pattern in stream:
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# results = await client.mkt_info(sym=pattern.upper())
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# results = await client.exch_info(sym=pattern.upper())
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matches = fuzzy.extractBests(
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pattern,
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