Merge pull request #349 from pikers/kraken_ws_orders

Kraken ws orders

piker/brokers/binance.py

@@ -33,7 +33,6 @@ import asks
 from fuzzywuzzy import process as fuzzy
 import numpy as np
 import tractor
-from pydantic.dataclasses import dataclass
 import wsproto
 
 from .._cacheables import open_cached_client
@@ -106,14 +105,14 @@ class Pair(Struct, frozen=True):
     permissions: list[str]
 
 
-@dataclass
+class OHLC(Struct):
-class OHLC:
+    '''
-    """Description of the flattened OHLC quote format.
+    Description of the flattened OHLC quote format.
 
     For schema details see:
     https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams
 
-    """
+    '''
     time: int
 
     open: float
@@ -262,6 +261,7 @@ class Client:
         for i, bar in enumerate(bars):
 
             bar = OHLC(*bar)
+            bar.typecast()
 
             row = []
             for j, (name, ftype) in enumerate(_ohlc_dtype[1:]):

piker/brokers/kraken/README.rst

@@ -0,0 +1,64 @@
+``kraken`` backend
+------------------
+though they don't have the most liquidity of all the cexes they sure are
+accommodating to those of us who appreciate a little ``xmr``.
+
+status
+******
+current support is *production grade* and both real-time data and order
+management should be correct and fast. this backend is used by core devs
+for live trading.
+
+
+config
+******
+In order to get order mode support your ``brokers.toml``
+needs to have something like the following:
+
+.. code:: toml
+
+   [kraken]
+   accounts.spot = 'spot'
+   key_descr = "spot"
+   api_key = "69696969696969696696969696969696969696969696969696969696"
+   secret = "BOOBSBOOBSBOOBSBOOBSBOOBSSMBZ69696969696969669969696969696"
+
+
+If everything works correctly you should see any current positions
+loaded in the pps pane on chart load and you should also be able to
+check your trade records in the file::
+
+    <pikerk_conf_dir>/ledgers/trades_kraken_spot.toml
+
+
+An example ledger file will have entries written verbatim from the
+trade events schema:
+
+.. code:: toml
+
+    [TFJBKK-SMBZS-VJ4UWS]
+    ordertxid = "SMBZSA-7CNQU-3HWLNJ"
+    postxid = "SMBZSE-M7IF5-CFI7LT"
+    pair = "XXMRZEUR"
+    time = 1655691993.4133966
+    type = "buy"
+    ordertype = "limit"
+    price = "103.97000000"
+    cost = "499.99999977"
+    fee = "0.80000000"
+    vol = "4.80907954"
+    margin = "0.00000000"
+    misc = ""
+
+
+your ``pps.toml`` file will have position entries like,
+
+.. code:: toml
+
+   [kraken.spot."xmreur.kraken"]
+   size = 4.80907954
+   ppu = 103.97000000
+   bsuid = "XXMRZEUR"
+   clears = [
+    { tid = "TFJBKK-SMBZS-VJ4UWS", cost = 0.8, price = 103.97, size = 4.80907954, dt = "2022-05-20T02:26:33.413397+00:00" },
+   ]

piker/brokers/kraken/api.py

@@ -19,7 +19,6 @@ Kraken web API wrapping.
 
 '''
 from contextlib import asynccontextmanager as acm
-from dataclasses import field
 from datetime import datetime
 import itertools
 from typing import (
@@ -29,17 +28,16 @@ from typing import (
 )
 import time
 
-# import trio
+from bidict import bidict
-# import tractor
 import pendulum
 import asks
 from fuzzywuzzy import process as fuzzy
 import numpy as np
-from pydantic.dataclasses import dataclass
 import urllib.parse
 import hashlib
 import hmac
 import base64
+import trio
 
 from piker import config
 from piker.brokers._util import (
@@ -48,6 +46,7 @@ from piker.brokers._util import (
     BrokerError,
     DataThrottle,
 )
+from piker.pp import Transaction
 from . import log
 
 # <uri>/<version>/
@@ -77,31 +76,6 @@ _symbol_info_translation: dict[str, str] = {
 }
 
 
-@dataclass
-class OHLC:
-    '''
-    Description of the flattened OHLC quote format.
-
-    For schema details see:
-        https://docs.kraken.com/websockets/#message-ohlc
-
-    '''
-    chan_id: int  # internal kraken id
-    chan_name: str  # eg. ohlc-1  (name-interval)
-    pair: str  # fx pair
-    time: float  # Begin time of interval, in seconds since epoch
-    etime: float  # End time of interval, in seconds since epoch
-    open: float  # Open price of interval
-    high: float  # High price within interval
-    low: float  # Low price within interval
-    close: float  # Close price of interval
-    vwap: float  # Volume weighted average price within interval
-    volume: float  # Accumulated volume **within interval**
-    count: int  # Number of trades within interval
-    # (sampled) generated tick data
-    ticks: list[Any] = field(default_factory=list)
-
-
 def get_config() -> dict[str, Any]:
 
     conf, path = config.load()
@@ -141,8 +115,13 @@ class InvalidKey(ValueError):
 
 class Client:
 
+    # global symbol normalization table
+    _ntable: dict[str, str] = {}
+    _atable: bidict[str, str] = bidict()
+
     def __init__(
         self,
+        config: dict[str, str],
         name: str = '',
         api_key: str = '',
         secret: str = ''
@@ -153,6 +132,7 @@ class Client:
             'User-Agent':
                 'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
         })
+        self.conf: dict[str, str] = config
         self._pairs: list[str] = []
         self._name = name
         self._api_key = api_key
@@ -212,8 +192,36 @@ class Client:
         data['nonce'] = str(int(1000*time.time()))
         return await self._private(method, data, uri_path)
 
+    async def get_balances(
+        self,
+    ) -> dict[str, float]:
+        '''
+        Return the set of asset balances for this account
+        by symbol.
+
+        '''
+        resp = await self.endpoint(
+            'Balance',
+            {},
+        )
+        by_bsuid = resp['result']
+        return {
+            self._atable[sym].lower(): float(bal)
+            for sym, bal in by_bsuid.items()
+        }
+
+    async def get_assets(self) -> dict[str, dict]:
+        resp = await self._public('Assets', {})
+        return resp['result']
+
+    async def cache_assets(self) -> None:
+        assets = self.assets = await self.get_assets()
+        for bsuid, info in assets.items():
+            self._atable[bsuid] = info['altname']
+
     async def get_trades(
         self,
+        fetch_limit: int = 10,
 
     ) -> dict[str, Any]:
         '''
@@ -225,6 +233,8 @@ class Client:
         trades_by_id: dict[str, Any] = {}
 
         for i in itertools.count():
+            if i >= fetch_limit:
+                break
 
             # increment 'ofs' pagination offset
             ofs = i*50
@@ -254,6 +264,61 @@ class Client:
         assert count == len(trades_by_id.values())
         return trades_by_id
 
+    async def get_xfers(
+        self,
+        asset: str,
+        src_asset: str = '',
+
+    ) -> dict[str, Transaction]:
+        '''
+        Get asset balance transfer transactions.
+
+        Currently only withdrawals are supported.
+
+        '''
+        xfers: list[dict] = (await self.endpoint(
+            'WithdrawStatus',
+            {'asset': asset},
+        ))['result']
+
+        # eg. resp schema:
+        # 'result': [{'method': 'Bitcoin', 'aclass': 'currency', 'asset':
+        #     'XXBT', 'refid': 'AGBJRMB-JHD2M4-NDI3NR', 'txid':
+        #     'b95d66d3bb6fd76cbccb93f7639f99a505cb20752c62ea0acc093a0e46547c44',
+        #     'info': 'bc1qc8enqjekwppmw3g80p56z5ns7ze3wraqk5rl9z',
+        #     'amount': '0.00300726', 'fee': '0.00001000', 'time':
+        #     1658347714, 'status': 'Success'}]}
+
+        trans: dict[str, Transaction] = {}
+        for entry in xfers:
+            # look up the normalized name
+            asset = self._atable[entry['asset']].lower()
+
+            # XXX: this is in the asset units (likely) so it isn't
+            # quite the same as a commisions cost necessarily..)
+            cost = float(entry['fee'])
+
+            tran = Transaction(
+                fqsn=asset + '.kraken',
+                tid=entry['txid'],
+                dt=pendulum.from_timestamp(entry['time']),
+                bsuid=f'{asset}{src_asset}',
+                size=-1*(
+                    float(entry['amount'])
+                    +
+                    cost
+                ),
+                # since this will be treated as a "sell" it
+                # shouldn't be needed to compute the be price.
+                price='NaN',
+
+                # XXX: see note above
+                cost=0,
+            )
+            trans[tran.tid] = tran
+
+        return trans
+
     async def submit_limit(
         self,
         symbol: str,
@@ -282,6 +347,7 @@ class Client:
                 "volume": str(size),
             }
             return await self.endpoint('AddOrder', data)
+
         else:
             # Edit order data for kraken api
             data["txid"] = reqid
@@ -301,7 +367,9 @@ class Client:
     async def symbol_info(
         self,
         pair: Optional[str] = None,
-    ):
+
+    ) -> dict[str, dict[str, str]]:
+
         if pair is not None:
             pairs = {'pair': pair}
         else:
@@ -327,6 +395,12 @@ class Client:
         if not self._pairs:
             self._pairs = await self.symbol_info()
 
+            ntable = {}
+            for restapikey, info in self._pairs.items():
+                ntable[restapikey] = ntable[info['wsname']] = info['altname']
+
+            self._ntable.update(ntable)
+
         return self._pairs
 
     async def search_symbols(
@@ -424,45 +498,43 @@ class Client:
             else:
                 raise BrokerError(errmsg)
 
+    @classmethod
+    def normalize_symbol(
+        cls,
+        ticker: str
+    ) -> str:
+        '''
+        Normalize symbol names to to a 3x3 pair from the global
+        definition map which we build out from the data retreived from
+        the 'AssetPairs' endpoint, see methods above.
+
+        '''
+        ticker = cls._ntable[ticker]
+        symlen = len(ticker)
+        if symlen != 6:
+            raise ValueError(f'Unhandled symbol: {ticker}')
+
+        return ticker.lower()
+
 
 @acm
 async def get_client() -> Client:
 
-    section = get_config()
+    conf = get_config()
-    if section:
+    if conf:
         client = Client(
-            name=section['key_descr'],
+            conf,
-            api_key=section['api_key'],
+            name=conf['key_descr'],
-            secret=section['secret']
+            api_key=conf['api_key'],
+            secret=conf['secret']
         )
     else:
-        client = Client()
+        client = Client({})
 
-    # at startup, load all symbols locally for fast search
+    # at startup, load all symbols, and asset info in
+    # batch requests.
+    async with trio.open_nursery() as nurse:
+        nurse.start_soon(client.cache_assets)
         await client.cache_symbols()
 
     yield client
-
-
-def normalize_symbol(
-    ticker: str
-) -> str:
-    '''
-    Normalize symbol names to to a 3x3 pair.
-
-    '''
-    remap = {
-        'XXBTZEUR': 'XBTEUR',
-        'XXMRZEUR': 'XMREUR',
-
-        # ws versions? pretty weird..
-        'XBT/EUR': 'XBTEUR',
-        'XMR/EUR': 'XMREUR',
-    }
-    symlen = len(ticker)
-    if symlen != 6:
-        ticker = remap[ticker]
-    else:
-        raise ValueError(f'Unhandled symbol: {ticker}')
-
-    return ticker.lower()

piker/brokers/kraken/feed.py

@@ -19,7 +19,6 @@ Real-time and historical data feed endpoints.
 
 '''
 from contextlib import asynccontextmanager as acm
-from dataclasses import asdict
 from datetime import datetime
 from typing import (
     Any,
@@ -28,6 +27,7 @@ from typing import (
 )
 import time
 
+from async_generator import aclosing
 from fuzzywuzzy import process as fuzzy
 import numpy as np
 import pendulum
@@ -49,7 +49,6 @@ from piker.data._web_bs import open_autorecon_ws, NoBsWs
 from . import log
 from .api import (
     Client,
-    OHLC,
 )
 
 
@@ -87,6 +86,30 @@ class Pair(Struct):
     ordermin: float  # minimum order volume for pair
 
 
+class OHLC(Struct):
+    '''
+    Description of the flattened OHLC quote format.
+
+    For schema details see:
+        https://docs.kraken.com/websockets/#message-ohlc
+
+    '''
+    chan_id: int  # internal kraken id
+    chan_name: str  # eg. ohlc-1  (name-interval)
+    pair: str  # fx pair
+    time: float  # Begin time of interval, in seconds since epoch
+    etime: float  # End time of interval, in seconds since epoch
+    open: float  # Open price of interval
+    high: float  # High price within interval
+    low: float  # Low price within interval
+    close: float  # Close price of interval
+    vwap: float  # Volume weighted average price within interval
+    volume: float  # Accumulated volume **within interval**
+    count: int  # Number of trades within interval
+    # (sampled) generated tick data
+    ticks: list[Any] = []
+
+
 async def stream_messages(
     ws: NoBsWs,
 ):
@@ -117,9 +140,8 @@ async def stream_messages(
                 too_slow_count = 0
                 continue
 
-        if isinstance(msg, dict):
+        match msg:
-            if msg.get('event') == 'heartbeat':
+            case {'event': 'heartbeat'}:
-
                 now = time.time()
                 delay = now - last_hb
                 last_hb = now
@@ -130,10 +152,8 @@ async def stream_messages(
 
                 continue
 
-            err = msg.get('errorMessage')
+            case _:
-            if err:
+                # passthrough sub msgs
-                raise BrokerError(err)
-        else:
                 yield msg
 
 
@@ -145,16 +165,41 @@ async def process_data_feed_msgs(
 
     '''
     async for msg in stream_messages(ws):
+        match msg:
+            case {
+                'errorMessage': errmsg
+            }:
+                raise BrokerError(errmsg)
 
-        chan_id, *payload_array, chan_name, pair = msg
+            case {
+                'event': 'subscriptionStatus',
+            } as sub:
+                log.info(
+                    'WS subscription is active:\n'
+                    f'{sub}'
+                )
+                continue
 
+            case [
+                chan_id,
+                *payload_array,
+                chan_name,
+                pair
+            ]:
                 if 'ohlc' in chan_name:
-
+                    ohlc = OHLC(
-            yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
+                        chan_id,
+                        chan_name,
+                        pair,
+                        *payload_array[0]
+                    )
+                    ohlc.typecast()
+                    yield 'ohlc', ohlc
 
                 elif 'spread' in chan_name:
 
-            bid, ask, ts, bsize, asize = map(float, payload_array[0])
+                    bid, ask, ts, bsize, asize = map(
+                        float, payload_array[0])
 
                     # TODO: really makes you think IB has a horrible API...
                     quote = {
@@ -173,16 +218,16 @@ async def process_data_feed_msgs(
                 #     chan_id, *payload_array, chan_name, pair = msg
                 #     print(msg)
 
-        else:
+            case _:
                 print(f'UNHANDLED MSG: {msg}')
-            yield msg
+                # yield msg
 
 
 def normalize(
     ohlc: OHLC,
 
 ) -> dict:
-    quote = asdict(ohlc)
+    quote = ohlc.to_dict()
     quote['broker_ts'] = quote['time']
     quote['brokerd_ts'] = time.time()
     quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
@@ -376,17 +421,15 @@ async def stream_quotes(
         # see the tips on reconnection logic:
         # https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
         ws: NoBsWs
-        async with open_autorecon_ws(
+        async with (
+            open_autorecon_ws(
                 'wss://ws.kraken.com/',
                 fixture=subscribe,
-        ) as ws:
+            ) as ws,
-
+            aclosing(process_data_feed_msgs(ws)) as msg_gen,
+        ):
             # pull a first quote and deliver
-            msg_gen = process_data_feed_msgs(ws)
+            typ, ohlc_last = await anext(msg_gen)
-
-            # TODO: use ``anext()`` when it lands in 3.10!
-            typ, ohlc_last = await msg_gen.__anext__()
-
             topic, quote = normalize(ohlc_last)
 
             task_status.started((init_msgs,  quote))

piker/clearing/_ems.py

@@ -88,7 +88,8 @@ def mk_check(
 
 @dataclass
 class _DarkBook:
-    '''EMS-trigger execution book.
+    '''
+    EMS-trigger execution book.
 
     Contains conditions for executions (aka "orders" or "triggers")
     which are not exposed to brokers and thus the market; i.e. these are
@@ -653,6 +654,13 @@ async def translate_and_relay_brokerd_events(
         else:
             # check for existing live flow entry
             entry = book._ems_entries.get(oid)
+            old_reqid = entry.reqid
+
+            if old_reqid and old_reqid != reqid:
+                log.warning(
+                    f'Brokerd order id change for {oid}:\n'
+                    f'{old_reqid} -> {reqid}'
+                )
 
             # initial response to brokerd order request
             if name == 'ack':
@@ -663,6 +671,10 @@ async def translate_and_relay_brokerd_events(
                 # a ``BrokerdOrderAck`` **must** be sent after an order
                 # request in order to establish this id mapping.
                 book._ems2brokerd_ids[oid] = reqid
+                log.info(
+                    'Rx ACK for order\n'
+                    f'oid: {oid} -> reqid: {reqid}'
+                )
 
                 # new order which has not yet be registered into the
                 # local ems book, insert it now and handle 2 cases:
@@ -690,6 +702,9 @@ async def translate_and_relay_brokerd_events(
             # a live flow now exists
             oid = entry.oid
 
+        # TODO: instead this should be our status set.
+        # ack, open, fill, closed, cancelled'
+
         resp = None
         broker_details = {}
 

piker/clearing/_messages.py

@@ -186,6 +186,7 @@ class BrokerdStatus(Struct):
     # XXX: should be best effort set for every update
     account: str = ''
 
+    # TODO: instead (ack, pending, open, fill, clos(ed), cancelled)
     # {
     #   'submitted',
     #   'cancelled',

piker/data/_ahab.py

@@ -39,7 +39,11 @@ from docker.errors import (
     APIError,
     # ContainerError,
 )
-from requests.exceptions import ConnectionError, ReadTimeout
+import requests
+from requests.exceptions import (
+    ConnectionError,
+    ReadTimeout,
+)
 
 from ..log import get_logger, get_console_log
 from .. import config
@@ -188,13 +192,12 @@ class Container:
 
     def hard_kill(self, start: float) -> None:
         delay = time.time() - start
-        log.error(
-            f'Failed to kill container {self.cntr.id} after {delay}s\n'
-            'sending SIGKILL..'
-        )
         # get out the big guns, bc apparently marketstore
         # doesn't actually know how to terminate gracefully
         # :eyeroll:...
+        log.error(
+            f'SIGKILL-ing: {self.cntr.id} after {delay}s\n'
+        )
         self.try_signal('SIGKILL')
         self.cntr.wait(
             timeout=3,
@@ -218,21 +221,26 @@ class Container:
         self.try_signal('SIGINT')
 
         start = time.time()
-        for _ in range(30):
+        for _ in range(6):
 
             with trio.move_on_after(0.5) as cs:
-                cs.shield = True
                 log.cancel('polling for CNTR logs...')
 
                 try:
                     await self.process_logs_until(stop_msg)
                 except ApplicationLogError:
                     hard_kill = True
-
+                else:
                     # if we aren't cancelled on above checkpoint then we
-                # assume we read the expected stop msg and terminated.
+                    # assume we read the expected stop msg and
+                    # terminated.
                     break
 
+            if cs.cancelled_caught:
+                # on timeout just try a hard kill after
+                # a quick container sync-wait.
+                hard_kill = True
+
             try:
                 log.info(f'Polling for container shutdown:\n{cid}')
 
@@ -254,9 +262,16 @@ class Container:
             except (
                 docker.errors.APIError,
                 ConnectionError,
+                requests.exceptions.ConnectionError,
+                trio.Cancelled,
             ):
                 log.exception('Docker connection failure')
                 self.hard_kill(start)
+                raise
+
+            except trio.Cancelled:
+                log.exception('trio cancelled...')
+                self.hard_kill(start)
         else:
             hard_kill = True
 
@@ -305,15 +320,12 @@ async def open_ahabd(
         ))
 
         try:
-
             # TODO: we might eventually want a proxy-style msg-prot here
             # to allow remote control of containers without needing
             # callers to have root perms?
             await trio.sleep_forever()
 
         finally:
-            # needed?
-            with trio.CancelScope(shield=True):
             await cntr.cancel(stop_msg)
 
 

piker/data/types.py

@@ -66,3 +66,10 @@ class Struct(
         ).decode(
             msgspec.msgpack.Encoder().encode(self)
         )
+
+    def typecast(
+        self,
+        # fields: Optional[list[str]] = None,
+    ) -> None:
+        for fname, ftype in self.__annotations__.items():
+            setattr(self, fname, ftype(getattr(self, fname)))

piker/ui/_display.py

@@ -63,7 +63,7 @@ from ..log import get_logger
 log = get_logger(__name__)
 
 # TODO: load this from a config.toml!
-_quote_throttle_rate: int = 60  # Hz
+_quote_throttle_rate: int = 22  # Hz
 
 
 # a working tick-type-classes template

piker/ui/order_mode.py

@@ -794,15 +794,11 @@ async def process_trades_and_update_ui(
             pp_msg_symbol = msg['symbol'].lower()
             fqsn = sym.front_fqsn()
             broker, key = sym.front_feed()
-            # print(
-            #     f'pp msg symbol: {pp_msg_symbol}\n',
-            #     f'fqsn: {fqsn}\n',
-            #     f'front key: {key}\n',
-            # )
-
             if (
-                pp_msg_symbol == fqsn.replace(f'.{broker}', '')
+                pp_msg_symbol == fqsn
+                or pp_msg_symbol == fqsn.removesuffix(f'.{broker}')
             ):
+                log.info(f'{fqsn} matched pp msg: {fmsg}')
                 tracker = mode.trackers[msg['account']]
                 tracker.live_pp.update_from_msg(msg)
                 # update order pane widgets
@@ -843,16 +839,25 @@ async def process_trades_and_update_ui(
         # resp to 'cancel' request or error condition
         # for action request
         elif resp in (
-            'broker_cancelled',
             'broker_inactive',
             'broker_errored',
+        ):
+            # delete level line from view
+            mode.on_cancel(oid)
+            broker_msg = msg['brokerd_msg']
+            log.error(
+                f'Order {oid}->{resp} with:\n{pformat(broker_msg)}'
+            )
+
+        elif resp in (
+            'broker_cancelled',
             'dark_cancelled'
         ):
             # delete level line from view
             mode.on_cancel(oid)
             broker_msg = msg['brokerd_msg']
-            log.warning(
+            log.cancel(
-                f'Order {oid} failed with:\n{pformat(broker_msg)}'
+                f'Order {oid}->{resp} with:\n{pformat(broker_msg)}'
             )
 
         elif resp in (