goodboy
GitHub
commit
a9185e7d6f
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@ -33,7 +33,6 @@ import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from pydantic.dataclasses import dataclass
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import wsproto
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from .._cacheables import open_cached_client
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@ -106,14 +105,14 @@ class Pair(Struct, frozen=True):
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permissions: list[str]
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@dataclass
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class OHLC:
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"""Description of the flattened OHLC quote format.
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class OHLC(Struct):
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'''
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Description of the flattened OHLC quote format.
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For schema details see:
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https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams
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"""
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'''
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time: int
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open: float
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@ -262,6 +261,7 @@ class Client:
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for i, bar in enumerate(bars):
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bar = OHLC(*bar)
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bar.typecast()
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row = []
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for j, (name, ftype) in enumerate(_ohlc_dtype[1:]):
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@ -0,0 +1,64 @@
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``kraken`` backend
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------------------
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though they don't have the most liquidity of all the cexes they sure are
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accommodating to those of us who appreciate a little ``xmr``.
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status
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******
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current support is *production grade* and both real-time data and order
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management should be correct and fast. this backend is used by core devs
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for live trading.
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config
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******
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In order to get order mode support your ``brokers.toml``
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needs to have something like the following:
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.. code:: toml
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[kraken]
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accounts.spot = 'spot'
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key_descr = "spot"
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api_key = "69696969696969696696969696969696969696969696969696969696"
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secret = "BOOBSBOOBSBOOBSBOOBSBOOBSSMBZ69696969696969669969696969696"
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If everything works correctly you should see any current positions
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loaded in the pps pane on chart load and you should also be able to
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check your trade records in the file::
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<pikerk_conf_dir>/ledgers/trades_kraken_spot.toml
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An example ledger file will have entries written verbatim from the
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trade events schema:
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.. code:: toml
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[TFJBKK-SMBZS-VJ4UWS]
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ordertxid = "SMBZSA-7CNQU-3HWLNJ"
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postxid = "SMBZSE-M7IF5-CFI7LT"
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pair = "XXMRZEUR"
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time = 1655691993.4133966
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type = "buy"
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ordertype = "limit"
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price = "103.97000000"
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cost = "499.99999977"
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fee = "0.80000000"
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vol = "4.80907954"
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margin = "0.00000000"
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misc = ""
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your ``pps.toml`` file will have position entries like,
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.. code:: toml
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[kraken.spot."xmreur.kraken"]
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size = 4.80907954
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ppu = 103.97000000
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bsuid = "XXMRZEUR"
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clears = [
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{ tid = "TFJBKK-SMBZS-VJ4UWS", cost = 0.8, price = 103.97, size = 4.80907954, dt = "2022-05-20T02:26:33.413397+00:00" },
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]
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@ -19,7 +19,6 @@ Kraken web API wrapping.
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'''
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from contextlib import asynccontextmanager as acm
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from dataclasses import field
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from datetime import datetime
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import itertools
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from typing import (
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@ -29,17 +28,16 @@ from typing import (
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)
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import time
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# import trio
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# import tractor
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from bidict import bidict
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import pendulum
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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from pydantic.dataclasses import dataclass
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import urllib.parse
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import hashlib
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import hmac
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import base64
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import trio
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from piker import config
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from piker.brokers._util import (
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@ -48,6 +46,7 @@ from piker.brokers._util import (
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BrokerError,
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DataThrottle,
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)
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from piker.pp import Transaction
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from . import log
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# <uri>/<version>/
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@ -77,31 +76,6 @@ _symbol_info_translation: dict[str, str] = {
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}
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@dataclass
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class OHLC:
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'''
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Description of the flattened OHLC quote format.
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For schema details see:
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https://docs.kraken.com/websockets/#message-ohlc
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'''
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chan_id: int # internal kraken id
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chan_name: str # eg. ohlc-1 (name-interval)
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pair: str # fx pair
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time: float # Begin time of interval, in seconds since epoch
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etime: float # End time of interval, in seconds since epoch
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open: float # Open price of interval
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high: float # High price within interval
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low: float # Low price within interval
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close: float # Close price of interval
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vwap: float # Volume weighted average price within interval
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volume: float # Accumulated volume **within interval**
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count: int # Number of trades within interval
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# (sampled) generated tick data
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ticks: list[Any] = field(default_factory=list)
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def get_config() -> dict[str, Any]:
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conf, path = config.load()
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@ -141,8 +115,13 @@ class InvalidKey(ValueError):
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class Client:
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# global symbol normalization table
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_ntable: dict[str, str] = {}
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_atable: bidict[str, str] = bidict()
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def __init__(
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self,
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config: dict[str, str],
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name: str = '',
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api_key: str = '',
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secret: str = ''
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@ -153,6 +132,7 @@ class Client:
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'User-Agent':
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'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
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})
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self.conf: dict[str, str] = config
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self._pairs: list[str] = []
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self._name = name
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self._api_key = api_key
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@ -212,8 +192,36 @@ class Client:
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data['nonce'] = str(int(1000*time.time()))
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return await self._private(method, data, uri_path)
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async def get_balances(
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self,
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) -> dict[str, float]:
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'''
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Return the set of asset balances for this account
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by symbol.
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'''
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resp = await self.endpoint(
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'Balance',
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{},
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)
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by_bsuid = resp['result']
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return {
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self._atable[sym].lower(): float(bal)
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for sym, bal in by_bsuid.items()
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}
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async def get_assets(self) -> dict[str, dict]:
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resp = await self._public('Assets', {})
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return resp['result']
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async def cache_assets(self) -> None:
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assets = self.assets = await self.get_assets()
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for bsuid, info in assets.items():
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self._atable[bsuid] = info['altname']
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async def get_trades(
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self,
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fetch_limit: int = 10,
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) -> dict[str, Any]:
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'''
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@ -225,6 +233,8 @@ class Client:
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trades_by_id: dict[str, Any] = {}
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for i in itertools.count():
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if i >= fetch_limit:
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break
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# increment 'ofs' pagination offset
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ofs = i*50
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@ -254,6 +264,61 @@ class Client:
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assert count == len(trades_by_id.values())
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return trades_by_id
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async def get_xfers(
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self,
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asset: str,
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src_asset: str = '',
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) -> dict[str, Transaction]:
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'''
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Get asset balance transfer transactions.
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Currently only withdrawals are supported.
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'''
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xfers: list[dict] = (await self.endpoint(
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'WithdrawStatus',
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{'asset': asset},
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))['result']
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# eg. resp schema:
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# 'result': [{'method': 'Bitcoin', 'aclass': 'currency', 'asset':
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# 'XXBT', 'refid': 'AGBJRMB-JHD2M4-NDI3NR', 'txid':
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# 'b95d66d3bb6fd76cbccb93f7639f99a505cb20752c62ea0acc093a0e46547c44',
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# 'info': 'bc1qc8enqjekwppmw3g80p56z5ns7ze3wraqk5rl9z',
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# 'amount': '0.00300726', 'fee': '0.00001000', 'time':
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# 1658347714, 'status': 'Success'}]}
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trans: dict[str, Transaction] = {}
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for entry in xfers:
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# look up the normalized name
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asset = self._atable[entry['asset']].lower()
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# XXX: this is in the asset units (likely) so it isn't
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# quite the same as a commisions cost necessarily..)
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cost = float(entry['fee'])
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tran = Transaction(
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fqsn=asset + '.kraken',
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tid=entry['txid'],
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dt=pendulum.from_timestamp(entry['time']),
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bsuid=f'{asset}{src_asset}',
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size=-1*(
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float(entry['amount'])
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+
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cost
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),
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# since this will be treated as a "sell" it
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# shouldn't be needed to compute the be price.
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price='NaN',
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# XXX: see note above
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cost=0,
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)
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trans[tran.tid] = tran
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return trans
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async def submit_limit(
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self,
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symbol: str,
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@ -282,6 +347,7 @@ class Client:
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"volume": str(size),
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}
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return await self.endpoint('AddOrder', data)
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else:
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# Edit order data for kraken api
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data["txid"] = reqid
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@ -301,7 +367,9 @@ class Client:
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async def symbol_info(
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self,
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pair: Optional[str] = None,
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):
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) -> dict[str, dict[str, str]]:
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if pair is not None:
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pairs = {'pair': pair}
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else:
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@ -327,6 +395,12 @@ class Client:
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if not self._pairs:
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self._pairs = await self.symbol_info()
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ntable = {}
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for restapikey, info in self._pairs.items():
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ntable[restapikey] = ntable[info['wsname']] = info['altname']
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self._ntable.update(ntable)
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return self._pairs
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async def search_symbols(
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@ -424,45 +498,43 @@ class Client:
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else:
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raise BrokerError(errmsg)
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@classmethod
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def normalize_symbol(
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cls,
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ticker: str
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) -> str:
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'''
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Normalize symbol names to to a 3x3 pair from the global
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definition map which we build out from the data retreived from
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the 'AssetPairs' endpoint, see methods above.
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'''
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ticker = cls._ntable[ticker]
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symlen = len(ticker)
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if symlen != 6:
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raise ValueError(f'Unhandled symbol: {ticker}')
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return ticker.lower()
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@acm
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async def get_client() -> Client:
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section = get_config()
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if section:
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conf = get_config()
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if conf:
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client = Client(
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name=section['key_descr'],
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api_key=section['api_key'],
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secret=section['secret']
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conf,
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name=conf['key_descr'],
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api_key=conf['api_key'],
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secret=conf['secret']
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)
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else:
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client = Client()
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client = Client({})
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# at startup, load all symbols locally for fast search
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# at startup, load all symbols, and asset info in
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# batch requests.
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async with trio.open_nursery() as nurse:
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nurse.start_soon(client.cache_assets)
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await client.cache_symbols()
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yield client
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def normalize_symbol(
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ticker: str
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) -> str:
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'''
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Normalize symbol names to to a 3x3 pair.
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'''
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remap = {
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'XXBTZEUR': 'XBTEUR',
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'XXMRZEUR': 'XMREUR',
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# ws versions? pretty weird..
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'XBT/EUR': 'XBTEUR',
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'XMR/EUR': 'XMREUR',
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}
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symlen = len(ticker)
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if symlen != 6:
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ticker = remap[ticker]
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else:
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raise ValueError(f'Unhandled symbol: {ticker}')
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return ticker.lower()
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|
|
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File diff suppressed because it is too large
Load Diff
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@ -19,7 +19,6 @@ Real-time and historical data feed endpoints.
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'''
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict
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from datetime import datetime
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from typing import (
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Any,
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|
@ -28,6 +27,7 @@ from typing import (
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)
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import time
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from async_generator import aclosing
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import pendulum
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|
@ -49,7 +49,6 @@ from piker.data._web_bs import open_autorecon_ws, NoBsWs
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from . import log
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from .api import (
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Client,
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OHLC,
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)
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|
@ -87,6 +86,30 @@ class Pair(Struct):
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ordermin: float # minimum order volume for pair
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|
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class OHLC(Struct):
|
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'''
|
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Description of the flattened OHLC quote format.
|
||||
|
||||
For schema details see:
|
||||
https://docs.kraken.com/websockets/#message-ohlc
|
||||
|
||||
'''
|
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chan_id: int # internal kraken id
|
||||
chan_name: str # eg. ohlc-1 (name-interval)
|
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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(
|
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ws: NoBsWs,
|
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):
|
||||
|
|
@ -117,9 +140,8 @@ async def stream_messages(
|
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too_slow_count = 0
|
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continue
|
||||
|
||||
if isinstance(msg, dict):
|
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if msg.get('event') == 'heartbeat':
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|
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match msg:
|
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case {'event': 'heartbeat'}:
|
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now = time.time()
|
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delay = now - last_hb
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last_hb = now
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|
|
@ -130,10 +152,8 @@ async def stream_messages(
|
|||
|
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continue
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||||
|
||||
err = msg.get('errorMessage')
|
||||
if err:
|
||||
raise BrokerError(err)
|
||||
else:
|
||||
case _:
|
||||
# passthrough sub msgs
|
||||
yield msg
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||||
|
||||
|
||||
|
|
@ -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:
|
||||
|
||||
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
||||
ohlc = OHLC(
|
||||
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)
|
||||
|
||||
# TODO: use ``anext()`` when it lands in 3.10!
|
||||
typ, ohlc_last = await msg_gen.__anext__()
|
||||
|
||||
typ, ohlc_last = await anext(msg_gen)
|
||||
topic, quote = normalize(ohlc_last)
|
||||
|
||||
task_status.started((init_msgs, quote))
|
||||
|
|
|
|||
|
|
@ -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 = {}
|
||||
|
||||
|
|
|
|||
|
|
@ -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',
|
||||
|
|
|
|||
|
|
@ -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)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -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)))
|
||||
|
|
|
|||
|
|
@ -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
|
||||
|
|
|
|||
|
|
@ -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(
|
||||
f'Order {oid} failed with:\n{pformat(broker_msg)}'
|
||||
log.cancel(
|
||||
f'Order {oid}->{resp} with:\n{pformat(broker_msg)}'
|
||||
)
|
||||
|
||||
elif resp in (
|
||||
|
|
|
|||
Loading…
Reference in New Issue