pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Port binance to `httpx` 

Like other backends use the `AsyncClient` for all venue specific
client-sessions but change to allocating them inside `get_client()`
using an `AsyncExitStack` and inserting directly in the
`Client.venue_sesh: dict` table during init.

Supporting impl tweaks:
- remove most of the API client session building logic and instead make
  `Client.__init__()` take in a `venue_sessions: dict` (set it to
  `.venue_sesh`) and `conf: dict`, instead opting to do the http client
  configuration inside `get_client()` since all that code only needs to
  be run once.
 |_load config inside `get_client()` once.
 |_move session token creation into a new util func `init_api_keys()` and
  also call it from `get_client()` factory; toss in an ex. toml section
  config to the doc string.
- define `_venue_urls: dict[str, str]` (content taken from old static
  `.venue_sesh` dict) at module level and feed them as `base_url: str`
  inputs to the client create loop.
- adjust all call sigs in httpx-sesh-using methods, namely just
  `._api()`.
- do a `.exch_info()` call in `get_client()` to cache the symbology
  set.

Unrelated changes for various other outstanding buggers:
- to get futures feeds correctly loading when selected
  from search (like 'XMRUSDT.USDTM.PERP'), expect a `MktPair` input to
  `Client.bars()` such that the exact venue-key can be looked up (via
  a new `.pair2venuekey()` meth) and then passed to `._api()`.
- adjust `.broker.open_trade_dialog()` to failover to paper engine when
  there's no `api_key` key set for the `subconf` venue-key.
nix-headless-fix
Tyler Goodlet 2024-06-12 09:41:23 -04:00
parent 5314cb79d4
commit ab1463d942
3 changed files with 212 additions and 119 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

302
piker/brokers/binance/api.py
View File

@ -25,14 +25,13 @@ from __future__ import annotations
from collections import ChainMap
from contextlib import (
asynccontextmanager as acm,
AsyncExitStack,
)
from datetime import datetime
from pprint import pformat
from typing import (
Any,
Callable,
Hashable,
Sequence,
Type,
)
import hmac
@ -43,8 +42,7 @@ import trio
from pendulum import (
now,
)
import asks
from rapidfuzz import process as fuzzy
import httpx
import numpy as np
from piker import config
@ -54,6 +52,7 @@ from piker.clearing._messages import (
from piker.accounting import (
Asset,
digits_to_dec,
MktPair,
)
from piker.types import Struct
from piker.data import (
@ -69,7 +68,6 @@ from .venues import (
PAIRTYPES,
Pair,
MarketType,
_spot_url,
_futes_url,
_testnet_futes_url,
@ -79,19 +77,18 @@ from .venues import (
log = get_logger('piker.brokers.binance')
def get_config() -> dict:
def get_config() -> dict[str, Any]:
conf: dict
path: Path
conf, path = config.load(
conf_name='brokers',
touch_if_dne=True,
)
section = conf.get('binance')
section: dict = conf.get('binance')
if not section:
log.warning(f'No config section found for binance in {path}')
log.warning(
f'No config section found for binance in {path}'
)
return {}
return section
@ -147,7 +144,7 @@ def binance_timestamp(
class Client:
'''
Async ReST API client using ``trio`` + ``asks`` B)
Async ReST API client using `trio` + `httpx` B)
Supports all of the spot, margin and futures endpoints depending
on method.
@ -156,10 +153,17 @@ class Client:
def __init__(
self,
venue_sessions: dict[
str, # venue key
tuple[httpx.AsyncClient, str] # session, eps path
],
conf: dict[str, Any],
# TODO: change this to `Client.[mkt_]venue: MarketType`?
mkt_mode: MarketType = 'spot',
) -> None:
self.conf = conf
# build out pair info tables for each market type
# and wrap in a chain-map view for search / query.
self._spot_pairs: dict[str, Pair] = {} # spot info table
@ -186,44 +190,13 @@ class Client:
# market symbols for use by search. See `.exch_info()`.
self._pairs: ChainMap[str, Pair] = ChainMap()
# spot EPs sesh
self._sesh = asks.Session(connections=4)
self._sesh.base_location: str = _spot_url
# spot testnet
self._test_sesh: asks.Session = asks.Session(connections=4)
self._test_sesh.base_location: str = _testnet_spot_url
# margin and extended spot endpoints session.
self._sapi_sesh = asks.Session(connections=4)
self._sapi_sesh.base_location: str = _spot_url
# futes EPs sesh
self._fapi_sesh = asks.Session(connections=4)
self._fapi_sesh.base_location: str = _futes_url
# futes testnet
self._test_fapi_sesh: asks.Session = asks.Session(connections=4)
self._test_fapi_sesh.base_location: str = _testnet_futes_url
# global client "venue selection" mode.
# set this when you want to switch venues and not have to
# specify the venue for the next request.
self.mkt_mode: MarketType = mkt_mode
# per 8
self.venue_sesh: dict[
str, # venue key
tuple[asks.Session, str] # session, eps path
] = {
'spot': (self._sesh, '/api/v3/'),
'spot_testnet': (self._test_sesh, '/fapi/v1/'),
'margin': (self._sapi_sesh, '/sapi/v1/'),
'usdtm_futes': (self._fapi_sesh, '/fapi/v1/'),
'usdtm_futes_testnet': (self._test_fapi_sesh, '/fapi/v1/'),
# 'futes_coin': self._dapi, # TODO
}
# per-mkt-venue API client table
self.venue_sesh = venue_sessions
# lookup for going from `.mkt_mode: str` to the config
# subsection `key: str`
@ -238,40 +211,6 @@ class Client:
'futes': ['usdtm_futes'],
}
# for creating API keys see,
# https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
self.conf: dict = get_config()
for key, subconf in self.conf.items():
if api_key := subconf.get('api_key', ''):
venue_keys: list[str] = self.confkey2venuekeys[key]
venue_key: str
sesh: asks.Session
for venue_key in venue_keys:
sesh, _ = self.venue_sesh[venue_key]
api_key_header: dict = {
# taken from official:
# https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
"Content-Type": "application/json;charset=utf-8",
# TODO: prolly should just always query and copy
# in the real latest ver?
"User-Agent": "binance-connector/6.1.6smbz6",
"X-MBX-APIKEY": api_key,
}
sesh.headers.update(api_key_header)
# if `.use_tesnet = true` in the config then
# also add headers for the testnet session which
# will be used for all order control
if subconf.get('use_testnet', False):
testnet_sesh, _ = self.venue_sesh[
venue_key + '_testnet'
]
testnet_sesh.headers.update(api_key_header)
def _mk_sig(
self,
data: dict,
@ -290,7 +229,6 @@ class Client:
'to define the creds for auth-ed endpoints!?'
)
# XXX: Info on security and authentification
# https://binance-docs.github.io/apidocs/#endpoint-security-type
if not (api_secret := subconf.get('api_secret')):
@ -330,8 +268,9 @@ class Client:
- /fapi/v3/ USD-M FUTURES, or
- /api/v3/ SPOT/MARGIN
account/market endpoint request depending on either passed in `venue: str`
or the current setting `.mkt_mode: str` setting, default `'spot'`.
account/market endpoint request depending on either passed in
`venue: str` or the current setting `.mkt_mode: str` setting,
default `'spot'`.
Docs per venue API:
@ -360,9 +299,6 @@ class Client:
venue=venue_key,
)
sesh: asks.Session
path: str
# Check if we're configured to route order requests to the
# venue equivalent's testnet.
use_testnet: bool = False
@ -387,11 +323,12 @@ class Client:
# ctl machinery B)
venue_key += '_testnet'
sesh, path = self.venue_sesh[venue_key]
meth: Callable = getattr(sesh, method)
client: httpx.AsyncClient
path: str
client, path = self.venue_sesh[venue_key]
meth: Callable = getattr(client, method)
resp = await meth(
path=path + endpoint,
url=path + endpoint,
params=params,
timeout=float('inf'),
)
@ -436,7 +373,11 @@ class Client:
try:
pair: Pair = pair_type(**item)
except Exception as e:
e.add_note(f'\nDon\'t panic, check out this https://binance-docs.github.io/apidocs/spot/en/#exchange-information')
e.add_note(
"\nDon't panic, prolly stupid binance changed their symbology schema again..\n"
'Check out their API docs here:\n\n'
'https://binance-docs.github.io/apidocs/spot/en/#exchange-information'
)
raise
pair_table[pair.symbol.upper()] = pair
@ -532,7 +473,9 @@ class Client:
'''
pair_table: dict[str, Pair] = self._venue2pairs[
venue or self.mkt_mode
venue
or
self.mkt_mode
]
if (
expiry
@ -551,9 +494,9 @@ class Client:
venues: list[str] = [venue]
# batch per-venue download of all exchange infos
async with trio.open_nursery() as rn:
async with trio.open_nursery() as tn:
for ven in venues:
rn.start_soon(
tn.start_soon(
self._cache_pairs,
ven,
)
@ -606,11 +549,11 @@ class Client:
) -> dict[str, Any]:
fq_pairs: dict = await self.exch_info()
fq_pairs: dict[str, Pair] = await self.exch_info()
# TODO: cache this list like we were in
# `open_symbol_search()`?
keys: list[str] = list(fq_pairs)
# keys: list[str] = list(fq_pairs)
return match_from_pairs(
pairs=fq_pairs,
@ -618,9 +561,19 @@ class Client:
score_cutoff=50,
)
def pair2venuekey(
self,
pair: Pair,
) -> str:
return {
'USDTM': 'usdtm_futes',
# 'COINM': 'coin_futes',
# ^-TODO-^ bc someone might want it..?
}[pair.venue]
async def bars(
self,
symbol: str,
mkt: MktPair,
start_dt: datetime | None = None,
end_dt: datetime | None = None,
@ -650,16 +603,20 @@ class Client:
start_time = binance_timestamp(start_dt)
end_time = binance_timestamp(end_dt)
bs_pair: Pair = self._pairs[mkt.bs_fqme.upper()]
# https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
bars = await self._api(
'klines',
params={
'symbol': symbol.upper(),
# NOTE: always query using their native symbology!
'symbol': mkt.bs_mktid.upper(),
'interval': '1m',
'startTime': start_time,
'endTime': end_time,
'limit': limit
},
venue=self.pair2venuekey(bs_pair),
allow_testnet=False,
)
new_bars: list[tuple] = []
@ -976,17 +933,148 @@ class Client:
await self.close_listen_key(key)
@acm
async def get_client() -> Client:
_venue_urls: dict[str, str] = {
'spot': (
_spot_url,
'/api/v3/',
),
'spot_testnet': (
_testnet_spot_url,
'/fapi/v1/'
),
# margin and extended spot endpoints session.
# TODO: did this ever get implemented fully?
# 'margin': (
# _spot_url,
# '/sapi/v1/'
# ),
client = Client()
await client.exch_info()
log.info(
f'{client} in {client.mkt_mode} mode: caching exchange infos..\n'
'Cached multi-market pairs:\n'
f'spot: {len(client._spot_pairs)}\n'
f'usdtm_futes: {len(client._ufutes_pairs)}\n'
f'Total: {len(client._pairs)}\n'
'usdtm_futes': (
_futes_url,
'/fapi/v1/',
),
'usdtm_futes_testnet': (
_testnet_futes_url,
'/fapi/v1/',
),
# TODO: for anyone who actually needs it ;P
# 'coin_futes': ()
}
def init_api_keys(
client: Client,
conf: dict[str, Any],
) -> None:
'''
Set up per-venue API keys each http client according to the user's
`brokers.conf`.
For ex, to use spot-testnet and live usdt futures APIs:
```toml
[binance]
# spot test net
spot.use_testnet = true
spot.api_key = '<spot_api_key_from_binance_account>'
spot.api_secret = '<spot_api_key_password>'
# futes live
futes.use_testnet = false
accounts.usdtm = 'futes'
futes.api_key = '<futes_api_key_from_binance>'
futes.api_secret = '<futes_api_key_password>''
# if uncommented will use the built-in paper engine and not
# connect to `binance` API servers for order ctl.
# accounts.paper = 'paper'
```
'''
for key, subconf in conf.items():
if api_key := subconf.get('api_key', ''):
venue_keys: list[str] = client.confkey2venuekeys[key]
venue_key: str
client: httpx.AsyncClient
for venue_key in venue_keys:
client, _ = client.venue_sesh[venue_key]
api_key_header: dict = {
# taken from official:
# https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
"Content-Type": "application/json;charset=utf-8",
# TODO: prolly should just always query and copy
# in the real latest ver?
"User-Agent": "binance-connector/6.1.6smbz6",
"X-MBX-APIKEY": api_key,
}
client.headers.update(api_key_header)
# if `.use_tesnet = true` in the config then
# also add headers for the testnet session which
# will be used for all order control
if subconf.get('use_testnet', False):
testnet_sesh, _ = client.venue_sesh[
venue_key + '_testnet'
]
testnet_sesh.headers.update(api_key_header)
@acm
async def get_client(
mkt_mode: MarketType = 'spot',
) -> Client:
'''
Construct an single `piker` client which composes multiple underlying venue
specific API clients both for live and test networks.
'''
venue_sessions: dict[
str, # venue key
tuple[httpx.AsyncClient, str] # session, eps path
] = {}
async with AsyncExitStack() as client_stack:
for name, (base_url, path) in _venue_urls.items():
api: httpx.AsyncClient = await client_stack.enter_async_context(
httpx.AsyncClient(
base_url=base_url,
# headers={},
# TODO: is there a way to numerate this?
# https://www.python-httpx.org/advanced/clients/#why-use-a-client
# connections=4
)
)
venue_sessions[name] = (
api,
path,
)
conf: dict[str, Any] = get_config()
# for creating API keys see,
# https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
client = Client(
venue_sessions=venue_sessions,
conf=conf,
mkt_mode=mkt_mode,
)
init_api_keys(
client=client,
conf=conf,
)
fq_pairs: dict[str, Pair] = await client.exch_info()
assert fq_pairs
log.info(
f'Loaded multi-venue `Client` in mkt_mode={client.mkt_mode!r}\n\n'
f'Symbology Summary:\n'
f'------ - ------\n'
f'spot: {len(client._spot_pairs)}\n'
f'usdtm_futes: {len(client._ufutes_pairs)}\n'
'------ - ------\n'
f'total: {len(client._pairs)}\n'
)
yield client

11
piker/brokers/binance/broker.py
View File

@ -264,15 +264,20 @@ async def open_trade_dialog(
# do a open_symcache() call.. though maybe we can hide
# this in a new async version of open_account()?
async with open_cached_client('binance') as client:
subconf: dict = client.conf[venue_name]
use_testnet = subconf.get('use_testnet', False)
subconf: dict|None = client.conf.get(venue_name)
# XXX: if no futes.api_key or spot.api_key has been set we
# always fall back to the paper engine!
if not subconf.get('api_key'):
if (
not subconf
or
not subconf.get('api_key')
):
await ctx.started('paper')
return
use_testnet: bool = subconf.get('use_testnet', False)
async with (
open_cached_client('binance') as client,
):

8
piker/brokers/binance/feed.py
View File

@ -253,15 +253,15 @@ async def open_history_client(
else:
client.mkt_mode = 'spot'
# NOTE: always query using their native symbology!
mktid: str = mkt.bs_mktid
array: np.ndarray = await client.bars(
mktid,
mkt=mkt,
start_dt=start_dt,
end_dt=end_dt,
)
if array.size == 0:
raise NoData('No frame for {start_dt} -> {end_dt}\n')
raise NoData(
f'No frame for {start_dt} -> {end_dt}\n'
)
times = array['time']
if not times.any():