binance: breakout into `feed` and `broker` mods like other backends
Tyler Goodlet
parent
ed0c2555fc
commit
ae1c5a0db0
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@ -23,16 +23,15 @@ binancial secs on the floor, in the office, behind the dumpster.
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"""
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"""
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from .api import (
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from .api import (
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get_client,
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get_client,
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# )
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)
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# from .feed import (
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from .feed import (
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get_mkt_info,
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get_mkt_info,
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open_history_client,
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open_history_client,
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open_symbol_search,
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open_symbol_search,
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stream_quotes,
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stream_quotes,
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# )
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)
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# from .broker import (
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from .broker import (
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trades_dialogue,
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trades_dialogue,
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# norm_trade_records,
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)
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)
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@ -43,13 +42,12 @@ __all__ = [
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'open_history_client',
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'open_history_client',
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'open_symbol_search',
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'open_symbol_search',
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'stream_quotes',
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'stream_quotes',
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# 'norm_trade_records',
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]
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]
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# tractor RPC enable arg
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# `brokerd` modules
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__enable_modules__: list[str] = [
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__enable_modules__: list[str] = [
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'api',
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'api',
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# 'feed',
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'feed',
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# 'broker',
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'broker',
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]
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]
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@ -25,66 +25,32 @@ from __future__ import annotations
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from collections import OrderedDict
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from collections import OrderedDict
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from contextlib import (
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from contextlib import (
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asynccontextmanager as acm,
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asynccontextmanager as acm,
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aclosing,
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)
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)
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from datetime import datetime
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from datetime import datetime
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from decimal import Decimal
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from decimal import Decimal
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import itertools
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from typing import (
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from typing import (
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Any,
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Any,
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Union,
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Union,
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AsyncIterator,
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AsyncGenerator,
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Callable,
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)
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)
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import hmac
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import hmac
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import time
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import hashlib
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import hashlib
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from pathlib import Path
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from pathlib import Path
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import trio
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import trio
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from trio_typing import TaskStatus
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from pendulum import (
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from pendulum import (
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now,
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now,
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from_timestamp,
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)
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)
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import asks
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import asks
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from fuzzywuzzy import process as fuzzy
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import numpy as np
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import tractor
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from piker import config
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from piker import config
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from piker._cacheables import (
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async_lifo_cache,
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open_cached_client,
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)
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from piker.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 piker.data.types import Struct
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from piker.data.types import Struct
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from piker.data.validate import FeedInit
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from piker.data import def_iohlcv_fields
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from piker.data import def_iohlcv_fields
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from piker.data._web_bs import (
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open_autorecon_ws,
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NoBsWs,
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)
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from piker.clearing._messages import (
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BrokerdOrder,
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BrokerdOrderAck,
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BrokerdStatus,
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BrokerdPosition,
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BrokerdFill,
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BrokerdCancel,
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# BrokerdError,
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)
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from piker.brokers._util import (
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from piker.brokers._util import (
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resproc,
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resproc,
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SymbolNotFound,
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SymbolNotFound,
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DataUnavailable,
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get_logger,
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get_logger,
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get_console_log,
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)
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)
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log = get_logger('piker.brokers.binance')
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log = get_logger('piker.brokers.binance')
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@ -211,18 +177,6 @@ class OHLC(Struct):
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bar_wap: float = 0.0
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bar_wap: float = 0.0
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class L1(Struct):
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# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
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update_id: int
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sym: str
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bid: float
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bsize: float
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ask: float
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asize: float
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# convert datetime obj timestamp to unixtime in milliseconds
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# convert datetime obj timestamp to unixtime in milliseconds
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def binance_timestamp(
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def binance_timestamp(
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when: datetime
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when: datetime
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@ -644,468 +598,3 @@ async def get_client() -> Client:
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log.info('Caching exchange infos..')
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log.info('Caching exchange infos..')
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await client.exch_info()
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await client.exch_info()
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yield client
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yield client
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# validation type
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class AggTrade(Struct, frozen=True):
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e: str # Event type
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E: int # Event time
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s: str # Symbol
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a: int # Aggregate trade ID
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p: float # Price
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q: float # Quantity
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f: int # First trade ID
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l: int # noqa Last trade ID
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T: int # Trade time
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m: bool # Is the buyer the market maker?
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M: bool # Ignore
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async def stream_messages(
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ws: NoBsWs,
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) -> AsyncGenerator[NoBsWs, dict]:
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# TODO: match syntax here!
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msg: dict[str, Any]
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async for msg in ws:
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match msg:
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# for l1 streams binance doesn't add an event type field so
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# identify those messages by matching keys
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# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
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case {
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# NOTE: this is never an old value it seems, so
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# they are always sending real L1 spread updates.
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'u': upid, # update id
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's': sym,
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'b': bid,
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'B': bsize,
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'a': ask,
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'A': asize,
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}:
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# TODO: it would be super nice to have a `L1` piker type
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# which "renders" incremental tick updates from a packed
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# msg-struct:
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# - backend msgs after packed into the type such that we
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# can reduce IPC usage but without each backend having
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# to do that incremental update logic manually B)
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# - would it maybe be more efficient to use this instead?
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# https://binance-docs.github.io/apidocs/spot/en/#diff-depth-stream
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l1 = L1(
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update_id=upid,
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sym=sym,
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bid=bid,
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bsize=bsize,
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ask=ask,
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asize=asize,
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)
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l1.typecast()
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# repack into piker's tick-quote format
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yield 'l1', {
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'symbol': l1.sym,
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'ticks': [
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{
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'type': 'bid',
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'price': l1.bid,
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'size': l1.bsize,
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},
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{
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'type': 'bsize',
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'price': l1.bid,
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'size': l1.bsize,
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},
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{
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'type': 'ask',
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'price': l1.ask,
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'size': l1.asize,
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},
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{
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'type': 'asize',
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'price': l1.ask,
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'size': l1.asize,
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}
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]
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}
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# https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
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case {
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'e': 'aggTrade',
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}:
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# NOTE: this is purely for a definition,
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# ``msgspec.Struct`` does not runtime-validate until you
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# decode/encode, see:
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# https://jcristharif.com/msgspec/structs.html#type-validation
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msg = AggTrade(**msg) # TODO: should we .copy() ?
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piker_quote: dict = {
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'symbol': msg.s,
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'last': float(msg.p),
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'brokerd_ts': time.time(),
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'ticks': [{
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'type': 'trade',
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'price': float(msg.p),
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'size': float(msg.q),
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'broker_ts': msg.T,
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}],
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}
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yield 'trade', piker_quote
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def make_sub(pairs: list[str], sub_name: str, uid: int) -> dict[str, str]:
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'''
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Create a request subscription packet dict.
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- spot:
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https://binance-docs.github.io/apidocs/spot/en/#live-subscribing-unsubscribing-to-streams
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- futes:
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https://binance-docs.github.io/apidocs/futures/en/#websocket-market-streams
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'''
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return {
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'method': 'SUBSCRIBE',
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'params': [
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f'{pair.lower()}@{sub_name}'
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for pair in pairs
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],
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'id': uid
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}
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@acm
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async def open_history_client(
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mkt: MktPair,
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) -> tuple[Callable, int]:
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symbol: str = mkt.bs_fqme
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# TODO implement history getter for the new storage layer.
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async with open_cached_client('binance') as client:
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async def get_ohlc(
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timeframe: float,
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end_dt: datetime | None = None,
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start_dt: datetime | None = None,
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) -> tuple[
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np.ndarray,
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datetime, # start
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datetime, # end
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]:
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if timeframe != 60:
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raise DataUnavailable('Only 1m bars are supported')
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array = await client.bars(
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symbol,
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start_dt=start_dt,
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end_dt=end_dt,
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)
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times = array['time']
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if (
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end_dt is None
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):
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inow = round(time.time())
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if (inow - times[-1]) > 60:
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await tractor.breakpoint()
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start_dt = from_timestamp(times[0])
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end_dt = from_timestamp(times[-1])
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return array, start_dt, end_dt
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yield get_ohlc, {'erlangs': 3, 'rate': 3}
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@async_lifo_cache()
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async def get_mkt_info(
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fqme: str,
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) -> tuple[MktPair, Pair]:
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async with open_cached_client('binance') as client:
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pair: Pair = await client.exch_info(fqme.upper())
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mkt = 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=pair.price_tick,
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size_tick=pair.size_tick,
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bs_mktid=pair.symbol,
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broker='binance',
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)
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both = mkt, pair
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return both
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async def stream_quotes(
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send_chan: trio.abc.SendChannel,
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symbols: list[str],
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feed_is_live: trio.Event,
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loglevel: str = None,
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# startup sync
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task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
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) -> None:
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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async with (
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send_chan as send_chan,
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):
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init_msgs: list[FeedInit] = []
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for sym in symbols:
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mkt, pair = await get_mkt_info(sym)
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# build out init msgs according to latest spec
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init_msgs.append(
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FeedInit(mkt_info=mkt)
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)
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iter_subids = itertools.count()
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@acm
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async def subscribe(ws: NoBsWs):
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# setup subs
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subid: int = next(iter_subids)
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# trade data (aka L1)
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# https://binance-docs.github.io/apidocs/spot/en/#symbol-order-book-ticker
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l1_sub = make_sub(symbols, 'bookTicker', subid)
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await ws.send_msg(l1_sub)
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# aggregate (each order clear by taker **not** by maker)
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# trades data:
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# https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
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agg_trades_sub = make_sub(symbols, 'aggTrade', subid)
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await ws.send_msg(agg_trades_sub)
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# might get ack from ws server, or maybe some
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# other msg still in transit..
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res = await ws.recv_msg()
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subid: str | None = res.get('id')
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if subid:
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assert res['id'] == subid
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yield
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subs = []
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for sym in symbols:
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subs.append("{sym}@aggTrade")
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subs.append("{sym}@bookTicker")
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# unsub from all pairs on teardown
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if ws.connected():
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await ws.send_msg({
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"method": "UNSUBSCRIBE",
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"params": subs,
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"id": subid,
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})
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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async with (
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open_autorecon_ws(
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# XXX: see api docs which show diff addr?
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# https://developers.binance.com/docs/binance-trading-api/websocket_api#general-api-information
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# 'wss://ws-api.binance.com:443/ws-api/v3',
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'wss://stream.binance.com/ws',
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fixture=subscribe,
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) as ws,
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# avoid stream-gen closure from breaking trio..
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|
||||||
aclosing(stream_messages(ws)) as msg_gen,
|
|
||||||
):
|
|
||||||
typ, quote = await anext(msg_gen)
|
|
||||||
|
|
||||||
# pull a first quote and deliver
|
|
||||||
while typ != 'trade':
|
|
||||||
typ, quote = await anext(msg_gen)
|
|
||||||
|
|
||||||
task_status.started((init_msgs, quote))
|
|
||||||
|
|
||||||
# signal to caller feed is ready for consumption
|
|
||||||
feed_is_live.set()
|
|
||||||
|
|
||||||
# import time
|
|
||||||
# last = time.time()
|
|
||||||
|
|
||||||
# start streaming
|
|
||||||
async for typ, msg in msg_gen:
|
|
||||||
|
|
||||||
# period = time.time() - last
|
|
||||||
# hz = 1/period if period else float('inf')
|
|
||||||
# if hz > 60:
|
|
||||||
# log.info(f'Binance quotez : {hz}')
|
|
||||||
topic = msg['symbol'].lower()
|
|
||||||
await send_chan.send({topic: msg})
|
|
||||||
# last = time.time()
|
|
||||||
|
|
||||||
|
|
||||||
async def handle_order_requests(
|
|
||||||
ems_order_stream: tractor.MsgStream
|
|
||||||
) -> None:
|
|
||||||
async with open_cached_client('binance') as client:
|
|
||||||
async for request_msg in ems_order_stream:
|
|
||||||
log.info(f'Received order request {request_msg}')
|
|
||||||
|
|
||||||
action = request_msg['action']
|
|
||||||
|
|
||||||
if action in {'buy', 'sell'}:
|
|
||||||
# validate
|
|
||||||
order = BrokerdOrder(**request_msg)
|
|
||||||
|
|
||||||
# call our client api to submit the order
|
|
||||||
reqid = await client.submit_limit(
|
|
||||||
order.symbol,
|
|
||||||
order.action,
|
|
||||||
order.size,
|
|
||||||
order.price,
|
|
||||||
oid=order.oid
|
|
||||||
)
|
|
||||||
|
|
||||||
# deliver ack that order has been submitted to broker routing
|
|
||||||
await ems_order_stream.send(
|
|
||||||
BrokerdOrderAck(
|
|
||||||
# ems order request id
|
|
||||||
oid=order.oid,
|
|
||||||
# broker specific request id
|
|
||||||
reqid=reqid,
|
|
||||||
time_ns=time.time_ns(),
|
|
||||||
).dict()
|
|
||||||
)
|
|
||||||
|
|
||||||
elif action == 'cancel':
|
|
||||||
msg = BrokerdCancel(**request_msg)
|
|
||||||
|
|
||||||
await client.submit_cancel(msg.symbol, msg.reqid)
|
|
||||||
|
|
||||||
else:
|
|
||||||
log.error(f'Unknown order command: {request_msg}')
|
|
||||||
|
|
||||||
|
|
||||||
@tractor.context
|
|
||||||
async def trades_dialogue(
|
|
||||||
ctx: tractor.Context,
|
|
||||||
loglevel: str = None
|
|
||||||
|
|
||||||
) -> AsyncIterator[dict[str, Any]]:
|
|
||||||
|
|
||||||
async with open_cached_client('binance') as client:
|
|
||||||
if not client.api_key:
|
|
||||||
await ctx.started('paper')
|
|
||||||
return
|
|
||||||
|
|
||||||
# table: PpTable
|
|
||||||
# ledger: TransactionLedger
|
|
||||||
|
|
||||||
# TODO: load pps and accounts using accounting apis!
|
|
||||||
positions: list[BrokerdPosition] = []
|
|
||||||
accounts: list[str] = ['binance.default']
|
|
||||||
await ctx.started((positions, accounts))
|
|
||||||
|
|
||||||
async with (
|
|
||||||
ctx.open_stream() as ems_stream,
|
|
||||||
trio.open_nursery() as n,
|
|
||||||
open_cached_client('binance') as client,
|
|
||||||
client.manage_listen_key() as listen_key,
|
|
||||||
):
|
|
||||||
n.start_soon(handle_order_requests, ems_stream)
|
|
||||||
# await trio.sleep_forever()
|
|
||||||
|
|
||||||
async with open_autorecon_ws(
|
|
||||||
f'wss://stream.binance.com:9443/ws/{listen_key}',
|
|
||||||
) as ws:
|
|
||||||
event = await ws.recv_msg()
|
|
||||||
|
|
||||||
# https://binance-docs.github.io/apidocs/spot/en/#payload-balance-update
|
|
||||||
if event.get('e') == 'executionReport':
|
|
||||||
|
|
||||||
oid: str = event.get('c')
|
|
||||||
side: str = event.get('S').lower()
|
|
||||||
status: str = event.get('X')
|
|
||||||
order_qty: float = float(event.get('q'))
|
|
||||||
filled_qty: float = float(event.get('z'))
|
|
||||||
cum_transacted_qty: float = float(event.get('Z'))
|
|
||||||
price_avg: float = cum_transacted_qty / filled_qty
|
|
||||||
broker_time: float = float(event.get('T'))
|
|
||||||
commission_amount: float = float(event.get('n'))
|
|
||||||
commission_asset: float = event.get('N')
|
|
||||||
|
|
||||||
if status == 'TRADE':
|
|
||||||
if order_qty == filled_qty:
|
|
||||||
msg = BrokerdFill(
|
|
||||||
reqid=oid,
|
|
||||||
time_ns=time.time_ns(),
|
|
||||||
action=side,
|
|
||||||
price=price_avg,
|
|
||||||
broker_details={
|
|
||||||
'name': 'binance',
|
|
||||||
'commissions': {
|
|
||||||
'amount': commission_amount,
|
|
||||||
'asset': commission_asset
|
|
||||||
},
|
|
||||||
'broker_time': broker_time
|
|
||||||
},
|
|
||||||
broker_time=broker_time
|
|
||||||
)
|
|
||||||
|
|
||||||
else:
|
|
||||||
if status == 'NEW':
|
|
||||||
status = 'submitted'
|
|
||||||
|
|
||||||
elif status == 'CANCELED':
|
|
||||||
status = 'cancelled'
|
|
||||||
|
|
||||||
msg = BrokerdStatus(
|
|
||||||
reqid=oid,
|
|
||||||
time_ns=time.time_ns(),
|
|
||||||
status=status,
|
|
||||||
filled=filled_qty,
|
|
||||||
remaining=order_qty - filled_qty,
|
|
||||||
broker_details={'name': 'binance'}
|
|
||||||
)
|
|
||||||
|
|
||||||
else:
|
|
||||||
# XXX: temporary, to catch unhandled msgs
|
|
||||||
breakpoint()
|
|
||||||
|
|
||||||
await ems_stream.send(msg.dict())
|
|
||||||
|
|
||||||
|
|
||||||
@tractor.context
|
|
||||||
async def open_symbol_search(
|
|
||||||
ctx: tractor.Context,
|
|
||||||
) -> Client:
|
|
||||||
async with open_cached_client('binance') as client:
|
|
||||||
|
|
||||||
# load all symbols locally for fast search
|
|
||||||
cache = await client.exch_info()
|
|
||||||
await ctx.started()
|
|
||||||
|
|
||||||
async with ctx.open_stream() as stream:
|
|
||||||
|
|
||||||
async for pattern in stream:
|
|
||||||
# results = await client.exch_info(sym=pattern.upper())
|
|
||||||
|
|
||||||
matches = fuzzy.extractBests(
|
|
||||||
pattern,
|
|
||||||
cache,
|
|
||||||
score_cutoff=50,
|
|
||||||
)
|
|
||||||
# repack in dict form
|
|
||||||
await stream.send({
|
|
||||||
item[0].symbol: item[0]
|
|
||||||
for item in matches
|
|
||||||
})
|
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,188 @@
|
||||||
|
# piker: trading gear for hackers
|
||||||
|
# Copyright (C)
|
||||||
|
# Guillermo Rodriguez (aka ze jefe)
|
||||||
|
# Tyler Goodlet
|
||||||
|
# (in stewardship for pikers)
|
||||||
|
|
||||||
|
# This program is free software: you can redistribute it and/or modify
|
||||||
|
# it under the terms of the GNU Affero General Public License as published by
|
||||||
|
# the Free Software Foundation, either version 3 of the License, or
|
||||||
|
# (at your option) any later version.
|
||||||
|
|
||||||
|
# This program is distributed in the hope that it will be useful,
|
||||||
|
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||||
|
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||||
|
# GNU Affero General Public License for more details.
|
||||||
|
|
||||||
|
# You should have received a copy of the GNU Affero General Public License
|
||||||
|
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
|
'''
|
||||||
|
Live order control B)
|
||||||
|
|
||||||
|
'''
|
||||||
|
from __future__ import annotations
|
||||||
|
from typing import (
|
||||||
|
Any,
|
||||||
|
AsyncIterator,
|
||||||
|
)
|
||||||
|
import time
|
||||||
|
|
||||||
|
import tractor
|
||||||
|
import trio
|
||||||
|
|
||||||
|
from piker.brokers._util import (
|
||||||
|
get_logger,
|
||||||
|
)
|
||||||
|
from piker.data._web_bs import (
|
||||||
|
open_autorecon_ws,
|
||||||
|
NoBsWs,
|
||||||
|
)
|
||||||
|
from piker._cacheables import (
|
||||||
|
open_cached_client,
|
||||||
|
)
|
||||||
|
from piker.clearing._messages import (
|
||||||
|
BrokerdOrder,
|
||||||
|
BrokerdOrderAck,
|
||||||
|
BrokerdStatus,
|
||||||
|
BrokerdPosition,
|
||||||
|
BrokerdFill,
|
||||||
|
BrokerdCancel,
|
||||||
|
# BrokerdError,
|
||||||
|
)
|
||||||
|
|
||||||
|
log = get_logger('piker.brokers.binance')
|
||||||
|
|
||||||
|
|
||||||
|
async def handle_order_requests(
|
||||||
|
ems_order_stream: tractor.MsgStream
|
||||||
|
) -> None:
|
||||||
|
async with open_cached_client('binance') as client:
|
||||||
|
async for request_msg in ems_order_stream:
|
||||||
|
log.info(f'Received order request {request_msg}')
|
||||||
|
|
||||||
|
action = request_msg['action']
|
||||||
|
|
||||||
|
if action in {'buy', 'sell'}:
|
||||||
|
# validate
|
||||||
|
order = BrokerdOrder(**request_msg)
|
||||||
|
|
||||||
|
# call our client api to submit the order
|
||||||
|
reqid = await client.submit_limit(
|
||||||
|
order.symbol,
|
||||||
|
order.action,
|
||||||
|
order.size,
|
||||||
|
order.price,
|
||||||
|
oid=order.oid
|
||||||
|
)
|
||||||
|
|
||||||
|
# deliver ack that order has been submitted to broker routing
|
||||||
|
await ems_order_stream.send(
|
||||||
|
BrokerdOrderAck(
|
||||||
|
# ems order request id
|
||||||
|
oid=order.oid,
|
||||||
|
# broker specific request id
|
||||||
|
reqid=reqid,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
).dict()
|
||||||
|
)
|
||||||
|
|
||||||
|
elif action == 'cancel':
|
||||||
|
msg = BrokerdCancel(**request_msg)
|
||||||
|
|
||||||
|
await client.submit_cancel(msg.symbol, msg.reqid)
|
||||||
|
|
||||||
|
else:
|
||||||
|
log.error(f'Unknown order command: {request_msg}')
|
||||||
|
|
||||||
|
|
||||||
|
@tractor.context
|
||||||
|
async def trades_dialogue(
|
||||||
|
ctx: tractor.Context,
|
||||||
|
loglevel: str = None
|
||||||
|
|
||||||
|
) -> AsyncIterator[dict[str, Any]]:
|
||||||
|
|
||||||
|
async with open_cached_client('binance') as client:
|
||||||
|
if not client.api_key:
|
||||||
|
await ctx.started('paper')
|
||||||
|
return
|
||||||
|
|
||||||
|
# table: PpTable
|
||||||
|
# ledger: TransactionLedger
|
||||||
|
|
||||||
|
# TODO: load pps and accounts using accounting apis!
|
||||||
|
positions: list[BrokerdPosition] = []
|
||||||
|
accounts: list[str] = ['binance.default']
|
||||||
|
await ctx.started((positions, accounts))
|
||||||
|
|
||||||
|
async with (
|
||||||
|
ctx.open_stream() as ems_stream,
|
||||||
|
trio.open_nursery() as n,
|
||||||
|
open_cached_client('binance') as client,
|
||||||
|
client.manage_listen_key() as listen_key,
|
||||||
|
):
|
||||||
|
n.start_soon(handle_order_requests, ems_stream)
|
||||||
|
# await trio.sleep_forever()
|
||||||
|
|
||||||
|
ws: NoBsWs
|
||||||
|
async with open_autorecon_ws(
|
||||||
|
f'wss://stream.binance.com:9443/ws/{listen_key}',
|
||||||
|
) as ws:
|
||||||
|
event = await ws.recv_msg()
|
||||||
|
|
||||||
|
# https://binance-docs.github.io/apidocs/spot/en/#payload-balance-update
|
||||||
|
if event.get('e') == 'executionReport':
|
||||||
|
|
||||||
|
oid: str = event.get('c')
|
||||||
|
side: str = event.get('S').lower()
|
||||||
|
status: str = event.get('X')
|
||||||
|
order_qty: float = float(event.get('q'))
|
||||||
|
filled_qty: float = float(event.get('z'))
|
||||||
|
cum_transacted_qty: float = float(event.get('Z'))
|
||||||
|
price_avg: float = cum_transacted_qty / filled_qty
|
||||||
|
broker_time: float = float(event.get('T'))
|
||||||
|
commission_amount: float = float(event.get('n'))
|
||||||
|
commission_asset: float = event.get('N')
|
||||||
|
|
||||||
|
if status == 'TRADE':
|
||||||
|
if order_qty == filled_qty:
|
||||||
|
msg = BrokerdFill(
|
||||||
|
reqid=oid,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
action=side,
|
||||||
|
price=price_avg,
|
||||||
|
broker_details={
|
||||||
|
'name': 'binance',
|
||||||
|
'commissions': {
|
||||||
|
'amount': commission_amount,
|
||||||
|
'asset': commission_asset
|
||||||
|
},
|
||||||
|
'broker_time': broker_time
|
||||||
|
},
|
||||||
|
broker_time=broker_time
|
||||||
|
)
|
||||||
|
|
||||||
|
else:
|
||||||
|
if status == 'NEW':
|
||||||
|
status = 'submitted'
|
||||||
|
|
||||||
|
elif status == 'CANCELED':
|
||||||
|
status = 'cancelled'
|
||||||
|
|
||||||
|
msg = BrokerdStatus(
|
||||||
|
reqid=oid,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
status=status,
|
||||||
|
filled=filled_qty,
|
||||||
|
remaining=order_qty - filled_qty,
|
||||||
|
broker_details={'name': 'binance'}
|
||||||
|
)
|
||||||
|
|
||||||
|
else:
|
||||||
|
# XXX: temporary, to catch unhandled msgs
|
||||||
|
breakpoint()
|
||||||
|
|
||||||
|
await ems_stream.send(msg.dict())
|
||||||
|
|
||||||
|
|
||||||
|
|
@ -0,0 +1,414 @@
|
||||||
|
# piker: trading gear for hackers
|
||||||
|
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||||
|
|
||||||
|
# This program is free software: you can redistribute it and/or modify
|
||||||
|
# it under the terms of the GNU Affero General Public License as published by
|
||||||
|
# the Free Software Foundation, either version 3 of the License, or
|
||||||
|
# (at your option) any later version.
|
||||||
|
|
||||||
|
# This program is distributed in the hope that it will be useful,
|
||||||
|
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||||
|
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||||
|
# GNU Affero General Public License for more details.
|
||||||
|
|
||||||
|
# You should have received a copy of the GNU Affero General Public License
|
||||||
|
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
|
'''
|
||||||
|
Real-time and historical data feed endpoints.
|
||||||
|
|
||||||
|
'''
|
||||||
|
from __future__ import annotations
|
||||||
|
from contextlib import (
|
||||||
|
asynccontextmanager as acm,
|
||||||
|
aclosing,
|
||||||
|
)
|
||||||
|
from datetime import datetime
|
||||||
|
import itertools
|
||||||
|
from typing import (
|
||||||
|
Any,
|
||||||
|
AsyncGenerator,
|
||||||
|
Callable,
|
||||||
|
)
|
||||||
|
import time
|
||||||
|
|
||||||
|
import trio
|
||||||
|
from trio_typing import TaskStatus
|
||||||
|
from pendulum import (
|
||||||
|
from_timestamp,
|
||||||
|
)
|
||||||
|
from fuzzywuzzy import process as fuzzy
|
||||||
|
import numpy as np
|
||||||
|
import tractor
|
||||||
|
|
||||||
|
from piker._cacheables import (
|
||||||
|
async_lifo_cache,
|
||||||
|
open_cached_client,
|
||||||
|
)
|
||||||
|
from piker.accounting._mktinfo import (
|
||||||
|
Asset,
|
||||||
|
MktPair,
|
||||||
|
digits_to_dec,
|
||||||
|
)
|
||||||
|
from piker.data.types import Struct
|
||||||
|
from piker.data.validate import FeedInit
|
||||||
|
from piker.data._web_bs import (
|
||||||
|
open_autorecon_ws,
|
||||||
|
NoBsWs,
|
||||||
|
)
|
||||||
|
from piker.brokers._util import (
|
||||||
|
DataUnavailable,
|
||||||
|
get_logger,
|
||||||
|
get_console_log,
|
||||||
|
)
|
||||||
|
|
||||||
|
from .api import (
|
||||||
|
Client,
|
||||||
|
Pair,
|
||||||
|
)
|
||||||
|
|
||||||
|
log = get_logger('piker.brokers.binance')
|
||||||
|
|
||||||
|
|
||||||
|
class L1(Struct):
|
||||||
|
# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
|
||||||
|
|
||||||
|
update_id: int
|
||||||
|
sym: str
|
||||||
|
|
||||||
|
bid: float
|
||||||
|
bsize: float
|
||||||
|
ask: float
|
||||||
|
asize: float
|
||||||
|
|
||||||
|
|
||||||
|
# validation type
|
||||||
|
class AggTrade(Struct, frozen=True):
|
||||||
|
e: str # Event type
|
||||||
|
E: int # Event time
|
||||||
|
s: str # Symbol
|
||||||
|
a: int # Aggregate trade ID
|
||||||
|
p: float # Price
|
||||||
|
q: float # Quantity
|
||||||
|
f: int # First trade ID
|
||||||
|
l: int # noqa Last trade ID
|
||||||
|
T: int # Trade time
|
||||||
|
m: bool # Is the buyer the market maker?
|
||||||
|
M: bool # Ignore
|
||||||
|
|
||||||
|
|
||||||
|
async def stream_messages(
|
||||||
|
ws: NoBsWs,
|
||||||
|
) -> AsyncGenerator[NoBsWs, dict]:
|
||||||
|
|
||||||
|
# TODO: match syntax here!
|
||||||
|
msg: dict[str, Any]
|
||||||
|
async for msg in ws:
|
||||||
|
match msg:
|
||||||
|
# for l1 streams binance doesn't add an event type field so
|
||||||
|
# identify those messages by matching keys
|
||||||
|
# https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
|
||||||
|
case {
|
||||||
|
# NOTE: this is never an old value it seems, so
|
||||||
|
# they are always sending real L1 spread updates.
|
||||||
|
'u': upid, # update id
|
||||||
|
's': sym,
|
||||||
|
'b': bid,
|
||||||
|
'B': bsize,
|
||||||
|
'a': ask,
|
||||||
|
'A': asize,
|
||||||
|
}:
|
||||||
|
# TODO: it would be super nice to have a `L1` piker type
|
||||||
|
# which "renders" incremental tick updates from a packed
|
||||||
|
# msg-struct:
|
||||||
|
# - backend msgs after packed into the type such that we
|
||||||
|
# can reduce IPC usage but without each backend having
|
||||||
|
# to do that incremental update logic manually B)
|
||||||
|
# - would it maybe be more efficient to use this instead?
|
||||||
|
# https://binance-docs.github.io/apidocs/spot/en/#diff-depth-stream
|
||||||
|
l1 = L1(
|
||||||
|
update_id=upid,
|
||||||
|
sym=sym,
|
||||||
|
bid=bid,
|
||||||
|
bsize=bsize,
|
||||||
|
ask=ask,
|
||||||
|
asize=asize,
|
||||||
|
)
|
||||||
|
l1.typecast()
|
||||||
|
|
||||||
|
# repack into piker's tick-quote format
|
||||||
|
yield 'l1', {
|
||||||
|
'symbol': l1.sym,
|
||||||
|
'ticks': [
|
||||||
|
{
|
||||||
|
'type': 'bid',
|
||||||
|
'price': l1.bid,
|
||||||
|
'size': l1.bsize,
|
||||||
|
},
|
||||||
|
{
|
||||||
|
'type': 'bsize',
|
||||||
|
'price': l1.bid,
|
||||||
|
'size': l1.bsize,
|
||||||
|
},
|
||||||
|
{
|
||||||
|
'type': 'ask',
|
||||||
|
'price': l1.ask,
|
||||||
|
'size': l1.asize,
|
||||||
|
},
|
||||||
|
{
|
||||||
|
'type': 'asize',
|
||||||
|
'price': l1.ask,
|
||||||
|
'size': l1.asize,
|
||||||
|
}
|
||||||
|
]
|
||||||
|
}
|
||||||
|
|
||||||
|
# https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
|
||||||
|
case {
|
||||||
|
'e': 'aggTrade',
|
||||||
|
}:
|
||||||
|
# NOTE: this is purely for a definition,
|
||||||
|
# ``msgspec.Struct`` does not runtime-validate until you
|
||||||
|
# decode/encode, see:
|
||||||
|
# https://jcristharif.com/msgspec/structs.html#type-validation
|
||||||
|
msg = AggTrade(**msg) # TODO: should we .copy() ?
|
||||||
|
piker_quote: dict = {
|
||||||
|
'symbol': msg.s,
|
||||||
|
'last': float(msg.p),
|
||||||
|
'brokerd_ts': time.time(),
|
||||||
|
'ticks': [{
|
||||||
|
'type': 'trade',
|
||||||
|
'price': float(msg.p),
|
||||||
|
'size': float(msg.q),
|
||||||
|
'broker_ts': msg.T,
|
||||||
|
}],
|
||||||
|
}
|
||||||
|
yield 'trade', piker_quote
|
||||||
|
|
||||||
|
|
||||||
|
def make_sub(pairs: list[str], sub_name: str, uid: int) -> dict[str, str]:
|
||||||
|
'''
|
||||||
|
Create a request subscription packet dict.
|
||||||
|
|
||||||
|
- spot:
|
||||||
|
https://binance-docs.github.io/apidocs/spot/en/#live-subscribing-unsubscribing-to-streams
|
||||||
|
|
||||||
|
- futes:
|
||||||
|
https://binance-docs.github.io/apidocs/futures/en/#websocket-market-streams
|
||||||
|
|
||||||
|
'''
|
||||||
|
return {
|
||||||
|
'method': 'SUBSCRIBE',
|
||||||
|
'params': [
|
||||||
|
f'{pair.lower()}@{sub_name}'
|
||||||
|
for pair in pairs
|
||||||
|
],
|
||||||
|
'id': uid
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
@acm
|
||||||
|
async def open_history_client(
|
||||||
|
mkt: MktPair,
|
||||||
|
|
||||||
|
) -> tuple[Callable, int]:
|
||||||
|
|
||||||
|
symbol: str = mkt.bs_fqme
|
||||||
|
|
||||||
|
# TODO implement history getter for the new storage layer.
|
||||||
|
async with open_cached_client('binance') as client:
|
||||||
|
|
||||||
|
async def get_ohlc(
|
||||||
|
timeframe: float,
|
||||||
|
end_dt: datetime | None = None,
|
||||||
|
start_dt: datetime | None = None,
|
||||||
|
|
||||||
|
) -> tuple[
|
||||||
|
np.ndarray,
|
||||||
|
datetime, # start
|
||||||
|
datetime, # end
|
||||||
|
]:
|
||||||
|
if timeframe != 60:
|
||||||
|
raise DataUnavailable('Only 1m bars are supported')
|
||||||
|
|
||||||
|
array = await client.bars(
|
||||||
|
symbol,
|
||||||
|
start_dt=start_dt,
|
||||||
|
end_dt=end_dt,
|
||||||
|
)
|
||||||
|
times = array['time']
|
||||||
|
if (
|
||||||
|
end_dt is None
|
||||||
|
):
|
||||||
|
inow = round(time.time())
|
||||||
|
if (inow - times[-1]) > 60:
|
||||||
|
await tractor.breakpoint()
|
||||||
|
|
||||||
|
start_dt = from_timestamp(times[0])
|
||||||
|
end_dt = from_timestamp(times[-1])
|
||||||
|
|
||||||
|
return array, start_dt, end_dt
|
||||||
|
|
||||||
|
yield get_ohlc, {'erlangs': 3, 'rate': 3}
|
||||||
|
|
||||||
|
|
||||||
|
@async_lifo_cache()
|
||||||
|
async def get_mkt_info(
|
||||||
|
fqme: str,
|
||||||
|
|
||||||
|
) -> tuple[MktPair, Pair]:
|
||||||
|
|
||||||
|
async with open_cached_client('binance') as client:
|
||||||
|
|
||||||
|
pair: Pair = await client.exch_info(fqme.upper())
|
||||||
|
mkt = MktPair(
|
||||||
|
dst=Asset(
|
||||||
|
name=pair.baseAsset,
|
||||||
|
atype='crypto',
|
||||||
|
tx_tick=digits_to_dec(pair.baseAssetPrecision),
|
||||||
|
),
|
||||||
|
src=Asset(
|
||||||
|
name=pair.quoteAsset,
|
||||||
|
atype='crypto',
|
||||||
|
tx_tick=digits_to_dec(pair.quoteAssetPrecision),
|
||||||
|
),
|
||||||
|
price_tick=pair.price_tick,
|
||||||
|
size_tick=pair.size_tick,
|
||||||
|
bs_mktid=pair.symbol,
|
||||||
|
broker='binance',
|
||||||
|
)
|
||||||
|
both = mkt, pair
|
||||||
|
return both
|
||||||
|
|
||||||
|
|
||||||
|
async def stream_quotes(
|
||||||
|
|
||||||
|
send_chan: trio.abc.SendChannel,
|
||||||
|
symbols: list[str],
|
||||||
|
feed_is_live: trio.Event,
|
||||||
|
loglevel: str = None,
|
||||||
|
|
||||||
|
# startup sync
|
||||||
|
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||||
|
|
||||||
|
) -> None:
|
||||||
|
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||||
|
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||||
|
|
||||||
|
async with (
|
||||||
|
send_chan as send_chan,
|
||||||
|
):
|
||||||
|
init_msgs: list[FeedInit] = []
|
||||||
|
for sym in symbols:
|
||||||
|
mkt, pair = await get_mkt_info(sym)
|
||||||
|
|
||||||
|
# build out init msgs according to latest spec
|
||||||
|
init_msgs.append(
|
||||||
|
FeedInit(mkt_info=mkt)
|
||||||
|
)
|
||||||
|
|
||||||
|
iter_subids = itertools.count()
|
||||||
|
|
||||||
|
@acm
|
||||||
|
async def subscribe(ws: NoBsWs):
|
||||||
|
# setup subs
|
||||||
|
|
||||||
|
subid: int = next(iter_subids)
|
||||||
|
|
||||||
|
# trade data (aka L1)
|
||||||
|
# https://binance-docs.github.io/apidocs/spot/en/#symbol-order-book-ticker
|
||||||
|
l1_sub = make_sub(symbols, 'bookTicker', subid)
|
||||||
|
await ws.send_msg(l1_sub)
|
||||||
|
|
||||||
|
# aggregate (each order clear by taker **not** by maker)
|
||||||
|
# trades data:
|
||||||
|
# https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
|
||||||
|
agg_trades_sub = make_sub(symbols, 'aggTrade', subid)
|
||||||
|
await ws.send_msg(agg_trades_sub)
|
||||||
|
|
||||||
|
# might get ack from ws server, or maybe some
|
||||||
|
# other msg still in transit..
|
||||||
|
res = await ws.recv_msg()
|
||||||
|
subid: str | None = res.get('id')
|
||||||
|
if subid:
|
||||||
|
assert res['id'] == subid
|
||||||
|
|
||||||
|
yield
|
||||||
|
|
||||||
|
subs = []
|
||||||
|
for sym in symbols:
|
||||||
|
subs.append("{sym}@aggTrade")
|
||||||
|
subs.append("{sym}@bookTicker")
|
||||||
|
|
||||||
|
# unsub from all pairs on teardown
|
||||||
|
if ws.connected():
|
||||||
|
await ws.send_msg({
|
||||||
|
"method": "UNSUBSCRIBE",
|
||||||
|
"params": subs,
|
||||||
|
"id": subid,
|
||||||
|
})
|
||||||
|
|
||||||
|
# XXX: do we need to ack the unsub?
|
||||||
|
# await ws.recv_msg()
|
||||||
|
|
||||||
|
async with (
|
||||||
|
open_autorecon_ws(
|
||||||
|
# XXX: see api docs which show diff addr?
|
||||||
|
# https://developers.binance.com/docs/binance-trading-api/websocket_api#general-api-information
|
||||||
|
# 'wss://ws-api.binance.com:443/ws-api/v3',
|
||||||
|
'wss://stream.binance.com/ws',
|
||||||
|
fixture=subscribe,
|
||||||
|
) as ws,
|
||||||
|
|
||||||
|
# avoid stream-gen closure from breaking trio..
|
||||||
|
aclosing(stream_messages(ws)) as msg_gen,
|
||||||
|
):
|
||||||
|
typ, quote = await anext(msg_gen)
|
||||||
|
|
||||||
|
# pull a first quote and deliver
|
||||||
|
while typ != 'trade':
|
||||||
|
typ, quote = await anext(msg_gen)
|
||||||
|
|
||||||
|
task_status.started((init_msgs, quote))
|
||||||
|
|
||||||
|
# signal to caller feed is ready for consumption
|
||||||
|
feed_is_live.set()
|
||||||
|
|
||||||
|
# import time
|
||||||
|
# last = time.time()
|
||||||
|
|
||||||
|
# start streaming
|
||||||
|
async for typ, msg in msg_gen:
|
||||||
|
|
||||||
|
# period = time.time() - last
|
||||||
|
# hz = 1/period if period else float('inf')
|
||||||
|
# if hz > 60:
|
||||||
|
# log.info(f'Binance quotez : {hz}')
|
||||||
|
topic = msg['symbol'].lower()
|
||||||
|
await send_chan.send({topic: msg})
|
||||||
|
# last = time.time()
|
||||||
|
@tractor.context
|
||||||
|
async def open_symbol_search(
|
||||||
|
ctx: tractor.Context,
|
||||||
|
) -> Client:
|
||||||
|
async with open_cached_client('binance') as client:
|
||||||
|
|
||||||
|
# load all symbols locally for fast search
|
||||||
|
cache = await client.exch_info()
|
||||||
|
await ctx.started()
|
||||||
|
|
||||||
|
async with ctx.open_stream() as stream:
|
||||||
|
|
||||||
|
async for pattern in stream:
|
||||||
|
# results = await client.exch_info(sym=pattern.upper())
|
||||||
|
|
||||||
|
matches = fuzzy.extractBests(
|
||||||
|
pattern,
|
||||||
|
cache,
|
||||||
|
score_cutoff=50,
|
||||||
|
)
|
||||||
|
# repack in dict form
|
||||||
|
await stream.send({
|
||||||
|
item[0].symbol: item[0]
|
||||||
|
for item in matches
|
||||||
|
})
|
||||||
Loading…
Reference in New Issue