Signal hist start using `OptionPair.creation_timestamp`
Such that the `get_hist()` query func raises `DataUnavailable` with an explicit message regarding the start of the (option) contract's lifetime. Other, - mask some unused imports (for now?) - drop a duplicate `tractor.get_console_log()` call which was causing duplicate console emits (it's already setup by brokerd init now). - comment various unused code bits i found. - add a info log around live quotes so we can see for the moment when they actually occur.. XDfix_deribit_hist_queries
Tyler Goodlet
parent
dc2c379d86
commit
b734245183
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@ -18,56 +18,65 @@
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Deribit backend.
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'''
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from __future__ import annotations
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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from typing import Any, Optional, Callable
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from pprint import pformat
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from typing import (
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# Any,
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# Optional,
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Callable,
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)
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# from pprint import pformat
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import time
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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_timestamp,
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now,
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)
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from rapidfuzz import process as fuzzy
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import numpy as np
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import tractor
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from piker.accounting import (
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Asset,
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MktPair,
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unpack_fqme,
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)
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from piker.brokers import (
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open_cached_client,
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NoData,
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DataUnavailable,
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)
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from piker._cacheables import (
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async_lifo_cache,
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)
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from piker.log import get_logger, get_console_log
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from piker.data import ShmArray
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from piker.log import (
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get_logger,
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)
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from piker.data.validate import FeedInit
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from piker.brokers._util import (
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BrokerError,
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DataUnavailable,
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)
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from cryptofeed import FeedHandler
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from cryptofeed.defines import (
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DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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# from cryptofeed import FeedHandler
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# from cryptofeed.defines import (
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# DERIBIT,
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# L1_BOOK,
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# TRADES,
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# OPTION,
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# CALL,
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# PUT,
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# )
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# from cryptofeed.symbols import Symbol
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from .api import (
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Client, Trade,
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get_config,
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piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
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Client,
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# get_config,
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piker_sym_to_cb_sym,
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cb_sym_to_deribit_inst,
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maybe_open_price_feed
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)
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from .venues import (
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Pair,
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OptionPair,
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Trade,
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)
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_spawn_kwargs = {
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@ -86,6 +95,10 @@ async def open_history_client(
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# TODO implement history getter for the new storage layer.
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async with open_cached_client('deribit') as client:
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pair: OptionPair = client._pairs[mkt.dst.name]
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# XXX NOTE, the cuckers use ms !!!
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creation_time_s: int = pair.creation_timestamp/1000
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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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@ -105,6 +118,31 @@ async def open_history_client(
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end_dt=end_dt,
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)
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if len(array) == 0:
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if (
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end_dt is None
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):
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raise DataUnavailable(
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'No history seems to exist yet?\n\n'
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f'{mkt}'
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)
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elif (
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end_dt
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and
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end_dt.timestamp() < creation_time_s
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):
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# the contract can't have history
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# before it was created.
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pair_type_str: str = type(pair).__name__
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create_dt: datetime = from_timestamp(creation_time_s)
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raise DataUnavailable(
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f'No history prior to\n'
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f'`{pair_type_str}.creation_timestamp: int = '
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f'{pair.creation_timestamp}\n\n'
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f'------ deribit sux ------\n'
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f'WHICH IN "NORMAL PEOPLE WHO USE EPOCH TIME" form is,\n'
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f'creation_time_s: {creation_time_s}\n'
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f'create_dt: {create_dt}\n'
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)
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raise NoData(
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f'No frame for {start_dt} -> {end_dt}\n'
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)
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@ -126,14 +164,20 @@ async def open_history_client(
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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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yield (
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get_ohlc,
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{ # backfill config
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'erlangs': 3,
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'rate': 3,
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}
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)
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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] | None:
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) -> tuple[MktPair, Pair|OptionPair] | None:
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# uppercase since kraken bs_mktid is always upper
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if 'deribit' not in fqme.lower():
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@ -149,7 +193,7 @@ async def get_mkt_info(
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# returns, always!
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expiry: str = expiry.upper()
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venue: str = venue.upper()
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venue_lower: str = venue.lower()
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# venue_lower: str = venue.lower()
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mkt_mode: str = 'option'
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@ -195,8 +239,6 @@ async def stream_quotes(
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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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sym = symbols[0].split('.')[0]
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@ -217,7 +259,8 @@ async def stream_quotes(
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async with maybe_open_price_feed(sym) as stream:
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cache = client._pairs
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# TODO, uhh use it ?? XD
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# cache = client._pairs
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last_trades = (await client.last_trades(
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cb_sym_to_deribit_inst(nsym), count=1)).trades
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@ -247,9 +290,16 @@ async def stream_quotes(
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feed_is_live.set()
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# deliver until cancelled
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async for typ, quote in stream:
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topic = quote['symbol']
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await send_chan.send({topic: quote})
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topic: str = quote['symbol']
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log.info(
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f'deribit {typ!r} quote\n\n'
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f'{quote}\n'
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)
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await send_chan.send({
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topic: quote,
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})
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@tractor.context
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@ -259,13 +309,14 @@ async def open_symbol_search(
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async with open_cached_client('deribit') as client:
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# load all symbols locally for fast search
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cache = client._pairs
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# cache = client._pairs
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await ctx.started()
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async with ctx.open_stream() as stream:
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pattern: str
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async for pattern in stream:
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# NOTE: pattern fuzzy-matching is done within
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# the methd impl.
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pairs: dict[str, Pair] = await client.search_symbols(
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