binance: start drafting live order ctl endpoints

First draft originally by @guilledk but update by myself 2 years later
xD. Will crash at runtime but at least has the machinery to setup signed
requests for auth-ed endpoints B)

Also adds a generic `NoSignature` error for when credentials are not
present in `brokers.toml` but user is trying to access auth-ed eps with
the client.
basic_buy_bot
Guillermo Rodriguez 2021-06-21 18:27:53 +00:00 committed by Tyler Goodlet
parent 35359861bb
commit bc4ded2662
2 changed files with 203 additions and 12 deletions

View File

@ -1,6 +1,6 @@
# piker: trading gear for hackers
# Copyright (C)
# Guillermo Rodriguez
# Guillermo Rodriguez (aka ze jefe)
# Tyler Goodlet
# (in stewardship for pikers)
@ -21,6 +21,7 @@
Binance backend
"""
from collections import OrderedDict
from contextlib import (
asynccontextmanager as acm,
aclosing,
@ -29,11 +30,16 @@ from datetime import datetime
from decimal import Decimal
import itertools
from typing import (
Any, Union, Optional,
AsyncGenerator, Callable,
Any,
Union,
AsyncIterator,
AsyncGenerator,
Callable,
)
import hmac
import time
import decimal
import hashlib
import trio
from trio_typing import TaskStatus
import pendulum
@ -42,6 +48,7 @@ from fuzzywuzzy import process as fuzzy
import numpy as np
import tractor
from .. import config
from .._cacheables import async_lifo_cache
from ..accounting._mktinfo import (
Asset,
@ -66,6 +73,30 @@ from piker.data._web_bs import (
NoBsWs,
)
from ..clearing._messages import (
BrokerdOrder,
BrokerdOrderAck,
# BrokerdCancel,
#BrokerdStatus,
#BrokerdPosition,
#BrokerdFill,
# BrokerdError,
)
log = get_logger('piker.brokers.binance')
def get_config() -> dict:
conf, path = config.load()
section = conf.get('binance')
if not section:
log.warning(f'No config section found for binance in {path}')
return dict()
return section
log = get_logger(__name__)
@ -197,16 +228,55 @@ class Client:
self._sesh.base_location = _url
self._pairs: dict[str, Pair] = {}
conf = get_config()
self.api_key = conf.get('api', {}).get('key')
self.api_secret = conf.get('api', {}).get('secret')
if self.api_key:
self._sesh.headers.update({'X-MBX-APIKEY': self.api_key})
def _get_signature(self, data: OrderedDict) -> str:
if not self.api_secret:
raise config.NoSignature(
"Can't generate a signature without setting up credentials"
)
query_str = '&'.join([
f'{_key}={value}'
for _key, value in data.items()])
log.info(query_str)
msg_auth = hmac.new(
self.api_secret.encode('utf-8'),
query_str.encode('utf-8'),
hashlib.sha256
)
return msg_auth.hexdigest()
async def _api(
self,
method: str,
params: dict,
params: Union[dict, OrderedDict],
signed: bool = False,
action: str = 'get'
) -> dict[str, Any]:
resp = await self._sesh.get(
path=f'/api/v3/{method}',
params=params,
timeout=float('inf')
)
if signed:
params['signature'] = self._get_signature(params)
if action == 'get':
resp = await self._sesh.get(
path=f'/api/v3/{method}',
params=params,
timeout=float('inf')
)
elif action == 'post':
resp = await self._sesh.post(
path=f'/api/v3/{method}',
params=params,
timeout=float('inf')
)
return resproc(resp, log)
async def exch_info(
@ -284,8 +354,8 @@ class Client:
async def bars(
self,
symbol: str,
start_dt: Optional[datetime] = None,
end_dt: Optional[datetime] = None,
start_dt: datetime | None = None,
end_dt: datetime | None = None,
limit: int = 1000, # <- max allowed per query
as_np: bool = True,
@ -344,6 +414,60 @@ class Client:
) if as_np else bars
return array
async def submit_limit(
self,
symbol: str,
side: str, # SELL / BUY
quantity: float,
price: float,
# time_in_force: str = 'GTC',
oid: int | None = None,
# iceberg_quantity: float | None = None,
# order_resp_type: str | None = None,
recv_window: int = 60000
) -> int:
symbol = symbol.upper()
await self.cache_symbols()
asset_precision = self._pairs[symbol]['baseAssetPrecision']
quote_precision = self._pairs[symbol]['quoteAssetPrecision']
quantity = Decimal(quantity).quantize(
Decimal(1 ** -asset_precision),
rounding=decimal.ROUND_HALF_EVEN
)
price = Decimal(price).quantize(
Decimal(1 ** -quote_precision),
rounding=decimal.ROUND_HALF_EVEN
)
params = OrderedDict([
('symbol', symbol),
('side', side.upper()),
('type', 'LIMIT'),
('timeInForce', 'GTC'),
('quantity', quantity),
('price', price),
('recvWindow', recv_window),
('newOrderRespType', 'ACK'),
('timestamp', binance_timestamp(pendulum.now()))
])
if oid:
params['newClientOrderId'] = oid
resp = await self._api(
'order/test', # TODO: switch to real `order` endpoint
params=params,
signed=True,
action='post'
)
assert resp['orderId'] == oid
return oid
@acm
async def get_client() -> Client:
@ -660,6 +784,69 @@ async def stream_quotes(
# 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 run_client_method
...
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]]:
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel)
positions = {} # TODO: get already open pos
await ctx.started(positions, {})
async with (
ctx.open_stream() as ems_stream,
trio.open_nursery() as n
):
n.start_soon(handle_order_requests, ems_stream)
await trio.sleep_forever()
@tractor.context
async def open_symbol_search(
ctx: tractor.Context,

View File

@ -173,6 +173,10 @@ _context_defaults = dict(
)
class NoSignature(Exception):
'No credentials setup for broker backend!'
def _override_config_dir(
path: str
) -> None: