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.

piker/brokers/binance.py

@@ -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,
+    Any,
-    AsyncGenerator, Callable,
+    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]:
+
+        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,
+        start_dt: datetime | None = None,
-        end_dt: Optional[datetime] = 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,

piker/config.py

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