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
Tyler Goodlet
parent
35359861bb
commit
bc4ded2662
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@ -1,6 +1,6 @@
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# piker: trading gear for hackers
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# Copyright (C)
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# Guillermo Rodriguez
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# Guillermo Rodriguez (aka ze jefe)
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# Tyler Goodlet
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# (in stewardship for pikers)
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@ -21,6 +21,7 @@
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Binance backend
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"""
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from collections import OrderedDict
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from contextlib import (
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asynccontextmanager as acm,
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aclosing,
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@ -29,11 +30,16 @@ from datetime import datetime
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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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Any, Union, Optional,
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AsyncGenerator, Callable,
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Any,
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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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import hmac
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import time
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import decimal
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import hashlib
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import trio
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from trio_typing import TaskStatus
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import pendulum
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@ -42,6 +48,7 @@ from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from .. import config
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from .._cacheables import async_lifo_cache
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from ..accounting._mktinfo import (
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Asset,
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@ -66,6 +73,30 @@ from piker.data._web_bs import (
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NoBsWs,
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)
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from ..clearing._messages import (
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BrokerdOrder,
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BrokerdOrderAck,
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# BrokerdCancel,
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#BrokerdStatus,
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#BrokerdPosition,
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#BrokerdFill,
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# BrokerdError,
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)
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log = get_logger('piker.brokers.binance')
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def get_config() -> dict:
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conf, path = config.load()
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section = conf.get('binance')
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if not section:
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log.warning(f'No config section found for binance in {path}')
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return dict()
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return section
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log = get_logger(__name__)
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@ -197,16 +228,55 @@ class Client:
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self._sesh.base_location = _url
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self._pairs: dict[str, Pair] = {}
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conf = get_config()
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self.api_key = conf.get('api', {}).get('key')
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self.api_secret = conf.get('api', {}).get('secret')
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if self.api_key:
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self._sesh.headers.update({'X-MBX-APIKEY': self.api_key})
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def _get_signature(self, data: OrderedDict) -> str:
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if not self.api_secret:
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raise config.NoSignature(
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"Can't generate a signature without setting up credentials"
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)
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query_str = '&'.join([
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f'{_key}={value}'
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for _key, value in data.items()])
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log.info(query_str)
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msg_auth = hmac.new(
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self.api_secret.encode('utf-8'),
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query_str.encode('utf-8'),
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hashlib.sha256
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)
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return msg_auth.hexdigest()
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async def _api(
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self,
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method: str,
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params: dict,
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params: Union[dict, OrderedDict],
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signed: bool = False,
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action: str = 'get'
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) -> dict[str, Any]:
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resp = await self._sesh.get(
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path=f'/api/v3/{method}',
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params=params,
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timeout=float('inf')
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)
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if signed:
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params['signature'] = self._get_signature(params)
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if action == 'get':
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resp = await self._sesh.get(
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path=f'/api/v3/{method}',
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params=params,
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timeout=float('inf')
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)
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elif action == 'post':
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resp = await self._sesh.post(
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path=f'/api/v3/{method}',
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params=params,
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timeout=float('inf')
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)
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return resproc(resp, log)
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async def exch_info(
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@ -284,8 +354,8 @@ class Client:
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async def bars(
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self,
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symbol: str,
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start_dt: Optional[datetime] = None,
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end_dt: Optional[datetime] = None,
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start_dt: datetime | None = None,
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end_dt: datetime | None = None,
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limit: int = 1000, # <- max allowed per query
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as_np: bool = True,
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@ -344,6 +414,60 @@ class Client:
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) if as_np else bars
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return array
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async def submit_limit(
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self,
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symbol: str,
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side: str, # SELL / BUY
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quantity: float,
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price: float,
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# time_in_force: str = 'GTC',
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oid: int | None = None,
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# iceberg_quantity: float | None = None,
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# order_resp_type: str | None = None,
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recv_window: int = 60000
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) -> int:
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symbol = symbol.upper()
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await self.cache_symbols()
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asset_precision = self._pairs[symbol]['baseAssetPrecision']
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quote_precision = self._pairs[symbol]['quoteAssetPrecision']
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quantity = Decimal(quantity).quantize(
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Decimal(1 ** -asset_precision),
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rounding=decimal.ROUND_HALF_EVEN
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)
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price = Decimal(price).quantize(
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Decimal(1 ** -quote_precision),
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rounding=decimal.ROUND_HALF_EVEN
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)
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params = OrderedDict([
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('symbol', symbol),
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('side', side.upper()),
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('type', 'LIMIT'),
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('timeInForce', 'GTC'),
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('quantity', quantity),
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('price', price),
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('recvWindow', recv_window),
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('newOrderRespType', 'ACK'),
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('timestamp', binance_timestamp(pendulum.now()))
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])
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if oid:
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params['newClientOrderId'] = oid
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resp = await self._api(
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'order/test', # TODO: switch to real `order` endpoint
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params=params,
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signed=True,
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action='post'
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)
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assert resp['orderId'] == oid
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return oid
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@acm
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async def get_client() -> Client:
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@ -660,6 +784,69 @@ async def stream_quotes(
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# last = time.time()
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async def handle_order_requests(
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ems_order_stream: tractor.MsgStream
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) -> None:
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async with open_cached_client('binance') as client:
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async for request_msg in ems_order_stream:
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log.info(f'Received order request {request_msg}')
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action = request_msg['action']
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if action in {'buy', 'sell'}:
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# validate
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order = BrokerdOrder(**request_msg)
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# call our client api to submit the order
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reqid = await client.submit_limit(
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order.symbol,
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order.action,
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order.size,
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order.price,
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oid=order.oid
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)
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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time_ns=time.time_ns(),
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).dict()
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)
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elif action == 'cancel':
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# msg = BrokerdCancel(**request_msg)
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# await run_client_method
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...
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else:
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log.error(f'Unknown order command: {request_msg}')
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@tractor.context
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async def trades_dialogue(
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ctx: tractor.Context,
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loglevel: str = None
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) -> AsyncIterator[dict[str, Any]]:
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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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positions = {} # TODO: get already open pos
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await ctx.started(positions, {})
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async with (
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n
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):
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n.start_soon(handle_order_requests, ems_stream)
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await trio.sleep_forever()
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@tractor.context
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async def open_symbol_search(
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ctx: tractor.Context,
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@ -173,6 +173,10 @@ _context_defaults = dict(
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)
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class NoSignature(Exception):
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'No credentials setup for broker backend!'
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def _override_config_dir(
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path: str
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) -> None:
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