Add cryptofeeds data feed module,
Add Kucoin backend client wipemit_clear_ticks_only_on_ts_change
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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"""
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from typing import Any, Optional, Literal
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from contextlib import asynccontextmanager as acm
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import asks
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import tractor
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import trio
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from trio_typing import TaskStatus
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from fuzzywuzzy import process as fuzzy
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from cryptofeed.defines import (
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KUCOIN,
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TRADES,
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L2_BOOK
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)
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from piker.data.cryptofeeds import mk_stream_quotes
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from piker._cacheables import open_cached_client
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from piker.log import get_logger
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from ._util import SymbolNotFound
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_spawn_kwargs = {
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"infect_asyncio": True,
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}
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log = get_logger(__name__)
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class Client:
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def __init__(self) -> None:
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self._pairs: dict[str, Any] = None
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# TODO" Shouldn't have to write kucoin twice here
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# config = get_config('kucoin').get('kucoin', {})
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#
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# if ('key_id' in config) and ('key_secret' in config):
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# self._key_id = config['key_id']
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# self._key_secret = config['key_secret']
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#
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# else:
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# self._key_id = None
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# self._key_secret = None
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async def symbol_info(
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self,
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sym: str = None,
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) -> dict[str, Any]:
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if self._pairs:
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return self._pairs
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entries = await self.request("GET", "/symbols")
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if not entries:
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raise SymbolNotFound(f'{sym} not found')
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syms = {item['name']: item for item in entries}
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return syms
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async def request(self, action: Literal["POST", "GET", "PUT", "DELETE"], route: str):
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api_url = f"https://api.kucoin.com/api/v2{route}"
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res = await asks.request(action, api_url)
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return res.json()['data']
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async def cache_symbols(
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self,
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) -> dict:
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if not self._pairs:
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self._pairs = await self.symbol_info()
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return self._pairs
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async def search_symbols(
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self,
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pattern: str,
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limit: int = 30,
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) -> dict[str, Any]:
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data = await self.symbol_info()
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matches = fuzzy.extractBests(pattern, data, score_cutoff=35, limit=limit)
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# repack in dict form
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return {item[0]["instrument_name"].lower(): item[0] for item in matches}
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@acm
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async def get_client():
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client = Client()
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# Do we need to open a nursery here?
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await client.cache_symbols()
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yield client
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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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):
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async with open_cached_client("kucoin") as client:
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# load all symbols locally for fast search
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cache = await client.cache_symbols()
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await ctx.started()
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# async with ctx.open_stream() as stream:
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# async for pattern in stream:
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# # repack in dict form
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# await stream.send(await client.search_symbols(pattern))
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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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):
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return await mk_stream_quotes(
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KUCOIN,
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[L2_BOOK],
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send_chan,
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symbols,
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feed_is_live,
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loglevel,
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task_status,
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)
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@ -0,0 +1,313 @@
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# piker: trading gear for hackers
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# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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"""
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from os import walk
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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from types import ModuleType
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from typing import Any, Literal, Optional, Callable
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import time
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from functools import partial
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import trio
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from trio_typing import TaskStatus
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from tractor.trionics import broadcast_receiver, maybe_open_context
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import pendulum
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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 tractor import to_asyncio
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from cryptofeed import FeedHandler
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from cryptofeed.defines import TRADES, L2_BOOK
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from cryptofeed.symbols import Symbol
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import asyncio
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from piker._cacheables import open_cached_client
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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.brokers._util import (
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BrokerError,
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DataUnavailable,
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)
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from piker.pp import config
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_spawn_kwargs = {
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"infect_asyncio": True,
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}
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log = get_logger(__name__)
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def deribit_timestamp(when):
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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# def str_to_cb_sym(name: str) -> Symbol:
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# base, strike_price, expiry_date, option_type = name.split("-")
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#
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# quote = base
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#
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# if option_type == "put":
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# option_type = PUT
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# elif option_type == "call":
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# option_type = CALL
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# else:
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# raise Exception("Couldn't parse option type")
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#
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# return Symbol(
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# base,
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# quote,
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# type=OPTION,
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# strike_price=strike_price,
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# option_type=option_type,
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# expiry_date=expiry_date,
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# expiry_normalize=False,
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# )
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#
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def piker_sym_to_cb_sym(symbol) -> Symbol:
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return Symbol(
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base=symbol['baseCurrency'],
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quote=symbol['quoteCurrency']
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)
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def cb_sym_to_deribit_inst(sym: Symbol):
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# cryptofeed normalized
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cb_norm = ["F", "G", "H", "J", "K", "M", "N", "Q", "U", "V", "X", "Z"]
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# deribit specific
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months = [
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"JAN",
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"FEB",
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"MAR",
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"APR",
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"MAY",
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"JUN",
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"JUL",
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"AUG",
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"SEP",
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"OCT",
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"NOV",
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"DEC",
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]
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exp = sym.expiry_date
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# YYMDD
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# 01234
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year, month, day = (exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
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otype = "C" if sym.option_type == CALL else "P"
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return f"{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}"
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def get_config(exchange: str) -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get(exchange.lower())
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breakpoint()
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# TODO: document why we send this, basically because logging params for cryptofeed
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conf["log"] = {}
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conf["log"]["disabled"] = True
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if section is None:
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log.warning(f"No config section found for deribit in {path}")
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return conf
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async def mk_stream_quotes(
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exchange: str,
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channels: list[str],
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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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sym = symbols[0]
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async with (open_cached_client(exchange.lower()) as client, send_chan as send_chan):
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# create init message here
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cache = await client.cache_symbols()
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cf_syms = {}
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for key, value in cache.items():
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cf_sym = key.lower().replace('-', '')
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cf_syms[cf_sym] = value
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cf_sym = cf_syms[sym]
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async with maybe_open_price_feed(cf_sym, exchange, channels) as stream:
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init_msgs = {
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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sym: {
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'symbol_info': {
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'asset_type': 'crypto',
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'price_tick_size': 0.0005
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},
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'shm_write_opts': {'sum_tick_vml': False},
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'fqsn': sym,
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},
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}
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# broker schemas to validate symbol data
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quote_msg = {"symbol": cf_sym["name"], "last": 0, "ticks": []}
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task_status.started((init_msgs, quote_msg))
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feed_is_live.set()
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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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@acm
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async def maybe_open_price_feed(
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symbol, exchange, channels
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) -> trio.abc.ReceiveStream:
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# TODO: add a predicate to maybe_open_context
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# TODO: ensure we can dynamically pass down args here
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async with maybe_open_context(
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acm_func=open_price_feed,
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kwargs={
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"symbol": symbol,
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"exchange": exchange,
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"channels": channels,
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},
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key=symbol['name'],
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) as (cache_hit, feed):
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if cache_hit:
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yield broadcast_receiver(feed, 10)
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else:
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yield feed
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@acm
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async def open_price_feed(symbol: str, exchange, channels) -> trio.abc.ReceiveStream:
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async with maybe_open_feed_handler(exchange) as fh:
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async with to_asyncio.open_channel_from(
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partial(aio_price_feed_relay, exchange, channels, fh, symbol)
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) as (first, chan):
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yield chan
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@acm
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async def maybe_open_feed_handler(exchange: str) -> trio.abc.ReceiveStream:
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async with maybe_open_context(
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acm_func=open_feed_handler,
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kwargs={
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'exchange': exchange,
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},
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key="feedhandler",
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) as (cache_hit, fh):
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yield fh
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@acm
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async def open_feed_handler(exchange: str):
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fh = FeedHandler(config=get_config(exchange))
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yield fh
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await to_asyncio.run_task(fh.stop_async)
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async def aio_price_feed_relay(
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exchange: str,
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channels: list[str],
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fh: FeedHandler,
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symbol: Symbol,
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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) -> None:
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async def _trade(data: dict, receipt_timestamp):
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breakpoint()
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# to_trio.send_nowait(
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# (
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# "trade",
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# {
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# "symbol": cb_sym_to_deribit_inst(
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# str_to_cb_sym(data.symbol)
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# ).lower(),
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# "last": data,
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# "broker_ts": time.time(),
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# "data": data.to_dict(),
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# "receipt": receipt_timestamp,
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# },
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# )
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# )
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async def _l1(data: dict, receipt_timestamp):
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breakpoint()
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# to_trio.send_nowait(
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# (
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# "l1",
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# {
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# "symbol": cb_sym_to_deribit_inst(
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# str_to_cb_sym(data.symbol)
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# ).lower(),
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# "ticks": [
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# {
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# "type": "bid",
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# "price": float(data.bid_price),
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# "size": float(data.bid_size),
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# },
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# {
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# "type": "bsize",
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# "price": float(data.bid_price),
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# "size": float(data.bid_size),
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# },
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# {
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# "type": "ask",
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# "price": float(data.ask_price),
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# "size": float(data.ask_size),
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# },
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# {
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# "type": "asize",
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# "price": float(data.ask_price),
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# "size": float(data.ask_size),
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# },
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# ],
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# },
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# )
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# )
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fh.add_feed(
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exchange,
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channels=channels,
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symbols=[piker_sym_to_cb_sym(symbol)],
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callbacks={TRADES: _trade, L2_BOOK: _l1},
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)
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if not fh.running:
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fh.run(start_loop=False, install_signal_handlers=False)
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# sync with trio
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to_trio.send_nowait(None)
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await asyncio.sleep(float("inf"))
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