Load `Asset`s during echange info queries
Since we need them for accounting and since we can get them directly from the usdtm futes `exchangeInfo` ep, just preload all asset info that we can during initial `Pair` caching. Cache the asset infos inside a new per venue `Client._venues2assets: dict[str, dict[str, Asset | None]]` and mostly be pedantic with the spot asset list for now since futes seems much smaller and doesn't include transaction precision info. Further: - load a testnet http session if `binance.use_testnet.futes = true`. - add testnet support for all non-data endpoints. - hardcode user stream methods to work for usdtm futes for the moment. - add logging around order request calls.basic_buy_bot
Tyler Goodlet
parent
1bb7c9a2e4
commit
c6d1007e66
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@ -30,6 +30,7 @@ from contextlib import (
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asynccontextmanager as acm,
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)
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from datetime import datetime
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from pprint import pformat
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from typing import (
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Any,
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Callable,
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@ -48,6 +49,10 @@ from fuzzywuzzy import process as fuzzy
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import numpy as np
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from piker import config
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from piker.accounting import (
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Asset,
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digits_to_dec,
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)
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from piker.data.types import Struct
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from piker.data import def_iohlcv_fields
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from piker.brokers._util import (
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@ -59,8 +64,11 @@ from .venues import (
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PAIRTYPES,
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Pair,
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MarketType,
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_spot_url,
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_futes_url,
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_testnet_futes_url,
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)
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log = get_logger('piker.brokers.binance')
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@ -144,15 +152,27 @@ class Client:
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mkt_mode: MarketType = 'spot',
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) -> None:
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# build out pair info tables for each market type
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# and wrap in a chain-map view for search / query.
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self._spot_pairs: dict[str, Pair] = {} # spot info table
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self._ufutes_pairs: dict[str, Pair] = {} # usd-futures table
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self._mkt2pairs: dict[str, dict] = {
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self._venue2pairs: dict[str, dict] = {
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'spot': self._spot_pairs,
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'usdtm_futes': self._ufutes_pairs,
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}
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self._venue2assets: dict[
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str,
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dict[str, dict] | None,
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] = {
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# NOTE: only the spot table contains a dict[str, Asset]
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# since others (like futes, opts) can just do lookups
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# from a list of names to the spot equivalent.
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'spot': {},
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'usdtm_futes': {},
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# 'coinm_futes': {},
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}
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# NOTE: only stick in the spot table for now until exchange info
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# is loaded, since at that point we'll suffix all the futes
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# market symbols for use by search. See `.exch_info()`.
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@ -177,15 +197,32 @@ class Client:
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self.api_key: str = conf.get('api_key', '')
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self.api_secret: str = conf.get('api_secret', '')
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self.use_testnet: bool = conf.get('use_testnet', False)
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if self.use_testnet:
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self._test_fapi_sesh = asks.Session(connections=4)
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self._test_fapi_sesh.base_location: str = _testnet_futes_url
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self.watchlist = conf.get('watchlist', [])
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if self.api_key:
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api_key_header = {'X-MBX-APIKEY': self.api_key}
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api_key_header: dict = {
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# taken from official:
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# https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
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"Content-Type": "application/json;charset=utf-8",
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# TODO: prolly should just always query and copy
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# in the real latest ver?
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"User-Agent": "binance-connector/6.1.6smbz6",
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"X-MBX-APIKEY": self.api_key,
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}
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self._sesh.headers.update(api_key_header)
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self._sapi_sesh.headers.update(api_key_header)
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self._fapi_sesh.headers.update(api_key_header)
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if self.use_testnet:
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self._test_fapi_sesh.headers.update(api_key_header)
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self.mkt_mode: MarketType = mkt_mode
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self.mkt_mode_req: dict[str, Callable] = {
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'spot': self._api,
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@ -204,11 +241,12 @@ class Client:
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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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query_str: str = '&'.join([
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f'{key}={value}'
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for key, value in data.items()
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])
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log.info(query_str)
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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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@ -253,7 +291,8 @@ class Client:
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method: str,
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params: dict | OrderedDict,
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signed: bool = False,
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action: str = 'get'
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action: str = 'get',
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testnet: bool = True,
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) -> dict[str, Any]:
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'''
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@ -267,7 +306,23 @@ class Client:
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if signed:
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params['signature'] = self._mk_sig(params)
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resp = await getattr(self._fapi_sesh, action)(
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# NOTE: only use testnet if user set brokers.toml config
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# var to true **and** it's not one of the market data
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# endpoints since we basically never want to display the
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# test net feeds, we only are using it for testing order
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# ctl machinery B)
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if (
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self.use_testnet
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and method not in {
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'klines',
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'exchangeInfo',
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}
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):
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meth = getattr(self._test_fapi_sesh, action)
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else:
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meth = getattr(self._fapi_sesh, action)
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resp = await meth(
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path=f'/fapi/v1/{method}',
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params=params,
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timeout=float('inf')
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@ -306,22 +361,28 @@ class Client:
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async def _cache_pairs(
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self,
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mkt_type: str,
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venue: str,
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) -> None:
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# lookup internal mkt-specific pair table to update
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pair_table: dict[str, Pair] = self._mkt2pairs[mkt_type]
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pair_table: dict[str, Pair] = self._venue2pairs[venue]
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asset_table: dict[str, Asset] = self._venue2assets[venue]
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# make API request(s)
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resp = await self.mkt_mode_req[mkt_type](
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resp = await self.mkt_mode_req[venue](
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'exchangeInfo',
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params={}, # NOTE: retrieve all symbols by default
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)
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entries = resp['symbols']
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if not entries:
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mkt_pairs = resp['symbols']
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if not mkt_pairs:
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raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
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for item in entries:
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pairs_view_subtable: dict[str, Pair] = {}
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# if venue == 'spot':
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# import tractor
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# await tractor.breakpoint()
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for item in mkt_pairs:
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filters_ls: list = item.pop('filters', False)
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if filters_ls:
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filters = {}
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@ -331,15 +392,50 @@ class Client:
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item['filters'] = filters
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pair_type: Type = PAIRTYPES[mkt_type]
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pair_type: Type = PAIRTYPES[venue]
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pair: Pair = pair_type(**item)
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pair_table[pair.symbol.upper()] = pair
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# update an additional top-level-cross-venue-table
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# `._pairs: ChainMap` for search B0
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pairs_view_subtable[pair.bs_fqme] = pair
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if venue == 'spot':
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if (name := pair.quoteAsset) not in asset_table:
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asset_table[name] = Asset(
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name=name,
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atype='crypto_currency',
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tx_tick=digits_to_dec(pair.quoteAssetPrecision),
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)
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if (name := pair.baseAsset) not in asset_table:
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asset_table[name] = Asset(
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name=name,
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atype='crypto_currency',
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tx_tick=digits_to_dec(pair.baseAssetPrecision),
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)
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# NOTE: make merged view of all market-type pairs but
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# use market specific `Pair.bs_fqme` for keys!
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# this allows searching for market pairs with different
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# suffixes easily, for ex. `BTCUSDT.USDTM.PERP` will show
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# up when a user uses the search endpoint with pattern
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# `btc` B)
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self._pairs.maps.append(pairs_view_subtable)
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if venue == 'spot':
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return
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assets: list[dict] = resp.get('assets', ())
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for entry in assets:
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name: str = entry['asset']
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asset_table[name] = self._venue2assets['spot'].get(name)
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async def exch_info(
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self,
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sym: str | None = None,
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mkt_type: MarketType | None = None,
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venue: MarketType | None = None,
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) -> dict[str, Pair] | Pair:
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'''
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@ -354,46 +450,34 @@ class Client:
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https://binance-docs.github.io/apidocs/delivery/en/#exchange-information
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'''
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pair_table: dict[str, Pair] = self._mkt2pairs[
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mkt_type or self.mkt_mode
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pair_table: dict[str, Pair] = self._venue2pairs[
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venue or self.mkt_mode
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]
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if cached_pair := pair_table.get(sym):
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return cached_pair
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# params = {}
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# if sym is not None:
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# params = {'symbol': sym}
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mkts: list[str] = ['spot', 'usdtm_futes']
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if mkt_type:
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mkts: list[str] = [mkt_type]
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venues: list[str] = ['spot', 'usdtm_futes']
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if venue:
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venues: list[str] = [venue]
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# batch per-venue download of all exchange infos
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async with trio.open_nursery() as rn:
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for mkt_type in mkts:
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for ven in venues:
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rn.start_soon(
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self._cache_pairs,
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mkt_type,
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)
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# make merged view of all market-type pairs but
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# use market specific `Pair.bs_fqme` for keys!
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for venue, venue_pairs_table in self._mkt2pairs.items():
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self._pairs.maps.append(
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{pair.bs_fqme: pair
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for pair in venue_pairs_table.values()}
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ven,
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)
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return pair_table[sym] if sym else self._pairs
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# TODO: unused except by `brokers.core.search_symbols()`?
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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 = None,
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) -> dict[str, Any]:
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# if self._spot_pairs is not None:
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# data = self._spot_pairs
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# else:
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fq_pairs: dict = await self.exch_info()
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matches = fuzzy.extractBests(
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@ -538,56 +622,60 @@ class Client:
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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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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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tif: str = 'GTC',
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recv_window: int = 60000
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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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) -> str:
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'''
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Submit a live limit order to ze binance.
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await self.cache_symbols()
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# asset_precision = self._spot_pairs[symbol]['baseAssetPrecision']
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# quote_precision = self._pairs[symbol]['quoteAssetPrecision']
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params = OrderedDict([
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('symbol', symbol),
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'''
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params: dict = OrderedDict([
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('symbol', symbol.upper()),
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('side', side.upper()),
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('type', 'LIMIT'),
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('timeInForce', 'GTC'),
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('timeInForce', tif),
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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(now()))
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])
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if oid:
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params['newClientOrderId'] = oid
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log.info(
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'Submitting ReST order request:\n'
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f'{pformat(params)}'
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)
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resp = await self._api(
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'order',
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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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log.info(resp)
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# return resp['orderId']
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return resp['orderId']
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reqid: str = resp['orderId']
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if oid:
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assert oid == reqid
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return reqid
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async def submit_cancel(
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self,
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symbol: str,
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oid: str,
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recv_window: int = 60000
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) -> None:
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symbol = symbol.upper()
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params = OrderedDict([
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('symbol', symbol),
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('orderId', oid),
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@ -595,6 +683,10 @@ class Client:
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('timestamp', binance_timestamp(now()))
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])
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log.cancel(
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'Submitting ReST order cancel: {oid}\n'
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f'{pformat(params)}'
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)
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return await self._api(
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'order',
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params=params,
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@ -603,22 +695,31 @@ class Client:
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)
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async def get_listen_key(self) -> str:
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return (await self._api(
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'userDataStream',
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# resp = await self._api(
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resp = await self.mkt_mode_req[self.mkt_mode](
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# 'userDataStream', # spot
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'listenKey',
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params={},
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action='post'
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))['listenKey']
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action='post',
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signed=True,
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)
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return resp['listenKey']
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async def keep_alive_key(self, listen_key: str) -> None:
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await self._fapi(
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'userDataStream',
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# await self._fapi(
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await self.mkt_mode_req[self.mkt_mode](
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# 'userDataStream',
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'listenKey',
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params={'listenKey': listen_key},
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action='put'
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)
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async def close_listen_key(self, listen_key: str) -> None:
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await self._fapi(
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'userDataStream',
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# await self._fapi(
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await self.mkt_mode_req[self.mkt_mode](
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# 'userDataStream',
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'listenKey',
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params={'listenKey': listen_key},
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action='delete'
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)
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|
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Loading…
Reference in New Issue