Deribit api key changes introduce:

- `get_timestamp_int`: added this is the hack, so we can aboid use the custom deribit date format.

- `get_currencies`: added so we could get all deribit's available currencies.

- `get_instruments`: for a especific expiration date, it return a list of criptofeed.Symbol.

- `get_expiration_dates`: expirations dates available for btc's option contracts .

- `get_strikes_dict`: all the strike prices for an especific expiration date.

- `aio_open_interest_feed_relay` `open_oi_feed` `maybe_open_oi_feed`: this three handles all the portal stuff and the cryptofeed callbacks for the open interest and trades, for some reason it need both to work, i need to check that out at some point.

- Also a couple of format fixes.
max_pain_deribit
Nelson Torres 2025-01-30 01:38:37 -03:00
parent d475347e53
commit cd592afed8
1 changed files with 187 additions and 0 deletions

View File

@ -379,6 +379,82 @@ class Client:
return flat return flat
async def get_instruments(
self,
currency: str = 'btc',
kind: str = 'option',
expired: bool = False,
expiry_date: str = None,
) -> list[Symbol]:
"""
Get instruments for cryptoFeed.FeedHandler.
"""
params: dict[str, str] = {
'currency': currency.upper(),
'kind': kind,
'expired': expired,
}
r: JSONRPCResult = await self._json_rpc_auth_wrapper(
'public/get_instruments',
params,
)
resp = r.result
response_list = []
for i in range(len(resp)):
element = resp[i]
name = f'{element["instrument_name"].split("-")[1]}'
if not expiry_date or name == expiry_date.upper():
response_list.append(piker_sym_to_cb_sym(element['instrument_name']))
return response_list
async def get_expiration_dates(
self,
currency: str = 'btc',
kind: str = 'option',
) -> list[str]:
"""
Get a dict with all expiration dates listed as value and currency as key.
"""
params: dict[str, str] = {
'currency': currency.upper(),
'kind': kind,
}
r: JSONRPCResult = await self._json_rpc_auth_wrapper(
'public/get_expirations',
params,
)
resp = r.result
return resp[currency][kind]
def get_strikes_dict(
self,
instruments: list[Symbol],
) -> dict[str, dict[str, Decimal | None]]:
"""
Get a dict with strike prices as keys.
"""
response: dict[str, dict[str, Decimal | None]] = {}
for i in range(len(instruments)):
element = instruments[i]
strike = f'{str(element).split('-')[1]}'
response[f'{strike}'] = {
'C': None,
'P': None,
}
return response
async def submit_limit( async def submit_limit(
self, self,
symbol: str, symbol: str,
@ -759,6 +835,117 @@ async def maybe_open_price_feed(
async def aio_open_interest_feed_relay(
fh: FeedHandler,
instruments: list[Symbol],
from_trio: asyncio.Queue,
to_trio: trio.abc.SendChannel,
) -> None:
async def _trade(
trade: Trade, # cryptofeed, NOT ours from `.venues`!
receipt_timestamp: int,
) -> None:
'''
Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side.
'''
to_trio.send_nowait(('trade', trade))
# trade and oi are user defined functions that
# will be called when trade and open interest updates are received
# data type is not dict, is an object: cryptofeed.types.OpenINterest
async def _oi(
oi: OpenInterest,
receipt_timestamp: int,
) -> None:
'''
Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
'''
symbol: Symbol = str_to_cb_sym(oi.symbol)
piker_sym: str = cb_sym_to_deribit_inst(symbol)
(
base,
expiry_date,
strike_price,
option_type
) = tuple(
piker_sym.split('-')
)
msg = {
'timestamp': oi.timestamp,
'strike_price': strike_price,
'option_type': option_type,
'open_interest': Decimal(oi.open_interest),
}
to_trio.send_nowait(('oi', msg))
channels = [TRADES, OPEN_INTEREST]
callbacks={TRADES: _trade, OPEN_INTEREST: _oi}
fh.add_feed(
DERIBIT,
channels=channels,
symbols=instruments,
callbacks=callbacks
)
if not fh.running:
fh.run(
start_loop=False,
install_signal_handlers=False
)
# sync with trio
to_trio.send_nowait(None)
# run until cancelled
await asyncio.sleep(float('inf'))
@acm
async def open_oi_feed(
instruments: list[Symbol],
) -> to_asyncio.LinkedTaskChannel:
fh: FeedHandler
first: None
chan: to_asyncio.LinkedTaskChannel
async with (
maybe_open_feed_handler() as fh,
to_asyncio.open_channel_from(
partial(
aio_open_interest_feed_relay,
fh,
instruments,
)
) as (first, chan)
):
yield chan
@acm
async def maybe_open_oi_feed(
instruments: list[Symbol],
) -> trio.abc.ReceiveStream:
# TODO: add a predicate to maybe_open_context
feed: to_asyncio.LinkedTaskChannel
async with maybe_open_context(
acm_func=open_oi_feed,
kwargs={
'instruments': instruments
},
key=f'{instruments[0].base}',
) as (cache_hit, feed):
if cache_hit:
yield broadcast_receiver(feed, 10)
else:
yield feed
# TODO, move all to `.broker` submod! # TODO, move all to `.broker` submod!
# async def aio_order_feed_relay( # async def aio_order_feed_relay(
# fh: FeedHandler, # fh: FeedHandler,