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
parent
d475347e53
commit
cd592afed8
|
@ -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,
|
||||||
|
|
Loading…
Reference in New Issue