Port binance and kraken to "reliable" ws API
Tyler Goodlet
parent
89dc3dde61
commit
d0e3f5a51c
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@ -18,36 +18,26 @@
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Binance backend
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"""
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from contextlib import asynccontextmanager, AsyncExitStack
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from types import ModuleType
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from contextlib import asynccontextmanager
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from typing import List, Dict, Any, Tuple, Union, Optional
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import json
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import time
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import trio_websocket
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import trio
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from trio_typing import TaskStatus
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from trio_websocket._impl import (
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ConnectionClosed,
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DisconnectionTimeout,
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ConnectionRejected,
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HandshakeError,
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ConnectionTimeout,
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)
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import arrow
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import trio
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import tractor
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from .api import open_cached_client
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from ._util import resproc, SymbolNotFound
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws
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log = get_logger(__name__)
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@ -378,93 +368,6 @@ def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
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}
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class AutoReconWs:
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"""Make ``trio_websocketw` sockets stay up no matter the bs.
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"""
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recon_errors = (
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ConnectionClosed,
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DisconnectionTimeout,
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ConnectionRejected,
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HandshakeError,
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ConnectionTimeout,
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)
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def __init__(
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self,
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url: str,
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stack: AsyncExitStack,
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serializer: ModuleType = json,
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):
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self.url = url
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self._stack = stack
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self._ws: 'WebSocketConnection' = None # noqa
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async def _connect(
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self,
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tries: int = 10000,
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) -> None:
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try:
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await self._stack.aclose()
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except (DisconnectionTimeout, RuntimeError):
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await trio.sleep(1)
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last_err = None
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for i in range(tries):
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try:
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self._ws = await self._stack.enter_async_context(
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trio_websocket.open_websocket_url(self.url)
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)
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log.info(f'Connection success: {self.url}')
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return
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except self.recon_errors as err:
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last_err = err
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log.error(
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f'{self} connection bail with '
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f'{type(err)}...retry attempt {i}'
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)
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await trio.sleep(1)
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continue
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else:
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log.exception('ws connection fail...')
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raise last_err
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async def send_msg(
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self,
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data: Any,
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) -> None:
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while True:
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try:
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return await self._ws.send_message(json.dumps(data))
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except self.recon_errors:
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await self._connect()
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async def recv_msg(
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self,
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) -> Any:
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while True:
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try:
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return json.loads(await self._ws.get_message())
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except self.recon_errors:
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await self._connect()
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@asynccontextmanager
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async def open_autorecon_ws(url):
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"""Apparently we can QoS for all sorts of reasons..so catch em.
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"""
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async with AsyncExitStack() as stack:
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ws = AutoReconWs(url, stack)
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await ws._connect()
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try:
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yield ws
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finally:
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await stack.aclose()
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async def backfill_bars(
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sym: str,
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shm: ShmArray, # type: ignore # noqa
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@ -527,8 +430,8 @@ async def stream_quotes(
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},
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}
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async with open_autorecon_ws('wss://stream.binance.com/ws') as ws:
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@asynccontextmanager
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async def subscribe(ws: wsproto.WSConnection):
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# setup subs
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# trade data (aka L1)
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@ -546,6 +449,28 @@ async def stream_quotes(
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res = await ws.recv_msg()
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assert res['id'] == uid
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yield
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subs = []
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for sym in symbols:
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subs.append("{sym}@aggTrade")
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subs.append("{sym}@bookTicker")
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# unsub from all pairs on teardown
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await ws.send_msg({
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"method": "UNSUBSCRIBE",
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"params": subs,
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"id": uid,
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})
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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async with open_autorecon_ws(
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'wss://stream.binance.com/ws',
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fixture=subscribe,
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) as ws:
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# pull a first quote and deliver
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msg_gen = stream_messages(ws)
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@ -18,37 +18,27 @@
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Kraken backend.
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"""
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from contextlib import asynccontextmanager, AsyncExitStack
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from contextlib import asynccontextmanager
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from dataclasses import asdict, field
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from types import ModuleType
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from typing import List, Dict, Any, Tuple, Optional
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import json
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import time
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import trio_websocket
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from trio_typing import TaskStatus
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from trio_websocket._impl import (
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ConnectionClosed,
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DisconnectionTimeout,
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ConnectionRejected,
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HandshakeError,
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ConnectionTimeout,
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)
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import trio
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import arrow
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import trio
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import tractor
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from .api import open_cached_client
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from ._util import resproc, SymbolNotFound, BrokerError
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws
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log = get_logger(__name__)
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@ -399,100 +389,6 @@ def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
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}
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class AutoReconWs:
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"""Make ``trio_websocketw` sockets stay up no matter the bs.
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TODO:
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apply any more insights from this:
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https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
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"""
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recon_errors = (
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ConnectionClosed,
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DisconnectionTimeout,
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ConnectionRejected,
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HandshakeError,
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ConnectionTimeout,
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)
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def __init__(
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self,
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url: str,
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stack: AsyncExitStack,
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serializer: ModuleType = json,
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):
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self.url = url
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self._stack = stack
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self._ws: 'WebSocketConnection' = None # noqa
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async def _connect(
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self,
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tries: int = 10000,
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) -> None:
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while True:
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try:
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await self._stack.aclose()
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except (DisconnectionTimeout, RuntimeError):
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await trio.sleep(1)
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else:
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break
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last_err = None
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for i in range(tries):
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try:
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self._ws = await self._stack.enter_async_context(
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trio_websocket.open_websocket_url(self.url)
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)
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log.info(f'Connection success: {self.url}')
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return
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except self.recon_errors as err:
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last_err = err
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log.error(
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f'{self} connection bail with '
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f'{type(err)}...retry attempt {i}'
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)
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await trio.sleep(1)
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continue
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else:
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log.exception('ws connection fail...')
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raise last_err
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async def send_msg(
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self,
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data: Any,
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) -> None:
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while True:
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try:
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return await self._ws.send_message(json.dumps(data))
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except self.recon_errors:
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await self._connect()
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async def recv_msg(
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self,
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) -> Any:
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while True:
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try:
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return json.loads(await self._ws.get_message())
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except self.recon_errors:
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await self._connect()
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@asynccontextmanager
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async def open_autorecon_ws(url):
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"""Apparently we can QoS for all sorts of reasons..so catch em.
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"""
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async with AsyncExitStack() as stack:
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ws = AutoReconWs(url, stack)
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await ws._connect()
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try:
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yield ws
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finally:
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await stack.aclose()
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async def backfill_bars(
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sym: str,
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@ -561,8 +457,8 @@ async def stream_quotes(
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},
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}
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async with open_autorecon_ws('wss://ws.kraken.com/') as ws:
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@asynccontextmanager
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async def subscribe(ws: wsproto.WSConnection):
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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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# specific logic for this in kraken's shitty sync client:
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@ -584,8 +480,28 @@ async def stream_quotes(
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{'name': 'spread'} # 'depth': 10}
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)
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# pull a first quote and deliver
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await ws.send_msg(l1_sub)
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yield
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# unsub from all pairs on teardown
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await ws.send_msg({
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'pair': ws_pairs.values(),
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'event': 'unsubscribe',
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'subscription': ['ohlc', 'spread'],
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})
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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# see the tips on reonnection logic:
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# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
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async with open_autorecon_ws(
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'wss://ws.kraken.com/',
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fixture=subscribe,
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) as ws:
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# pull a first quote and deliver
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msg_gen = stream_messages(ws)
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