commit
d26fea70c7
|
@ -8,8 +8,8 @@ expires_at = 1616095326.355846
|
||||||
|
|
||||||
[kraken]
|
[kraken]
|
||||||
key_descr = "api_0"
|
key_descr = "api_0"
|
||||||
public_key = ""
|
api_key = ""
|
||||||
private_key = ""
|
secret = ""
|
||||||
|
|
||||||
[ib]
|
[ib]
|
||||||
host = "127.0.0.1"
|
host = "127.0.0.1"
|
||||||
|
|
|
@ -14,13 +14,13 @@
|
||||||
# You should have received a copy of the GNU Affero General Public License
|
# You should have received a copy of the GNU Affero General Public License
|
||||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
"""
|
'''
|
||||||
Kraken backend.
|
Kraken backend.
|
||||||
|
|
||||||
"""
|
'''
|
||||||
from contextlib import asynccontextmanager
|
from contextlib import asynccontextmanager
|
||||||
from dataclasses import asdict, field
|
from dataclasses import asdict, field
|
||||||
from typing import List, Dict, Any, Tuple, Optional
|
from typing import Dict, List, Tuple, Any, Optional, AsyncIterator
|
||||||
import time
|
import time
|
||||||
|
|
||||||
from trio_typing import TaskStatus
|
from trio_typing import TaskStatus
|
||||||
|
@ -33,12 +33,25 @@ import tractor
|
||||||
from pydantic.dataclasses import dataclass
|
from pydantic.dataclasses import dataclass
|
||||||
from pydantic import BaseModel
|
from pydantic import BaseModel
|
||||||
import wsproto
|
import wsproto
|
||||||
|
from itertools import count
|
||||||
|
import urllib.parse
|
||||||
|
import hashlib
|
||||||
|
import hmac
|
||||||
|
import base64
|
||||||
|
|
||||||
|
from .. import config
|
||||||
from .._cacheables import open_cached_client
|
from .._cacheables import open_cached_client
|
||||||
from ._util import resproc, SymbolNotFound, BrokerError
|
from ._util import resproc, SymbolNotFound, BrokerError
|
||||||
from ..log import get_logger, get_console_log
|
from ..log import get_logger, get_console_log
|
||||||
from ..data import ShmArray
|
from ..data import ShmArray
|
||||||
from ..data._web_bs import open_autorecon_ws
|
from ..data._web_bs import open_autorecon_ws, NoBsWs
|
||||||
|
from ..clearing._paper_engine import PaperBoi
|
||||||
|
from ..clearing._messages import (
|
||||||
|
BrokerdPosition, BrokerdOrder, BrokerdStatus,
|
||||||
|
BrokerdOrderAck, BrokerdError, BrokerdCancel,
|
||||||
|
BrokerdFill,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
log = get_logger(__name__)
|
log = get_logger(__name__)
|
||||||
|
|
||||||
|
@ -106,13 +119,27 @@ class Pair(BaseModel):
|
||||||
ordermin: float # minimum order volume for pair
|
ordermin: float # minimum order volume for pair
|
||||||
|
|
||||||
|
|
||||||
|
class Trade(BaseModel):
|
||||||
|
'''
|
||||||
|
Trade class that helps parse and validate ownTrades stream
|
||||||
|
|
||||||
|
'''
|
||||||
|
reqid: str # kraken order transaction id
|
||||||
|
action: str # buy or sell
|
||||||
|
price: str # price of asset
|
||||||
|
size: str # vol of asset
|
||||||
|
broker_time: str # e.g GTC, GTD
|
||||||
|
|
||||||
|
|
||||||
@dataclass
|
@dataclass
|
||||||
class OHLC:
|
class OHLC:
|
||||||
"""Description of the flattened OHLC quote format.
|
'''
|
||||||
|
Description of the flattened OHLC quote format.
|
||||||
|
|
||||||
For schema details see:
|
For schema details see:
|
||||||
https://docs.kraken.com/websockets/#message-ohlc
|
https://docs.kraken.com/websockets/#message-ohlc
|
||||||
"""
|
|
||||||
|
'''
|
||||||
chan_id: int # internal kraken id
|
chan_id: int # internal kraken id
|
||||||
chan_name: str # eg. ohlc-1 (name-interval)
|
chan_name: str # eg. ohlc-1 (name-interval)
|
||||||
pair: str # fx pair
|
pair: str # fx pair
|
||||||
|
@ -129,9 +156,52 @@ class OHLC:
|
||||||
ticks: List[Any] = field(default_factory=list)
|
ticks: List[Any] = field(default_factory=list)
|
||||||
|
|
||||||
|
|
||||||
|
def get_config() -> dict[str, Any]:
|
||||||
|
|
||||||
|
conf, path = config.load()
|
||||||
|
|
||||||
|
section = conf.get('kraken')
|
||||||
|
|
||||||
|
if section is None:
|
||||||
|
log.warning(f'No config section found for kraken in {path}')
|
||||||
|
return {}
|
||||||
|
|
||||||
|
return section
|
||||||
|
|
||||||
|
|
||||||
|
def get_kraken_signature(
|
||||||
|
urlpath: str,
|
||||||
|
data: Dict[str, Any],
|
||||||
|
secret: str
|
||||||
|
) -> str:
|
||||||
|
postdata = urllib.parse.urlencode(data)
|
||||||
|
encoded = (str(data['nonce']) + postdata).encode()
|
||||||
|
message = urlpath.encode() + hashlib.sha256(encoded).digest()
|
||||||
|
|
||||||
|
mac = hmac.new(base64.b64decode(secret), message, hashlib.sha512)
|
||||||
|
sigdigest = base64.b64encode(mac.digest())
|
||||||
|
return sigdigest.decode()
|
||||||
|
|
||||||
|
|
||||||
|
class InvalidKey(ValueError):
|
||||||
|
'''
|
||||||
|
EAPI:Invalid key
|
||||||
|
This error is returned when the API key used for the call is
|
||||||
|
either expired or disabled, please review the API key in your
|
||||||
|
Settings -> API tab of account management or generate a new one
|
||||||
|
and update your application.
|
||||||
|
|
||||||
|
'''
|
||||||
|
|
||||||
|
|
||||||
class Client:
|
class Client:
|
||||||
|
|
||||||
def __init__(self) -> None:
|
def __init__(
|
||||||
|
self,
|
||||||
|
name: str = '',
|
||||||
|
api_key: str = '',
|
||||||
|
secret: str = ''
|
||||||
|
) -> None:
|
||||||
self._sesh = asks.Session(connections=4)
|
self._sesh = asks.Session(connections=4)
|
||||||
self._sesh.base_location = _url
|
self._sesh.base_location = _url
|
||||||
self._sesh.headers.update({
|
self._sesh.headers.update({
|
||||||
|
@ -139,6 +209,9 @@ class Client:
|
||||||
'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
|
'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
|
||||||
})
|
})
|
||||||
self._pairs: list[str] = []
|
self._pairs: list[str] = []
|
||||||
|
self._name = name
|
||||||
|
self._api_key = api_key
|
||||||
|
self._secret = secret
|
||||||
|
|
||||||
@property
|
@property
|
||||||
def pairs(self) -> Dict[str, Any]:
|
def pairs(self) -> Dict[str, Any]:
|
||||||
|
@ -162,6 +235,108 @@ class Client:
|
||||||
)
|
)
|
||||||
return resproc(resp, log)
|
return resproc(resp, log)
|
||||||
|
|
||||||
|
async def _private(
|
||||||
|
self,
|
||||||
|
method: str,
|
||||||
|
data: dict,
|
||||||
|
uri_path: str
|
||||||
|
) -> Dict[str, Any]:
|
||||||
|
headers = {
|
||||||
|
'Content-Type':
|
||||||
|
'application/x-www-form-urlencoded',
|
||||||
|
'API-Key':
|
||||||
|
self._api_key,
|
||||||
|
'API-Sign':
|
||||||
|
get_kraken_signature(uri_path, data, self._secret)
|
||||||
|
}
|
||||||
|
resp = await self._sesh.post(
|
||||||
|
path=f'/private/{method}',
|
||||||
|
data=data,
|
||||||
|
headers=headers,
|
||||||
|
timeout=float('inf')
|
||||||
|
)
|
||||||
|
return resproc(resp, log)
|
||||||
|
|
||||||
|
async def endpoint(
|
||||||
|
self,
|
||||||
|
method: str,
|
||||||
|
data: Dict[str, Any]
|
||||||
|
) -> Dict[str, Any]:
|
||||||
|
uri_path = f'/0/private/{method}'
|
||||||
|
data['nonce'] = str(int(1000*time.time()))
|
||||||
|
return await self._private(method, data, uri_path)
|
||||||
|
|
||||||
|
async def get_trades(
|
||||||
|
self,
|
||||||
|
data: Dict[str, Any] = {}
|
||||||
|
) -> Dict[str, Any]:
|
||||||
|
data['ofs'] = 0
|
||||||
|
# Grab all trade history
|
||||||
|
# https://docs.kraken.com/rest/#operation/getTradeHistory
|
||||||
|
# Kraken uses 'ofs' to refer to the offset
|
||||||
|
while True:
|
||||||
|
resp = await self.endpoint('TradesHistory', data)
|
||||||
|
# grab the first 50 trades
|
||||||
|
if data['ofs'] == 0:
|
||||||
|
trades = resp['result']['trades']
|
||||||
|
# load the next 50 trades using dict constructor
|
||||||
|
# for speed
|
||||||
|
elif data['ofs'] == 50:
|
||||||
|
trades = dict(trades, **resp['result']['trades'])
|
||||||
|
# catch the end of the trades
|
||||||
|
elif resp['result']['trades'] == {}:
|
||||||
|
count = resp['result']['count']
|
||||||
|
break
|
||||||
|
# update existing dict if num trades exceeds 100
|
||||||
|
else:
|
||||||
|
trades.update(resp['result']['trades'])
|
||||||
|
# increment the offset counter
|
||||||
|
data['ofs'] += 50
|
||||||
|
# To avoid exceeding API rate limit in case of a lot of trades
|
||||||
|
await trio.sleep(1)
|
||||||
|
|
||||||
|
# make sure you grabbed all the trades
|
||||||
|
assert count == len(trades.values())
|
||||||
|
|
||||||
|
return trades
|
||||||
|
|
||||||
|
async def submit_limit(
|
||||||
|
self,
|
||||||
|
oid: str,
|
||||||
|
symbol: str,
|
||||||
|
price: float,
|
||||||
|
action: str,
|
||||||
|
size: float,
|
||||||
|
reqid: int = None,
|
||||||
|
) -> int:
|
||||||
|
'''
|
||||||
|
Place an order and return integer request id provided by client.
|
||||||
|
|
||||||
|
'''
|
||||||
|
# Build order data for kraken api
|
||||||
|
data = {
|
||||||
|
"userref": reqid,
|
||||||
|
"ordertype": "limit",
|
||||||
|
"type": action,
|
||||||
|
"volume": str(size),
|
||||||
|
"pair": symbol,
|
||||||
|
"price": str(price),
|
||||||
|
# set to True test AddOrder call without a real submission
|
||||||
|
"validate": False
|
||||||
|
}
|
||||||
|
return await self.endpoint('AddOrder', data)
|
||||||
|
|
||||||
|
async def submit_cancel(
|
||||||
|
self,
|
||||||
|
reqid: str,
|
||||||
|
) -> None:
|
||||||
|
'''
|
||||||
|
Send cancel request for order id ``reqid``.
|
||||||
|
|
||||||
|
'''
|
||||||
|
# txid is a transaction id given by kraken
|
||||||
|
return await self.endpoint('CancelOrder', {"txid": reqid})
|
||||||
|
|
||||||
async def symbol_info(
|
async def symbol_info(
|
||||||
self,
|
self,
|
||||||
pair: Optional[str] = None,
|
pair: Optional[str] = None,
|
||||||
|
@ -271,8 +446,18 @@ class Client:
|
||||||
raise SymbolNotFound(json['error'][0] + f': {symbol}')
|
raise SymbolNotFound(json['error'][0] + f': {symbol}')
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
@asynccontextmanager
|
@asynccontextmanager
|
||||||
async def get_client() -> Client:
|
async def get_client() -> Client:
|
||||||
|
|
||||||
|
section = get_config()
|
||||||
|
if section:
|
||||||
|
client = Client(
|
||||||
|
name=section['key_descr'],
|
||||||
|
api_key=section['api_key'],
|
||||||
|
secret=section['secret']
|
||||||
|
)
|
||||||
|
else:
|
||||||
client = Client()
|
client = Client()
|
||||||
|
|
||||||
# at startup, load all symbols locally for fast search
|
# at startup, load all symbols locally for fast search
|
||||||
|
@ -281,8 +466,347 @@ async def get_client() -> Client:
|
||||||
yield client
|
yield client
|
||||||
|
|
||||||
|
|
||||||
async def stream_messages(ws):
|
def pack_positions(
|
||||||
|
acc: str,
|
||||||
|
trades: dict
|
||||||
|
) -> list[Any]:
|
||||||
|
positions: dict[str, float] = {}
|
||||||
|
vols: dict[str, float] = {}
|
||||||
|
costs: dict[str, float] = {}
|
||||||
|
position_msgs: list[Any] = []
|
||||||
|
|
||||||
|
for trade in trades.values():
|
||||||
|
sign = -1 if trade['type'] == 'sell' else 1
|
||||||
|
pair = trade['pair']
|
||||||
|
vol = float(trade['vol'])
|
||||||
|
vols[pair] = vols.get(pair, 0) + sign * vol
|
||||||
|
costs[pair] = costs.get(pair, 0) + sign * float(trade['cost'])
|
||||||
|
positions[pair] = costs[pair] / vols[pair] if vols[pair] else 0
|
||||||
|
|
||||||
|
for ticker, pos in positions.items():
|
||||||
|
vol = float(vols[ticker])
|
||||||
|
if not vol:
|
||||||
|
continue
|
||||||
|
norm_sym = normalize_symbol(ticker)
|
||||||
|
msg = BrokerdPosition(
|
||||||
|
broker='kraken',
|
||||||
|
account=acc,
|
||||||
|
symbol=norm_sym,
|
||||||
|
currency=norm_sym[-3:],
|
||||||
|
size=vol,
|
||||||
|
avg_price=float(pos),
|
||||||
|
)
|
||||||
|
position_msgs.append(msg.dict())
|
||||||
|
|
||||||
|
return position_msgs
|
||||||
|
|
||||||
|
|
||||||
|
def normalize_symbol(
|
||||||
|
ticker: str
|
||||||
|
) -> str:
|
||||||
|
# This is to convert symbol names from what kraken
|
||||||
|
# uses to the traditional 3x3 pair symbol syntax
|
||||||
|
symlen = len(ticker)
|
||||||
|
if symlen == 6:
|
||||||
|
return ticker.lower()
|
||||||
|
else:
|
||||||
|
for sym in ['XXBT', 'XXMR', 'ZEUR']:
|
||||||
|
if sym in ticker:
|
||||||
|
ticker = ticker.replace(sym, sym[1:])
|
||||||
|
return ticker.lower()
|
||||||
|
|
||||||
|
|
||||||
|
def make_auth_sub(data: Dict[str, Any]) -> Dict[str, str]:
|
||||||
|
'''
|
||||||
|
Create a request subscription packet dict.
|
||||||
|
|
||||||
|
## TODO: point to the auth urls
|
||||||
|
https://docs.kraken.com/websockets/#message-subscribe
|
||||||
|
|
||||||
|
'''
|
||||||
|
# eg. specific logic for this in kraken's sync client:
|
||||||
|
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||||
|
return {
|
||||||
|
'event': 'subscribe',
|
||||||
|
'subscription': data,
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
async def handle_order_requests(
|
||||||
|
|
||||||
|
client: Client,
|
||||||
|
ems_order_stream: tractor.MsgStream,
|
||||||
|
|
||||||
|
) -> None:
|
||||||
|
|
||||||
|
request_msg: dict
|
||||||
|
order: BrokerdOrder
|
||||||
|
userref_counter = count()
|
||||||
|
async for request_msg in ems_order_stream:
|
||||||
|
log.info(f'Received order request {request_msg}')
|
||||||
|
|
||||||
|
action = request_msg['action']
|
||||||
|
|
||||||
|
if action in {'buy', 'sell'}:
|
||||||
|
|
||||||
|
account = request_msg['account']
|
||||||
|
if account != 'kraken.spot':
|
||||||
|
log.error(
|
||||||
|
'This is a kraken account, \
|
||||||
|
only a `kraken.spot` selection is valid'
|
||||||
|
)
|
||||||
|
await ems_order_stream.send(BrokerdError(
|
||||||
|
oid=request_msg['oid'],
|
||||||
|
symbol=request_msg['symbol'],
|
||||||
|
reason=f'Kraken only, No account found: `{account}` ?',
|
||||||
|
).dict())
|
||||||
|
continue
|
||||||
|
|
||||||
|
# validate
|
||||||
|
temp_id = next(userref_counter)
|
||||||
|
order = BrokerdOrder(**request_msg)
|
||||||
|
|
||||||
|
# call our client api to submit the order
|
||||||
|
resp = await client.submit_limit(
|
||||||
|
oid=order.oid,
|
||||||
|
symbol=order.symbol,
|
||||||
|
price=order.price,
|
||||||
|
action=order.action,
|
||||||
|
size=order.size,
|
||||||
|
reqid=temp_id,
|
||||||
|
)
|
||||||
|
|
||||||
|
err = resp['error']
|
||||||
|
if err:
|
||||||
|
log.error(f'Failed to submit order')
|
||||||
|
await ems_order_stream.send(
|
||||||
|
BrokerdError(
|
||||||
|
oid=order.oid,
|
||||||
|
reqid=temp_id,
|
||||||
|
symbol=order.symbol,
|
||||||
|
reason="Failed order submission",
|
||||||
|
broker_details=resp
|
||||||
|
).dict()
|
||||||
|
)
|
||||||
|
else:
|
||||||
|
# TODO: handle multiple cancels
|
||||||
|
# txid is an array of strings
|
||||||
|
reqid = resp['result']['txid'][0]
|
||||||
|
# deliver ack that order has been submitted to broker routing
|
||||||
|
await ems_order_stream.send(
|
||||||
|
BrokerdOrderAck(
|
||||||
|
|
||||||
|
# ems order request id
|
||||||
|
oid=order.oid,
|
||||||
|
|
||||||
|
# broker specific request id
|
||||||
|
reqid=reqid,
|
||||||
|
|
||||||
|
# account the made the order
|
||||||
|
account=order.account
|
||||||
|
|
||||||
|
).dict()
|
||||||
|
)
|
||||||
|
|
||||||
|
elif action == 'cancel':
|
||||||
|
msg = BrokerdCancel(**request_msg)
|
||||||
|
|
||||||
|
# Send order cancellation to kraken
|
||||||
|
resp = await client.submit_cancel(
|
||||||
|
reqid=msg.reqid
|
||||||
|
)
|
||||||
|
|
||||||
|
try:
|
||||||
|
# Check to make sure there was no error returned by
|
||||||
|
# the kraken endpoint. Assert one order was cancelled
|
||||||
|
assert resp['error'] == []
|
||||||
|
assert resp['result']['count'] == 1
|
||||||
|
|
||||||
|
# TODO: Change this code using .get
|
||||||
|
try:
|
||||||
|
pending = resp['result']['pending']
|
||||||
|
# Check to make sure the cancellation is NOT pending,
|
||||||
|
# then send the confirmation to the ems order stream
|
||||||
|
except KeyError:
|
||||||
|
await ems_order_stream.send(
|
||||||
|
BrokerdStatus(
|
||||||
|
reqid=msg.reqid,
|
||||||
|
account=msg.account,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
status='cancelled',
|
||||||
|
reason='Order cancelled',
|
||||||
|
broker_details={'name': 'kraken'}
|
||||||
|
).dict()
|
||||||
|
)
|
||||||
|
except AssertionError:
|
||||||
|
log.error(f'Order cancel was not successful')
|
||||||
|
await ems_order_stream.send(
|
||||||
|
BrokerdError(
|
||||||
|
oid=order.oid,
|
||||||
|
reqid=temp_id,
|
||||||
|
symbol=order.symbol,
|
||||||
|
reason="Failed order cancel",
|
||||||
|
broker_details=resp
|
||||||
|
).dict()
|
||||||
|
)
|
||||||
|
|
||||||
|
else:
|
||||||
|
log.error(f'Unknown order command: {request_msg}')
|
||||||
|
|
||||||
|
|
||||||
|
@tractor.context
|
||||||
|
async def trades_dialogue(
|
||||||
|
ctx: tractor.Context,
|
||||||
|
loglevel: str = None,
|
||||||
|
) -> AsyncIterator[Dict[str, Any]]:
|
||||||
|
|
||||||
|
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||||
|
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||||
|
|
||||||
|
@asynccontextmanager
|
||||||
|
async def subscribe(ws: wsproto.WSConnection, token: str):
|
||||||
|
# XXX: setup subs
|
||||||
|
# https://docs.kraken.com/websockets/#message-subscribe
|
||||||
|
# specific logic for this in kraken's shitty sync client:
|
||||||
|
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||||
|
trades_sub = make_auth_sub(
|
||||||
|
{'name': 'ownTrades', 'token': token}
|
||||||
|
)
|
||||||
|
|
||||||
|
# TODO: we want to eventually allow unsubs which should
|
||||||
|
# be completely fine to request from a separate task
|
||||||
|
# since internally the ws methods appear to be FIFO
|
||||||
|
# locked.
|
||||||
|
await ws.send_msg(trades_sub)
|
||||||
|
|
||||||
|
yield
|
||||||
|
|
||||||
|
# unsub from all pairs on teardown
|
||||||
|
await ws.send_msg({
|
||||||
|
'event': 'unsubscribe',
|
||||||
|
'subscription': ['ownTrades'],
|
||||||
|
})
|
||||||
|
|
||||||
|
# XXX: do we need to ack the unsub?
|
||||||
|
# await ws.recv_msg()
|
||||||
|
|
||||||
|
# Authenticated block
|
||||||
|
async with get_client() as client:
|
||||||
|
if not client._api_key:
|
||||||
|
log.error('Missing Kraken API key: Trades WS connection failed')
|
||||||
|
await ctx.started(({}, {'paper',}))
|
||||||
|
|
||||||
|
async with (
|
||||||
|
ctx.open_stream() as ems_stream,
|
||||||
|
trio.open_nursery() as n,
|
||||||
|
):
|
||||||
|
|
||||||
|
client = PaperBoi(
|
||||||
|
'kraken',
|
||||||
|
ems_stream,
|
||||||
|
_buys={},
|
||||||
|
_sells={},
|
||||||
|
|
||||||
|
_reqids={},
|
||||||
|
|
||||||
|
# TODO: load paper positions from ``positions.toml``
|
||||||
|
_positions={},
|
||||||
|
)
|
||||||
|
|
||||||
|
## TODO: maybe add multiple accounts
|
||||||
|
n.start_soon(handle_order_requests, client, ems_stream)
|
||||||
|
|
||||||
|
acc_name = 'kraken.' + client._name
|
||||||
|
trades = await client.get_trades()
|
||||||
|
|
||||||
|
position_msgs = pack_positions(acc_name, trades)
|
||||||
|
|
||||||
|
await ctx.started((position_msgs, (acc_name,)))
|
||||||
|
|
||||||
|
# Get websocket token for authenticated data stream
|
||||||
|
# Assert that a token was actually received
|
||||||
|
resp = await client.endpoint('GetWebSocketsToken', {})
|
||||||
|
assert resp['error'] == []
|
||||||
|
token = resp['result']['token']
|
||||||
|
|
||||||
|
async with (
|
||||||
|
ctx.open_stream() as ems_stream,
|
||||||
|
trio.open_nursery() as n,
|
||||||
|
):
|
||||||
|
## TODO: maybe add multiple accounts
|
||||||
|
n.start_soon(handle_order_requests, client, ems_stream)
|
||||||
|
|
||||||
|
# Process trades msg stream of ws
|
||||||
|
async with open_autorecon_ws(
|
||||||
|
'wss://ws-auth.kraken.com/',
|
||||||
|
fixture=subscribe,
|
||||||
|
token=token,
|
||||||
|
) as ws:
|
||||||
|
async for msg in process_trade_msgs(ws):
|
||||||
|
for trade in msg:
|
||||||
|
# check the type of packaged message
|
||||||
|
assert type(trade) == Trade
|
||||||
|
# prepare and send a status update for line update
|
||||||
|
trade_msg = BrokerdStatus(
|
||||||
|
reqid=trade.reqid,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
|
||||||
|
account='kraken.spot',
|
||||||
|
status='executed',
|
||||||
|
filled=float(trade.size),
|
||||||
|
reason='Order filled by kraken',
|
||||||
|
# remaining='' # TODO: not sure what to do here.
|
||||||
|
broker_details={
|
||||||
|
'name': 'kraken',
|
||||||
|
'broker_time': trade.broker_time
|
||||||
|
}
|
||||||
|
)
|
||||||
|
|
||||||
|
await ems_stream.send(trade_msg.dict())
|
||||||
|
|
||||||
|
filled_msg = BrokerdStatus(
|
||||||
|
reqid=trade.reqid,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
|
||||||
|
account='kraken.spot',
|
||||||
|
status='filled',
|
||||||
|
filled=float(trade.size),
|
||||||
|
reason='Order filled by kraken',
|
||||||
|
# remaining='' # TODO: not sure what to do here.
|
||||||
|
broker_details={
|
||||||
|
'name': 'kraken',
|
||||||
|
'broker_time': trade.broker_time
|
||||||
|
}
|
||||||
|
)
|
||||||
|
|
||||||
|
await ems_stream.send(filled_msg.dict())
|
||||||
|
|
||||||
|
# send a fill msg for gui update
|
||||||
|
fill_msg = BrokerdFill(
|
||||||
|
reqid=trade.reqid,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
|
||||||
|
action=trade.action,
|
||||||
|
size=float(trade.size),
|
||||||
|
price=float(trade.price),
|
||||||
|
# TODO: maybe capture more msg data i.e fees?
|
||||||
|
broker_details={'name': 'kraken'},
|
||||||
|
broker_time=float(trade.broker_time)
|
||||||
|
)
|
||||||
|
|
||||||
|
await ems_stream.send(fill_msg.dict())
|
||||||
|
|
||||||
|
|
||||||
|
async def stream_messages(
|
||||||
|
ws: NoBsWs,
|
||||||
|
):
|
||||||
|
'''
|
||||||
|
Message stream parser and heartbeat handler.
|
||||||
|
|
||||||
|
Deliver ws subscription messages as well as handle heartbeat logic
|
||||||
|
though a single async generator.
|
||||||
|
|
||||||
|
'''
|
||||||
too_slow_count = last_hb = 0
|
too_slow_count = last_hb = 0
|
||||||
|
|
||||||
while True:
|
while True:
|
||||||
|
@ -320,6 +844,18 @@ async def stream_messages(ws):
|
||||||
if err:
|
if err:
|
||||||
raise BrokerError(err)
|
raise BrokerError(err)
|
||||||
else:
|
else:
|
||||||
|
yield msg
|
||||||
|
|
||||||
|
|
||||||
|
async def process_data_feed_msgs(
|
||||||
|
ws: NoBsWs,
|
||||||
|
):
|
||||||
|
'''
|
||||||
|
Parse and pack data feed messages.
|
||||||
|
|
||||||
|
'''
|
||||||
|
async for msg in stream_messages(ws):
|
||||||
|
|
||||||
chan_id, *payload_array, chan_name, pair = msg
|
chan_id, *payload_array, chan_name, pair = msg
|
||||||
|
|
||||||
if 'ohlc' in chan_name:
|
if 'ohlc' in chan_name:
|
||||||
|
@ -349,10 +885,54 @@ async def stream_messages(ws):
|
||||||
|
|
||||||
else:
|
else:
|
||||||
print(f'UNHANDLED MSG: {msg}')
|
print(f'UNHANDLED MSG: {msg}')
|
||||||
|
yield msg
|
||||||
|
|
||||||
|
|
||||||
|
async def process_trade_msgs(
|
||||||
|
ws: NoBsWs,
|
||||||
|
):
|
||||||
|
'''
|
||||||
|
Parse and pack data feed messages.
|
||||||
|
|
||||||
|
'''
|
||||||
|
sequence_counter = 0
|
||||||
|
async for msg in stream_messages(ws):
|
||||||
|
|
||||||
|
try:
|
||||||
|
# check that we are on the ownTrades stream and that msgs are
|
||||||
|
# arriving in sequence with kraken
|
||||||
|
# For clarification the kraken ws api docs for this stream:
|
||||||
|
# https://docs.kraken.com/websockets/#message-ownTrades
|
||||||
|
assert msg[1] == 'ownTrades'
|
||||||
|
assert msg[2]['sequence'] > sequence_counter
|
||||||
|
sequence_counter += 1
|
||||||
|
raw_msgs = msg[0]
|
||||||
|
trade_msgs = []
|
||||||
|
|
||||||
|
# Check that we are only processing new trades
|
||||||
|
if msg[2]['sequence'] != 1:
|
||||||
|
# check if its a new order or an update msg
|
||||||
|
for trade_msg in raw_msgs:
|
||||||
|
trade = list(trade_msg.values())[0]
|
||||||
|
order_msg = Trade(
|
||||||
|
reqid=trade['ordertxid'],
|
||||||
|
action=trade['type'],
|
||||||
|
price=trade['price'],
|
||||||
|
size=trade['vol'],
|
||||||
|
broker_time=trade['time']
|
||||||
|
)
|
||||||
|
trade_msgs.append(order_msg)
|
||||||
|
|
||||||
|
yield trade_msgs
|
||||||
|
|
||||||
|
except AssertionError:
|
||||||
|
print(f'UNHANDLED MSG: {msg}')
|
||||||
|
yield msg
|
||||||
|
|
||||||
|
|
||||||
def normalize(
|
def normalize(
|
||||||
ohlc: OHLC,
|
ohlc: OHLC,
|
||||||
|
|
||||||
) -> dict:
|
) -> dict:
|
||||||
quote = asdict(ohlc)
|
quote = asdict(ohlc)
|
||||||
quote['broker_ts'] = quote['time']
|
quote['broker_ts'] = quote['time']
|
||||||
|
@ -371,11 +951,12 @@ def normalize(
|
||||||
|
|
||||||
|
|
||||||
def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
|
def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
|
||||||
"""Create a request subscription packet dict.
|
'''
|
||||||
|
Create a request subscription packet dict.
|
||||||
|
|
||||||
https://docs.kraken.com/websockets/#message-subscribe
|
https://docs.kraken.com/websockets/#message-subscribe
|
||||||
|
|
||||||
"""
|
'''
|
||||||
# eg. specific logic for this in kraken's sync client:
|
# eg. specific logic for this in kraken's sync client:
|
||||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||||
return {
|
return {
|
||||||
|
@ -393,8 +974,9 @@ async def backfill_bars(
|
||||||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||||
|
|
||||||
) -> None:
|
) -> None:
|
||||||
"""Fill historical bars into shared mem / storage afap.
|
'''
|
||||||
"""
|
Fill historical bars into shared mem / storage afap.
|
||||||
|
'''
|
||||||
with trio.CancelScope() as cs:
|
with trio.CancelScope() as cs:
|
||||||
async with open_cached_client('kraken') as client:
|
async with open_cached_client('kraken') as client:
|
||||||
bars = await client.bars(symbol=sym)
|
bars = await client.bars(symbol=sym)
|
||||||
|
@ -416,10 +998,12 @@ async def stream_quotes(
|
||||||
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
|
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
|
||||||
|
|
||||||
) -> None:
|
) -> None:
|
||||||
"""Subscribe for ohlc stream of quotes for ``pairs``.
|
'''
|
||||||
|
Subscribe for ohlc stream of quotes for ``pairs``.
|
||||||
|
|
||||||
``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
|
``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
|
||||||
"""
|
|
||||||
|
'''
|
||||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||||
|
|
||||||
|
@ -491,15 +1075,16 @@ async def stream_quotes(
|
||||||
# XXX: do we need to ack the unsub?
|
# XXX: do we need to ack the unsub?
|
||||||
# await ws.recv_msg()
|
# await ws.recv_msg()
|
||||||
|
|
||||||
# see the tips on reonnection logic:
|
# see the tips on reconnection logic:
|
||||||
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
||||||
|
ws: NoBsWs
|
||||||
async with open_autorecon_ws(
|
async with open_autorecon_ws(
|
||||||
'wss://ws.kraken.com/',
|
'wss://ws.kraken.com/',
|
||||||
fixture=subscribe,
|
fixture=subscribe,
|
||||||
) as ws:
|
) as ws:
|
||||||
|
|
||||||
# pull a first quote and deliver
|
# pull a first quote and deliver
|
||||||
msg_gen = stream_messages(ws)
|
msg_gen = process_data_feed_msgs(ws)
|
||||||
|
|
||||||
# TODO: use ``anext()`` when it lands in 3.10!
|
# TODO: use ``anext()`` when it lands in 3.10!
|
||||||
typ, ohlc_last = await msg_gen.__anext__()
|
typ, ohlc_last = await msg_gen.__anext__()
|
||||||
|
@ -558,6 +1143,7 @@ async def stream_quotes(
|
||||||
@tractor.context
|
@tractor.context
|
||||||
async def open_symbol_search(
|
async def open_symbol_search(
|
||||||
ctx: tractor.Context,
|
ctx: tractor.Context,
|
||||||
|
|
||||||
) -> Client:
|
) -> Client:
|
||||||
async with open_cached_client('kraken') as client:
|
async with open_cached_client('kraken') as client:
|
||||||
|
|
||||||
|
|
|
@ -493,7 +493,8 @@ async def open_brokerd_trades_dialogue(
|
||||||
finally:
|
finally:
|
||||||
# parent context must have been closed
|
# parent context must have been closed
|
||||||
# remove from cache so next client will respawn if needed
|
# remove from cache so next client will respawn if needed
|
||||||
_router.relays.pop(broker)
|
## TODO: Maybe add a warning
|
||||||
|
_router.relays.pop(broker, None)
|
||||||
|
|
||||||
|
|
||||||
@tractor.context
|
@tractor.context
|
||||||
|
|
|
@ -389,7 +389,7 @@ async def handle_order_requests(
|
||||||
account = request_msg['account']
|
account = request_msg['account']
|
||||||
if account != 'paper':
|
if account != 'paper':
|
||||||
log.error(
|
log.error(
|
||||||
'On a paper account, only a `paper` selection is valid'
|
'This is a paper account, only a `paper` selection is valid'
|
||||||
)
|
)
|
||||||
await ems_order_stream.send(BrokerdError(
|
await ems_order_stream.send(BrokerdError(
|
||||||
oid=request_msg['oid'],
|
oid=request_msg['oid'],
|
||||||
|
@ -463,7 +463,8 @@ async def trades_dialogue(
|
||||||
):
|
):
|
||||||
# TODO: load paper positions per broker from .toml config file
|
# TODO: load paper positions per broker from .toml config file
|
||||||
# and pass as symbol to position data mapping: ``dict[str, dict]``
|
# and pass as symbol to position data mapping: ``dict[str, dict]``
|
||||||
await ctx.started(({}, ['paper']))
|
# await ctx.started(all_positions)
|
||||||
|
await ctx.started(({}, {'paper',}))
|
||||||
|
|
||||||
async with (
|
async with (
|
||||||
ctx.open_stream() as ems_stream,
|
ctx.open_stream() as ems_stream,
|
||||||
|
|
|
@ -53,11 +53,13 @@ class NoBsWs:
|
||||||
def __init__(
|
def __init__(
|
||||||
self,
|
self,
|
||||||
url: str,
|
url: str,
|
||||||
|
token: str,
|
||||||
stack: AsyncExitStack,
|
stack: AsyncExitStack,
|
||||||
fixture: Callable,
|
fixture: Callable,
|
||||||
serializer: ModuleType = json,
|
serializer: ModuleType = json,
|
||||||
):
|
):
|
||||||
self.url = url
|
self.url = url
|
||||||
|
self.token = token
|
||||||
self.fixture = fixture
|
self.fixture = fixture
|
||||||
self._stack = stack
|
self._stack = stack
|
||||||
self._ws: 'WebSocketConnection' = None # noqa
|
self._ws: 'WebSocketConnection' = None # noqa
|
||||||
|
@ -81,9 +83,15 @@ class NoBsWs:
|
||||||
trio_websocket.open_websocket_url(self.url)
|
trio_websocket.open_websocket_url(self.url)
|
||||||
)
|
)
|
||||||
# rerun user code fixture
|
# rerun user code fixture
|
||||||
|
if self.token == '':
|
||||||
ret = await self._stack.enter_async_context(
|
ret = await self._stack.enter_async_context(
|
||||||
self.fixture(self)
|
self.fixture(self)
|
||||||
)
|
)
|
||||||
|
else:
|
||||||
|
ret = await self._stack.enter_async_context(
|
||||||
|
self.fixture(self, self.token)
|
||||||
|
)
|
||||||
|
|
||||||
assert ret is None
|
assert ret is None
|
||||||
|
|
||||||
log.info(f'Connection success: {self.url}')
|
log.info(f'Connection success: {self.url}')
|
||||||
|
@ -127,12 +135,14 @@ async def open_autorecon_ws(
|
||||||
|
|
||||||
# TODO: proper type annot smh
|
# TODO: proper type annot smh
|
||||||
fixture: Callable,
|
fixture: Callable,
|
||||||
|
# used for authenticated websockets
|
||||||
|
token: str = '',
|
||||||
) -> AsyncGenerator[tuple[...], NoBsWs]:
|
) -> AsyncGenerator[tuple[...], NoBsWs]:
|
||||||
"""Apparently we can QoS for all sorts of reasons..so catch em.
|
"""Apparently we can QoS for all sorts of reasons..so catch em.
|
||||||
|
|
||||||
"""
|
"""
|
||||||
async with AsyncExitStack() as stack:
|
async with AsyncExitStack() as stack:
|
||||||
ws = NoBsWs(url, stack, fixture=fixture)
|
ws = NoBsWs(url, token, stack, fixture=fixture)
|
||||||
await ws._connect()
|
await ws._connect()
|
||||||
|
|
||||||
try:
|
try:
|
||||||
|
|
Loading…
Reference in New Issue