From d327584039461551f0ec2335691ac6dca4471cc7 Mon Sep 17 00:00:00 2001 From: Guillermo Rodriguez Date: Tue, 4 May 2021 22:52:53 -0300 Subject: [PATCH] Rough translation of kraken backend to binance API, still missing some important parts --- piker/brokers/binance.py | 449 +++++++++++++++++++++++++++++++++++++++ 1 file changed, 449 insertions(+) create mode 100644 piker/brokers/binance.py diff --git a/piker/brokers/binance.py b/piker/brokers/binance.py new file mode 100644 index 00000000..1eac6edb --- /dev/null +++ b/piker/brokers/binance.py @@ -0,0 +1,449 @@ +# piker: trading gear for hackers +# Copyright (C) Guillermo Rodriguez (in stewardship for piker0) + +# This program is free software: you can redistribute it and/or modify +# it under the terms of the GNU Affero General Public License as published by +# the Free Software Foundation, either version 3 of the License, or +# (at your option) any later version. + +# This program is distributed in the hope that it will be useful, +# but WITHOUT ANY WARRANTY; without even the implied warranty of +# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the +# GNU Affero General Public License for more details. + +# You should have received a copy of the GNU Affero General Public License +# along with this program. If not, see . + +""" +Binance backend + +""" +from contextlib import asynccontextmanager, AsyncExitStack +from dataclasses import asdict, field +from types import ModuleType +from typing import List, Dict, Any, Tuple, Optional +import json +import time + +import trio_websocket +from trio_typing import TaskStatus +from trio_websocket._impl import ( + ConnectionClosed, + DisconnectionTimeout, + ConnectionRejected, + HandshakeError, + ConnectionTimeout, +) + +import arrow +import asks +import numpy as np +import trio +import tractor +from pydantic.dataclasses import dataclass +from pydantic import BaseModel + + +from .api import open_cached_client +from ._util import resproc, SymbolNotFound, BrokerError +from ..log import get_logger, get_console_log +from ..data import ShmArray + +log = get_logger(__name__) + + +_url = 'https://api.binance.com/' + + +# Broker specific ohlc schema +_ohlc_dtype = [ + ('kline_start_time', int), + ('kline_close_time', int), + ('symbol', str), + ('interval', str), + ('first_trade_id', int), + ('last_trade_id', int), + ('open', float), + ('close', float), + ('high', float), + ('low', float), + ('volume', float), + ('num_trades', int), + ('closed', bool), + ('quote_asset_volume', float), + ('taker_buy_base_asset_volume', float), + ('taker_buy_quote_asset_volume', float), + ('ignore', int) +] + +# UI components allow this to be declared such that additional +# (historical) fields can be exposed. +ohlc_dtype = np.dtype(_ohlc_dtype) + + +# https://binance-docs.github.io/apidocs/spot/en/#exchange-information +class Pair(BaseModel): + symbol: str + status: str + + base_asset: str + base_precision: int + quote_asset: str + quote_precision: int + quote_asset_precision: int + + order_types: List[str] + + iceberg_allowed: bool + oco_allowed: bool + is_spot_trading_allowed: bool + is_margin_trading_allowed: bool + + filters: List[str] + permissions: List[str] + + +@dataclass +class OHLC: + """Description of the flattened OHLC quote format. + + For schema details see: + https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams + """ + start_time: int + end_time: int + symbol: str + interval: str + first_id: int + last_id: int + open: float + high: float + low: float + close: float + base_vol: float + num_trades: int + closed: bool + quote_vol: float + buy_base_vol: float + buy_quote_vol: float + + +class Client: + + def __init__(self) -> None: + self._sesh = asks.Session(connections=4) + self._sesh.base_location = _url + + async def _api( + self, + method: str, + data: dict, + ) -> Dict[str, Any]: + resp = await self._sesh.post( + path=f'/api/v3/{method}', + params=data, + timeout=float('inf') + ) + return resproc(resp, log) + + async def symbol_info( + self, + sym: Optional[str] = None + ): + resp = await self._api('exchangeInfo', {}) + if sym is not None: + return [ + sym_info + for sym_info in resp['symbols'] + if sym_info['symbol'] == sym + ] + else: + return resp['symbols'] + + async def bars( + self, + symbol: str = 'BTCUSDT', + start_time: int = None, + end_time: int = None, + limit: int = 1000, # <- max allowed per query + as_np: bool = True, + ) -> dict: + if start_time is None: + start_time = int(arrow.utcnow().floor('minute').shift( + minutes=-limit).format('x')) + + if end_time is None: + end_time = int(arrow.utcnow().format('x')) + + json = await self._api( + 'klines', + { + 'symbol': symbol, + 'interval': '1m', + 'startTime': start_time, + 'endTime': end_time, + 'limit': limit + } + ) + + bars = next(iter(json)) + array = np.array(bars, dtype=_ohlc_dtype) if as_np else bars + return array + + +@asynccontextmanager +async def get_client() -> Client: + yield Client() + + +async def stream_messages(ws): + + too_slow_count = last_hb = 0 + + while True: + + with trio.move_on_after(5) as cs: + msg = await ws.recv_msg() + + breakpoint() + + +def normalize( + ohlc: OHLC, +) -> dict: + quote = asdict(ohlc) + quote['broker_ts'] = quote['start_time'] + quote['brokerd_ts'] = time.time() + quote['last'] = quote['close'] + + # print(quote) + return topic, quote + + +def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]: + """Create a request subscription packet dict. + + https://binance-docs.github.io/apidocs/spot/en/#live-subscribing-unsubscribing-to-streams + """ + return { + 'method': 'SUBSCRIBE', + 'params': [ + f'{pair}@{sub_name}' + for pair in pairs + ], + 'id': uid + } + + +class AutoReconWs: + """Make ``trio_websocketw` sockets stay up no matter the bs. + + """ + recon_errors = ( + ConnectionClosed, + DisconnectionTimeout, + ConnectionRejected, + HandshakeError, + ConnectionTimeout, + ) + + def __init__( + self, + url: str, + stack: AsyncExitStack, + serializer: ModuleType = json, + ): + self.url = url + self._stack = stack + self._ws: 'WebSocketConnection' = None # noqa + + async def _connect( + self, + tries: int = 10000, + ) -> None: + try: + await self._stack.aclose() + except (DisconnectionTimeout, RuntimeError): + await trio.sleep(1) + + last_err = None + for i in range(tries): + try: + self._ws = await self._stack.enter_async_context( + trio_websocket.open_websocket_url(self.url) + ) + log.info(f'Connection success: {self.url}') + return + except self.recon_errors as err: + last_err = err + log.error( + f'{self} connection bail with ' + f'{type(err)}...retry attempt {i}' + ) + await trio.sleep(1) + continue + else: + log.exception('ws connection fail...') + raise last_err + + async def send_msg( + self, + data: Any, + ) -> None: + while True: + try: + return await self._ws.send_message(json.dumps(data)) + except self.recon_errors: + await self._connect() + + async def recv_msg( + self, + ) -> Any: + while True: + try: + return json.loads(await self._ws.get_message()) + except self.recon_errors: + await self._connect() + + +@asynccontextmanager +async def open_autorecon_ws(url): + """Apparently we can QoS for all sorts of reasons..so catch em. + + """ + async with AsyncExitStack() as stack: + ws = AutoReconWs(url, stack) + + await ws._connect() + try: + yield ws + + finally: + await stack.aclose() + + +async def backfill_bars( + sym: str, + shm: ShmArray, # type: ignore # noqa + task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED, +) -> None: + """Fill historical bars into shared mem / storage afap. + """ + with trio.CancelScope() as cs: + async with open_cached_client('binance') as client: + bars = await client.bars(symbol=sym) + shm.push(bars) + task_status.started(cs) + + +async def stream_quotes( + + send_chan: trio.abc.SendChannel, + symbols: List[str], + shm: ShmArray, + feed_is_live: trio.Event, + loglevel: str = None, + + # startup sync + task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED, + +) -> None: + """Subscribe for ohlc stream of quotes for ``pairs``. + + ``pairs`` must be formatted . + """ + # XXX: required to propagate ``tractor`` loglevel to piker logging + get_console_log(loglevel or tractor.current_actor().loglevel) + + sym_infos = {} + uid = 0 + + async with open_cached_client('binance') as client, send_chan as send_chan: + + # keep client cached for real-time section + for sym in symbols: + syminfo = Pair(*await client.symbol_info(sym)) # validation + sym_infos[sym] = syminfo.dict() + + symbol = symbols[0] + + init_msgs = { + # pass back token, and bool, signalling if we're the writer + # and that history has been written + symbol: { + 'symbol_info': sym_infos[sym], + 'shm_write_opts': {'sum_tick_vml': False}, + }, + } + + async with open_autorecon_ws('wss://stream.binance.com:9443') as ws: + + # XXX: setup subs + ohlc_sub = make_sub(symbols, 'kline_1m', uid) + uid += 1 + + await ws.send_msg(ohlc_sub) + + # trade data (aka L1) + l1_sub = make_sub(symbols, 'trade', uid) + uid += 1 + + await ws.send_msg(l1_sub) + + # pull a first quote and deliver + msg_gen = stream_messages(ws) + + # TODO: use ``anext()`` when it lands in 3.10! + typ, ohlc_last = await msg_gen.__anext__() + + topic, quote = normalize(ohlc_last) + + first_quote = {topic: quote} + task_status.started((init_msgs, first_quote)) + + # lol, only "closes" when they're margin squeezing clients ;P + feed_is_live.set() + + # keep start of last interval for volume tracking + last_interval_start = ohlc_last.end_time + + # start streaming + async for typ, ohlc in msg_gen: + ... + # if typ == 'ohlc': + + # # TODO: can get rid of all this by using + # # ``trades`` subscription... + + # # generate tick values to match time & sales pane: + # # https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m + # volume = ohlc.volume + + # # new OHLC sample interval + # if ohlc.etime > last_interval_start: + # last_interval_start = ohlc.etime + # tick_volume = volume + + # else: + # # this is the tick volume *within the interval* + # tick_volume = volume - ohlc_last.volume + + # ohlc_last = ohlc + # last = ohlc.close + + # if tick_volume: + # ohlc.ticks.append({ + # 'type': 'trade', + # 'price': last, + # 'size': tick_volume, + # }) + + # topic, quote = normalize(ohlc) + + # elif typ == 'l1': + # quote = ohlc + # topic = quote['symbol'] + + # # XXX: format required by ``tractor.msg.pub`` + # # requires a ``Dict[topic: str, quote: dict]`` + # await send_chan.send({topic: quote})