Factor data feeds endpoints into new sub-mod
Tyler Goodlet
parent
f87a2a810a
commit
d3caad6e11
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@ -27,16 +27,16 @@ Sub-modules within break into the core functionalities:
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'''
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'''
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from .api import (
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from .api import (
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get_client,
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get_client,
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)
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from .feed import (
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open_history_client,
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open_history_client,
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open_symbol_search,
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open_symbol_search,
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stream_quotes,
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stream_quotes,
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)
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)
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# TODO:
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# from .feed import (
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# )
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from .broker import (
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from .broker import (
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trades_dialogue,
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trades_dialogue,
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# TODO:
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# TODO: part of pps/ledger work
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# norm_trade_records,
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# norm_trade_records,
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)
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)
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@ -52,7 +52,6 @@ __all__ = [
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# tractor RPC enable arg
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# tractor RPC enable arg
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__enable_modules__: list[str] = [
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__enable_modules__: list[str] = [
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'api',
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'api',
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# TODO:
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'feed',
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# 'feed',
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'broker',
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'broker',
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]
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]
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@ -19,38 +19,34 @@ Kraken web API wrapping.
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'''
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'''
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from contextlib import asynccontextmanager as acm
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict, field
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from dataclasses import field
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from datetime import datetime
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from datetime import datetime
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from typing import Any, Optional, Callable, Union
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from typing import (
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Any,
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Optional,
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Union,
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)
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import time
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import time
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from trio_typing import TaskStatus
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import trio
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import trio
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import pendulum
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import pendulum
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import asks
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import asks
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from fuzzywuzzy import process as fuzzy
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import numpy as np
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import tractor
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from pydantic.dataclasses import dataclass
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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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import urllib.parse
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import urllib.parse
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import hashlib
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import hashlib
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import hmac
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import hmac
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import base64
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import base64
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from piker import config
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from piker import config
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from piker._cacheables import open_cached_client
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from piker.brokers._util import (
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from piker.brokers._util import (
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resproc,
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resproc,
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SymbolNotFound,
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SymbolNotFound,
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BrokerError,
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BrokerError,
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DataThrottle,
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DataThrottle,
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DataUnavailable,
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)
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)
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from piker.log import get_logger, get_console_log
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from piker.log import get_logger
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from piker.data import ShmArray
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from piker.data._web_bs import open_autorecon_ws, NoBsWs
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log = get_logger(__name__)
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log = get_logger(__name__)
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@ -76,47 +72,11 @@ _ohlc_dtype = [
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ohlc_dtype = np.dtype(_ohlc_dtype)
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ohlc_dtype = np.dtype(_ohlc_dtype)
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_show_wap_in_history = True
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_show_wap_in_history = True
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_symbol_info_translation: dict[str, str] = {
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_symbol_info_translation: dict[str, str] = {
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'tick_decimals': 'pair_decimals',
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'tick_decimals': 'pair_decimals',
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}
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}
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# https://www.kraken.com/features/api#get-tradable-pairs
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class Pair(BaseModel):
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altname: str # alternate pair name
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wsname: str # WebSocket pair name (if available)
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aclass_base: str # asset class of base component
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base: str # asset id of base component
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aclass_quote: str # asset class of quote component
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quote: str # asset id of quote component
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lot: str # volume lot size
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pair_decimals: int # scaling decimal places for pair
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lot_decimals: int # scaling decimal places for volume
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# amount to multiply lot volume by to get currency volume
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lot_multiplier: float
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# array of leverage amounts available when buying
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leverage_buy: list[int]
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# array of leverage amounts available when selling
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leverage_sell: list[int]
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# fee schedule array in [volume, percent fee] tuples
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fees: list[tuple[int, float]]
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# maker fee schedule array in [volume, percent fee] tuples (if on
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# maker/taker)
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fees_maker: list[tuple[int, float]]
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fee_volume_currency: str # volume discount currency
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margin_call: str # margin call level
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margin_stop: str # stop-out/liquidation margin level
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ordermin: float # minimum order volume for pair
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@dataclass
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@dataclass
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class OHLC:
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class OHLC:
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'''
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'''
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@ -485,380 +445,3 @@ def normalize_symbol(
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if sym in ticker:
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if sym in ticker:
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ticker = ticker.replace(sym, sym[1:])
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ticker = ticker.replace(sym, sym[1:])
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return ticker.lower()
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return ticker.lower()
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async def stream_messages(
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ws: NoBsWs,
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):
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'''
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Message stream parser and heartbeat handler.
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Deliver ws subscription messages as well as handle heartbeat logic
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though a single async generator.
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'''
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too_slow_count = last_hb = 0
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while True:
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with trio.move_on_after(5) as cs:
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msg = await ws.recv_msg()
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# trigger reconnection if heartbeat is laggy
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if cs.cancelled_caught:
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too_slow_count += 1
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if too_slow_count > 20:
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log.warning(
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"Heartbeat is too slow, resetting ws connection")
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await ws._connect()
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too_slow_count = 0
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continue
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if isinstance(msg, dict):
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if msg.get('event') == 'heartbeat':
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now = time.time()
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delay = now - last_hb
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last_hb = now
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# XXX: why tf is this not printing without --tl flag?
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log.debug(f"Heartbeat after {delay}")
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# print(f"Heartbeat after {delay}")
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continue
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err = msg.get('errorMessage')
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if err:
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raise BrokerError(err)
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else:
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yield msg
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async def process_data_feed_msgs(
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ws: NoBsWs,
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):
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'''
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Parse and pack data feed messages.
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'''
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async for msg in stream_messages(ws):
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chan_id, *payload_array, chan_name, pair = msg
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if 'ohlc' in chan_name:
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yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
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elif 'spread' in chan_name:
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bid, ask, ts, bsize, asize = map(float, payload_array[0])
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# TODO: really makes you think IB has a horrible API...
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quote = {
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'symbol': pair.replace('/', ''),
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'ticks': [
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{'type': 'bid', 'price': bid, 'size': bsize},
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{'type': 'bsize', 'price': bid, 'size': bsize},
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{'type': 'ask', 'price': ask, 'size': asize},
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{'type': 'asize', 'price': ask, 'size': asize},
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],
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}
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yield 'l1', quote
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# elif 'book' in msg[-2]:
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# chan_id, *payload_array, chan_name, pair = msg
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# print(msg)
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else:
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print(f'UNHANDLED MSG: {msg}')
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yield msg
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def normalize(
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ohlc: OHLC,
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) -> dict:
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quote = asdict(ohlc)
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quote['broker_ts'] = quote['time']
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quote['brokerd_ts'] = time.time()
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quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
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quote['last'] = quote['close']
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quote['bar_wap'] = ohlc.vwap
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# seriously eh? what's with this non-symmetry everywhere
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# in subscription systems...
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# XXX: piker style is always lowercases symbols.
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topic = quote['pair'].replace('/', '').lower()
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# print(quote)
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return topic, quote
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def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
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'''
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Create a request subscription packet dict.
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https://docs.kraken.com/websockets/#message-subscribe
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'''
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# eg. specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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'pair': pairs,
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'event': 'subscribe',
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'subscription': data,
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}
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@acm
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async def open_history_client(
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symbol: str,
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) -> tuple[Callable, int]:
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# TODO implement history getter for the new storage layer.
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async with open_cached_client('kraken') as client:
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# lol, kraken won't send any more then the "last"
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# 720 1m bars.. so we have to just ignore further
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# requests of this type..
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queries: int = 0
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async def get_ohlc(
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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) -> tuple[
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np.ndarray,
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datetime, # start
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datetime, # end
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]:
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nonlocal queries
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if queries > 0:
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raise DataUnavailable
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count = 0
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while count <= 3:
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try:
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array = await client.bars(
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symbol,
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since=end_dt,
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)
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count += 1
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queries += 1
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break
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except DataThrottle:
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log.warning(f'kraken OHLC throttle for {symbol}')
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await trio.sleep(1)
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start_dt = pendulum.from_timestamp(array[0]['time'])
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end_dt = pendulum.from_timestamp(array[-1]['time'])
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return array, start_dt, end_dt
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yield get_ohlc, {'erlangs': 1, 'rate': 1}
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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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count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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'''
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Fill historical bars into shared mem / storage afap.
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'''
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with trio.CancelScope() as cs:
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async with open_cached_client('kraken') as client:
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bars = await client.bars(symbol=sym)
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shm.push(bars)
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task_status.started(cs)
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async def stream_quotes(
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send_chan: trio.abc.SendChannel,
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symbols: list[str],
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feed_is_live: trio.Event,
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loglevel: str = None,
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# backend specific
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sub_type: str = 'ohlc',
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# startup sync
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task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
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) -> None:
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'''
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Subscribe for ohlc stream of quotes for ``pairs``.
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``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
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'''
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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ws_pairs = {}
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sym_infos = {}
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async with open_cached_client('kraken') as client, send_chan as send_chan:
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# keep client cached for real-time section
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for sym in symbols:
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# transform to upper since piker style is always lower
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sym = sym.upper()
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si = Pair(**await client.symbol_info(sym)) # validation
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syminfo = si.dict()
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syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
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syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
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syminfo['asset_type'] = 'crypto'
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sym_infos[sym] = syminfo
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ws_pairs[sym] = si.wsname
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symbol = symbols[0].lower()
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init_msgs = {
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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symbol: {
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'symbol_info': sym_infos[sym],
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'shm_write_opts': {'sum_tick_vml': False},
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'fqsn': sym,
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},
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}
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@acm
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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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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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ohlc_sub = make_sub(
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list(ws_pairs.values()),
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{'name': 'ohlc', 'interval': 1}
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)
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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# since internally the ws methods appear to be FIFO
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# locked.
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await ws.send_msg(ohlc_sub)
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# trade data (aka L1)
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l1_sub = make_sub(
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list(ws_pairs.values()),
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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': list(ws_pairs.values()),
|
|
||||||
'event': 'unsubscribe',
|
|
||||||
'subscription': ['ohlc', 'spread'],
|
|
||||||
})
|
|
||||||
|
|
||||||
# XXX: do we need to ack the unsub?
|
|
||||||
# await ws.recv_msg()
|
|
||||||
|
|
||||||
# see the tips on reconnection logic:
|
|
||||||
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
|
||||||
ws: NoBsWs
|
|
||||||
async with open_autorecon_ws(
|
|
||||||
'wss://ws.kraken.com/',
|
|
||||||
fixture=subscribe,
|
|
||||||
) as ws:
|
|
||||||
|
|
||||||
# pull a first quote and deliver
|
|
||||||
msg_gen = process_data_feed_msgs(ws)
|
|
||||||
|
|
||||||
# TODO: use ``anext()`` when it lands in 3.10!
|
|
||||||
typ, ohlc_last = await msg_gen.__anext__()
|
|
||||||
|
|
||||||
topic, quote = normalize(ohlc_last)
|
|
||||||
|
|
||||||
task_status.started((init_msgs, 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.etime
|
|
||||||
|
|
||||||
# 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'].lower()
|
|
||||||
|
|
||||||
await send_chan.send({topic: quote})
|
|
||||||
|
|
||||||
|
|
||||||
@tractor.context
|
|
||||||
async def open_symbol_search(
|
|
||||||
ctx: tractor.Context,
|
|
||||||
|
|
||||||
) -> Client:
|
|
||||||
async with open_cached_client('kraken') as client:
|
|
||||||
|
|
||||||
# load all symbols locally for fast search
|
|
||||||
cache = await client.cache_symbols()
|
|
||||||
await ctx.started(cache)
|
|
||||||
|
|
||||||
async with ctx.open_stream() as stream:
|
|
||||||
|
|
||||||
async for pattern in stream:
|
|
||||||
|
|
||||||
matches = fuzzy.extractBests(
|
|
||||||
pattern,
|
|
||||||
cache,
|
|
||||||
score_cutoff=50,
|
|
||||||
)
|
|
||||||
# repack in dict form
|
|
||||||
await stream.send(
|
|
||||||
{item[0]['altname']: item[0]
|
|
||||||
for item in matches}
|
|
||||||
)
|
|
||||||
|
|
|
||||||
|
|
@ -44,9 +44,11 @@ from .api import (
|
||||||
Client,
|
Client,
|
||||||
BrokerError,
|
BrokerError,
|
||||||
get_client,
|
get_client,
|
||||||
get_console_log,
|
|
||||||
log,
|
log,
|
||||||
normalize_symbol,
|
normalize_symbol,
|
||||||
|
)
|
||||||
|
from .feed import (
|
||||||
|
get_console_log,
|
||||||
open_autorecon_ws,
|
open_autorecon_ws,
|
||||||
NoBsWs,
|
NoBsWs,
|
||||||
stream_messages,
|
stream_messages,
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,464 @@
|
||||||
|
# piker: trading gear for hackers
|
||||||
|
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||||
|
|
||||||
|
# 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 <https://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
|
'''
|
||||||
|
Real-time and historical data feed endpoints.
|
||||||
|
|
||||||
|
'''
|
||||||
|
from contextlib import asynccontextmanager as acm
|
||||||
|
from dataclasses import asdict
|
||||||
|
from datetime import datetime
|
||||||
|
from typing import (
|
||||||
|
Any,
|
||||||
|
Optional,
|
||||||
|
Callable,
|
||||||
|
)
|
||||||
|
import time
|
||||||
|
|
||||||
|
from fuzzywuzzy import process as fuzzy
|
||||||
|
import numpy as np
|
||||||
|
import pendulum
|
||||||
|
from pydantic import BaseModel
|
||||||
|
from trio_typing import TaskStatus
|
||||||
|
import tractor
|
||||||
|
import trio
|
||||||
|
import wsproto
|
||||||
|
|
||||||
|
from piker._cacheables import open_cached_client
|
||||||
|
from piker.brokers._util import (
|
||||||
|
BrokerError,
|
||||||
|
DataThrottle,
|
||||||
|
DataUnavailable,
|
||||||
|
)
|
||||||
|
from piker.log import get_console_log
|
||||||
|
from piker.data import ShmArray
|
||||||
|
from piker.data._web_bs import open_autorecon_ws, NoBsWs
|
||||||
|
from .api import (
|
||||||
|
Client,
|
||||||
|
log,
|
||||||
|
OHLC,
|
||||||
|
)
|
||||||
|
|
||||||
|
|
||||||
|
# https://www.kraken.com/features/api#get-tradable-pairs
|
||||||
|
class Pair(BaseModel):
|
||||||
|
altname: str # alternate pair name
|
||||||
|
wsname: str # WebSocket pair name (if available)
|
||||||
|
aclass_base: str # asset class of base component
|
||||||
|
base: str # asset id of base component
|
||||||
|
aclass_quote: str # asset class of quote component
|
||||||
|
quote: str # asset id of quote component
|
||||||
|
lot: str # volume lot size
|
||||||
|
|
||||||
|
pair_decimals: int # scaling decimal places for pair
|
||||||
|
lot_decimals: int # scaling decimal places for volume
|
||||||
|
|
||||||
|
# amount to multiply lot volume by to get currency volume
|
||||||
|
lot_multiplier: float
|
||||||
|
|
||||||
|
# array of leverage amounts available when buying
|
||||||
|
leverage_buy: list[int]
|
||||||
|
# array of leverage amounts available when selling
|
||||||
|
leverage_sell: list[int]
|
||||||
|
|
||||||
|
# fee schedule array in [volume, percent fee] tuples
|
||||||
|
fees: list[tuple[int, float]]
|
||||||
|
|
||||||
|
# maker fee schedule array in [volume, percent fee] tuples (if on
|
||||||
|
# maker/taker)
|
||||||
|
fees_maker: list[tuple[int, float]]
|
||||||
|
|
||||||
|
fee_volume_currency: str # volume discount currency
|
||||||
|
margin_call: str # margin call level
|
||||||
|
margin_stop: str # stop-out/liquidation margin level
|
||||||
|
ordermin: float # minimum order volume for pair
|
||||||
|
|
||||||
|
|
||||||
|
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
|
||||||
|
|
||||||
|
while True:
|
||||||
|
|
||||||
|
with trio.move_on_after(5) as cs:
|
||||||
|
msg = await ws.recv_msg()
|
||||||
|
|
||||||
|
# trigger reconnection if heartbeat is laggy
|
||||||
|
if cs.cancelled_caught:
|
||||||
|
|
||||||
|
too_slow_count += 1
|
||||||
|
|
||||||
|
if too_slow_count > 20:
|
||||||
|
log.warning(
|
||||||
|
"Heartbeat is too slow, resetting ws connection")
|
||||||
|
|
||||||
|
await ws._connect()
|
||||||
|
too_slow_count = 0
|
||||||
|
continue
|
||||||
|
|
||||||
|
if isinstance(msg, dict):
|
||||||
|
if msg.get('event') == 'heartbeat':
|
||||||
|
|
||||||
|
now = time.time()
|
||||||
|
delay = now - last_hb
|
||||||
|
last_hb = now
|
||||||
|
|
||||||
|
# XXX: why tf is this not printing without --tl flag?
|
||||||
|
log.debug(f"Heartbeat after {delay}")
|
||||||
|
# print(f"Heartbeat after {delay}")
|
||||||
|
|
||||||
|
continue
|
||||||
|
|
||||||
|
err = msg.get('errorMessage')
|
||||||
|
if err:
|
||||||
|
raise BrokerError(err)
|
||||||
|
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
|
||||||
|
|
||||||
|
if 'ohlc' in chan_name:
|
||||||
|
|
||||||
|
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
||||||
|
|
||||||
|
elif 'spread' in chan_name:
|
||||||
|
|
||||||
|
bid, ask, ts, bsize, asize = map(float, payload_array[0])
|
||||||
|
|
||||||
|
# TODO: really makes you think IB has a horrible API...
|
||||||
|
quote = {
|
||||||
|
'symbol': pair.replace('/', ''),
|
||||||
|
'ticks': [
|
||||||
|
{'type': 'bid', 'price': bid, 'size': bsize},
|
||||||
|
{'type': 'bsize', 'price': bid, 'size': bsize},
|
||||||
|
|
||||||
|
{'type': 'ask', 'price': ask, 'size': asize},
|
||||||
|
{'type': 'asize', 'price': ask, 'size': asize},
|
||||||
|
],
|
||||||
|
}
|
||||||
|
yield 'l1', quote
|
||||||
|
|
||||||
|
# elif 'book' in msg[-2]:
|
||||||
|
# chan_id, *payload_array, chan_name, pair = msg
|
||||||
|
# print(msg)
|
||||||
|
|
||||||
|
else:
|
||||||
|
print(f'UNHANDLED MSG: {msg}')
|
||||||
|
yield msg
|
||||||
|
|
||||||
|
|
||||||
|
def normalize(
|
||||||
|
ohlc: OHLC,
|
||||||
|
|
||||||
|
) -> dict:
|
||||||
|
quote = asdict(ohlc)
|
||||||
|
quote['broker_ts'] = quote['time']
|
||||||
|
quote['brokerd_ts'] = time.time()
|
||||||
|
quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
|
||||||
|
quote['last'] = quote['close']
|
||||||
|
quote['bar_wap'] = ohlc.vwap
|
||||||
|
|
||||||
|
# seriously eh? what's with this non-symmetry everywhere
|
||||||
|
# in subscription systems...
|
||||||
|
# XXX: piker style is always lowercases symbols.
|
||||||
|
topic = quote['pair'].replace('/', '').lower()
|
||||||
|
|
||||||
|
# print(quote)
|
||||||
|
return topic, quote
|
||||||
|
|
||||||
|
|
||||||
|
def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
|
||||||
|
'''
|
||||||
|
Create a request subscription packet dict.
|
||||||
|
|
||||||
|
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 {
|
||||||
|
'pair': pairs,
|
||||||
|
'event': 'subscribe',
|
||||||
|
'subscription': data,
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
@acm
|
||||||
|
async def open_history_client(
|
||||||
|
symbol: str,
|
||||||
|
|
||||||
|
) -> tuple[Callable, int]:
|
||||||
|
|
||||||
|
# TODO implement history getter for the new storage layer.
|
||||||
|
async with open_cached_client('kraken') as client:
|
||||||
|
|
||||||
|
# lol, kraken won't send any more then the "last"
|
||||||
|
# 720 1m bars.. so we have to just ignore further
|
||||||
|
# requests of this type..
|
||||||
|
queries: int = 0
|
||||||
|
|
||||||
|
async def get_ohlc(
|
||||||
|
end_dt: Optional[datetime] = None,
|
||||||
|
start_dt: Optional[datetime] = None,
|
||||||
|
|
||||||
|
) -> tuple[
|
||||||
|
np.ndarray,
|
||||||
|
datetime, # start
|
||||||
|
datetime, # end
|
||||||
|
]:
|
||||||
|
|
||||||
|
nonlocal queries
|
||||||
|
if queries > 0:
|
||||||
|
raise DataUnavailable
|
||||||
|
|
||||||
|
count = 0
|
||||||
|
while count <= 3:
|
||||||
|
try:
|
||||||
|
array = await client.bars(
|
||||||
|
symbol,
|
||||||
|
since=end_dt,
|
||||||
|
)
|
||||||
|
count += 1
|
||||||
|
queries += 1
|
||||||
|
break
|
||||||
|
except DataThrottle:
|
||||||
|
log.warning(f'kraken OHLC throttle for {symbol}')
|
||||||
|
await trio.sleep(1)
|
||||||
|
|
||||||
|
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||||
|
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||||
|
return array, start_dt, end_dt
|
||||||
|
|
||||||
|
yield get_ohlc, {'erlangs': 1, 'rate': 1}
|
||||||
|
|
||||||
|
|
||||||
|
async def backfill_bars(
|
||||||
|
|
||||||
|
sym: str,
|
||||||
|
shm: ShmArray, # type: ignore # noqa
|
||||||
|
count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
|
||||||
|
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('kraken') 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],
|
||||||
|
feed_is_live: trio.Event,
|
||||||
|
loglevel: str = None,
|
||||||
|
|
||||||
|
# backend specific
|
||||||
|
sub_type: str = 'ohlc',
|
||||||
|
|
||||||
|
# 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 <crypto_symbol>/<fiat_symbol>.
|
||||||
|
|
||||||
|
'''
|
||||||
|
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||||
|
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||||
|
|
||||||
|
ws_pairs = {}
|
||||||
|
sym_infos = {}
|
||||||
|
|
||||||
|
async with open_cached_client('kraken') as client, send_chan as send_chan:
|
||||||
|
|
||||||
|
# keep client cached for real-time section
|
||||||
|
for sym in symbols:
|
||||||
|
|
||||||
|
# transform to upper since piker style is always lower
|
||||||
|
sym = sym.upper()
|
||||||
|
|
||||||
|
si = Pair(**await client.symbol_info(sym)) # validation
|
||||||
|
syminfo = si.dict()
|
||||||
|
syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
|
||||||
|
syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
|
||||||
|
syminfo['asset_type'] = 'crypto'
|
||||||
|
sym_infos[sym] = syminfo
|
||||||
|
ws_pairs[sym] = si.wsname
|
||||||
|
|
||||||
|
symbol = symbols[0].lower()
|
||||||
|
|
||||||
|
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},
|
||||||
|
'fqsn': sym,
|
||||||
|
},
|
||||||
|
}
|
||||||
|
|
||||||
|
@acm
|
||||||
|
async def subscribe(ws: wsproto.WSConnection):
|
||||||
|
# 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
|
||||||
|
ohlc_sub = make_sub(
|
||||||
|
list(ws_pairs.values()),
|
||||||
|
{'name': 'ohlc', 'interval': 1}
|
||||||
|
)
|
||||||
|
|
||||||
|
# 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(ohlc_sub)
|
||||||
|
|
||||||
|
# trade data (aka L1)
|
||||||
|
l1_sub = make_sub(
|
||||||
|
list(ws_pairs.values()),
|
||||||
|
{'name': 'spread'} # 'depth': 10}
|
||||||
|
)
|
||||||
|
|
||||||
|
# pull a first quote and deliver
|
||||||
|
await ws.send_msg(l1_sub)
|
||||||
|
|
||||||
|
yield
|
||||||
|
|
||||||
|
# unsub from all pairs on teardown
|
||||||
|
await ws.send_msg({
|
||||||
|
'pair': list(ws_pairs.values()),
|
||||||
|
'event': 'unsubscribe',
|
||||||
|
'subscription': ['ohlc', 'spread'],
|
||||||
|
})
|
||||||
|
|
||||||
|
# XXX: do we need to ack the unsub?
|
||||||
|
# await ws.recv_msg()
|
||||||
|
|
||||||
|
# see the tips on reconnection logic:
|
||||||
|
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
||||||
|
ws: NoBsWs
|
||||||
|
async with open_autorecon_ws(
|
||||||
|
'wss://ws.kraken.com/',
|
||||||
|
fixture=subscribe,
|
||||||
|
) as ws:
|
||||||
|
|
||||||
|
# pull a first quote and deliver
|
||||||
|
msg_gen = process_data_feed_msgs(ws)
|
||||||
|
|
||||||
|
# TODO: use ``anext()`` when it lands in 3.10!
|
||||||
|
typ, ohlc_last = await msg_gen.__anext__()
|
||||||
|
|
||||||
|
topic, quote = normalize(ohlc_last)
|
||||||
|
|
||||||
|
task_status.started((init_msgs, 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.etime
|
||||||
|
|
||||||
|
# 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'].lower()
|
||||||
|
|
||||||
|
await send_chan.send({topic: quote})
|
||||||
|
|
||||||
|
|
||||||
|
@tractor.context
|
||||||
|
async def open_symbol_search(
|
||||||
|
ctx: tractor.Context,
|
||||||
|
|
||||||
|
) -> Client:
|
||||||
|
async with open_cached_client('kraken') as client:
|
||||||
|
|
||||||
|
# load all symbols locally for fast search
|
||||||
|
cache = await client.cache_symbols()
|
||||||
|
await ctx.started(cache)
|
||||||
|
|
||||||
|
async with ctx.open_stream() as stream:
|
||||||
|
|
||||||
|
async for pattern in stream:
|
||||||
|
|
||||||
|
matches = fuzzy.extractBests(
|
||||||
|
pattern,
|
||||||
|
cache,
|
||||||
|
score_cutoff=50,
|
||||||
|
)
|
||||||
|
# repack in dict form
|
||||||
|
await stream.send(
|
||||||
|
{item[0]['altname']: item[0]
|
||||||
|
for item in matches}
|
||||||
|
)
|
||||||
Loading…
Reference in New Issue