Deribit api key changes introduce:

- `get_timestamp_int`: added this is the hack, so we can aboid use the custom deribit date format.

- `get_currencies`: added so we could get all deribit's available currencies.

- Also a couple of format fixes.
deribit_fix
Nelson Torres 2025-01-30 01:38:37 -03:00
parent a4954393f9
commit d475347e53
1 changed files with 44 additions and 24 deletions

View File

@ -52,12 +52,14 @@ from cryptofeed import FeedHandler
from cryptofeed.defines import (
DERIBIT,
L1_BOOK, TRADES,
OPTION, CALL, PUT
OPTION, CALL, PUT,
OPEN_INTEREST,
)
from cryptofeed.symbols import Symbol
from cryptofeed.types import (
L1Book,
Trade,
OpenInterest,
)
from piker.brokers import SymbolNotFound
from .venues import (
@ -110,20 +112,25 @@ def deribit_timestamp(when: datetime) -> int:
)
def get_timestamp_int(expiry_date: str) -> int:
return int(time.mktime(time.strptime(expiry_date, '%d%b%y')))
def str_to_cb_sym(name: str) -> Symbol:
base, strike_price, expiry_date, option_type = name.split('-')
quote = base
if option_type == 'put':
option_type = PUT
elif option_type == 'call':
option_type = PUT
elif option_type == 'call':
option_type = CALL
else:
raise Exception("Couldn\'t parse option type")
new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
new_expiry_date: int = get_timestamp_int(
get_values_from_cb_normalized_date(expiry_date)
)
return Symbol(
base=base,
quote=quote,
@ -143,11 +150,12 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
)= tuple(
name.upper().split('-'))
new_expiry_date = get_timestamp_int(expiry_date)
quote: str = base
if option_type == 'P':
option_type = PUT
elif option_type == 'C':
if option_type == 'P' or option_type == 'PUT':
option_type = PUT
elif option_type == 'C' or option_type == 'CALL':
option_type = CALL
else:
raise Exception("Couldn\'t parse option type")
@ -158,7 +166,7 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
type=OPTION,
strike_price=strike_price,
option_type=option_type,
expiry_date=expiry_date
expiry_date=new_expiry_date
)
@ -226,16 +234,18 @@ def get_config() -> dict[str, Any]:
)
conf_option = section.get('option', {})
section.clear # clear the dict to reuse it
section['deribit'] = {}
section['deribit']['key_id'] = conf_option.get('api_key')
section['deribit']['key_secret'] = conf_option.get('api_secret')
section['log'] = {}
section['log']['filename'] = 'feedhandler.log'
section['log']['level'] = 'DEBUG'
return section
conf_log = conf_option.get('log', {})
return {
'deribit': {
'key_id': conf_option['key_id'],
'key_secret': conf_option['key_secret'],
},
'log': {
'filename': conf_log['filename'],
'level': conf_log['level'],
'disabled': conf_log['disabled'],
}
}
class Client:
@ -311,6 +321,20 @@ class Client:
return balances
async def get_currencies(
self,
) -> list[dict]:
'''
Return the set of currencies for deribit.
'''
assets = {}
resp = await self._json_rpc_auth_wrapper(
'public/get_currencies',
params={}
)
return resp.result
async def get_assets(
self,
venue: str | None = None,
@ -323,11 +347,7 @@ class Client:
'''
assets = {}
resp = await self._json_rpc_auth_wrapper(
'public/get_currencies',
params={}
)
currencies: list[dict] = resp.result
currencies = await self.get_currencies()
for currency in currencies:
name: str = currency['currency']
tx_tick: Decimal = digits_to_dec(currency['fee_precision'])