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