Support USD-M futes live feeds and exchange info
Add the usd-futes "Pair" type and thus ability to load all exchange (info for) contracts settled in USDT. Luckily we don't seem to have to modify anything in the `Client` interface (yet) other then a new `.mkt_mode: str` which determines which endpoint set to make requests. Obviously data received from endpoints will likely need diff handling as per below. Deats: - add a bunch more API and WSS top level domains to `.api` with comments - start a `.binance.schemas` module to house the structs for loading different `Pair` subtypes depending on target market: `SpotPair`, `FutesPair`, .. etc. and implement required `MktPair` fields on the new futes type for compatibility with the clearing layer. - add `Client.mkt_mode: str` and a method lookup for endpoint parent paths depending on market via `.mkt_req: dict` Also related to live feeds, - drop `Struct` typecasting instead opting for specific fields both for speed and simplicity atm. - breakout `subscribe()` into module level acm from being embedded closure. - for now swap over the ws feed to be strictly the futes ep (while testing) and set the `.mkt_mode = 'usd_futes'`. - hack in `Client._pairs` to only load `FutesPair`s until we figure out whether we want separate `Client` instances per market or not..basic_buy_bot
Tyler Goodlet
parent
ae1c5a0db0
commit
dac93dd8f8
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@ -27,10 +27,10 @@ from contextlib import (
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asynccontextmanager as acm,
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)
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from datetime import datetime
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from decimal import Decimal
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from typing import (
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Any,
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Union,
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Callable,
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Literal,
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)
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import hmac
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import hashlib
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@ -52,6 +52,10 @@ from piker.brokers._util import (
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SymbolNotFound,
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get_logger,
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)
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from .schemas import (
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SpotPair,
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FutesPair,
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)
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log = get_logger('piker.brokers.binance')
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@ -74,9 +78,26 @@ def get_config() -> dict:
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log = get_logger(__name__)
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_url = 'https://api.binance.com'
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_sapi_url = 'https://api.binance.com'
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_fapi_url = 'https://testnet.binancefuture.com'
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_domain: str = 'binance.com'
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_spot_url = _url = f'https://api.{_domain}'
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_futes_url = f'https://fapi.{_domain}'
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# test nets
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_testnet_futes_url = 'https://testnet.binancefuture.com'
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# WEBsocketz
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# NOTE XXX: see api docs which show diff addr?
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# https://developers.binance.com/docs/binance-trading-api/websocket_api#general-api-information
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_spot_ws: str = 'wss://stream.binance.com/ws'
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# 'wss://ws-api.binance.com:443/ws-api/v3',
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# NOTE: spot test network only allows certain ep sets:
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# https://testnet.binance.vision/
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_testnet_spot_ws: str = 'wss://testnet.binance.vision/ws-api/v3'
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# https://binance-docs.github.io/apidocs/futures/en/#websocket-market-streams
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_futes_ws: str = f'wss://fstream.{_domain}/ws/'
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_auth_futes_ws: str = 'wss://fstream-auth.{_domain}/ws/'
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# Broker specific ohlc schema (rest)
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@ -92,61 +113,6 @@ _fapi_url = 'https://testnet.binancefuture.com'
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# ('ignore', float),
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# ]
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# UI components allow this to be declared such that additional
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# (historical) fields can be exposed.
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# ohlc_dtype = np.dtype(_ohlc_dtype)
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_show_wap_in_history = False
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# https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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# TODO: make this frozen again by pre-processing the
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# filters list to a dict at init time?
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class Pair(Struct, frozen=True):
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symbol: str
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status: str
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baseAsset: str
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baseAssetPrecision: int
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cancelReplaceAllowed: bool
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allowTrailingStop: bool
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quoteAsset: str
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quotePrecision: int
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quoteAssetPrecision: int
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baseCommissionPrecision: int
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quoteCommissionPrecision: int
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orderTypes: list[str]
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icebergAllowed: bool
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ocoAllowed: bool
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quoteOrderQtyMarketAllowed: bool
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isSpotTradingAllowed: bool
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isMarginTradingAllowed: bool
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defaultSelfTradePreventionMode: str
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allowedSelfTradePreventionModes: list[str]
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filters: dict[
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str,
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Union[str, int, float]
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]
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permissions: list[str]
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@property
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def price_tick(self) -> Decimal:
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# XXX: lul, after manually inspecting the response format we
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# just directly pick out the info we need
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step_size: str = self.filters['PRICE_FILTER']['tickSize'].rstrip('0')
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return Decimal(step_size)
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@property
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def size_tick(self) -> Decimal:
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step_size: str = self.filters['LOT_SIZE']['stepSize'].rstrip('0')
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return Decimal(step_size)
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class OHLC(Struct):
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'''
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@ -184,24 +150,43 @@ def binance_timestamp(
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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class Client:
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MarketType: Literal[
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'spot',
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'margin',
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'usd_futes',
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'coin_futes',
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]
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def __init__(self) -> None:
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class Client:
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'''
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Async ReST API client using ``trio`` + ``asks`` B)
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Supports all of the spot, margin and futures endpoints depending
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on method.
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'''
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def __init__(
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self,
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mkt_mode: MarketType = 'spot',
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) -> None:
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self._pairs: dict[str, Pair] = {} # mkt info table
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# live EP sesh
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# spot EPs sesh
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self._sesh = asks.Session(connections=4)
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self._sesh.base_location: str = _url
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# futes testnet rest EPs
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self._fapi_sesh = asks.Session(connections=4)
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self._fapi_sesh.base_location = _fapi_url
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# sync rest API
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# margin and extended spot endpoints session.
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self._sapi_sesh = asks.Session(connections=4)
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self._sapi_sesh.base_location = _sapi_url
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self._sapi_sesh.base_location: str = _url
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# futes EPs sesh
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self._fapi_sesh = asks.Session(connections=4)
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self._fapi_sesh.base_location: str = _futes_url
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# for creating API keys see,
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# https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
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conf: dict = get_config()
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self.api_key: str = conf.get('api_key', '')
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self.api_secret: str = conf.get('api_secret', '')
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@ -211,8 +196,16 @@ class Client:
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if self.api_key:
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api_key_header = {'X-MBX-APIKEY': self.api_key}
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self._sesh.headers.update(api_key_header)
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self._fapi_sesh.headers.update(api_key_header)
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self._sapi_sesh.headers.update(api_key_header)
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self._fapi_sesh.headers.update(api_key_header)
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self.mkt_mode: MarketType = mkt_mode
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self.mkt_req: dict[str, Callable] = {
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'spot': self._api,
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'margin': self._sapi,
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'usd_futes': self._fapi,
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# 'futes_coin': self._dapi, # TODO
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}
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def _get_signature(self, data: OrderedDict) -> str:
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@ -235,6 +228,9 @@ class Client:
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)
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return msg_auth.hexdigest()
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# TODO: factor all these _api methods into a single impl
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# which looks up the parent path for eps depending on a
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# mkt_mode: MarketType input!
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async def _api(
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self,
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method: str,
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@ -243,7 +239,15 @@ class Client:
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action: str = 'get'
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) -> dict[str, Any]:
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'''
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Make a /api/v3/ SPOT account/market endpoint request.
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For eg. rest market-data and spot-account-trade eps use
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this endpoing parent path:
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- https://binance-docs.github.io/apidocs/spot/en/#market-data-endpoints
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- https://binance-docs.github.io/apidocs/spot/en/#spot-account-trade
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'''
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if signed:
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params['signature'] = self._get_signature(params)
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@ -258,11 +262,19 @@ class Client:
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async def _fapi(
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self,
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method: str,
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params: Union[dict, OrderedDict],
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params: dict | OrderedDict,
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signed: bool = False,
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action: str = 'get'
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) -> dict[str, Any]:
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) -> dict[str, Any]:
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'''
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Make a /fapi/v3/ USD-M FUTURES account/market endpoint
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request.
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For all USD-M futures endpoints use this parent path:
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https://binance-docs.github.io/apidocs/futures/en/#market-data-endpoints
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'''
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if signed:
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params['signature'] = self._get_signature(params)
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@ -277,11 +289,21 @@ class Client:
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async def _sapi(
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self,
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method: str,
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params: Union[dict, OrderedDict],
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params: dict | OrderedDict,
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signed: bool = False,
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action: str = 'get'
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) -> dict[str, Any]:
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) -> dict[str, Any]:
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'''
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Make a /api/v3/ SPOT/MARGIN account/market endpoint request.
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For eg. all margin and advancecd spot account eps use this
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endpoing parent path:
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- https://binance-docs.github.io/apidocs/spot/en/#margin-account-trade
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- https://binance-docs.github.io/apidocs/spot/en/#listen-key-spot
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- https://binance-docs.github.io/apidocs/spot/en/#spot-algo-endpoints
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'''
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if signed:
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params['signature'] = self._get_signature(params)
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@ -297,10 +319,19 @@ class Client:
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self,
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sym: str | None = None,
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mkt_type: MarketType = 'spot',
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) -> dict[str, Pair] | Pair:
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'''
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Fresh exchange-pairs info query for symbol ``sym: str``:
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https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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Fresh exchange-pairs info query for symbol ``sym: str``.
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Depending on `mkt_type` different api eps are used:
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- spot:
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https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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- usd futes:
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https://binance-docs.github.io/apidocs/futures/en/#check-server-time
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- coin futes:
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https://binance-docs.github.io/apidocs/delivery/en/#exchange-information
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'''
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cached_pair = self._pairs.get(sym)
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@ -313,25 +344,33 @@ class Client:
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sym = sym.lower()
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params = {'symbol': sym}
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resp = await self._api('exchangeInfo', params=params)
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resp = await self.mkt_req[self.mkt_mode]('exchangeInfo', params=params)
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entries = resp['symbols']
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if not entries:
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raise SymbolNotFound(f'{sym} not found:\n{resp}')
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# pre-process .filters field into a table
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# import tractor
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# await tractor.breakpoint()
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pairs = {}
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for item in entries:
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symbol = item['symbol']
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filters = {}
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filters_ls: list = item.pop('filters')
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for entry in filters_ls:
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ftype = entry['filterType']
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filters[ftype] = entry
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pairs[symbol] = Pair(
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filters=filters,
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**item,
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)
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# for spot mkts, pre-process .filters field into
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# a table..
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filters_ls: list = item.pop('filters', False)
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if filters_ls:
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filters = {}
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for entry in filters_ls:
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ftype = entry['filterType']
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filters[ftype] = entry
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# TODO: lookup pair schema by mkt type
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# pair_type = mkt_type
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# pairs[symbol] = SpotPair(
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# filters=filters,
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# )
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pairs[symbol] = FutesPair(**item)
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# pairs = {
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# item['symbol']: Pair(**item) for item in entries
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@ -343,8 +382,6 @@ class Client:
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else:
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return self._pairs
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symbol_info = exch_info
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async def search_symbols(
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self,
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pattern: str,
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@ -448,7 +485,8 @@ class Client:
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signed=True
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)
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log.info(f'done. len {len(resp)}')
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await trio.sleep(3)
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# await trio.sleep(3)
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return positions, volumes
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@ -457,6 +495,8 @@ class Client:
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recv_window: int = 60000
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) -> list:
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# TODO: can't we drop this since normal dicts are
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# ordered implicitly in mordern python?
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params = OrderedDict([
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('recvWindow', recv_window),
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('timestamp', binance_timestamp(now()))
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@ -594,7 +634,7 @@ class Client:
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@acm
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async def get_client() -> Client:
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client = Client()
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client = Client(mkt_mode='usd_futes')
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log.info('Caching exchange infos..')
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await client.exch_info()
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yield client
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@ -184,5 +184,3 @@ async def trades_dialogue(
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breakpoint()
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await ems_stream.send(msg.dict())
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@ -24,11 +24,13 @@ from contextlib import (
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aclosing,
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)
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from datetime import datetime
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from functools import partial
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import itertools
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from typing import (
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Any,
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AsyncGenerator,
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Callable,
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Generator,
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)
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import time
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@ -59,11 +61,12 @@ from piker.data._web_bs import (
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from piker.brokers._util import (
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DataUnavailable,
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get_logger,
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get_console_log,
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)
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from .api import (
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Client,
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)
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from .schemas import (
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Pair,
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)
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@ -94,7 +97,7 @@ class AggTrade(Struct, frozen=True):
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l: int # noqa Last trade ID
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T: int # Trade time
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m: bool # Is the buyer the market maker?
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M: bool # Ignore
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M: bool | None = None # Ignore
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async def stream_messages(
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@ -134,7 +137,9 @@ async def stream_messages(
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ask=ask,
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asize=asize,
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)
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l1.typecast()
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# for speed probably better to only specifically
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# cast fields we need in numerical form?
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# l1.typecast()
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# repack into piker's tick-quote format
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yield 'l1', {
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@ -142,23 +147,23 @@ async def stream_messages(
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'ticks': [
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{
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'type': 'bid',
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'price': l1.bid,
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'size': l1.bsize,
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'price': float(l1.bid),
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'size': float(l1.bsize),
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},
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{
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'type': 'bsize',
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'price': l1.bid,
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'size': l1.bsize,
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'price': float(l1.bid),
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'size': float(l1.bsize),
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},
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{
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'type': 'ask',
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'price': l1.ask,
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'size': l1.asize,
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'price': float(l1.ask),
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'size': float(l1.asize),
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},
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{
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'type': 'asize',
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'price': l1.ask,
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'size': l1.asize,
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'price': float(l1.ask),
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'size': float(l1.asize),
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}
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]
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}
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@ -281,6 +286,56 @@ async def get_mkt_info(
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return both
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@acm
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async def subscribe(
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ws: NoBsWs,
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symbols: list[str],
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# defined once at import time to keep a global state B)
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iter_subids: Generator[int, None, None] = itertools.count(),
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):
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# setup subs
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subid: int = next(iter_subids)
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# trade data (aka L1)
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# https://binance-docs.github.io/apidocs/spot/en/#symbol-order-book-ticker
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l1_sub = make_sub(symbols, 'bookTicker', subid)
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await ws.send_msg(l1_sub)
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# aggregate (each order clear by taker **not** by maker)
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# trades data:
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# https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
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agg_trades_sub = make_sub(symbols, 'aggTrade', subid)
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await ws.send_msg(agg_trades_sub)
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|
||||
# might get ack from ws server, or maybe some
|
||||
# other msg still in transit..
|
||||
res = await ws.recv_msg()
|
||||
subid: str | None = res.get('id')
|
||||
if subid:
|
||||
assert res['id'] == subid
|
||||
|
||||
yield
|
||||
|
||||
subs = []
|
||||
for sym in symbols:
|
||||
subs.append("{sym}@aggTrade")
|
||||
subs.append("{sym}@bookTicker")
|
||||
|
||||
# unsub from all pairs on teardown
|
||||
if ws.connected():
|
||||
await ws.send_msg({
|
||||
"method": "UNSUBSCRIBE",
|
||||
"params": subs,
|
||||
"id": subid,
|
||||
})
|
||||
|
||||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
|
|
@ -292,8 +347,6 @@ async def stream_quotes(
|
|||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
async with (
|
||||
send_chan as send_chan,
|
||||
|
|
@ -307,57 +360,21 @@ async def stream_quotes(
|
|||
FeedInit(mkt_info=mkt)
|
||||
)
|
||||
|
||||
iter_subids = itertools.count()
|
||||
|
||||
@acm
|
||||
async def subscribe(ws: NoBsWs):
|
||||
# setup subs
|
||||
|
||||
subid: int = next(iter_subids)
|
||||
|
||||
# trade data (aka L1)
|
||||
# https://binance-docs.github.io/apidocs/spot/en/#symbol-order-book-ticker
|
||||
l1_sub = make_sub(symbols, 'bookTicker', subid)
|
||||
await ws.send_msg(l1_sub)
|
||||
|
||||
# aggregate (each order clear by taker **not** by maker)
|
||||
# trades data:
|
||||
# https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
|
||||
agg_trades_sub = make_sub(symbols, 'aggTrade', subid)
|
||||
await ws.send_msg(agg_trades_sub)
|
||||
|
||||
# might get ack from ws server, or maybe some
|
||||
# other msg still in transit..
|
||||
res = await ws.recv_msg()
|
||||
subid: str | None = res.get('id')
|
||||
if subid:
|
||||
assert res['id'] == subid
|
||||
|
||||
yield
|
||||
|
||||
subs = []
|
||||
for sym in symbols:
|
||||
subs.append("{sym}@aggTrade")
|
||||
subs.append("{sym}@bookTicker")
|
||||
|
||||
# unsub from all pairs on teardown
|
||||
if ws.connected():
|
||||
await ws.send_msg({
|
||||
"method": "UNSUBSCRIBE",
|
||||
"params": subs,
|
||||
"id": subid,
|
||||
})
|
||||
|
||||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
# TODO: detect whether futes or spot contact was requested
|
||||
from .api import (
|
||||
_futes_ws,
|
||||
# _spot_ws,
|
||||
)
|
||||
wsep: str = _futes_ws
|
||||
|
||||
async with (
|
||||
open_autorecon_ws(
|
||||
# XXX: see api docs which show diff addr?
|
||||
# https://developers.binance.com/docs/binance-trading-api/websocket_api#general-api-information
|
||||
# 'wss://ws-api.binance.com:443/ws-api/v3',
|
||||
'wss://stream.binance.com/ws',
|
||||
fixture=subscribe,
|
||||
wsep,
|
||||
fixture=partial(
|
||||
subscribe,
|
||||
symbols=symbols,
|
||||
),
|
||||
) as ws,
|
||||
|
||||
# avoid stream-gen closure from breaking trio..
|
||||
|
|
@ -387,6 +404,8 @@ async def stream_quotes(
|
|||
topic = msg['symbol'].lower()
|
||||
await send_chan.send({topic: msg})
|
||||
# last = time.time()
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
|
|
|||
|
|
@ -0,0 +1,114 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C)
|
||||
# Guillermo Rodriguez (aka ze jefe)
|
||||
# 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/>.
|
||||
|
||||
"""
|
||||
Per market data-type definitions and schemas types.
|
||||
|
||||
"""
|
||||
from decimal import Decimal
|
||||
|
||||
from piker.data.types import Struct
|
||||
|
||||
class Pair(Struct, frozen=True):
|
||||
symbol: str
|
||||
status: str
|
||||
orderTypes: list[str]
|
||||
|
||||
# src
|
||||
quoteAsset: str
|
||||
quotePrecision: int
|
||||
|
||||
# dst
|
||||
baseAsset: str
|
||||
baseAssetPrecision: int
|
||||
|
||||
|
||||
class SpotPair(Struct, frozen=True):
|
||||
|
||||
cancelReplaceAllowed: bool
|
||||
allowTrailingStop: bool
|
||||
quoteAssetPrecision: int
|
||||
|
||||
baseCommissionPrecision: int
|
||||
quoteCommissionPrecision: int
|
||||
|
||||
icebergAllowed: bool
|
||||
ocoAllowed: bool
|
||||
quoteOrderQtyMarketAllowed: bool
|
||||
isSpotTradingAllowed: bool
|
||||
isMarginTradingAllowed: bool
|
||||
|
||||
defaultSelfTradePreventionMode: str
|
||||
allowedSelfTradePreventionModes: list[str]
|
||||
|
||||
filters: dict[
|
||||
str,
|
||||
str | int | float,
|
||||
]
|
||||
permissions: list[str]
|
||||
|
||||
@property
|
||||
def price_tick(self) -> Decimal:
|
||||
# XXX: lul, after manually inspecting the response format we
|
||||
# just directly pick out the info we need
|
||||
step_size: str = self.filters['PRICE_FILTER']['tickSize'].rstrip('0')
|
||||
return Decimal(step_size)
|
||||
|
||||
@property
|
||||
def size_tick(self) -> Decimal:
|
||||
step_size: str = self.filters['LOT_SIZE']['stepSize'].rstrip('0')
|
||||
return Decimal(step_size)
|
||||
|
||||
|
||||
class FutesPair(Pair):
|
||||
symbol: str # 'BTCUSDT',
|
||||
pair: str # 'BTCUSDT',
|
||||
baseAssetPrecision: int # 8,
|
||||
contractType: str # 'PERPETUAL',
|
||||
deliveryDate: int # 4133404800000,
|
||||
liquidationFee: float # '0.012500',
|
||||
maintMarginPercent: float # '2.5000',
|
||||
marginAsset: str # 'USDT',
|
||||
marketTakeBound: float # '0.05',
|
||||
maxMoveOrderLimit: int # 10000,
|
||||
onboardDate: int # 1569398400000,
|
||||
pricePrecision: int # 2,
|
||||
quantityPrecision: int # 3,
|
||||
quoteAsset: str # 'USDT',
|
||||
quotePrecision: int # 8,
|
||||
requiredMarginPercent: float # '5.0000',
|
||||
settlePlan: int # 0,
|
||||
timeInForce: list[str] # ['GTC', 'IOC', 'FOK', 'GTX'],
|
||||
triggerProtect: float # '0.0500',
|
||||
underlyingSubType: list[str] # ['PoW'],
|
||||
underlyingType: str # 'COIN'
|
||||
|
||||
# NOTE: for compat with spot pairs and `MktPair.src: Asset`
|
||||
# processing..
|
||||
@property
|
||||
def quoteAssetPrecision(self) -> int:
|
||||
return self.quotePrecision
|
||||
|
||||
@property
|
||||
def price_tick(self) -> Decimal:
|
||||
return Decimal(self.pricePrecision)
|
||||
|
||||
@property
|
||||
def size_tick(self) -> Decimal:
|
||||
return Decimal(self.quantityPrecision)
|
||||
Loading…
Reference in New Issue