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Bit more `cryptofeed` adapter formatting and typing for clarity..

fix_deribit_hist_queries
Tyler Goodlet 2024-11-19 21:14:11 -05:00
parent b9dde98d1e
commit dafd5a3ca5
1 changed files with 66 additions and 40 deletions
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106
piker/brokers/deribit/api.py
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@ -123,14 +123,20 @@ def str_to_cb_sym(name: str) -> Symbol:
type=OPTION,
strike_price=strike_price,
option_type=option_type,
expiry_date=new_expiry_date)
expiry_date=new_expiry_date
)
def piker_sym_to_cb_sym(name: str) -> Symbol:
base, expiry_date, strike_price, option_type = tuple(
(
base,
expiry_date,
strike_price,
option_type,
)= tuple(
name.upper().split('-'))
quote = base
quote: str = base
if option_type == 'P':
option_type = PUT
@ -145,7 +151,8 @@ 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=expiry_date
)
def cb_sym_to_deribit_inst(sym: Symbol):
@ -208,7 +215,10 @@ def get_config() -> dict[str, Any]:
class Client:
'''
Hi-level interface for the jsron-RPC over websocket API.
'''
def __init__(
self,
@ -609,43 +619,59 @@ async def aio_price_feed_relay(
from_trio: asyncio.Queue,
to_trio: trio.abc.SendChannel,
) -> None:
async def _trade(data: dict, receipt_timestamp):
to_trio.send_nowait(('trade', {
'symbol': cb_sym_to_deribit_inst(
str_to_cb_sym(data.symbol)).lower(),
'last': data,
'broker_ts': time.time(),
'data': data.to_dict(),
'receipt': receipt_timestamp
}))
async def _l1(data: dict, receipt_timestamp):
to_trio.send_nowait(('l1', {
'symbol': cb_sym_to_deribit_inst(
str_to_cb_sym(data.symbol)).lower(),
'ticks': [
{
'type': 'bid',
'price': float(data.bid_price),
'size': float(data.bid_size)
},
{
'type': 'bsize',
'price': float(data.bid_price),
'size': float(data.bid_size)
},
{
'type': 'ask',
'price': float(data.ask_price),
'size': float(data.ask_size)
},
{
'type': 'asize',
'price': float(data.ask_price),
'size': float(data.ask_size)
}
]
}))
async def _trade(
data: dict,
receipt_timestamp: int,
) -> None:
'''
Send `cryptofeed.FeedHandler` quotes to `piker`-side
`trio.Task`.
'''
to_trio.send_nowait((
'trade', {
'symbol': cb_sym_to_deribit_inst(
str_to_cb_sym(data.symbol)).lower(),
'last': data,
'broker_ts': time.time(),
'data': data.to_dict(),
'receipt': receipt_timestamp,
},
))
async def _l1(
data: dict,
receipt_timestamp: int,
) -> None:
to_trio.send_nowait((
'l1', {
'symbol': cb_sym_to_deribit_inst(
str_to_cb_sym(data.symbol)).lower(),
'ticks': [
{
'type': 'bid',
'price': float(data.bid_price),
'size': float(data.bid_size)
},
{
'type': 'bsize',
'price': float(data.bid_price),
'size': float(data.bid_size)
},
{
'type': 'ask',
'price': float(data.ask_price),
'size': float(data.ask_size)
},
{
'type': 'asize',
'price': float(data.ask_price),
'size': float(data.ask_size)
}
]
},
))
sym: Symbol = piker_sym_to_cb_sym(instrument)
fh.add_feed(
DERIBIT,