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

View File

@ -123,14 +123,20 @@ def str_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=new_expiry_date) expiry_date=new_expiry_date
)
def piker_sym_to_cb_sym(name: str) -> Symbol: 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('-')) name.upper().split('-'))
quote = base quote: str = base
if option_type == 'P': if option_type == 'P':
option_type = PUT option_type = PUT
@ -145,7 +151,8 @@ 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=expiry_date
)
def cb_sym_to_deribit_inst(sym: Symbol): def cb_sym_to_deribit_inst(sym: Symbol):
@ -208,7 +215,10 @@ def get_config() -> dict[str, Any]:
class Client: class Client:
'''
Hi-level interface for the jsron-RPC over websocket API.
'''
def __init__( def __init__(
self, self,
@ -609,18 +619,33 @@ async def aio_price_feed_relay(
from_trio: asyncio.Queue, from_trio: asyncio.Queue,
to_trio: trio.abc.SendChannel, to_trio: trio.abc.SendChannel,
) -> None: ) -> None:
async def _trade(data: dict, receipt_timestamp):
to_trio.send_nowait(('trade', { 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( 'symbol': cb_sym_to_deribit_inst(
str_to_cb_sym(data.symbol)).lower(), str_to_cb_sym(data.symbol)).lower(),
'last': data, 'last': data,
'broker_ts': time.time(), 'broker_ts': time.time(),
'data': data.to_dict(), 'data': data.to_dict(),
'receipt': receipt_timestamp 'receipt': receipt_timestamp,
})) },
))
async def _l1(data: dict, receipt_timestamp): async def _l1(
to_trio.send_nowait(('l1', { data: dict,
receipt_timestamp: int,
) -> None:
to_trio.send_nowait((
'l1', {
'symbol': cb_sym_to_deribit_inst( 'symbol': cb_sym_to_deribit_inst(
str_to_cb_sym(data.symbol)).lower(), str_to_cb_sym(data.symbol)).lower(),
'ticks': [ 'ticks': [
@ -645,7 +670,8 @@ async def aio_price_feed_relay(
'size': float(data.ask_size) 'size': float(data.ask_size)
} }
] ]
})) },
))
sym: Symbol = piker_sym_to_cb_sym(instrument) sym: Symbol = piker_sym_to_cb_sym(instrument)
fh.add_feed( fh.add_feed(
DERIBIT, DERIBIT,