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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, 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,
@ -609,43 +619,59 @@ 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', {
'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): async def _trade(
to_trio.send_nowait(('l1', { data: dict,
'symbol': cb_sym_to_deribit_inst( receipt_timestamp: int,
str_to_cb_sym(data.symbol)).lower(), ) -> None:
'ticks': [ '''
{ Send `cryptofeed.FeedHandler` quotes to `piker`-side
'type': 'bid', `trio.Task`.
'price': float(data.bid_price),
'size': float(data.bid_size) '''
}, to_trio.send_nowait((
{ 'trade', {
'type': 'bsize', 'symbol': cb_sym_to_deribit_inst(
'price': float(data.bid_price), str_to_cb_sym(data.symbol)).lower(),
'size': float(data.bid_size) 'last': data,
}, 'broker_ts': time.time(),
{ 'data': data.to_dict(),
'type': 'ask', 'receipt': receipt_timestamp,
'price': float(data.ask_price), },
'size': float(data.ask_size) ))
},
{ async def _l1(
'type': 'asize', data: dict,
'price': float(data.ask_price), receipt_timestamp: int,
'size': float(data.ask_size) ) -> 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) sym: Symbol = piker_sym_to_cb_sym(instrument)
fh.add_feed( fh.add_feed(
DERIBIT, DERIBIT,