`.deribit.api` bit of tidying/typing
There were some imports missing or unused as well as a variety of spots that had grokability issues due to missing type hints. Other tweaks as part some more thorough manual testing: - always raise when not `brokers.toml` section since the API can never work (no free data without keys). - inline the `Asset.atype='crypto_currency` field despite it maybe not being the best value for `OptionPair` instruments.. - tossed in a now-masked pause block for debugging history queries in `Client.bars()`. - commented out all the live order ctl (internal) endpoints for now since they're unused.fix_deribit_hist_queries
Tyler Goodlet
parent
be84d0dae1
commit
dc2c379d86
|
|
@ -29,6 +29,7 @@ from decimal import (
|
|||
)
|
||||
from functools import partial
|
||||
import time
|
||||
from pathlib import Path
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
|
|
@ -37,8 +38,6 @@ from typing import (
|
|||
|
||||
from pendulum import now
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
from rapidfuzz import process as fuzzy
|
||||
import numpy as np
|
||||
from tractor.trionics import (
|
||||
broadcast_receiver,
|
||||
|
|
@ -55,8 +54,10 @@ from cryptofeed.defines import (
|
|||
OPTION, CALL, PUT
|
||||
)
|
||||
from cryptofeed.symbols import Symbol
|
||||
|
||||
# types for managing the cb callbacks.
|
||||
# from cryptofeed.types import L1Book
|
||||
from piker.brokers import SymbolNotFound
|
||||
from .venues import (
|
||||
_ws_url,
|
||||
MarketType,
|
||||
|
|
@ -64,9 +65,9 @@ from .venues import (
|
|||
Pair,
|
||||
OptionPair,
|
||||
JSONRPCResult,
|
||||
JSONRPCChannel,
|
||||
# JSONRPCChannel,
|
||||
KLinesResult,
|
||||
Trade,
|
||||
# Trade,
|
||||
LastTradesResult,
|
||||
)
|
||||
from piker.accounting import (
|
||||
|
|
@ -77,7 +78,7 @@ from piker.accounting import (
|
|||
from piker.data import (
|
||||
def_iohlcv_fields,
|
||||
match_from_pairs,
|
||||
Struct,
|
||||
# Struct,
|
||||
)
|
||||
from piker.data._web_bs import (
|
||||
open_jsonrpc_session
|
||||
|
|
@ -97,7 +98,7 @@ _spawn_kwargs = {
|
|||
|
||||
|
||||
# convert datetime obj timestamp to unixtime in milliseconds
|
||||
def deribit_timestamp(when):
|
||||
def deribit_timestamp(when) -> int:
|
||||
return int((when.timestamp() * 1000) + (when.microsecond / 1000))
|
||||
|
||||
|
||||
|
|
@ -179,16 +180,18 @@ def get_config() -> dict[str, Any]:
|
|||
|
||||
conf: dict
|
||||
path: Path
|
||||
|
||||
conf, path = config.load(
|
||||
conf_name='brokers',
|
||||
touch_if_dne=True,
|
||||
)
|
||||
section: dict = {}
|
||||
section = conf.get('deribit')
|
||||
section: dict|None = conf.get('deribit')
|
||||
if section is None:
|
||||
log.warning(f'No config section found for deribit in {path}')
|
||||
return {}
|
||||
raise ValueError(
|
||||
f'No `[deribit]` section found in\n'
|
||||
f'{path!r}\n\n'
|
||||
f'See the template config from the core repo for samples..\n'
|
||||
# f'<TODO put repo link here??>'
|
||||
)
|
||||
|
||||
conf_option = section.get('option', {})
|
||||
section.clear # clear the dict to reuse it
|
||||
|
|
@ -223,8 +226,12 @@ class Client:
|
|||
self._auth_ts = None
|
||||
self._auth_renew_ts = 5 # seconds to renew auth
|
||||
|
||||
async def _json_rpc_auth_wrapper(self, *args, **kwargs) -> JSONRPCResult:
|
||||
|
||||
async def _json_rpc_auth_wrapper(
|
||||
self,
|
||||
*args,
|
||||
**kwargs,
|
||||
) -> JSONRPCResult:
|
||||
|
||||
"""Background task that adquires a first access token and then will
|
||||
refresh the access token.
|
||||
|
||||
|
|
@ -250,9 +257,6 @@ class Client:
|
|||
|
||||
return await self.json_rpc(*args, **kwargs)
|
||||
|
||||
|
||||
|
||||
|
||||
async def get_balances(
|
||||
self,
|
||||
kind: str = 'option'
|
||||
|
|
@ -277,23 +281,29 @@ class Client:
|
|||
venue: str | None = None,
|
||||
|
||||
) -> dict[str, Asset]:
|
||||
"""Return the set of asset balances for this account
|
||||
by symbol.
|
||||
"""
|
||||
'''
|
||||
Return the set of asset balances for this account
|
||||
by (deribit's) symbol.
|
||||
|
||||
|
||||
'''
|
||||
assets = {}
|
||||
resp = await self._json_rpc_auth_wrapper(
|
||||
'public/get_currencies',
|
||||
params={}
|
||||
)
|
||||
currencies = resp.result
|
||||
currencies: list[dict] = resp.result
|
||||
for currency in currencies:
|
||||
name = currency['currency']
|
||||
tx_tick = digits_to_dec(currency['fee_precision'])
|
||||
atype='crypto_currency'
|
||||
name: str = currency['currency']
|
||||
tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
|
||||
|
||||
# TODO, handling of options, futures, perps etc. more
|
||||
# specifically with diff `.atype`s?
|
||||
assets[name] = Asset(
|
||||
name=name,
|
||||
atype=atype,
|
||||
tx_tick=tx_tick)
|
||||
atype='crypto_currency',
|
||||
tx_tick=tx_tick,
|
||||
)
|
||||
|
||||
instruments = await self.symbol_info(currency=name)
|
||||
for instrument in instruments:
|
||||
|
|
@ -301,9 +311,10 @@ class Client:
|
|||
assets[pair.symbol] = Asset(
|
||||
name=pair.symbol,
|
||||
atype=pair.venue,
|
||||
tx_tick=pair.size_tick)
|
||||
tx_tick=pair.size_tick,
|
||||
)
|
||||
|
||||
return assets
|
||||
return assets
|
||||
|
||||
async def get_mkt_pairs(self) -> dict[str, Pair]:
|
||||
flat: dict[str, Pair] = {}
|
||||
|
|
@ -381,7 +392,7 @@ class Client:
|
|||
params: dict[str, str] = {
|
||||
'currency': currency.upper(),
|
||||
'kind': kind,
|
||||
'expired': str(expired).lower()
|
||||
'expired': expired,
|
||||
}
|
||||
|
||||
resp: JSONRPCResult = await self._json_rpc_auth_wrapper(
|
||||
|
|
@ -389,9 +400,9 @@ class Client:
|
|||
params,
|
||||
)
|
||||
# convert to symbol-keyed table
|
||||
pair_type: Type = PAIRTYPES[kind]
|
||||
pair_type: Pair = PAIRTYPES[kind]
|
||||
results: list[dict] | None = resp.result
|
||||
|
||||
|
||||
instruments: dict[str, Pair] = {}
|
||||
for item in results:
|
||||
symbol=item['instrument_name'].lower()
|
||||
|
|
@ -427,12 +438,15 @@ class Client:
|
|||
mkt_pairs = await self.symbol_info()
|
||||
|
||||
if not mkt_pairs:
|
||||
raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
|
||||
raise SymbolNotFound(
|
||||
f'No market pairs found!?:\n'
|
||||
f'{mkt_pairs}'
|
||||
)
|
||||
|
||||
pairs_view_subtable: dict[str, Pair] = {}
|
||||
|
||||
for instrument in mkt_pairs:
|
||||
pair_type: Type = PAIRTYPES[venue]
|
||||
pair_type: Pair|OptionPair = PAIRTYPES[venue]
|
||||
|
||||
pair: Pair = pair_type(**mkt_pairs[instrument].to_dict())
|
||||
|
||||
|
|
@ -480,12 +494,14 @@ class Client:
|
|||
if end_dt is None:
|
||||
end_dt = now('UTC')
|
||||
|
||||
_orig_start_dt = start_dt
|
||||
if start_dt is None:
|
||||
start_dt = end_dt.start_of(
|
||||
'minute').subtract(minutes=limit)
|
||||
'minute'
|
||||
).subtract(minutes=limit)
|
||||
|
||||
start_time = deribit_timestamp(start_dt)
|
||||
end_time = deribit_timestamp(end_dt)
|
||||
start_time: int = deribit_timestamp(start_dt)
|
||||
end_time: int = deribit_timestamp(end_dt)
|
||||
|
||||
# https://docs.deribit.com/#public-get_tradingview_chart_data
|
||||
resp = await self._json_rpc_auth_wrapper(
|
||||
|
|
@ -499,9 +515,13 @@ class Client:
|
|||
|
||||
result = KLinesResult(**resp.result)
|
||||
new_bars: list[tuple] = []
|
||||
for i in range(len(result.close)):
|
||||
# if _orig_start_dt is None:
|
||||
# if not new_bars:
|
||||
# import tractor
|
||||
# await tractor.pause()
|
||||
|
||||
row = [
|
||||
for i in range(len(result.close)):
|
||||
row = [
|
||||
(start_time + (i * (60 * 1000))) / 1000.0, # time
|
||||
result.open[i],
|
||||
result.high[i],
|
||||
|
|
@ -668,68 +688,69 @@ async def maybe_open_price_feed(
|
|||
|
||||
|
||||
|
||||
async def aio_order_feed_relay(
|
||||
fh: FeedHandler,
|
||||
instrument: Symbol,
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
) -> None:
|
||||
async def _fill(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
# TODO, move all to `.broker` submod!
|
||||
# async def aio_order_feed_relay(
|
||||
# fh: FeedHandler,
|
||||
# instrument: Symbol,
|
||||
# from_trio: asyncio.Queue,
|
||||
# to_trio: trio.abc.SendChannel,
|
||||
# ) -> None:
|
||||
# async def _fill(data: dict, receipt_timestamp):
|
||||
# breakpoint()
|
||||
|
||||
async def _order_info(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
# async def _order_info(data: dict, receipt_timestamp):
|
||||
# breakpoint()
|
||||
|
||||
fh.add_feed(
|
||||
DERIBIT,
|
||||
channels=[FILLS, ORDER_INFO],
|
||||
symbols=[instrument.upper()],
|
||||
callbacks={
|
||||
FILLS: _fill,
|
||||
ORDER_INFO: _order_info,
|
||||
})
|
||||
# fh.add_feed(
|
||||
# DERIBIT,
|
||||
# channels=[FILLS, ORDER_INFO],
|
||||
# symbols=[instrument.upper()],
|
||||
# callbacks={
|
||||
# FILLS: _fill,
|
||||
# ORDER_INFO: _order_info,
|
||||
# })
|
||||
|
||||
if not fh.running:
|
||||
fh.run(
|
||||
start_loop=False,
|
||||
install_signal_handlers=False)
|
||||
# if not fh.running:
|
||||
# fh.run(
|
||||
# start_loop=False,
|
||||
# install_signal_handlers=False)
|
||||
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
# # sync with trio
|
||||
# to_trio.send_nowait(None)
|
||||
|
||||
await asyncio.sleep(float('inf'))
|
||||
# await asyncio.sleep(float('inf'))
|
||||
|
||||
|
||||
@acm
|
||||
async def open_order_feed(
|
||||
instrument: list[str]
|
||||
) -> trio.abc.ReceiveStream:
|
||||
async with maybe_open_feed_handler() as fh:
|
||||
async with to_asyncio.open_channel_from(
|
||||
partial(
|
||||
aio_order_feed_relay,
|
||||
fh,
|
||||
instrument
|
||||
)
|
||||
) as (first, chan):
|
||||
yield chan
|
||||
# @acm
|
||||
# async def open_order_feed(
|
||||
# instrument: list[str]
|
||||
# ) -> trio.abc.ReceiveStream:
|
||||
# async with maybe_open_feed_handler() as fh:
|
||||
# async with to_asyncio.open_channel_from(
|
||||
# partial(
|
||||
# aio_order_feed_relay,
|
||||
# fh,
|
||||
# instrument
|
||||
# )
|
||||
# ) as (first, chan):
|
||||
# yield chan
|
||||
|
||||
|
||||
@acm
|
||||
async def maybe_open_order_feed(
|
||||
instrument: str
|
||||
) -> trio.abc.ReceiveStream:
|
||||
# @acm
|
||||
# async def maybe_open_order_feed(
|
||||
# instrument: str
|
||||
# ) -> trio.abc.ReceiveStream:
|
||||
|
||||
# TODO: add a predicate to maybe_open_context
|
||||
async with maybe_open_context(
|
||||
acm_func=open_order_feed,
|
||||
kwargs={
|
||||
'instrument': instrument.split('.')[0],
|
||||
'fh': fh
|
||||
},
|
||||
key=f'{instrument.split('.')[0]}-order',
|
||||
) as (cache_hit, feed):
|
||||
if cache_hit:
|
||||
yield broadcast_receiver(feed, 10)
|
||||
else:
|
||||
yield feed
|
||||
# # TODO: add a predicate to maybe_open_context
|
||||
# async with maybe_open_context(
|
||||
# acm_func=open_order_feed,
|
||||
# kwargs={
|
||||
# 'instrument': instrument.split('.')[0],
|
||||
# 'fh': fh
|
||||
# },
|
||||
# key=f'{instrument.split('.')[0]}-order',
|
||||
# ) as (cache_hit, feed):
|
||||
# if cache_hit:
|
||||
# yield broadcast_receiver(feed, 10)
|
||||
# else:
|
||||
# yield feed
|
||||
|
|
|
|||
Loading…
Reference in New Issue