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Deribit's api fix 

key changes:

- Resolved the issue with the expiration dates from deribits, now we int instead of the crazy custom deribits format.

- The client now has a new  `_json_rpc_auth_wrapper` that adquires a first access token and then will refresh the access token when this expires.

- `get_assets` fixed, now  we use the public endpoint to check the availables assets, in the future probably this will change, but for now is working just fine.

- `get_mkt_pairs` added.

- `exch_info` added.

- `cache_symbols` fixed.

- Also a lot of reformat made in api.
deribit_fix
Nelson Torres 2025-01-29 18:44:41 -03:00
parent f306c94e0d
commit e825b00b85
1 changed files with 257 additions and 168 deletions
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421
piker/brokers/deribit/api.py
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@ -113,13 +113,15 @@ def str_to_cb_sym(name: str) -> Symbol:
else:
raise Exception("Couldn\'t parse option type")
new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
return Symbol(
base, quote,
base=base,
quote=quote,
type=OPTION,
strike_price=strike_price,
option_type=option_type,
expiry_date=expiry_date,
expiry_normalize=False)
expiry_date=new_expiry_date)
def piker_sym_to_cb_sym(name: str) -> Symbol:
@ -136,77 +138,132 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
raise Exception("Couldn\'t parse option type")
return Symbol(
base, quote,
base=base,
quote=quote,
type=OPTION,
strike_price=strike_price,
option_type=option_type,
expiry_date=expiry_date.upper())
expiry_date=expiry_date)
def cb_sym_to_deribit_inst(sym: Symbol):
# cryptofeed normalized
cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
# deribit specific
months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
exp = sym.expiry_date
# YYMDD
# 01234
year, month, day = (
exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
otype = 'C' if sym.option_type == CALL else 'P'
return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}'
return f'{sym.base}-{new_expiry_date}-{sym.strike_price}-{otype}'
def get_values_from_cb_normalized_date(expiry_date: str) -> str:
# deribit specific
cb_norm = [
'F', 'G', 'H', 'J',
'K', 'M', 'N', 'Q',
'U', 'V', 'X', 'Z'
]
months = [
'JAN', 'FEB', 'MAR', 'APR',
'MAY', 'JUN', 'JUL', 'AUG',
'SEP', 'OCT', 'NOV', 'DEC'
]
# YYMDD
# 01234
day, month, year = (
expiry_date[3:],
months[cb_norm.index(expiry_date[2:3])],
expiry_date[:2]
)
return f'{day}{month}{year}'
def get_config() -> dict[str, Any]:
conf, path = config.load()
conf: dict
path: Path
conf, path = config.load(
conf_name='brokers',
touch_if_dne=True,
)
section: dict = {}
section = conf.get('deribit')
# TODO: document why we send this, basically because logging params for cryptofeed
conf['log'] = {}
conf['log']['disabled'] = True
if section is None:
log.warning(f'No config section found for deribit in {path}')
return {}
return conf
conf_option = section.get('option', {})
section.clear # clear the dict to reuse it
section['deribit'] = {}
section['deribit']['key_id'] = conf_option.get('api_key')
section['deribit']['key_secret'] = conf_option.get('api_secret')
section['log'] = {}
section['log']['filename'] = 'feedhandler.log'
section['log']['level'] = 'DEBUG'
return section
class Client:
def __init__(self, json_rpc: Callable) -> None:
self._pairs: dict[str, Any] = None
def __init__(
self,
json_rpc: Callable
) -> None:
self._pairs: ChainMap[str, Pair] = ChainMap()
config = get_config().get('deribit', {})
if ('key_id' in config) and ('key_secret' in config):
self._key_id = config['key_id']
self._key_secret = config['key_secret']
else:
self._key_id = None
self._key_secret = None
self._key_id = config.get('key_id')
self._key_secret = config.get('key_secret')
self.json_rpc = json_rpc
@property
def currencies(self):
return ['btc', 'eth', 'sol', 'usd']
self._auth_ts = None
self._auth_renew_ts = 5 # seconds to renew auth
async def get_balances(self, kind: str = 'option') -> dict[str, float]:
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.
https://docs.deribit.com/?python#authentication-2
"""
access_scope = 'trade:read_write'
current_ts = time.time()
if not self._auth_ts or current_ts - self._auth_ts < self._auth_renew_ts:
# if we are close to token expiry time
params = {
'grant_type': 'client_credentials',
'client_id': self._key_id,
'client_secret': self._key_secret,
'scope': access_scope
}
resp = await self.json_rpc('public/auth', params)
result = resp.result
self._auth_ts = time.time() + result['expires_in']
return await self.json_rpc(*args, **kwargs)
async def get_balances(
self,
kind: str = 'option'
) -> dict[str, float]:
"""Return the set of positions for this account
by symbol.
"""
balances = {}
for currency in self.currencies:
resp = await self.json_rpc(
resp = await self._json_rpc_auth_wrapper(
'private/get_positions', params={
'currency': currency.upper(),
'kind': kind})
@ -215,20 +272,46 @@ class Client:
return balances
async def get_assets(self) -> dict[str, float]:
async def get_assets(
self,
venue: str | None = None,
) -> dict[str, Asset]:
"""Return the set of asset balances for this account
by symbol.
"""
balances = {}
assets = {}
resp = await self._json_rpc_auth_wrapper(
'public/get_currencies',
params={}
)
currencies = resp.result
for currency in currencies:
name = currency['currency']
tx_tick = digits_to_dec(currency['fee_precision'])
atype='crypto_currency'
assets[name] = Asset(
name=name,
atype=atype,
tx_tick=tx_tick)
for currency in self.currencies:
resp = await self.json_rpc(
'private/get_account_summary', params={
'currency': currency.upper()})
instruments = await self.symbol_info(currency=name)
for instrument in instruments:
pair = instruments[instrument]
assets[pair.symbol] = Asset(
name=pair.symbol,
atype=pair.venue,
tx_tick=pair.size_tick)
balances[currency] = resp.result['balance']
return assets
return balances
async def get_mkt_pairs(self) -> dict[str, Pair]:
flat: dict[str, Pair] = {}
for key in self._pairs:
item = self._pairs.get(key)
flat[item.bs_fqme] = item
return flat
async def submit_limit(
self,
@ -245,7 +328,7 @@ class Client:
'type': 'limit',
'price': price,
}
resp = await self.json_rpc(
resp = await self._json_rpc_auth_wrapper(
f'private/{action}', params)
return resp.result
@ -253,10 +336,32 @@ class Client:
async def submit_cancel(self, oid: str):
"""Send cancel request for order id
"""
resp = await self.json_rpc(
resp = await self._json_rpc_auth_wrapper(
'private/cancel', {'order_id': oid})
return resp.result
async def exch_info(
self,
sym: str | None = None,
venue: MarketType = 'option',
expiry: str | None = None,
) -> dict[str, Pair] | Pair:
pair_table: dict[str, Pair] = self._pairs
if (
sym
and (cached_pair := pair_table.get(sym))
):
return cached_pair
if sym:
return pair_table[sym]
else:
return self._pairs
async def symbol_info(
self,
instrument: Optional[str] = None,
@ -264,7 +369,7 @@ class Client:
kind: str = 'option',
expired: bool = False
) -> dict[str, dict]:
) -> dict[str, Pair] | Pair:
'''
Get symbol infos.
@ -279,28 +384,65 @@ class Client:
'expired': str(expired).lower()
}
resp: JSONRPCResult = await self.json_rpc(
resp: JSONRPCResult = await self._json_rpc_auth_wrapper(
'public/get_instruments',
params,
)
# convert to symbol-keyed table
pair_type: Type = PAIRTYPES[kind]
results: list[dict] | None = resp.result
instruments: dict[str, dict] = {
item['instrument_name'].lower(): item
for item in results
}
instruments: dict[str, Pair] = {}
for item in results:
symbol=item['instrument_name'].lower()
try:
pair: Pair = pair_type(
symbol=symbol,
**item
)
except Exception as e:
e.add_note(
"\nDon't panic, prolly stupid deribit changed their symbology schema again..\n"
'Check out their API docs here:\n\n'
'https://docs.deribit.com/?python#deribit-api-v2-1-1'
)
raise
instruments[symbol] = pair
if instrument is not None:
return instruments[instrument]
return instruments[instrument.lower()]
else:
return instruments
async def cache_symbols(
self,
) -> dict:
venue: MarketType = 'option',
if not self._pairs:
self._pairs = await self.symbol_info()
) -> None:
# lookup internal mkt-specific pair table to update
pair_table: dict[str, Pair] = self._pairs
# make API request(s)
mkt_pairs = await self.symbol_info()
if not mkt_pairs:
raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
pairs_view_subtable: dict[str, Pair] = {}
for instrument in mkt_pairs:
pair_type: Type = PAIRTYPES[venue]
pair: Pair = pair_type(**mkt_pairs[instrument].to_dict())
pair_table[pair.symbol.upper()] = pair
# update an additional top-level-cross-venue-table
# `._pairs: ChainMap` for search B0
pairs_view_subtable[pair.bs_fqme] = pair
self._pairs.maps.append(pairs_view_subtable)
return self._pairs
@ -308,37 +450,35 @@ class Client:
self,
pattern: str,
limit: int = 30,
) -> dict[str, Any]:
) -> dict[str, Pair]:
'''
Fuzzy search symbology set for pairs matching `pattern`.
'''
pairs: dict[str, Any] = await self.symbol_info()
matches: dict[str, Pair] = match_from_pairs(
pairs: dict[str, Pair] = await self.exch_info()
return match_from_pairs(
pairs=pairs,
query=pattern.upper(),
score_cutoff=35,
limit=limit
)
# repack in name-keyed table
return {
pair['instrument_name'].lower(): pair
for pair in matches.values()
}
async def bars(
self,
symbol: str,
mkt: MktPair,
start_dt: Optional[datetime] = None,
end_dt: Optional[datetime] = None,
limit: int = 1000,
as_np: bool = True,
) -> dict:
instrument = symbol
) -> list[tuple] | np.ndarray:
instrument: str = mkt.bs_fqme.split('.')[0]
if end_dt is None:
end_dt = pendulum.now('UTC')
end_dt = now('UTC')
if start_dt is None:
start_dt = end_dt.start_of(
@ -348,7 +488,7 @@ class Client:
end_time = deribit_timestamp(end_dt)
# https://docs.deribit.com/#public-get_tradingview_chart_data
resp = await self.json_rpc(
resp = await self._json_rpc_auth_wrapper(
'public/get_tradingview_chart_data',
params={
'instrument_name': instrument.upper(),
@ -358,36 +498,34 @@ class Client:
})
result = KLinesResult(**resp.result)
new_bars = []
new_bars: list[tuple] = []
for i in range(len(result.close)):
_open = result.open[i]
high = result.high[i]
low = result.low[i]
close = result.close[i]
volume = result.volume[i]
row = [
(start_time + (i * (60 * 1000))) / 1000.0, # time
result.open[i],
result.high[i],
result.low[i],
result.close[i],
result.volume[i],
0
result.volume[i]
]
new_bars.append((i,) + tuple(row))
array = np.array(new_bars, dtype=def_iohlcv_fields) if as_np else klines
return array
if not as_np:
return result
return np.array(
new_bars,
dtype=def_iohlcv_fields
)
async def last_trades(
self,
instrument: str,
count: int = 10
):
resp = await self.json_rpc(
resp = await self._json_rpc_auth_wrapper(
'public/get_last_trades_by_instrument',
params={
'instrument_name': instrument,
@ -399,78 +537,17 @@ class Client:
@acm
async def get_client(
is_brokercheck: bool = False
is_brokercheck: bool = False,
venue: MarketType = 'option',
) -> Client:
async with (
trio.open_nursery() as n,
open_jsonrpc_session(
_testnet_ws_url, dtype=JSONRPCResult) as json_rpc
_ws_url, response_type=JSONRPCResult
) as json_rpc
):
client = Client(json_rpc)
_refresh_token: Optional[str] = None
_access_token: Optional[str] = None
async def _auth_loop(
task_status: TaskStatus = trio.TASK_STATUS_IGNORED
):
"""Background task that adquires a first access token and then will
refresh the access token while the nursery isn't cancelled.
https://docs.deribit.com/?python#authentication-2
"""
renew_time = 10
access_scope = 'trade:read_write'
_expiry_time = time.time()
got_access = False
nonlocal _refresh_token
nonlocal _access_token
while True:
if time.time() - _expiry_time < renew_time:
# if we are close to token expiry time
if _refresh_token != None:
# if we have a refresh token already dont need to send
# secret
params = {
'grant_type': 'refresh_token',
'refresh_token': _refresh_token,
'scope': access_scope
}
else:
# we don't have refresh token, send secret to initialize
params = {
'grant_type': 'client_credentials',
'client_id': client._key_id,
'client_secret': client._key_secret,
'scope': access_scope
}
resp = await json_rpc('public/auth', params)
result = resp.result
_expiry_time = time.time() + result['expires_in']
_refresh_token = result['refresh_token']
if 'access_token' in result:
_access_token = result['access_token']
if not got_access:
# first time this loop runs we must indicate task is
# started, we have auth
got_access = True
task_status.started()
else:
await trio.sleep(renew_time / 2)
# if we have client creds launch auth loop
if client._key_id is not None:
await n.start(_auth_loop)
await client.cache_symbols()
yield client
n.cancel_scope.cancel()
@ -494,7 +571,7 @@ async def maybe_open_feed_handler() -> trio.abc.ReceiveStream:
async def aio_price_feed_relay(
fh: FeedHandler,
instrument: Symbol,
instrument: str,
from_trio: asyncio.Queue,
to_trio: trio.abc.SendChannel,
) -> None:
@ -513,21 +590,33 @@ async def aio_price_feed_relay(
'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)}
{
'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,
channels=[TRADES, L1_BOOK],
symbols=[piker_sym_to_cb_sym(instrument)],
symbols=[sym],
callbacks={
TRADES: _trade,
L1_BOOK: _l1
@ -568,9 +657,9 @@ async def maybe_open_price_feed(
async with maybe_open_context(
acm_func=open_price_feed,
kwargs={
'instrument': instrument
'instrument': instrument.split('.')[0]
},
key=f'{instrument}-price',
key=f'{instrument.split('.')[0]}-price',
) as (cache_hit, feed):
if cache_hit:
yield broadcast_receiver(feed, 10)
@ -635,10 +724,10 @@ async def maybe_open_order_feed(
async with maybe_open_context(
acm_func=open_order_feed,
kwargs={
'instrument': instrument,
'instrument': instrument.split('.')[0],
'fh': fh
},
key=f'{instrument}-order',
key=f'{instrument.split('.')[0]}-order',
) as (cache_hit, feed):
if cache_hit:
yield broadcast_receiver(feed, 10)