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