repurpose ws code for ownTrades stream, get trade authentication going
Konstantine Tsafatinos
parent
b1bff1be85
commit
ee0be13af1
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@ -119,18 +119,13 @@ class Pair(BaseModel):
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ordermin: float # minimum order volume for pair
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class Order(BaseModel):
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class Trade(BaseModel):
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"""Order class that helps parse and validate order stream"""
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txid: str # kraken order transaction id
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reqid: str # kraken order transaction id
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action: str # buy or sell
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ordertype: str # limit order ##TODO: Do I need this?
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pair: str # order pair
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price: str # price of asset
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vol: str # vol of asset
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status: str # order status
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opentm: str # time of order
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timeinforce: str # e.g GTC, GTD
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userref: str # for a mapping to oids
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size: str # vol of asset
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broker_time: str # e.g GTC, GTD
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@dataclass
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@ -540,28 +535,6 @@ async def handle_order_requests(
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# validate
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temp_id = next(userref_counter)
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order = BrokerdOrder(**request_msg)
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#def slashinsert(str):
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# midPoint = len(str)//2
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# return str[:midPoint] + '/' + str[midPoint:]
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## Send order via websocket
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#order_msg = {
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# "event": "addOrder",
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# "ordertype": "limit",
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# "pair": slashinsert(order.symbol.upper()),
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# "price": str(order.price),
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# "token": token,
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# "type": order.action,
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# "volume": str(order.size),
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# "userref": str(temp_id)
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#}
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## add oid userref mapping
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#userref_oid_map[str(temp_id)] = {
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# 'oid': order.oid, 'account': order.account
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#}
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#await ws.send_msg(order_msg)
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# call our client api to submit the order
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resp = await client.submit_limit(
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@ -608,14 +581,6 @@ async def handle_order_requests(
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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#cancel_msg = {
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# "event": "cancelOrder",
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# "token": token,
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# "txid": [msg.reqid]
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#}
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#await ws.send_msg(cancel_msg)
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# Send order cancellation to kraken
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resp = await client.submit_cancel(
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reqid=msg.reqid
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@ -669,7 +634,7 @@ async def trades_dialogue(
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# specific logic for this in kraken's shitty sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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trades_sub = make_auth_sub(
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{'name': 'openOrders', 'token': token}
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{'name': 'ownTrades', 'token': token}
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)
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# TODO: we want to eventually allow unsubs which should
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@ -692,7 +657,7 @@ async def trades_dialogue(
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# unsub from all pairs on teardown
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await ws.send_msg({
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'event': 'unsubscribe',
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'subscription': ['openOrders'],
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'subscription': ['ownTrades'],
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})
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# XXX: do we need to ack the unsub?
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@ -732,14 +697,50 @@ async def trades_dialogue(
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## TODO: maybe add multiple accounts
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n.start_soon(handle_order_requests, client, ems_stream)
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# Process trades msg stream of ws
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async with open_autorecon_ws(
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'wss://ws-auth.kraken.com/',
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fixture=subscribe,
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token=token,
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) as ws:
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from pprint import pprint
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async for msg in process_order_msgs(ws):
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async for msg in process_trade_msgs(ws):
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pprint(msg)
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for trade in msg:
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# check the type of packaged message
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assert type(trade) == Trade
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# prepare and send a status update for line update
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trade_msg = BrokerdStatus(
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reqid=trade.reqid,
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time_ns=time.time_ns(),
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account='kraken.spot',
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status='executed',
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filled=float(trade.size),
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reason='Order filled by kraken',
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# remaining='' ## TODO: not sure what to do here.
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broker_details={
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'name': 'kraken',
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'broker_time': trade.broker_time
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}
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)
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await ems_stream.send(trade_msg.dict())
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# send a fill msg for gui update
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fill_msg = BrokerdFill(
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reqid=trade.reqid,
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time_ns=time.time_ns(),
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action=trade.action,
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size=float(trade.size),
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price=float(trade.price),
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## TODO: maybe capture more msg data i.e fees?
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broker_details={'name': 'kraken'},
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broker_time=float(trade.broker_time)
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)
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await ems_stream.send(fill_msg.dict())
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async def stream_messages(
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@ -833,7 +834,7 @@ async def process_data_feed_msgs(
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yield msg
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async def process_order_msgs(
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async def process_trade_msgs(
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ws: NoBsWs,
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):
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'''
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@ -848,62 +849,35 @@ async def process_order_msgs(
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# and then in the caller recast to our native ``BrokerdX`` msg types.
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try:
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# check that we are on openOrders stream and that msgs are arriving
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# in sequence with kraken
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assert msg[1] == 'openOrders'
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# check that we are on the ownTrades stream and that msgs are
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# arriving in sequence with kraken
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assert msg[1] == 'ownTrades'
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assert msg[2]['sequence'] > sequence_counter
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sequence_counter += 1
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raw_msgs = msg[0]
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# TODO: get length and start list
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order_msgs = []
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trade_msgs = []
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try:
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# Check that we are only processing new trades
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if msg[2]['sequence'] != 1:
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# check if its a new order or an update msg
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for order in raw_msgs:
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txid = list(order.keys())[0]
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order_msg = Order(
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txid=txid,
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action=order[txid]['descr']['type'],
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ordertype=order[txid]['descr']['ordertype'],
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pair=order[txid]['descr']['pair'],
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price=order[txid]['descr']['price'],
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vol=order[txid]['vol'],
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status=order[txid]['status'],
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opentm=order[txid]['opentm'],
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timeinforce=order[txid]['timeinforce'],
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userref=order[txid]['userref']
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for trade_msg in raw_msgs:
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trade = list(trade_msg.values())[0]
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order_msg = Trade(
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reqid=trade['ordertxid'],
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action=trade['type'],
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price=trade['price'],
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size=trade['vol'],
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broker_time=trade['time']
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)
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order_msgs.append(order_msg)
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yield order_msgs
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except KeyError:
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for order in raw_msgs:
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txid = list(order.keys())[0]
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## TODO: maybe use a pydantic.BaseModel
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order_msg = {
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'txid': txid,
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'status': order[txid]['status'],
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'userref': order[txid]['userref']
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}
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order_msgs.append(order_msg)
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yield order_msgs
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trade_msgs.append(order_msg)
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yield trade_msgs
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except AssertionError:
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print(f'UNHANDLED MSG: {msg}')
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yield msg
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# form of order msgs:
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# [{'OIZACU-HB2JZ-YA2QEF': {'lastupdated': '1644595511.768544',
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# 'status': 'canceled', 'vol_exec': '0.00000000', 'cost':
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# '0.00000000', 'fee': '0.00000000', 'avg_price':
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# '0.00000000', 'userref': 1, 'cancel_reason': 'User
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# requested'}}], 'openOrders', {'sequence': 4}]
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# yield msg
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def normalize(
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ohlc: OHLC,
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