kucoin: deliver `FeedInit` msgs on feed startup
To fit with the rest of the new requirements added in `.data.validate` this adds `FeedInit` init including `MktPair` and `Asset` loading for all spot currencies provided by `kucoin`. Deatz: - add a `Currency` struct and accompanying `Client.get_currencies()` for storing all asset infos. - implement `.get_mkt_info()` which loads all necessary accounting and mkt meta-data structs including adding `.price/size_tick` fields to the `KucoinMktPair`. - on client boot, async spawn requests to cache both symbols and currencies. - pass `subscribe()` as the `fixture` arg to `open_autorecon_ws()` instead of opening it manually. Other: - tweak `Client._request` to not expect the prefixed `'/'` for the `endpoint: str`. - change the `api_v` arg to just be `api: str`.master
Tyler Goodlet
parent
80338e1ddd
commit
f1f2ba2e02
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@ -29,6 +29,7 @@ import hmac
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import hashlib
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import time
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from functools import partial
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from pprint import pformat
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from typing import (
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Any,
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Callable,
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@ -48,20 +49,22 @@ import numpy as np
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from piker.accounting._mktinfo import (
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Asset,
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digits_to_dec,
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MktPair,
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)
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from piker.data.validate import FeedInit
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from piker import config
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from piker._cacheables import (
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open_cached_client,
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async_lifo_cache,
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)
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from piker.log import get_logger
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from ._util import DataUnavailable
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from ..data.types import Struct
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from ..data._web_bs import (
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from piker.data.types import Struct
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from piker.data._web_bs import (
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open_autorecon_ws,
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NoBsWs,
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)
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from ._util import DataUnavailable
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log = get_logger(__name__)
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@ -88,7 +91,7 @@ class KucoinMktPair(Struct, frozen=True):
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@property
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def price_tick(self) -> Decimal:
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return Decimal(str(self.self.baseIncrement))
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return Decimal(str(self.baseIncrement))
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baseMaxSize: float
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baseMinSize: float
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@ -118,7 +121,6 @@ class AccountTrade(Struct, frozen=True):
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https://docs.kucoin.com/#get-account-ledgers
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'''
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id: str
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currency: str
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amount: float
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@ -136,7 +138,6 @@ class AccountResponse(Struct, frozen=True):
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https://docs.kucoin.com/#get-account-ledgers
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'''
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currentPage: int
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pageSize: int
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totalNum: int
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@ -150,7 +151,6 @@ class KucoinTrade(Struct, frozen=True):
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https://docs.kucoin.com/#symbol-ticker
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'''
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bestAsk: float
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bestAskSize: float
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bestBid: float
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@ -178,13 +178,32 @@ class KucoinMsg(Struct, frozen=True):
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Generic outer-wrapper for any Kucoin ws msg
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'''
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type: str
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topic: str
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subject: str
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data: list[KucoinTrade | KucoinL2]
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class Currency(Struct, frozen=True):
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'''
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Currency (asset) info:
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https://docs.kucoin.com/#get-currencies
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'''
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currency: str
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name: str
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fullName: str
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precision: int
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confirms: int
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contractAddress: str
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withdrawalMinSize: str
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withdrawalMinFee: str
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isWithdrawEnabled: bool
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isDepositEnabled: bool
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isMarginEnabled: bool
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isDebitEnabled: bool
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class BrokerConfig(Struct, frozen=True):
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key_id: str
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key_secret: str
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@ -205,15 +224,17 @@ def get_config() -> BrokerConfig | None:
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class Client:
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def __init__(self) -> None:
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self._config: BrokerConfig | None = get_config()
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self._pairs: dict[str, KucoinMktPair] = {}
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self._bars: list[list[float]] = []
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self._config: BrokerConfig | None = get_config()
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self._currencies: dict[str, Currency] = {}
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def _gen_auth_req_headers(
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self,
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action: Literal['POST', 'GET'],
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endpoint: str,
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api_v: str = 'v2',
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api: str = 'v2',
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) -> dict[str, str | bytes]:
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'''
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Generate authenticated request headers
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@ -227,7 +248,7 @@ class Client:
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str_to_sign = (
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str(int(time.time() * 1000))
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+ action + f'/api/{api_v}{endpoint}'
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+ action + f'/api/{api}/{endpoint.lstrip("/")}'
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)
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signature = base64.b64encode(
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@ -259,7 +280,7 @@ class Client:
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self,
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action: Literal['POST', 'GET'],
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endpoint: str,
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api_v: str = 'v2',
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api: str = 'v2',
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headers: dict = {},
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) -> Any:
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'''
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@ -268,19 +289,24 @@ class Client:
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'''
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if self._config:
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headers = self._gen_auth_req_headers(
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action, endpoint, api_v)
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action,
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endpoint,
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api,
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)
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api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
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api_url = f'https://api.kucoin.com/api/{api}/{endpoint}'
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res = await asks.request(action, api_url, headers=headers)
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if 'data' in res.json():
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return res.json()['data']
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json = res.json()
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if 'data' in json:
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return json['data']
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else:
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log.error(
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f'Error making request to {api_url} -> {res.json()["msg"]}'
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f'Error making request to {api_url} ->\n'
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f'{pformat(res)}'
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)
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return res.json()['msg']
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return json['msg']
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async def _get_ws_token(
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self,
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@ -296,7 +322,9 @@ class Client:
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token_type = 'private' if private else 'public'
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try:
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data: dict[str, Any] | None = await self._request(
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'POST', f'/bullet-{token_type}', 'v1'
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'POST',
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endpoint=f'bullet-{token_type}',
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api='v1'
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)
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except Exception as e:
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log.error(
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@ -313,10 +341,39 @@ class Client:
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f'{data.json()["msg"]}'
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)
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async def get_currencies(
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self,
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update: bool = False,
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) -> dict[str, Currency]:
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'''
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Retrieve all "currency" info:
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https://docs.kucoin.com/#get-currencies
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We use this for creating piker-interal ``Asset``s.
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'''
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if (
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not self._currencies
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or update
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):
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currencies: dict[str, Currency] = {}
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entries: list[dict] = await self._request(
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'GET',
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api='v1',
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endpoint='currencies',
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)
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for entry in entries:
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curr = Currency(**entry).copy()
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currencies[curr.name] = curr
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self._currencies.update(currencies)
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return self._currencies
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async def _get_pairs(
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self,
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) -> dict[str, KucoinMktPair]:
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entries = await self._request('GET', '/symbols')
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entries = await self._request('GET', 'symbols')
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syms = {
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item['name'].lower().replace('-', ''): KucoinMktPair(**item)
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for item in entries
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@ -327,13 +384,18 @@ class Client:
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async def cache_pairs(
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self,
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update: bool = False,
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) -> dict[str, KucoinMktPair]:
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'''
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Get cached pairs and convert keyed symbols into fqsns if ya want
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'''
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if not self._pairs:
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self._pairs = await self._get_pairs()
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if (
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not self._pairs
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or update
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):
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self._pairs.update(await self._get_pairs())
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return self._pairs
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@ -341,7 +403,12 @@ 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, KucoinMktPair]:
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'''
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Use fuzzy search to match against all market names.
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'''
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data = await self.cache_pairs()
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matches = fuzzy.extractBests(
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@ -352,7 +419,9 @@ class Client:
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async def last_trades(self, sym: str) -> list[AccountTrade]:
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trades = await self._request(
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'GET', f'/accounts/ledgers?currency={sym}', 'v1'
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'GET',
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endpoint=f'accounts/ledgers?currency={sym}',
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api='v1'
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)
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trades = AccountResponse(**trades)
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return trades.items
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@ -360,11 +429,13 @@ class Client:
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async def _get_bars(
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self,
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fqsn: str,
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start_dt: datetime | None = None,
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end_dt: datetime | None = None,
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limit: int = 1000,
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as_np: bool = True,
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type: str = '1min',
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) -> np.ndarray:
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'''
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Get OHLC data and convert to numpy array for perffff:
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@ -409,7 +480,7 @@ class Client:
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kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
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url = (
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f'/market/candles?type={type}'
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f'market/candles?type={type}'
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f'&symbol={kucoin_sym}'
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f'&startAt={start_dt}'
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f'&endAt={end_dt}'
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@ -419,7 +490,7 @@ class Client:
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data: list[list[str]] | dict = await self._request(
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'GET',
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url,
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api_v='v1',
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api='v1',
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)
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if not isinstance(data, list):
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@ -476,7 +547,10 @@ def fqsn_to_kucoin_sym(
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@acm
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async def get_client() -> AsyncGenerator[Client, None]:
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client = Client()
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await client.cache_pairs()
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async with trio.open_nursery() as n:
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n.start_soon(client.cache_pairs)
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await client.get_currencies()
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yield client
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@ -540,10 +614,24 @@ async def get_mkt_info(
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bs_mktid: str = pair.symbol
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# pair: KucoinMktPair = await client.pair_info(pair_str)
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assets: dict[str, Currency] = client._currencies
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# assets = client.assets
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# dst_asset: Asset = assets[pair.base]
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# src_asset: Asset = assets[pair.quote]
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# TODO: maybe just do this processing in
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# a .get_assets() method (see kraken)?
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src: Currency = assets[pair.quoteCurrency]
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src_asset = Asset(
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name=src.name,
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atype='crypto_currency',
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tx_tick=digits_to_dec(src.precision),
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info=src.to_dict(),
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)
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dst: Currency = assets[pair.baseCurrency]
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dst_asset = Asset(
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name=dst.name,
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atype='crypto_currency',
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tx_tick=digits_to_dec(dst.precision),
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info=dst.to_dict(),
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)
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mkt = MktPair(
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dst=dst_asset,
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@ -573,30 +661,25 @@ async def stream_quotes(
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Where the rubber hits the road baby
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'''
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init_msgs: list[FeedInit] = []
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async with open_cached_client('kucoin') as client:
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log.info('Starting up quote stream')
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# loop through symbols and sub to feedz
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log.info(f'Starting up quote stream(s) for {symbols}')
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for sym_str in symbols:
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mkt, pair = await get_mkt_info(sym_str)
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init_msgs = {
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# pass back token, and bool, signalling if we're the
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# writer and that history has been written
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sym_str: {
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'symbol_info': {
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'asset_type': 'crypto',
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'price_tick_size': pair.baseIncrement,
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'lot_tick_size': pair.baseMinSize,
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init_msgs.append(
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FeedInit(
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mkt_info=mkt,
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shm_write_opts={
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'sum_tick_vml': False,
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},
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'shm_write_opts': {'sum_tick_vml': False},
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'fqsn': sym_str,
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}
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}
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)
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)
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ws: NoBsWs
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token, ping_interval = await client._get_ws_token()
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connect_id = str(uuid4())
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async with (
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open_autorecon_ws(
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(
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@ -606,7 +689,7 @@ async def stream_quotes(
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fixture=partial(
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subscribe,
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connect_id=connect_id,
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kucoin_sym=pair.sym,
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bs_mktid=pair.symbol,
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),
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) as ws,
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open_ping_task(ws, ping_interval, connect_id),
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@ -614,6 +697,7 @@ async def stream_quotes(
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aclosing(stream_messages(ws, sym_str)) as msg_gen,
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):
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typ, quote = await anext(msg_gen)
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while typ != 'trade':
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# take care to not unblock here until we get a real
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# trade quote
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