Refactored deribit backend into new multi file format
parent
28e025d02e
commit
f55f56a29f
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@ -0,0 +1,64 @@
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# piker: trading gear for hackers
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# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Deribit backend.
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'''
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from piker.log import get_logger
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log = get_logger(__name__)
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from .api import (
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get_client,
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)
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from .feed import (
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open_history_client,
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open_symbol_search,
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stream_quotes,
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)
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# from .broker import (
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# trades_dialogue,
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# norm_trade_records,
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# )
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__all__ = [
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'get_client',
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# 'trades_dialogue',
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'open_history_client',
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'open_symbol_search',
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'stream_quotes',
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# 'norm_trade_records',
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]
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# tractor RPC enable arg
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__enable_modules__: list[str] = [
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'api',
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'feed',
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# 'broker',
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]
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# passed to ``tractor.ActorNursery.start_actor()``
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_spawn_kwargs = {
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'infect_asyncio': True,
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}
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# annotation to let backend agnostic code
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# know if ``brokerd`` should be spawned with
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# ``tractor``'s aio mode.
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_infect_asyncio: bool = True
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@ -0,0 +1,266 @@
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Deribit backend.
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'''
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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from typing import Any, Optional, List
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import pendulum
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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from pydantic import BaseModel
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from .._util import resproc
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from piker import config
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from piker.log import get_logger
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from cryptofeed.symbols import Symbol
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_spawn_kwargs = {
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'infect_asyncio': True,
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}
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log = get_logger(__name__)
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_url = 'https://www.deribit.com'
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# Broker specific ohlc schema (rest)
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_ohlc_dtype = [
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('index', int),
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('time', int),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('volume', float),
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('bar_wap', float), # will be zeroed by sampler if not filled
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]
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class JSONRPCResult(BaseModel):
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jsonrpc: str = '2.0'
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result: dict
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usIn: int
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usOut: int
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usDiff: int
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testnet: bool
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class KLinesResult(BaseModel):
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close: List[float]
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cost: List[float]
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high: List[float]
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low: List[float]
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open: List[float]
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status: str
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ticks: List[int]
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volume: List[float]
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class KLines(JSONRPCResult):
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result: KLinesResult
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class Trade(BaseModel):
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trade_seq: int
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trade_id: str
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timestamp: int
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tick_direction: int
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price: float
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mark_price: float
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iv: float
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instrument_name: str
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index_price: float
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direction: str
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amount: float
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class LastTradesResult(BaseModel):
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trades: List[Trade]
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has_more: bool
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class LastTrades(JSONRPCResult):
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result: LastTradesResult
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# convert datetime obj timestamp to unixtime in milliseconds
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def deribit_timestamp(when):
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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class Client:
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def __init__(self) -> None:
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self._sesh = asks.Session(connections=4)
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self._sesh.base_location = _url
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self._pairs: dict[str, Any] = {}
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async def _api(
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self,
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method: str,
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params: dict,
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) -> dict[str, Any]:
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resp = await self._sesh.get(
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path=f'/api/v2/public/{method}',
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params=params,
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timeout=float('inf')
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)
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return resproc(resp, log)
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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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currency: str = 'btc', # BTC, ETH, SOL, USDC
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kind: str = 'option',
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expired: bool = False
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) -> dict[str, Any]:
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'''Get symbol info for the exchange.
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'''
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# TODO: we can load from our self._pairs cache
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# on repeat calls...
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# will retrieve all symbols by default
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params = {
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'currency': currency.upper(),
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'kind': kind,
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'expired': str(expired).lower()
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}
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resp = await self._api(
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'get_instruments', params=params)
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results = resp['result']
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instruments = {
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item['instrument_name']: item for item in results}
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if instrument is not None:
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return instruments[instrument]
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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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if not self._pairs:
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self._pairs = await self.symbol_info()
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return self._pairs
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async def search_symbols(
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self,
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pattern: str,
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limit: int = None,
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) -> dict[str, Any]:
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if self._pairs is not None:
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data = self._pairs
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else:
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data = await self.symbol_info()
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matches = fuzzy.extractBests(
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pattern,
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data,
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score_cutoff=50,
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)
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# repack in dict form
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return {item[0]['instrument_name']: item[0]
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for item in matches}
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async def bars(
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self,
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symbol: str,
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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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if end_dt is None:
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end_dt = pendulum.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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'minute').subtract(minutes=limit)
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start_time = deribit_timestamp(start_dt)
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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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response = await self._api(
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'get_tradingview_chart_data',
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params={
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'instrument_name': instrument.upper(),
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'start_timestamp': start_time,
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'end_timestamp': end_time,
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'resolution': '1'
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}
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)
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klines = KLines(**response)
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result = klines.result
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new_bars = []
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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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]
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new_bars.append((i,) + tuple(row))
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else klines
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return array
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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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response = await self._api(
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'get_last_trades_by_instrument',
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params={
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'instrument_name': instrument,
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'count': count
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}
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)
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return LastTrades(**response)
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@acm
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async def get_client() -> Client:
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client = Client()
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await client.cache_symbols()
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yield client
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@ -1,6 +1,3 @@
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# piker: trading gear for hackers
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# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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@ -14,51 +11,44 @@
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Deribit backend
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'''
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Deribit backend.
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'''
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"""
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import asyncio
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from async_generator import aclosing
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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from typing import (
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Any, Union, Optional, List,
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AsyncGenerator, Callable,
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)
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from typing import Any, Optional, List, Callable
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import time
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import trio
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from trio_typing import TaskStatus
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import pendulum
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from tractor import to_asyncio
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from .. import config
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from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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from piker import config
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from piker._cacheables import open_cached_client
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from piker.log import get_logger, get_console_log
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from piker.data import ShmArray
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from piker.brokers._util import (
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BrokerError,
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DataUnavailable,
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)
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from cryptofeed import FeedHandler
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from cryptofeed.callback import (
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L1BookCallback,
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TradeCallback
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)
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from cryptofeed.defines import (
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DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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from .api import Client
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_spawn_kwargs = {
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'infect_asyncio': True,
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}
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@ -87,69 +77,6 @@ log = get_logger(__name__)
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_url = 'https://www.deribit.com'
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# Broker specific ohlc schema (rest)
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_ohlc_dtype = [
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('index', int),
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('time', int),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('volume', float),
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# ('bar_wap', float), # will be zeroed by sampler if not filled
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]
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class JSONRPCResult(BaseModel):
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jsonrpc: str = '2.0'
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result: dict
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usIn: int
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usOut: int
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usDiff: int
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testnet: bool
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class KLinesResult(BaseModel):
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close: List[float]
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cost: List[float]
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high: List[float]
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low: List[float]
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open: List[float]
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status: str
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ticks: List[int]
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volume: List[float]
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class KLines(JSONRPCResult):
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result: KLinesResult
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class Trade(BaseModel):
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trade_seq: int
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trade_id: str
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timestamp: int
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tick_direction: int
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price: float
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mark_price: float
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iv: float
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instrument_name: str
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index_price: float
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direction: str
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amount: float
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class LastTradesResult(BaseModel):
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trades: List[Trade]
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has_more: bool
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class LastTrades(JSONRPCResult):
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result: LastTradesResult
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# convert datetime obj timestamp to unixtime in milliseconds
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def deribit_timestamp(when):
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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def str_to_cb_sym(name: str) -> Symbol:
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base, strike_price, expiry_date, option_type = name.split('-')
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@ -212,165 +139,6 @@ def cb_sym_to_deribit_inst(sym: Symbol):
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return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}'
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class Client:
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def __init__(self) -> None:
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self._sesh = asks.Session(connections=4)
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self._sesh.base_location = _url
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self._pairs: dict[str, Any] = {}
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async def _api(
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self,
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method: str,
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params: dict,
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) -> dict[str, Any]:
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resp = await self._sesh.get(
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path=f'/api/v2/public/{method}',
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params=params,
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timeout=float('inf')
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)
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return resproc(resp, log)
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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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currency: str = 'btc', # BTC, ETH, SOL, USDC
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kind: str = 'option',
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expired: bool = False
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) -> dict[str, Any]:
|
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'''Get symbol info for the exchange.
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|
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'''
|
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# TODO: we can load from our self._pairs cache
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# on repeat calls...
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|
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# will retrieve all symbols by default
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params = {
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'currency': currency.upper(),
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'kind': kind,
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'expired': str(expired).lower()
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}
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resp = await self._api(
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'get_instruments', params=params)
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results = resp['result']
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instruments = {
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item['instrument_name']: item for item in results}
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if instrument is not None:
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return instruments[instrument]
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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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if not self._pairs:
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self._pairs = await self.symbol_info()
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|
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return self._pairs
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async def search_symbols(
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self,
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pattern: str,
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limit: int = None,
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) -> dict[str, Any]:
|
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if self._pairs is not None:
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data = self._pairs
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else:
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data = await self.symbol_info()
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|
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matches = fuzzy.extractBests(
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pattern,
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data,
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score_cutoff=50,
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)
|
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# repack in dict form
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return {item[0]['instrument_name']: item[0]
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for item in matches}
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async def bars(
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self,
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symbol: str,
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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,
|
||||
) -> dict:
|
||||
instrument = symbol
|
||||
|
||||
if end_dt is None:
|
||||
end_dt = pendulum.now('UTC')
|
||||
|
||||
if start_dt is None:
|
||||
start_dt = end_dt.start_of(
|
||||
'minute').subtract(minutes=limit)
|
||||
|
||||
start_time = deribit_timestamp(start_dt)
|
||||
end_time = deribit_timestamp(end_dt)
|
||||
|
||||
# https://docs.deribit.com/#public-get_tradingview_chart_data
|
||||
response = await self._api(
|
||||
'get_tradingview_chart_data',
|
||||
params={
|
||||
'instrument_name': instrument.upper(),
|
||||
'start_timestamp': start_time,
|
||||
'end_timestamp': end_time,
|
||||
'resolution': '1'
|
||||
}
|
||||
)
|
||||
|
||||
klines = KLines(**response)
|
||||
|
||||
result = klines.result
|
||||
new_bars = []
|
||||
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]
|
||||
]
|
||||
|
||||
new_bars.append((i,) + tuple(row))
|
||||
|
||||
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else klines
|
||||
return array
|
||||
|
||||
async def last_trades(
|
||||
self,
|
||||
instrument: str,
|
||||
count: int = 10
|
||||
):
|
||||
response = await self._api(
|
||||
'get_last_trades_by_instrument',
|
||||
params={
|
||||
'instrument_name': instrument,
|
||||
'count': count
|
||||
}
|
||||
)
|
||||
|
||||
return LastTrades(**response)
|
||||
|
||||
|
||||
@acm
|
||||
async def get_client() -> Client:
|
||||
client = Client()
|
||||
await client.cache_symbols()
|
||||
yield client
|
||||
|
||||
|
||||
# inside here we are in an asyncio context
|
||||
async def open_aio_cryptofeed_relay(
|
||||
from_trio: asyncio.Queue,
|
||||
|
|
@ -464,8 +232,12 @@ async def open_history_client(
|
|||
start_dt=start_dt,
|
||||
end_dt=end_dt,
|
||||
)
|
||||
if len(array) == 0:
|
||||
raise DataUnavailable
|
||||
|
||||
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||
|
||||
return array, start_dt, end_dt
|
||||
|
||||
yield get_ohlc, {'erlangs': 3, 'rate': 3}
|
||||
|
|
@ -514,7 +286,8 @@ async def stream_quotes(
|
|||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': {
|
||||
'asset_type': 'option'
|
||||
'asset_type': 'option',
|
||||
'price_tick_size': 0.0005
|
||||
},
|
||||
'shm_write_opts': {'sum_tick_vml': False},
|
||||
'fqsn': sym,
|
||||
|
|
@ -568,7 +341,7 @@ async def open_symbol_search(
|
|||
matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
cache,
|
||||
score_cutoff=50,
|
||||
score_cutoff=30,
|
||||
)
|
||||
# repack in dict form
|
||||
await stream.send(
|
||||
Loading…
Reference in New Issue