Initial `piker.pp` ledger support for `kraken`
No real-time update support (yet) but this is the first draft at writing trades ledgers and `pps.toml` entries for the kraken backend. Deatz: - drop `pack_positions()`, no longer used. - use `piker.pp` apis to both write a trades ledger file and update the `pps.toml` inside the `trades_dialogue()` endpoint startup. - drop the weird paper engine swap over if auth can't be done, we should be doing something with messaging in the ems over this.. - more web API error response raising. - pass the `pp.Transaction` set loaded from ledger into `process_trade_msgs()` do avoid duplicate sends of already collected trades msgs. - add `norm_trade_records()` public endpoing (used by `piker.pp` api) and `update_ledger()` helper. - rejig `process_trade_msgs()` to drop the weird `try:` assertion block and skip already-recorded-in-ledger trade msgs as well as yield *each* trade instead of sub-sequences.notokeninwswrapper
Tyler Goodlet
parent
5d39b04552
commit
f65f56ec75
|
|
@ -35,9 +35,7 @@ from .feed import (
|
|||
)
|
||||
from .broker import (
|
||||
trades_dialogue,
|
||||
|
||||
# TODO: part of pps/ledger work
|
||||
# norm_trade_records,
|
||||
norm_trade_records,
|
||||
)
|
||||
|
||||
__all__ = [
|
||||
|
|
|
|||
|
|
@ -29,12 +29,13 @@ from typing import (
|
|||
# Union,
|
||||
)
|
||||
|
||||
import pendulum
|
||||
from pydantic import BaseModel
|
||||
import trio
|
||||
import tractor
|
||||
import wsproto
|
||||
|
||||
from piker.clearing._paper_engine import PaperBoi
|
||||
from piker import pp
|
||||
from piker.clearing._messages import (
|
||||
BrokerdPosition, BrokerdOrder, BrokerdStatus,
|
||||
BrokerdOrderAck, BrokerdError, BrokerdCancel,
|
||||
|
|
@ -62,47 +63,11 @@ class Trade(BaseModel):
|
|||
'''
|
||||
reqid: str # kraken order transaction id
|
||||
action: str # buy or sell
|
||||
price: str # price of asset
|
||||
size: str # vol of asset
|
||||
price: float # price of asset
|
||||
size: float # vol of asset
|
||||
broker_time: str # e.g GTC, GTD
|
||||
|
||||
|
||||
def pack_positions(
|
||||
acc: str,
|
||||
trades: dict
|
||||
|
||||
) -> list[Any]:
|
||||
positions: dict[str, float] = {}
|
||||
vols: dict[str, float] = {}
|
||||
costs: dict[str, float] = {}
|
||||
position_msgs: list[Any] = []
|
||||
|
||||
for trade in trades.values():
|
||||
sign = -1 if trade['type'] == 'sell' else 1
|
||||
pair = trade['pair']
|
||||
vol = float(trade['vol'])
|
||||
vols[pair] = vols.get(pair, 0) + sign * vol
|
||||
costs[pair] = costs.get(pair, 0) + sign * float(trade['cost'])
|
||||
positions[pair] = costs[pair] / vols[pair] if vols[pair] else 0
|
||||
|
||||
for ticker, pos in positions.items():
|
||||
vol = float(vols[ticker])
|
||||
if not vol:
|
||||
continue
|
||||
norm_sym = normalize_symbol(ticker)
|
||||
msg = BrokerdPosition(
|
||||
broker='kraken',
|
||||
account=acc,
|
||||
symbol=norm_sym,
|
||||
currency=norm_sym[-3:],
|
||||
size=vol,
|
||||
avg_price=float(pos),
|
||||
)
|
||||
position_msgs.append(msg.dict())
|
||||
|
||||
return position_msgs
|
||||
|
||||
|
||||
async def handle_order_requests(
|
||||
|
||||
client: Client,
|
||||
|
|
@ -317,47 +282,60 @@ async def trades_dialogue(
|
|||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
# Authenticated block
|
||||
async with get_client() as client:
|
||||
|
||||
# TODO: make ems flip to paper mode via
|
||||
# some returned signal if the user only wants to use
|
||||
# the data feed or we return this?
|
||||
# await ctx.started(({}, ['paper']))
|
||||
|
||||
if not client._api_key:
|
||||
log.error('Missing Kraken API key: Trades WS connection failed')
|
||||
await ctx.started(({}, ['paper']))
|
||||
raise RuntimeError(
|
||||
'Missing Kraken API key in `brokers.toml`!?!?')
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
|
||||
client = PaperBoi(
|
||||
'kraken',
|
||||
ems_stream,
|
||||
_buys={},
|
||||
_sells={},
|
||||
|
||||
_reqids={},
|
||||
|
||||
# TODO: load paper positions from ``positions.toml``
|
||||
_positions={},
|
||||
)
|
||||
|
||||
# TODO: maybe add multiple accounts
|
||||
n.start_soon(handle_order_requests, client, ems_stream)
|
||||
# auth required block
|
||||
acctid = client._name
|
||||
acc_name = 'kraken.' + acctid
|
||||
|
||||
# pull and deliver trades ledger
|
||||
acc_name = 'kraken.' + client._name
|
||||
trades = await client.get_trades()
|
||||
log.info(
|
||||
f'Loaded {len(trades)} trades from account `{acc_name}`'
|
||||
)
|
||||
position_msgs = pack_positions(acc_name, trades)
|
||||
await ctx.started((position_msgs, (acc_name,)))
|
||||
trans = await update_ledger(acctid, trades)
|
||||
active, closed = pp.update_pps_conf(
|
||||
'kraken',
|
||||
acctid,
|
||||
trade_records=trans,
|
||||
ledger_reload={}.fromkeys(t.bsuid for t in trans),
|
||||
)
|
||||
|
||||
position_msgs: list[dict] = []
|
||||
pps: dict[int, pp.Position]
|
||||
for pps in [active, closed]:
|
||||
for tid, p in pps.items():
|
||||
msg = BrokerdPosition(
|
||||
broker='kraken',
|
||||
account=acc_name,
|
||||
symbol=p.symbol.front_fqsn(),
|
||||
size=p.size,
|
||||
avg_price=p.be_price,
|
||||
currency='',
|
||||
)
|
||||
position_msgs.append(msg.dict())
|
||||
|
||||
await ctx.started(
|
||||
(position_msgs, [acc_name])
|
||||
)
|
||||
|
||||
# Get websocket token for authenticated data stream
|
||||
# Assert that a token was actually received.
|
||||
resp = await client.endpoint('GetWebSocketsToken', {})
|
||||
|
||||
# lol wtf is this..
|
||||
assert resp['error'] == []
|
||||
err = resp.get('error')
|
||||
if err:
|
||||
raise BrokerError(err)
|
||||
|
||||
token = resp['result']['token']
|
||||
|
||||
async with (
|
||||
|
|
@ -373,93 +351,149 @@ async def trades_dialogue(
|
|||
n.start_soon(handle_order_requests, client, ems_stream)
|
||||
|
||||
# begin trade event processing
|
||||
async for msg in process_trade_msgs(ws):
|
||||
for trade in msg:
|
||||
match trade:
|
||||
# prepare and send a filled status update
|
||||
case Trade():
|
||||
filled_msg = BrokerdStatus(
|
||||
reqid=trade.reqid,
|
||||
time_ns=time.time_ns(),
|
||||
async for trade in process_trade_msgs(
|
||||
ws,
|
||||
trans, # pass in prior ledger transactions
|
||||
):
|
||||
match trade:
|
||||
# prepare and send a filled status update
|
||||
case Trade():
|
||||
filled_msg = BrokerdStatus(
|
||||
reqid=trade.reqid,
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
account=acc_name,
|
||||
status='filled',
|
||||
filled=float(trade.size),
|
||||
reason='Order filled by kraken',
|
||||
broker_details={
|
||||
'name': 'kraken',
|
||||
'broker_time': trade.broker_time
|
||||
},
|
||||
account=acc_name,
|
||||
status='filled',
|
||||
filled=float(trade.size),
|
||||
reason='Order filled by kraken',
|
||||
broker_details={
|
||||
'name': 'kraken',
|
||||
'broker_time': trade.broker_time
|
||||
},
|
||||
|
||||
# TODO: figure out if kraken gives a count
|
||||
# of how many units of underlying were
|
||||
# filled. Alternatively we can decrement
|
||||
# this value ourselves by associating and
|
||||
# calcing from the diff with the original
|
||||
# client-side request, see:
|
||||
# https://github.com/pikers/piker/issues/296
|
||||
remaining=0,
|
||||
)
|
||||
await ems_stream.send(filled_msg.dict())
|
||||
# TODO: figure out if kraken gives a count
|
||||
# of how many units of underlying were
|
||||
# filled. Alternatively we can decrement
|
||||
# this value ourselves by associating and
|
||||
# calcing from the diff with the original
|
||||
# client-side request, see:
|
||||
# https://github.com/pikers/piker/issues/296
|
||||
remaining=0,
|
||||
)
|
||||
await ems_stream.send(filled_msg.dict())
|
||||
|
||||
# send a fill msg for gui update
|
||||
fill_msg = BrokerdFill(
|
||||
reqid=trade.reqid,
|
||||
time_ns=time.time_ns(),
|
||||
# send a fill msg for gui update
|
||||
fill_msg = BrokerdFill(
|
||||
reqid=trade.reqid,
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
action=trade.action,
|
||||
size=float(trade.size),
|
||||
price=float(trade.price),
|
||||
# TODO: maybe capture more msg data i.e fees?
|
||||
broker_details={'name': 'kraken'},
|
||||
broker_time=float(trade.broker_time)
|
||||
)
|
||||
action=trade.action,
|
||||
size=float(trade.size),
|
||||
price=float(trade.price),
|
||||
# TODO: maybe capture more msg data i.e fees?
|
||||
broker_details={'name': 'kraken'},
|
||||
broker_time=float(trade.broker_time)
|
||||
)
|
||||
|
||||
await ems_stream.send(fill_msg.dict())
|
||||
await ems_stream.send(fill_msg.dict())
|
||||
|
||||
case _:
|
||||
log.warning(f'Unhandled trades msg: {trade}')
|
||||
await tractor.breakpoint()
|
||||
case _:
|
||||
log.warning(f'Unhandled trades msg: {trade}')
|
||||
await tractor.breakpoint()
|
||||
|
||||
|
||||
def norm_trade_records(
|
||||
ledger: dict[str, Any],
|
||||
|
||||
) -> list[pp.Transaction]:
|
||||
|
||||
records: list[pp.Transaction] = []
|
||||
|
||||
for tid, record in ledger.items():
|
||||
|
||||
size = record.get('vol') * {
|
||||
'buy': 1,
|
||||
'sell': -1,
|
||||
}[record['type']]
|
||||
bsuid = record['pair']
|
||||
norm_sym = normalize_symbol(bsuid)
|
||||
|
||||
records.append(
|
||||
pp.Transaction(
|
||||
fqsn=f'{norm_sym}.kraken',
|
||||
tid=tid,
|
||||
size=float(size),
|
||||
price=float(record['price']),
|
||||
cost=float(record['fee']),
|
||||
dt=pendulum.from_timestamp(record['time']),
|
||||
bsuid=bsuid,
|
||||
|
||||
# XXX: there are no derivs on kraken right?
|
||||
# expiry=expiry,
|
||||
)
|
||||
)
|
||||
|
||||
return records
|
||||
|
||||
|
||||
async def update_ledger(
|
||||
acctid: str,
|
||||
trade_entries: list[dict[str, Any]],
|
||||
|
||||
) -> list[pp.Transaction]:
|
||||
|
||||
# write recent session's trades to the user's (local) ledger file.
|
||||
with pp.open_trade_ledger(
|
||||
'kraken',
|
||||
acctid,
|
||||
) as ledger:
|
||||
ledger.update(trade_entries)
|
||||
|
||||
# normalize to transaction form
|
||||
records = norm_trade_records(trade_entries)
|
||||
return records
|
||||
|
||||
|
||||
async def process_trade_msgs(
|
||||
ws: NoBsWs,
|
||||
trans: list[pp.Transaction],
|
||||
):
|
||||
'''
|
||||
Parse and pack trades subscription messages, deliver framed
|
||||
sequences of messages?
|
||||
|
||||
Ws api docs:
|
||||
https://docs.kraken.com/websockets/#message-ownTrades
|
||||
|
||||
'''
|
||||
sequence_counter = 0
|
||||
count: int = 0
|
||||
ledger_txids = {r.tid for r in trans}
|
||||
|
||||
async for msg in stream_messages(ws):
|
||||
|
||||
try:
|
||||
# check that we are on the ownTrades stream and that msgs
|
||||
# are arriving in sequence with kraken For clarification the
|
||||
# kraken ws api docs for this stream:
|
||||
# https://docs.kraken.com/websockets/#message-ownTrades
|
||||
assert msg[1] == 'ownTrades'
|
||||
assert msg[2]['sequence'] > sequence_counter
|
||||
sequence_counter += 1
|
||||
raw_msgs = msg[0]
|
||||
trade_msgs = []
|
||||
sub = msg[1]
|
||||
seq = msg[2]['sequence']
|
||||
|
||||
# Check that we are only processing new trades
|
||||
if msg[2]['sequence'] != 1:
|
||||
# check if its a new order or an update msg
|
||||
for trade_msg in raw_msgs:
|
||||
trade = list(trade_msg.values())[0]
|
||||
order_msg = Trade(
|
||||
reqid=trade['ordertxid'],
|
||||
action=trade['type'],
|
||||
price=trade['price'],
|
||||
size=trade['vol'],
|
||||
broker_time=trade['time']
|
||||
)
|
||||
trade_msgs.append(order_msg)
|
||||
# stream sanity checks
|
||||
assert sub == 'ownTrades'
|
||||
|
||||
yield trade_msgs
|
||||
# ensure that we are only processing new trades
|
||||
assert seq > count
|
||||
count += 1
|
||||
|
||||
except AssertionError:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
yield msg
|
||||
trade_events = msg[0]
|
||||
|
||||
for trade_event in trade_events:
|
||||
for tid, trade_data in trade_event.items():
|
||||
if tid in ledger_txids:
|
||||
continue
|
||||
|
||||
trade = Trade(
|
||||
reqid=msg['ordertxid'],
|
||||
action=msg['type'],
|
||||
price=msg['price'],
|
||||
size=msg['vol'],
|
||||
broker_time=msg['time']
|
||||
)
|
||||
|
||||
yield trade
|
||||
|
|
|
|||
Loading…
Reference in New Issue