pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Use singlequotes

kucoin_backend
jaredgoldman 2023-04-18 10:42:30 -04:00
parent 9fcfb8d780
commit fcdddadec1
1 changed files with 154 additions and 154 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

308
piker/brokers/kucoin.py
View File

@ -13,10 +13,10 @@
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
'''
Kucoin broker backend
"""
'''
from typing import Any, Callable, Literal, AsyncGenerator
from contextlib import asynccontextmanager as acm
@ -50,23 +50,23 @@ from ..data._web_bs import (
log = get_logger(__name__)
_ohlc_dtype = [
("index", int),
("time", int),
("open", float),
("high", float),
("low", float),
("close", float),
("volume", float),
("bar_wap", float), # will be zeroed by sampler if not filled
('index', int),
('time', int),
('open', float),
('high', float),
('low', float),
('close', float),
('volume', float),
('bar_wap', float), # will be zeroed by sampler if not filled
]
class KucoinMktPair(Struct, frozen=True):
"""
'''
Kucoin's pair format:
https://docs.kucoin.com/#get-symbols-list
"""
'''
baseCurrency: str
baseIncrement: float
@ -88,11 +88,11 @@ class KucoinMktPair(Struct, frozen=True):
class AccountTrade(Struct, frozen=True):
"""
'''
Historical trade format:
https://docs.kucoin.com/#get-account-ledgers
"""
'''
id: str
currency: str
@ -101,16 +101,16 @@ class AccountTrade(Struct, frozen=True):
balance: float
accountType: str
bizType: str
direction: Literal["in", "out"]
direction: Literal['in', 'out']
createdAt: float
context: list[str]
class AccountResponse(Struct, frozen=True):
"""
'''
https://docs.kucoin.com/#get-account-ledgers
"""
'''
currentPage: int
pageSize: int
@ -120,11 +120,11 @@ class AccountResponse(Struct, frozen=True):
class KucoinTrade(Struct, frozen=True):
"""
'''
Real-time trade format:
https://docs.kucoin.com/#symbol-ticker
"""
'''
bestAsk: float
bestAskSize: float
@ -137,11 +137,11 @@ class KucoinTrade(Struct, frozen=True):
class KucoinL2(Struct, frozen=True):
"""
'''
Real-time L2 order book format:
https://docs.kucoin.com/#level2-5-best-ask-bid-orders
"""
'''
asks: list[list[float]]
bids: list[list[float]]
@ -149,10 +149,10 @@ class KucoinL2(Struct, frozen=True):
class KucoinMsg(Struct, frozen=True):
"""
'''
Generic outer-wrapper for any Kucoin ws msg
"""
'''
type: str
topic: str
@ -169,10 +169,10 @@ class BrokerConfig(Struct, frozen=True):
def get_config() -> BrokerConfig | None:
conf, _ = config.load()
section = conf.get("kucoin")
section = conf.get('kucoin')
if section is None:
log.warning("No config section found for kucoin in config")
log.warning('No config section found for kucoin in config')
return None
return BrokerConfig(**section).copy()
@ -186,94 +186,94 @@ class Client:
def _gen_auth_req_headers(
self,
action: Literal["POST", "GET"],
action: Literal['POST', 'GET'],
endpoint: str,
api_v: str = "v2",
api_v: str = 'v2',
) -> dict[str, str | bytes]:
"""
'''
Generate authenticated request headers
https://docs.kucoin.com/#authentication
"""
'''
str_to_sign = (
str(int(time.time() * 1000)) + action + f"/api/{api_v}{endpoint}"
str(int(time.time() * 1000)) + action + f'/api/{api_v}{endpoint}'
)
signature = base64.b64encode(
hmac.new(
self._config.key_secret.encode("utf-8"),
str_to_sign.encode("utf-8"),
self._config.key_secret.encode('utf-8'),
str_to_sign.encode('utf-8'),
hashlib.sha256,
).digest()
)
passphrase = base64.b64encode(
hmac.new(
self._config.key_secret.encode("utf-8"),
self._config.key_passphrase.encode("utf-8"),
self._config.key_secret.encode('utf-8'),
self._config.key_passphrase.encode('utf-8'),
hashlib.sha256,
).digest()
)
return {
"KC-API-SIGN": signature,
"KC-API-TIMESTAMP": str(pendulum.now().int_timestamp * 1000),
"KC-API-KEY": self._config.key_id,
"KC-API-PASSPHRASE": passphrase,
'KC-API-SIGN': signature,
'KC-API-TIMESTAMP': str(pendulum.now().int_timestamp * 1000),
'KC-API-KEY': self._config.key_id,
'KC-API-PASSPHRASE': passphrase,
# XXX: Even if using the v1 api - this stays the same
"KC-API-KEY-VERSION": "2",
'KC-API-KEY-VERSION': '2',
}
async def _request(
self,
action: Literal["POST", "GET"],
action: Literal['POST', 'GET'],
endpoint: str,
api_v: str = "v2",
api_v: str = 'v2',
headers: dict = {},
) -> Any:
"""
'''
Generic request wrapper for Kucoin API
"""
'''
if self._config:
headers = self._gen_auth_req_headers(action, endpoint, api_v)
api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
res = await asks.request(action, api_url, headers=headers)
if "data" in res.json():
return res.json()["data"]
if 'data' in res.json():
return res.json()['data']
else:
log.error(
f'Error making request to {api_url} -> {res.json()["msg"]}'
)
return res.json()["msg"]
return res.json()['msg']
async def _get_ws_token(
self,
private: bool = False,
) -> tuple[str, int] | None:
"""
'''
Fetch ws token needed for sub access:
https://docs.kucoin.com/#apply-connect-token
returns a token and the interval we must ping
the server at to keep the connection alive
"""
token_type = "private" if private else "public"
'''
token_type = 'private' if private else 'public'
try:
data: dict[str, Any] | None = await self._request(
"POST", f"/bullet-{token_type}", "v1"
'POST', f'/bullet-{token_type}', 'v1'
)
except Exception as e:
log.error(f"Error making request for Kucoin ws token -> {str(e)}")
log.error(f'Error making request for Kucoin ws token -> {str(e)}')
return None
if data and "token" in data:
if data and 'token' in data:
# ping_interval is in ms
ping_interval: int = data["instanceServers"][0]["pingInterval"]
return data["token"], ping_interval
ping_interval: int = data['instanceServers'][0]['pingInterval']
return data['token'], ping_interval
elif data:
log.error(
'Error making request for Kucoin ws token'
@ -283,22 +283,22 @@ class Client:
async def _get_pairs(
self,
) -> dict[str, KucoinMktPair]:
entries = await self._request("GET", "/symbols")
entries = await self._request('GET', '/symbols')
syms = {
kucoin_sym_to_fqsn(item["name"]): KucoinMktPair(**item)
kucoin_sym_to_fqsn(item['name']): KucoinMktPair(**item)
for item in entries
}
log.info(f" {len(syms)} Kucoin market pairs fetched")
log.info(f' {len(syms)} Kucoin market pairs fetched')
return syms
async def cache_pairs(
self,
) -> dict[str, KucoinMktPair]:
"""
'''
Get cached pairs and convert keyed symbols into fqsns if ya want
"""
'''
if not self._pairs:
self._pairs = await self._get_pairs()
@ -319,7 +319,7 @@ class Client:
async def last_trades(self, sym: str) -> list[AccountTrade]:
trades = await self._request(
"GET", f"/accounts/ledgers?currency={sym}", "v1"
'GET', f'/accounts/ledgers?currency={sym}', 'v1'
)
trades = AccountResponse(**trades)
return trades.items
@ -331,21 +331,21 @@ class Client:
end_dt: datetime | None = None,
limit: int = 1000,
as_np: bool = True,
type: str = "1min",
type: str = '1min',
) -> np.ndarray:
"""
'''
Get OHLC data and convert to numpy array for perffff:
https://docs.kucoin.com/#get-klines
Kucoin bar data format:
[
"1545904980", //Start time of the candle cycle 0
"0.058", //opening price 1
"0.049", //closing price 2
"0.058", //highest price 3
"0.049", //lowest price 4
"0.018", //Transaction volume 5
"0.000945" //Transaction amount 6
'1545904980', //Start time of the candle cycle 0
'0.058', //opening price 1
'0.049', //closing price 2
'0.058', //highest price 3
'0.049', //lowest price 4
'0.018', //Transaction volume 5
'0.000945' //Transaction amount 6
],
piker ohlc numpy array format:
@ -360,14 +360,14 @@ class Client:
('bar_wap', float), # will be zeroed by sampler if not filled
]
"""
'''
# Generate generic end and start time if values not passed
# Currently gives us 12hrs of data
if end_dt is None:
end_dt = pendulum.now("UTC").add(minutes=1)
end_dt = pendulum.now('UTC').add(minutes=1)
if start_dt is None:
start_dt = end_dt.start_of("minute").subtract(minutes=limit)
start_dt = end_dt.start_of('minute').subtract(minutes=limit)
start_dt = int(start_dt.timestamp())
end_dt = int(end_dt.timestamp())
@ -375,24 +375,24 @@ class Client:
kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
url = (
f"/market/candles?type={type}"
f"&symbol={kucoin_sym}"
f"&startAt={start_dt}"
f"&endAt={end_dt}"
f'/market/candles?type={type}'
f'&symbol={kucoin_sym}'
f'&startAt={start_dt}'
f'&endAt={end_dt}'
)
for i in range(10):
data = await self._request(
"GET",
'GET',
url,
api_v="v1",
api_v='v1',
)
if not isinstance(data, list):
# Do a gradual backoff if Kucoin is rate limiting us
backoff_interval = i
log.warn(
f"History call failed, backing off for {backoff_interval}s"
f'History call failed, backing off for {backoff_interval}s'
)
await trio.sleep(backoff_interval)
else:
@ -431,11 +431,11 @@ class Client:
def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
pair_data = pairs[fqsn]
return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
def kucoin_sym_to_fqsn(sym: str) -> str:
return sym.lower().replace("-", "")
return sym.lower().replace('-', '')
@acm
@ -450,7 +450,7 @@ async def get_client() -> AsyncGenerator[Client, None]:
async def open_symbol_search(
ctx: tractor.Context,
) -> None:
async with open_cached_client("kucoin") as client:
async with open_cached_client('kucoin') as client:
# load all symbols locally for fast search
await client.cache_pairs()
await ctx.started()
@ -458,25 +458,25 @@ async def open_symbol_search(
async with ctx.open_stream() as stream:
async for pattern in stream:
await stream.send(await client.search_symbols(pattern))
log.info("Kucoin symbol search opened")
log.info('Kucoin symbol search opened')
@acm
async def open_ping_task(ws: wsproto.WSConnection, ping_interval, connect_id):
"""
'''
Spawn a non-blocking task that pings the ws
server every ping_interval so Kucoin doesn't drop
our connection
"""
'''
async with trio.open_nursery() as n:
# TODO: cache this task so it's only called once
async def ping_server():
while True:
await trio.sleep((ping_interval - 1000) / 1000)
await ws.send_msg({"id": connect_id, "type": "ping"})
await ws.send_msg({'id': connect_id, 'type': 'ping'})
log.info("Starting ping task for kucoin ws connection")
log.info('Starting ping task for kucoin ws connection')
n.start_soon(ping_server)
yield
@ -488,22 +488,22 @@ async def stream_quotes(
send_chan: trio.abc.SendChannel,
symbols: list[str],
feed_is_live: trio.Event,
loglevel: str = "",
loglevel: str = '',
# startup sync
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
) -> None:
"""
'''
Required piker api to stream real-time data.
Where the rubber hits the road baby
"""
async with open_cached_client("kucoin") as client:
'''
async with open_cached_client('kucoin') as client:
token, ping_interval = await client._get_ws_token()
connect_id = str(uuid4())
pairs = await client.cache_pairs()
ws_url = (
f"wss://ws-api-spot.kucoin.com/?"
f"token={token}&[connectId={connect_id}]"
f'wss://ws-api-spot.kucoin.com/?'
f'token={token}&[connectId={connect_id}]'
)
# open ping task
@ -511,7 +511,7 @@ async def stream_quotes(
open_autorecon_ws(ws_url) as ws,
open_ping_task(ws, ping_interval, connect_id),
):
log.info("Starting up quote stream")
log.info('Starting up quote stream')
# loop through symbols and sub to feedz
for sym in symbols:
pair: KucoinMktPair = pairs[sym]
@ -521,13 +521,13 @@ async def stream_quotes(
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
"symbol_info": {
"asset_type": "crypto",
"price_tick_size": float(pair.baseIncrement),
"lot_tick_size": float(pair.baseMinSize),
'symbol_info': {
'asset_type': 'crypto',
'price_tick_size': float(pair.baseIncrement),
'lot_tick_size': float(pair.baseMinSize),
},
"shm_write_opts": {"sum_tick_vml": False},
"fqsn": sym,
'shm_write_opts': {'sum_tick_vml': False},
'fqsn': sym,
}
}
@ -536,7 +536,7 @@ async def stream_quotes(
stream_messages(ws, sym) as msg_gen,
):
typ, quote = await anext(msg_gen)
while typ != "trade":
while typ != 'trade':
# take care to not unblock here until we get a real
# trade quote
typ, quote = await anext(msg_gen)
@ -553,22 +553,22 @@ async def subscribe(ws: wsproto.WSConnection, connect_id, sym):
# level 2 sub
await ws.send_msg(
{
"id": connect_id,
"type": "subscribe",
"topic": f"/spotMarket/level2Depth5:{sym}",
"privateChannel": False,
"response": True,
'id': connect_id,
'type': 'subscribe',
'topic': f'/spotMarket/level2Depth5:{sym}',
'privateChannel': False,
'response': True,
}
)
# watch trades
await ws.send_msg(
{
"id": connect_id,
"type": "subscribe",
"topic": f"/market/ticker:{sym}",
"privateChannel": False,
"response": True,
'id': connect_id,
'type': 'subscribe',
'topic': f'/market/ticker:{sym}',
'privateChannel': False,
'response': True,
}
)
@ -576,14 +576,14 @@ async def subscribe(ws: wsproto.WSConnection, connect_id, sym):
# unsub
if ws.connected():
log.info(f"Unsubscribing to {sym} feed")
log.info(f'Unsubscribing to {sym} feed')
await ws.send_msg(
{
"id": connect_id,
"type": "unsubscribe",
"topic": f"/market/ticker:{sym}",
"privateChannel": False,
"response": True,
'id': connect_id,
'type': 'unsubscribe',
'topic': f'/market/ticker:{sym}',
'privateChannel': False,
'response': True,
}
)
@ -601,15 +601,15 @@ async def stream_messages(
if cs.cancelled_caught:
timeouts += 1
if timeouts > 2:
log.error("kucoin feed is sh**ing the bed... rebooting...")
log.error('kucoin feed is sh**ing the bed... rebooting...')
await ws._connect()
continue
if msg.get("subject"):
if msg.get('subject'):
msg = KucoinMsg(**msg)
match msg.subject:
case "trade.ticker":
case 'trade.ticker':
trade_data = KucoinTrade(**msg.data)
# XXX: Filter for duplicate messages as ws feed will
@ -620,46 +620,46 @@ async def stream_messages(
last_trade_ts = trade_data.time
yield "trade", {
"symbol": sym,
"last": trade_data.price,
"brokerd_ts": last_trade_ts,
"ticks": [
yield 'trade', {
'symbol': sym,
'last': trade_data.price,
'brokerd_ts': last_trade_ts,
'ticks': [
{
"type": "trade",
"price": float(trade_data.price),
"size": float(trade_data.size),
"broker_ts": last_trade_ts,
'type': 'trade',
'price': float(trade_data.price),
'size': float(trade_data.size),
'broker_ts': last_trade_ts,
}
],
}
case "level2":
case 'level2':
l2_data = KucoinL2(**msg.data)
first_ask = l2_data.asks[0]
first_bid = l2_data.bids[0]
yield "l1", {
"symbol": sym,
"ticks": [
yield 'l1', {
'symbol': sym,
'ticks': [
{
"type": "bid",
"price": float(first_bid[0]),
"size": float(first_bid[1]),
'type': 'bid',
'price': float(first_bid[0]),
'size': float(first_bid[1]),
},
{
"type": "bsize",
"price": float(first_bid[0]),
"size": float(first_bid[1]),
'type': 'bsize',
'price': float(first_bid[0]),
'size': float(first_bid[1]),
},
{
"type": "ask",
"price": float(first_ask[0]),
"size": float(first_ask[1]),
'type': 'ask',
'price': float(first_ask[0]),
'size': float(first_ask[1]),
},
{
"type": "asize",
"price": float(first_ask[0]),
"size": float(first_ask[1]),
'type': 'asize',
'price': float(first_ask[0]),
'size': float(first_ask[1]),
},
],
}
@ -668,10 +668,10 @@ async def stream_messages(
@acm
async def open_history_client(
symbol: str,
type: str = "1m",
type: str = '1m',
) -> AsyncGenerator[Callable, None]:
async with open_cached_client("kucoin") as client:
log.info("Attempting to open kucoin history client")
async with open_cached_client('kucoin') as client:
log.info('Attempting to open kucoin history client')
async def get_ohlc_history(
timeframe: float,
@ -681,7 +681,7 @@ async def open_history_client(
np.ndarray, datetime | None, datetime | None
]: # start # end
if timeframe != 60:
raise DataUnavailable("Only 1m bars are supported")
raise DataUnavailable('Only 1m bars are supported')
array = await client._get_bars(
symbol,
@ -689,14 +689,14 @@ async def open_history_client(
end_dt=end_dt,
)
times = array["time"]
times = array['time']
if end_dt is None:
inow = round(time.time())
print(
f"difference in time between load and processing"
f"{inow - times[-1]}"
f'difference in time between load and processing'
f'{inow - times[-1]}'
)
if (inow - times[-1]) > 60:
@ -705,7 +705,7 @@ async def open_history_client(
start_dt = pendulum.from_timestamp(times[0])
end_dt = pendulum.from_timestamp(times[-1])
log.info("History succesfully fetched baby")
log.info('History succesfully fetched baby')
return array, start_dt, end_dt