refactory based on github comments, change doc string style
Konstantine Tsafatinos
parent
617bf3e0da
commit
fd0acd21fb
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@ -14,13 +14,13 @@
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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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'''
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Kraken backend.
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"""
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'''
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from contextlib import asynccontextmanager
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from dataclasses import asdict, field
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from typing import List, Dict, Any, Tuple, Optional, AsyncIterator
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from typing import Dict, List, Tuple, Any, Optional, AsyncIterator
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import time
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from trio_typing import TaskStatus
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@ -34,6 +34,10 @@ from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from itertools import count
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import urllib.parse
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import hashlib
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import hmac
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import base64
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from .. import config
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from .._cacheables import open_cached_client
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@ -47,11 +51,6 @@ from ..clearing._messages import (
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BrokerdFill,
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)
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import urllib.parse
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import hashlib
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import hmac
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import base64
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log = get_logger(__name__)
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@ -120,7 +119,10 @@ class Pair(BaseModel):
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class Trade(BaseModel):
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"""Trade class that helps parse and validate ownTrades stream"""
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'''
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Trade class that helps parse and validate ownTrades stream
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'''
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reqid: str # kraken order transaction id
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action: str # buy or sell
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price: str # price of asset
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@ -130,11 +132,13 @@ class Trade(BaseModel):
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@dataclass
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class OHLC:
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"""Description of the flattened OHLC quote format.
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'''
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Description of the flattened OHLC quote format.
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For schema details see:
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https://docs.kraken.com/websockets/#message-ohlc
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"""
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'''
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chan_id: int # internal kraken id
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chan_name: str # eg. ohlc-1 (name-interval)
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pair: str # fx pair
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@ -179,16 +183,24 @@ def get_kraken_signature(
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class InvalidKey(ValueError):
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"""EAPI:Invalid key
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This error is returned when the API key used for the call is
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either expired or disabled, please review the API key in your
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Settings -> API tab of account management or generate a new one
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and update your application."""
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'''
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EAPI:Invalid key
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This error is returned when the API key used for the call is
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either expired or disabled, please review the API key in your
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Settings -> API tab of account management or generate a new one
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and update your application.
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'''
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class Client:
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def __init__(self) -> None:
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def __init__(
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self,
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name: str = '',
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api_key: str = '',
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secret: str = ''
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) -> 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._sesh.headers.update({
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@ -196,9 +208,9 @@ class Client:
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'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
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})
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self._pairs: list[str] = []
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self._name = ''
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self._api_key = ''
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self._secret = ''
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self._name = name
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self._api_key = api_key
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self._secret = secret
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@property
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def pairs(self) -> Dict[str, Any]:
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@ -244,26 +256,26 @@ class Client:
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)
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return resproc(resp, log)
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async def kraken_endpoint(
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async def endpoint(
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self,
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method: str,
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data: Dict[str, Any]
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) -> Dict[str, Any]:
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uri_path = f'/0/private/{method}'
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data['nonce'] = str(int(1000*time.time()))
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resp = await self._private(method, data, uri_path)
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return resp
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return await self._private(method, data, uri_path)
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async def get_positions(
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self,
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data: Dict[str, Any] = {}
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) -> Dict[str, Any]:
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) -> (Dict[str, Any], Dict[str, Any]):
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data['ofs'] = 0
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positions = {}
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vols = {}
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# Grab all trade history
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# https://docs.kraken.com/rest/#operation/getTradeHistory
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while True:
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resp = await self.kraken_endpoint('TradesHistory', data)
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resp = await self.endpoint('TradesHistory', data)
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# grab the first 50 trades
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if data['ofs'] == 0:
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trades = resp['result']['trades']
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@ -281,22 +293,28 @@ class Client:
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# increment the offset counter
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data['ofs'] += 50
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# To avoid exceeding API rate limit in case of a lot of trades
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time.sleep(1)
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await trio.sleep(1)
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# make sure you grabbed all the trades
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assert count == len(trades.values())
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# positions
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## TODO: Make sure to add option to include fees in positions calc
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# TODO: Make sure to add option to include fees in positions calc
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for trade in trades.values():
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sign = -1 if trade['type'] == 'sell' else 1
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# This catch is for populating the dict with new values
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# as the plus assigment will fail if there no value
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# tied to the key
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try:
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positions[trade['pair']] += sign * float(trade['cost'])
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vols[trade['pair']] += sign * float(trade['vol'])
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except KeyError:
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positions[trade['pair']] = sign * float(trade['cost'])
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vols[trade['pair']] = sign * float(trade['vol'])
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# This cycles through the summed trades of an asset and then
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# normalizes the price with the current volume of the asset
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# you are holding. If you have no more of the asset, the balance
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# is 0, then it sets the position to 0.
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for pair in positions.keys():
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asset_balance = vols[pair]
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if asset_balance == 0:
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@ -316,9 +334,10 @@ class Client:
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# account: str,
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reqid: int = None,
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) -> int:
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"""Place an order and return integer request id provided by client.
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'''
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Place an order and return integer request id provided by client.
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"""
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'''
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# Build order data for kraken api
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data = {
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"userref": reqid,
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@ -330,20 +349,18 @@ class Client:
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# set to True test AddOrder call without a real submission
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"validate": False
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}
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resp = await self.kraken_endpoint('AddOrder', data)
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return resp
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return await self.endpoint('AddOrder', data)
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async def submit_cancel(
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self,
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reqid: str,
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) -> None:
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"""Send cancel request for order id ``reqid``.
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'''
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Send cancel request for order id ``reqid``.
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"""
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'''
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# txid is a transaction id given by kraken
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data = {"txid": reqid}
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resp = await self.kraken_endpoint('CancelOrder', data)
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return resp
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return await self.endpoint('CancelOrder', {"txid": reqid})
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async def symbol_info(
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self,
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@ -457,12 +474,13 @@ class Client:
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@asynccontextmanager
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async def get_client() -> Client:
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client = Client()
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section = get_config()
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client._name = section['key_descr']
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client._api_key = section['api_key']
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client._secret = section['secret']
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client = Client(
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name=section['key_descr'],
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api_key=section['api_key'],
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secret=section['secret']
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)
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# at startup, load all symbols locally for fast search
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await client.cache_symbols()
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@ -490,6 +508,8 @@ def pack_position(
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def normalize_symbol(
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ticker: str
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) -> str:
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# This is to convert symbol names from what kraken
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# uses to the traditional 3x3 pair symbol syntax
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symlen = len(ticker)
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if symlen == 6:
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return ticker.lower()
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@ -501,12 +521,13 @@ def normalize_symbol(
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def make_auth_sub(data: Dict[str, Any]) -> Dict[str, str]:
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"""Create a request subscription packet dict.
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'''
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Create a request subscription packet dict.
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## TODO: point to the auth urls
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https://docs.kraken.com/websockets/#message-subscribe
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"""
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'''
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# eg. specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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@ -519,9 +540,6 @@ async def handle_order_requests(
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client: Client,
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ems_order_stream: tractor.MsgStream,
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#ws: NoBsWs,
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#token: str,
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#userref_oid_map: dict,
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) -> None:
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@ -575,8 +593,8 @@ async def handle_order_requests(
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).dict()
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)
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else:
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## TODO: handle multiple cancels
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## txid is an array of strings
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# TODO: handle multiple cancels
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# txid is an array of strings
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reqid = resp['result']['txid'][0]
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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@ -608,7 +626,7 @@ async def handle_order_requests(
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assert resp['error'] == []
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assert resp['result']['count'] == 1
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## TODO: Change this code using .get
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# TODO: Change this code using .get
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try:
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pending = resp['result']['pending']
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# Check to make sure the cancellation is NOT pending,
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@ -626,6 +644,15 @@ async def handle_order_requests(
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)
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except AssertionError:
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log.error(f'Order cancel was not successful')
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await ems_order_stream.send(
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BrokerdError(
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oid=order.oid,
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reqid=temp_id,
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symbol=order.symbol,
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reason="Failed order cancel",
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broker_details=resp
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).dict()
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)
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else:
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log.error(f'Unknown order command: {request_msg}')
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@ -669,7 +696,6 @@ async def trades_dialogue(
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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# Authenticated block
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async with get_client() as client:
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acc_name = 'kraken.' + client._name
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@ -687,7 +713,7 @@ async def trades_dialogue(
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# Get websocket token for authenticated data stream
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# Assert that a token was actually received
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resp = await client.kraken_endpoint('GetWebSocketsToken', {})
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resp = await client.endpoint('GetWebSocketsToken', {})
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assert resp['error'] == []
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token = resp['result']['token']
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@ -717,7 +743,7 @@ async def trades_dialogue(
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status='executed',
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filled=float(trade.size),
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reason='Order filled by kraken',
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# remaining='' ## TODO: not sure what to do here.
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# remaining='' # TODO: not sure what to do here.
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broker_details={
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'name': 'kraken',
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'broker_time': trade.broker_time
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@ -734,7 +760,7 @@ async def trades_dialogue(
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action=trade.action,
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size=float(trade.size),
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price=float(trade.price),
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## TODO: maybe capture more msg data i.e fees?
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# TODO: maybe capture more msg data i.e fees?
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broker_details={'name': 'kraken'},
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broker_time=float(trade.broker_time)
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)
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@ -846,6 +872,8 @@ async def process_trade_msgs(
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try:
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# check that we are on the ownTrades stream and that msgs are
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# arriving in sequence with kraken
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# For clarification the kraken ws api docs for this stream:
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# https://docs.kraken.com/websockets/#message-ownTrades
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assert msg[1] == 'ownTrades'
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assert msg[2]['sequence'] > sequence_counter
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sequence_counter += 1
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@ -894,11 +922,12 @@ def normalize(
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def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
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"""Create a request subscription packet dict.
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'''
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Create a request subscription packet dict.
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https://docs.kraken.com/websockets/#message-subscribe
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"""
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'''
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# eg. specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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@ -916,8 +945,9 @@ async def backfill_bars(
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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"""Fill historical bars into shared mem / storage afap.
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"""
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'''
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Fill historical bars into shared mem / storage afap.
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'''
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with trio.CancelScope() as cs:
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async with open_cached_client('kraken') as client:
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bars = await client.bars(symbol=sym)
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@ -939,10 +969,12 @@ async def stream_quotes(
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task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
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) -> None:
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"""Subscribe for ohlc stream of quotes for ``pairs``.
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'''
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Subscribe for ohlc stream of quotes for ``pairs``.
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``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
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"""
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'''
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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