Format and ensure we're only grabbing the most closest bid and ask
parent
480b8c591a
commit
ff22f2d240
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@ -13,10 +13,10 @@
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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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Kucoin broker backend
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"""
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'''
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from random import randint
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from typing import Any, Callable, Optional, Literal, AsyncGenerator
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@ -51,14 +51,14 @@ from ..data._web_bs import (
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log = get_logger(__name__)
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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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('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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@ -67,6 +67,7 @@ class KucoinMktPair(Struct, frozen=True):
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Kucoin's pair format
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'''
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baseCurrency: str
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baseIncrement: float
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baseMaxSize: float
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@ -91,6 +92,7 @@ class AccountTrade(Struct, frozen=True):
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Historical trade format
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'''
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id: str
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currency: str
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amount: float
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@ -98,7 +100,7 @@ class AccountTrade(Struct, frozen=True):
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balance: float
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accountType: str
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bizType: str
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direction: Literal["in", "out"]
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direction: Literal['in', 'out']
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createdAt: float
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context: list[str]
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@ -116,6 +118,7 @@ class KucoinTrade(Struct, frozen=True):
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Real-time trade format
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'''
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bestAsk: float
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bestAskSize: float
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bestBid: float
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@ -131,6 +134,7 @@ class KucoinL2(Struct, frozen=True):
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Real-time L2 order book format
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'''
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asks: list[list[float]]
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bids: list[list[float]]
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timestamp: float
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@ -152,10 +156,10 @@ class BrokerConfig(Struct, frozen=True):
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def get_config() -> BrokerConfig | None:
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conf, path = config.load()
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section = conf.get("kucoin")
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section = conf.get('kucoin')
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if section is None:
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log.warning("No config section found for kucoin in config")
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log.warning('No config section found for kucoin in config')
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return None
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return BrokerConfig(**section)
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@ -172,9 +176,7 @@ class Client:
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config: BrokerConfig | None = get_config()
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if (
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config and config.key_id and config.key_secret and config.key_passphrase
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):
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if config and config.key_id and config.key_secret and config.key_passphrase:
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self._authenticated = True
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self._key_id = config.key_id
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self._key_secret = config.key_secret
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@ -182,9 +184,9 @@ class Client:
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def _gen_auth_req_headers(
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self,
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action: Literal["POST", "GET"],
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action: Literal['POST', 'GET'],
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endpoint: str,
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api_v: str = "v2",
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api_v: str = 'v2',
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) -> dict[str, str | bytes]:
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'''
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Generate authenticated request headers
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@ -193,39 +195,39 @@ class Client:
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'''
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breakpoint()
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now = int(time.time() * 1000)
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path = f"/api/{api_v}{endpoint}"
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path = f'/api/{api_v}{endpoint}'
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str_to_sign = str(now) + action + path
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signature = base64.b64encode(
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hmac.new(
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self._key_secret.encode("utf-8"),
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str_to_sign.encode("utf-8"),
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self._key_secret.encode('utf-8'),
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str_to_sign.encode('utf-8'),
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hashlib.sha256,
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).digest()
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)
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passphrase = base64.b64encode(
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hmac.new(
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self._key_secret.encode("utf-8"),
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self._key_passphrase.encode("utf-8"),
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self._key_secret.encode('utf-8'),
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self._key_passphrase.encode('utf-8'),
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hashlib.sha256,
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).digest()
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)
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return {
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"KC-API-SIGN": signature,
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"KC-API-TIMESTAMP": str(now),
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"KC-API-KEY": self._key_id,
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"KC-API-PASSPHRASE": passphrase,
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'KC-API-SIGN': signature,
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'KC-API-TIMESTAMP': str(now),
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'KC-API-KEY': self._key_id,
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'KC-API-PASSPHRASE': passphrase,
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# XXX: Even if using the v1 api - this stays the same
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"KC-API-KEY-VERSION": "2",
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'KC-API-KEY-VERSION': '2',
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}
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async def _request(
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self,
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action: Literal["POST", "GET"],
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action: Literal['POST', 'GET'],
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endpoint: str,
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api_v: str = "v2",
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api_v: str = 'v2',
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headers: dict = {},
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) -> Any:
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'''
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@ -235,34 +237,29 @@ class Client:
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if self._authenticated:
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headers = self._gen_auth_req_headers(action, endpoint, api_v)
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api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
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api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
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res = await asks.request(action, api_url, headers=headers)
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if "data" in res.json():
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return res.json()["data"]
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if 'data' in res.json():
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return res.json()['data']
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else:
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log.error(f'Error making request to {api_url} -> {res.json()["msg"]}')
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return res.json()["msg"]
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return res.json()['msg']
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async def _get_ws_token(
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self,
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private: bool = False
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) -> tuple[str, int] | None:
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async def _get_ws_token(self, private: bool = False) -> tuple[str, int] | None:
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'''
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Fetch ws token needed for sub access
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'''
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token_type = "private" if private else "public"
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token_type = 'private' if private else 'public'
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data: dict[str, Any] | None = await self._request(
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"POST",
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f"/bullet-{token_type}",
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"v1"
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'POST', f'/bullet-{token_type}', 'v1'
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)
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if data and "token" in data:
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ping_interval: int = data["instanceServers"][0]["pingInterval"]
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return data["token"], ping_interval
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if data and 'token' in data:
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ping_interval: int = data['instanceServers'][0]['pingInterval']
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return data['token'], ping_interval
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elif data:
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log.error(
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f'Error making request for Kucoin ws token -> {data.json()["msg"]}'
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@ -274,8 +271,8 @@ class Client:
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if self._pairs:
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return self._pairs
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entries = await self._request("GET", "/symbols")
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syms = {item["name"]: KucoinMktPair(**item) for item in entries}
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entries = await self._request('GET', '/symbols')
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syms = {item['name']: KucoinMktPair(**item) for item in entries}
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return syms
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async def cache_pairs(
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@ -295,14 +292,14 @@ class Client:
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def _normalize_pairs(
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self, pairs: dict[str, KucoinMktPair]
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) -> dict[str, KucoinMktPair]:
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"""
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'''
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Map kucoin pairs to fqsn strings
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"""
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'''
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norm_pairs = {}
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for key, value in pairs.items():
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fqsn = key.lower().replace("-", "")
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fqsn = key.lower().replace('-', '')
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norm_pairs[fqsn] = value
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return norm_pairs
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@ -319,7 +316,7 @@ class Client:
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return {kucoin_sym_to_fqsn(item[0].name): item[0] for item in matches}
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async def last_trades(self, sym: str) -> list[AccountTrade]:
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trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
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trades = await self._request('GET', f'/accounts/ledgers?currency={sym}', 'v1')
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trades = AccountResponse(**trades)
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return trades.items
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@ -330,7 +327,7 @@ class Client:
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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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type: str = "1min",
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type: str = '1min',
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) -> np.ndarray:
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'''
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Get OHLC data and convert to numpy array for perffff
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@ -339,24 +336,24 @@ class Client:
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# Generate generic end and start time if values not passed
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# Currently gives us 12hrs of data
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if end_dt is None:
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end_dt = pendulum.now("UTC").add(minutes=1)
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end_dt = pendulum.now('UTC').add(minutes=1)
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if start_dt is None:
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start_dt = end_dt.start_of("minute").subtract(minutes=limit)
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start_dt = end_dt.start_of('minute').subtract(minutes=limit)
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start_dt = int(start_dt.timestamp())
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end_dt = int(end_dt.timestamp())
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kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
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url = f"/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}"
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url = f'/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}'
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bars = []
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for i in range(10):
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data = await self._request(
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"GET",
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'GET',
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url,
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api_v="v1",
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api_v='v1',
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)
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if not isinstance(data, list):
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@ -371,28 +368,26 @@ class Client:
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# Map to OHLC values to dict then to np array
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new_bars = []
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for i, bar in enumerate(bars[::-1]):
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data = {
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"index": i,
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"time": bar[0],
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"open": bar[1],
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"close": bar[2],
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"high": bar[3],
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"low": bar[4],
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"volume": bar[5],
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"amount": bar[6],
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"bar_wap": 0.0,
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'index': i,
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'time': bar[0],
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'open': bar[1],
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'close': bar[2],
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'high': bar[3],
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'low': bar[4],
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'volume': bar[5],
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'amount': bar[6],
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'bar_wap': 0.0,
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}
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row = []
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for _, (field_name, field_type) in enumerate(_ohlc_dtype):
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value = data[field_name]
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match field_name:
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case "index":
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case 'index':
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row.append(int(value))
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case "time":
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case 'time':
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# row.append(int(value) + (3600 * 4))
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row.append(value)
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case _:
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@ -408,22 +403,17 @@ def kucoin_timestamp(dt: datetime):
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return math.trunc(time.mktime(dt.timetuple()))
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def fqsn_to_kucoin_sym(
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fqsn: str,
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pairs: dict[str, KucoinMktPair]
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) -> str:
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def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
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pair_data = pairs[fqsn]
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return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
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return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
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def kucoin_sym_to_fqsn(sym: str) -> str:
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return sym.lower().replace("-", "")
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return sym.lower().replace('-', '')
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@acm
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async def get_client() -> AsyncGenerator[Client, None]:
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client = Client()
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await client.cache_pairs()
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@ -434,7 +424,7 @@ async def get_client() -> AsyncGenerator[Client, None]:
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async def open_symbol_search(
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ctx: tractor.Context,
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) -> None:
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async with open_cached_client("kucoin") as client:
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async with open_cached_client('kucoin') as client:
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# load all symbols locally for fast search
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await client.cache_pairs()
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await ctx.started()
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@ -442,7 +432,7 @@ async def open_symbol_search(
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async with ctx.open_stream() as stream:
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async for pattern in stream:
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await stream.send(await client.search_symbols(pattern))
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log.info("Kucoin symbol search opened")
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log.info('Kucoin symbol search opened')
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async def stream_quotes(
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@ -460,11 +450,10 @@ async def stream_quotes(
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'''
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connect_id = str(uuid4())
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async with open_cached_client("kucoin") as client:
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log.info("Starting up quote stream")
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async with open_cached_client('kucoin') as client:
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log.info('Starting up quote stream')
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# loop through symbols and sub to feedz
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for sym in symbols:
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token, ping_interval = await client._get_ws_token()
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pairs = await client.cache_pairs()
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kucoin_sym = pairs[sym].symbol
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@ -473,19 +462,18 @@ async def stream_quotes(
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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sym: {
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"symbol_info": {
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"asset_type": "crypto",
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"price_tick_size": 0.0005,
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"lot_tick_size": 0.1,
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'symbol_info': {
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'asset_type': 'crypto',
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'price_tick_size': 0.0005,
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'lot_tick_size': 0.1,
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},
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"shm_write_opts": {"sum_tick_vml": False},
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"fqsn": sym,
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'shm_write_opts': {'sum_tick_vml': False},
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'fqsn': sym,
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},
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}
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@acm
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async def subscribe(ws: wsproto.WSConnection):
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@acm
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async def open_ping_task(ws: wsproto.WSConnection):
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'''
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@ -499,7 +487,7 @@ async def stream_quotes(
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async def ping_server():
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while True:
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await trio.sleep((ping_interval - 1000) / 1000)
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await ws.send_msg({"id": connect_id, "type": "ping"})
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await ws.send_msg({'id': connect_id, 'type': 'ping'})
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n.start_soon(ping_server)
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@ -523,22 +511,22 @@ async def stream_quotes(
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log.info(f'Unsubscribing to {kucoin_sym} feed')
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await ws.send_msg(
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{
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"id": connect_id,
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"type": "unsubscribe",
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"topic": f"/market/ticker:{sym}",
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"privateChannel": False,
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"response": True,
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'id': connect_id,
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'type': 'unsubscribe',
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'topic': f'/market/ticker:{sym}',
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'privateChannel': False,
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'response': True,
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}
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)
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async with open_autorecon_ws(
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f"wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]",
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f'wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]',
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fixture=subscribe,
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) as ws:
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msg_gen = stream_messages(ws, sym)
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typ, quote = await msg_gen.__anext__()
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while typ != "trade":
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while typ != 'trade':
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# TODO: use ``anext()`` when it lands in 3.10!
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typ, quote = await msg_gen.__anext__()
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@ -553,29 +541,25 @@ def make_sub(sym, connect_id, level='l1') -> dict[str, str | bool]:
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match level:
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case 'l1':
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return {
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"id": connect_id,
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"type": "subscribe",
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"topic": f"/spotMarket/level2Depth5:{sym}",
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"privateChannel": False,
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"response": True,
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'id': connect_id,
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'type': 'subscribe',
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'topic': f'/spotMarket/level2Depth5:{sym}',
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'privateChannel': False,
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'response': True,
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}
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case 'l3':
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return {
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"id": connect_id,
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"type": "subscribe",
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"topic": f"/market/ticker:{sym}",
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"privateChannel": False,
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"response": True,
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'id': connect_id,
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'type': 'subscribe',
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'topic': f'/market/ticker:{sym}',
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'privateChannel': False,
|
||||
'response': True,
|
||||
}
|
||||
case _:
|
||||
return {}
|
||||
|
||||
|
||||
async def stream_messages(
|
||||
ws: NoBsWs,
|
||||
sym: str
|
||||
) -> AsyncGenerator[NoBsWs, dict]:
|
||||
|
||||
async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
|
||||
timeouts = 0
|
||||
|
||||
while True:
|
||||
|
|
@ -584,67 +568,77 @@ 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") != None:
|
||||
|
||||
if msg.get('subject') != None:
|
||||
msg = KucoinMsg(**msg)
|
||||
|
||||
match msg.subject:
|
||||
case "trade.ticker":
|
||||
|
||||
case 'trade.ticker':
|
||||
trade_data = KucoinTrade(**msg.data)
|
||||
yield "trade", {
|
||||
"symbol": sym,
|
||||
"last": trade_data.price,
|
||||
"brokerd_ts": trade_data.time,
|
||||
"ticks": [
|
||||
yield 'trade', {
|
||||
'symbol': sym,
|
||||
'last': trade_data.price,
|
||||
'brokerd_ts': trade_data.time,
|
||||
'ticks': [
|
||||
{
|
||||
"type": "trade",
|
||||
"price": float(trade_data.price),
|
||||
"size": float(trade_data.size),
|
||||
"broker_ts": trade_data.time,
|
||||
'type': 'trade',
|
||||
'price': float(trade_data.price),
|
||||
'size': float(trade_data.size),
|
||||
'broker_ts': trade_data.time,
|
||||
}
|
||||
],
|
||||
}
|
||||
|
||||
case "level2":
|
||||
|
||||
case 'level2':
|
||||
l2_data = KucoinL2(**msg.data)
|
||||
|
||||
ticks = []
|
||||
for trade in l2_data.bids:
|
||||
tick = {'type': 'bid', 'price': float(trade[0]), 'size': float(trade[1])}
|
||||
ticks.append(tick)
|
||||
for trade in l2_data.asks:
|
||||
tick = {'type': 'ask', 'price': float(trade[0]), 'size': float(trade[1])}
|
||||
ticks.append(tick)
|
||||
first_ask = l2_data.asks[0]
|
||||
first_bid = l2_data.bids[0]
|
||||
yield 'l1', {
|
||||
'symbol': sym,
|
||||
'ticks': ticks,
|
||||
'ticks': [
|
||||
{
|
||||
'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': 'ask',
|
||||
'price': float(first_ask[0]),
|
||||
'size': float(first_ask[1]),
|
||||
},
|
||||
{
|
||||
'type': 'asize',
|
||||
'price': float(first_ask[0]),
|
||||
'size': float(first_ask[1]),
|
||||
},
|
||||
],
|
||||
}
|
||||
|
||||
|
||||
@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,
|
||||
end_dt: datetime | None = None,
|
||||
start_dt: datetime | None = None,
|
||||
|
||||
) -> tuple[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,
|
||||
|
|
@ -652,13 +646,12 @@ 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 {inow - times[-1]}"
|
||||
f'difference in time between load and processing {inow - times[-1]}'
|
||||
)
|
||||
|
||||
if (inow - times[-1]) > 60:
|
||||
|
|
|
|||
Loading…
Reference in New Issue