Deribit's feed fix
- `FeedInit` for init_msgs in `stream_quotes`. - new cache is `client_pairs` so is replacing the old `client.cache_symbols`. - `get_mkt_info` added - `get_ohlc` fixed to comply the new ways of the feed.pull/19/head
parent
75891fcac9
commit
ffbca17ba2
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@ -51,6 +51,7 @@ __brokers__: list[str] = [
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'ib',
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'kraken',
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'kucoin',
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'deribit',
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# broken but used to work
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# 'questrade',
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@ -61,7 +62,6 @@ __brokers__: list[str] = [
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# wstrade
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# iex
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# deribit
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# bitso
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]
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@ -25,6 +25,7 @@ from .api import (
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get_client,
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)
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from .feed import (
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get_mkt_info,
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open_history_client,
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open_symbol_search,
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stream_quotes,
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@ -43,6 +44,7 @@ log = get_logger(__name__)
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__all__ = [
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'get_client',
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# 'trades_dialogue',
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'get_mkt_info',
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'open_history_client',
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'open_symbol_search',
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'stream_quotes',
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@ -34,9 +34,20 @@ from rapidfuzz import process as fuzzy
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import numpy as np
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import tractor
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from piker.brokers import open_cached_client
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from piker.accounting import (
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MktPair,
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unpack_fqme,
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)
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from piker.brokers import (
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open_cached_client,
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NoData,
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)
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from piker._cacheables import (
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async_lifo_cache,
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)
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from piker.log import get_logger, get_console_log
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from piker.data import ShmArray
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from piker.data.validate import FeedInit
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from piker.brokers._util import (
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BrokerError,
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DataUnavailable,
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@ -51,7 +62,7 @@ from cryptofeed.symbols import Symbol
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from .api import (
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Client, Trade,
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get_config,
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str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
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piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
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maybe_open_price_feed
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)
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from .venues import (
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@ -72,36 +83,107 @@ async def open_history_client(
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mkt: MktPair,
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) -> tuple[Callable, int]:
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fnstrument: str = mkt.bs_fqme
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# TODO implement history getter for the new storage layer.
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async with open_cached_client('deribit') as client:
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async def get_ohlc(
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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timeframe: float,
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end_dt: datetime | None = None,
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start_dt: datetime | None = None,
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) -> tuple[
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np.ndarray,
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datetime, # start
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datetime, # end
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]:
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if timeframe != 60:
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raise DataUnavailable('Only 1m bars are supported')
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array = await client.bars(
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instrument,
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array: np.ndarray = await client.bars(
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mkt,
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start_dt=start_dt,
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end_dt=end_dt,
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)
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if len(array) == 0:
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raise DataUnavailable
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raise NoData(
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f'No frame for {start_dt} -> {end_dt}\n'
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)
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start_dt = pendulum.from_timestamp(array[0]['time'])
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end_dt = pendulum.from_timestamp(array[-1]['time'])
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start_dt = from_timestamp(array[0]['time'])
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end_dt = from_timestamp(array[-1]['time'])
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times = array['time']
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if not times.any():
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raise ValueError(
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'Bad frame with null-times?\n\n'
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f'{times}'
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)
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if end_dt is None:
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inow: int = round(time.time())
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if (inow - times[-1]) > 60:
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await tractor.pause()
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return array, start_dt, end_dt
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yield get_ohlc, {'erlangs': 3, 'rate': 3}
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@async_lifo_cache()
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async def get_mkt_info(
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fqme: str,
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) -> tuple[MktPair, Pair] | None:
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# uppercase since kraken bs_mktid is always upper
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if 'deribit' not in fqme.lower():
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fqme += '.deribit'
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mkt_mode: str = ''
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broker, mkt_ep, venue, expiry = unpack_fqme(fqme)
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# NOTE: we always upper case all tokens to be consistent with
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# binance's symbology style for pairs, like `BTCUSDT`, but in
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# theory we could also just keep things lower case; as long as
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# we're consistent and the symcache matches whatever this func
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# returns, always!
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expiry: str = expiry.upper()
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venue: str = venue.upper()
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venue_lower: str = venue.lower()
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mkt_mode: str = 'option'
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async with open_cached_client(
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'deribit',
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) as client:
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assets: dict[str, Asset] = await client.get_assets()
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pair_str: str = mkt_ep.lower()
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pair: Pair = await client.exch_info(
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sym=pair_str,
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)
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mkt_mode = pair.venue
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client.mkt_mode = mkt_mode
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dst: Asset | None = assets.get(pair.bs_dst_asset)
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src: Asset | None = assets.get(pair.bs_src_asset)
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mkt = MktPair(
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dst=dst,
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src=src,
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price_tick=pair.price_tick,
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size_tick=pair.size_tick,
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bs_mktid=pair.symbol,
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expiry=pair.expiry,
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venue=mkt_mode,
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broker='deribit',
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_atype=mkt_mode,
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_fqme_without_src=True,
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)
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return mkt, pair
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async def stream_quotes(
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send_chan: trio.abc.SendChannel,
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@ -116,31 +198,26 @@ async def stream_quotes(
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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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sym = symbols[0]
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sym = symbols[0].split('.')[0]
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init_msgs: list[FeedInit] = []
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async with (
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open_cached_client('deribit') as client,
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send_chan as send_chan
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):
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init_msgs = {
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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': 'option',
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'price_tick_size': 0.0005
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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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},
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}
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mkt, pair = await get_mkt_info(sym)
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# build out init msgs according to latest spec
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init_msgs.append(
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FeedInit(mkt_info=mkt)
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)
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nsym = piker_sym_to_cb_sym(sym)
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async with maybe_open_price_feed(sym) as stream:
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cache = await client.cache_symbols()
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cache = client._pairs
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last_trades = (await client.last_trades(
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cb_sym_to_deribit_inst(nsym), count=1)).trades
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@ -182,12 +259,21 @@ async def open_symbol_search(
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async with open_cached_client('deribit') as client:
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# load all symbols locally for fast search
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cache = await client.cache_symbols()
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cache = client._pairs
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await ctx.started()
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async with ctx.open_stream() as stream:
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pattern: str
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async for pattern in stream:
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# repack in dict form
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await stream.send(
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await client.search_symbols(pattern))
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# NOTE: pattern fuzzy-matching is done within
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# the methd impl.
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pairs: dict[str, Pair] = await client.search_symbols(
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pattern,
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)
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# repack in fqme-keyed table
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byfqme: dict[str, Pair] = {}
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for pair in pairs.values():
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byfqme[pair.bs_fqme] = pair
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await stream.send(byfqme)
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