All the max pain math now is in this two functions:
- get_total_intrinsic_values(): calculate the total value for all strike_prices and stores then in a dict[str, Decimal]
- `get_intrinsic_value_and_max_pain()` given the `intrinsic_values` dict, returns the `max_pain` strike price and the `total_intrinsic_value` for that `strike_price`
- To calculate the `max_pain` first we need an expiration date,
get_expiration_dates()` retrieves them and the user then enters one of
the shown, then using the select expiry_date on `get_instruments()` we
are good to build the `oi_by_strikes` important!
- Add `update_oi_by_strikes()`.
- Add `check_if_complete()`.
- `get_max_pain()`: here's where all the action takes place, the
`oi_by_strikes` must be complete to start the calculations,
- Use `maybe_open_oi_feed` for open a oi_feed.
- Add `max_pain_readme.rst`
- `get_timestamp_int`: added this is the hack, so we can aboid use the custom deribit date format.
- `get_currencies`: added so we could get all deribit's available currencies.
- `get_instruments`: for a especific expiration date, it return a list of criptofeed.Symbol.
- `get_expiration_dates`: expirations dates available for btc's option contracts .
- `get_strikes_dict`: all the strike prices for an especific expiration date.
- `aio_open_interest_feed_relay` `open_oi_feed` `maybe_open_oi_feed`: this three handles all the portal stuff and the cryptofeed callbacks for the open interest and trades, for some reason it need both to work, i need to check that out at some point.
- Also a couple of format fixes.
- `get_timestamp_int`: added this is the hack, so we can aboid use the custom deribit date format.
- `get_currencies`: added so we could get all deribit's available currencies.
- Also a couple of format fixes.
The main change needed to make `piker.data.feed._FeedsBus` work was
to correctly format the `'trade'` msgs with the (new schema) expected
`'ticks': list[dict]` field which,
- we compute the `piker` quote-msg-`dict` from the (now directly proxied through)
`cryptofeed.types.Trade`'s fields inside the body of `stream_quotes()`.
- similarly, move the `'l1'` msg processing, **out of** the `asyncio`-side
`_l1()` callback (defined as a closure in `.api.aio_price_feed_relay()`
and passed to the `cryptofeed.FeedHandler`) and instead mod the
callback to simply pass through the `.types.L1Book` ref directly to
the `piker`/`trio` side task for conversion.
In support of all that,
- mask-to-drop the alt-branch to wait on a first rt event when the
`cryptofeed.LastTradesResult.trades: list[Trade]` is empty; doesn't
seem like this ever even happens?
- add a buncha typing, comments and doc-strs to the routines in
`.deribit.api` including notes on where we can choose to mod the
`.bs_fqme` for our eventually preferred `piker` style format.
- simplify some nested `@acm` enters to the new single `async with
<tuple>)` style.
- be particularly pedantic about typing
`tractor.to_asyncio.LinkedTaskChannel`
- bit of pep8 line-spacing fixes in `.venues`.
The quote-msg `'topic'` field was being set and sent as the
`OptionPair.symbol: str` value instead of as the `MktPair.bs_fqme: str`
as is required for matching on the `piker.data.feed` side. So change to
that and simplify the actual `.bs_fqme: str` value to NOT include the
ISO-format time (for now) since it's a big ugly and longer term we need
a `piker`-fqme friendly-on-ze-eyes format/style anyway..
Such that the `get_hist()` query func raises `DataUnavailable` with an
explicit message regarding the start of the (option) contract's
lifetime.
Other,
- mask some unused imports (for now?)
- drop a duplicate `tractor.get_console_log()` call which was causing
duplicate console emits (it's already setup by brokerd init now).
- comment various unused code bits i found.
- add a info log around live quotes so we can see for the moment when
they actually occur.. XD
There were some imports missing or unused as well as a variety of spots
that had grokability issues due to missing type hints.
Other tweaks as part some more thorough manual testing:
- always raise when not `brokers.toml` section since the API can never
work (no free data without keys).
- inline the `Asset.atype='crypto_currency` field despite it maybe not
being the best value for `OptionPair` instruments..
- tossed in a now-masked pause block for debugging history queries in
`Client.bars()`.
- commented out all the live order ctl (internal) endpoints for now
since they're unused.
- `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.
key changes:
- Resolved the issue with the expiration dates from deribits, now we int instead of the crazy custom deribits format.
- The client now has a new `_json_rpc_auth_wrapper` that adquires a first access token and then will refresh the access token when this expires.
- `get_assets` fixed, now we use the public endpoint to check the availables assets, in the future probably this will change, but for now is working just fine.
- `get_mkt_pairs` added.
- `exch_info` added.
- `cache_symbols` fixed.
- Also a lot of reformat made in api.
Since currently we're only using this IPC subsys for `deribit`, and
generally speaking we're primarly supporting options markets (which are
fairly "slow moving"), flip to a default of NOT resetting the `NoBsWs`
on timeout since doing so normally breaks the jsron-rpc IPC session.
Without a proper `fixture` passed to `open_autorecon_ws()` (which we
should eventually implement!!) relying on a timeout-to-reset more or
less will just cause breakage issues - a proper reconnect sequence must
be implemented before using that feature.
Deats,
- expose and proxy through the `msg_recv_timeout` from
`open_jsonrpc_session()` into the underlying `open_autorecon_ws()`
call.
Namely handling backends which do not provide a default "frame
size-duration" in their init-config by making the backfiller guess the
value based on the first frame received.
Deats,
- adjust `start_backfill()` to take a more explicit
`def_frame_duration: Duration` expected to be unpacked from any
backend hist init-config by the `tsdb_backfill()` caller which now
also computes a value from the first received frame when the config
section isn't provided.
- in `start_backfill()` we now always expect the `def_frame_duration`
input and always decrement the query range by this value whenever
a `NoData` is raised by the provider-backend paired with an explicit
`log.warning()` about the handling.
- also relay any `DataUnavailable.args[0]` message from the provider
in the handler.
- repair "gap reporting" which checks for expected frame duration vs.
that received with much better humanized logging on the missing
segment using `pendulum.Interval/Duration.in_words()` output.
The `open_history_client()` provider endpoint can *optionally*
deliver a `frame_types: dict[int, pendulum.Duration]` subsection in its
`config: dict[str, dict]` (as was implemented with the `ib` backend).
This allows the `tsp` backfilling machinery to use this "recommended
frame duration" to subtract from the `last_start_dt` any time a `NoData`
gap is signalled by the `get_hist()` call allowing gaps to be ignored
safely without missing history by knowing the next earliest dt we can
query from using the `end_dt`. However, currently all crypto$ providers
haven't implemented this feat yet..
As such only try to use the `frame_types` feature if provided when
handling `NoData` conditions inside `tsp.start_backfill()` and otherwise
raise as normal.
A new class var `tuple[Exception]` such that the err set can be reffed
externally as needed for catching other similar pub-sub/IPC failures in
other (related) real-time sub-systems.
Also added some now-masked logging for debugging live-feed stream reading
issues that should ONLY be used for debugging since they'll greatly
degrade HFT perf. Used the new `log.mk_repr()` stuff (that one day we
should prolly pull from `modden` as a dep) for pretty console emissions.
Since now `tractor` will raise this native `trio`-exc translated from
a `Stop` msg when the peer gracefully terminates a `tractor.MsgStream`.
Just `info()` log in such cases versus continuing to warn for the
others.
- use more compact optional value style with `|`-union
- fix `.flows` typing-only import since we need `MktPair` to be
immediately defined for use on a `msgspec.Struct` field.
- more "tree-like" warning msg in `.validate()` reporting.
Add a doc-string reflecting recent refinements, drop all the old hook
params, rename `n: trio.Nursery` -> `tn` for "task nursery" fitting with
code base's naming style.
For example in the paper-eng, if you have a backend that doesn't fully
support a symcache (yet) it's handy to be able to ignore processing
other paper-eng txns when all you care about at the moment is the
simulated symbol.
NOTE, that currently this will still result in a key-error when you load
more then one mkt with the paper engine (for which the backend does not
have the symcache implemented) since no fqme ad-hoc query was made for
the 2nd symbol (and i'm not sure we should support that kinda hackery
over just encouraging the sym-cache being added?). Def needs a little
more thought depending on how many backends are never going to be able
to (easily) support caching..
Instead just check for the field (which i'm not huge on the key-name for
anyway) and if not found get the "last price" from the real-time shm
buffer's latest 'close' sample.
Unrelatedly, use a `subs.copy()` in the `Router.client_broadcast()` loop
such that if a `client_stream` is popped on connection failure, we don't
RTE for the "size changed on iteration".
Was orig for debugging an issue with `kucoin` i think but definitely
shouldn't be left in XD
Also add `'perpetual_future'` to the `.start_backfill()` input literal
set since we don't expect the 'btc/usd.perp.binance' for now.
Seems to be some kinda super weird env bug since we moved to using
`uv`? When it triggers it also seems to cause a pretty fundamental crash
that not only breaks `tractor.devx._debug` stuff but also seems to get
us in a perma-hang state where no SIGINT or other sys sig will be able
to kill the root proc!?!?
TODO, a `gitea` issue to track so we can fix the fundamental problem as
well as transitive fault in `tractor`'s core which seems to be due to
the error taking place during a sub-actor's module import phase which
prevents the runtime from booting fully and then the proc getting stuck
in a real gnarly SIG-state..
This must have broke at some point during the new `MktPair` and thus
`.fqme: str` updates; mas-o-menos the symbol key in the quote-msg-`dict`
was NOT set to the `MktPair.bs_fqme: str` value and thus wasn't being
processed by the downstream sampling and feed subsys.
So fix that as well as a few other refinements,
- set the `topic: mkt.bs_fqme` in quote msgs obvi.
- drop the "wait for first clearing vlm" quote poll loop; going to fix
the sampler to handle a `first_quote` without a `'last'` key.
- add some typing around calls to `get_mkt_info()`.
- rename `stream_messages()` -> `iter_normed_quotes()`.
In line with our move to `uv` and recent `nix` support update a bunch of
the summary content and factor out the order-control section to a new
`.piker.clearing` readme file with embedded todos therein.
Nelson Torres
Tyler Goodlet
goodboy