Since there are indeed multiple futures (perp swaps) contracts including
a set with expiry, we need a way to distinguish through search and
`FutesPair` lookup which contract we're requesting. To solve this extend
the `FutesPair` and `SpotPair` to include a `.bs_fqme` field similar to
`MktPair` and key the `Client._pairs: ChainMap`'s backing tables with
these expanded fqmes. For example the perp swap now expands to
`btcusdt.usdtm.perp` which fills in the venue as `'usdtm'` (the
usd-margined fututes market) and the expiry as `'perp'` (as before).
This allows distinguishing explicitly from, for ex., coin-margined
contracts which could instead (since we haven't added the support yet)
fqmes of the sort `btcusdt.<coin>m.perp.binance` thus making it explicit
and obvious which contract is which B)
Further we interpolate the venue token to `spot` for spot markets going
forward, which again makes cex spot markets explicit in symbology; we'll
need to add this as well to other cex backends ;)
Other misc detalles:
- change USD-M futes `MarketType` key to `'usdtm_futes'`.
- add `Pair.bs_fqme: str` for all pair subtypes with particular
special contract handling for futes including quarterlies, perps and
the weird "DEFI" ones..
- drop `OHLC.bar_wap` since it's no longer in the default time-series
schema and we weren't filling it in here anyway..
- `Client._pairs: ChainMap` is now a read-only fqme-re-keyed view into
the underlying pairs tables (which themselves are ideally keyed
identically cross-venue) which we populate inside `Client.exch_info()`
which itself now does concurrent pairs info fetching via a new
`._cache_pairs()` using a `trio` task per API-venue.
- support klines history query across all venues using same
`Client.mkt_mode_req[Client.mkt_mode]` style as we're doing for
`.exch_info()` B)
- use the venue specific klines history query limits where documented.
- handle new FQME venue / expiry fields inside `get_mkt_info()` ep such
that again the correct `Client.mkt_mode` is selected based on parsing
the desired spot vs. derivative contract.
- do venue-specific-WSS-addr lookup based on output from
`get_mkt_info()`; use usdtm venue WSS addr if a `FutesPair` is loaded.
- set `topic: str` to the `.bs_fqme` value in live feed quotes!
- use `Pair.bs_fqme: str` values for fuzzy-search input set.
The beginning of supporting multi-markets through a common API client.
Change to futes market mode in the client if `.perp.` is matched in the
fqme. Currently the exchange info and live feed ws impl will swap out
for their usd-margin futures market equivalent (endpoints).
Not sure why it seemed like futures pairs didn't have this field but add
it to the parent `Pair` type as well as drop the overridden
`.price/size_tick` fields instead doing the same as in spot as well.
Also moves the `MarketType: Literal` (for the `Client.mkt_mode: str`)
and adds a pair type lookup table for exchange info loading.
Add the usd-futes "Pair" type and thus ability to load all exchange
(info for) contracts settled in USDT. Luckily we don't seem to have to
modify anything in the `Client` interface (yet) other then a new
`.mkt_mode: str` which determines which endpoint set to make requests.
Obviously data received from endpoints will likely need diff handling as
per below.
Deats:
- add a bunch more API and WSS top level domains to `.api` with comments
- start a `.binance.schemas` module to house the structs for loading
different `Pair` subtypes depending on target market: `SpotPair`,
`FutesPair`, .. etc. and implement required `MktPair` fields on the
new futes type for compatibility with the clearing layer.
- add `Client.mkt_mode: str` and a method lookup for endpoint parent
paths depending on market via `.mkt_req: dict`
Also related to live feeds,
- drop `Struct` typecasting instead opting for specific fields both for
speed and simplicity atm.
- breakout `subscribe()` into module level acm from being embedded
closure.
- for now swap over the ws feed to be strictly the futes ep (while
testing) and set the `.mkt_mode = 'usd_futes'`.
- hack in `Client._pairs` to only load `FutesPair`s until we figure out
whether we want separate `Client` instances per market or not..
Tyler Goodlet