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..
Instead of having a buncha logic branches for 'get', 'post', etc. just
pass the `method: str` and do a attr lookup on the `asks` sesh.
Also, adjust the `trades_dialogue()` ep to switch to paper mode when no
client API key is detected/loaded.
First draft originally by @guilledk but update by myself 2 years later
xD. Will crash at runtime but at least has the machinery to setup signed
requests for auth-ed endpoints B)
Also adds a generic `NoSignature` error for when credentials are not
present in `brokers.toml` but user is trying to access auth-ed eps with
the client.
Since we only ever want to do incremental y-range calcs based on the
price always skip any tick types emitted by the data daemon which aren't
defined in the fundamental set. Further, toss in a new `debug_n_trade:
bool` toggle which by default turns off all loggin and profiler calls;
if you want to do profiling this has to now be adjusted manually!
Since crypto backends now also may expand an FQME like `xbteur.kraken`
-> `xbteur.spot.kraken` (by filling in the venue token), we need to use
this identifier when looking up per-market order dialogs or submitting
new requests. The simple fix is to simply look up that expanded from
from the `Feed.flumes` table which is always keyed by the `MktPair.fqme:
str` - the expanded form.
This was actually incorrect prior, we were rounding triggered limit
orders with the `.size_tick` value's digits when we should have been
using the `.price_tick` (facepalm). So fix that and compute the rounding
number of digits (as passed to the round(<value>, ndigits=<here>)`
builtin) and store it in the `DarkBook.triggers` tuples so that at
trigger/match time the round call is done *just prior* to msg send to
`brokerd` given the last known live L1 queue price.
Not sure how this lasted so long without complaint (literally since we
added history 1m OHLC it seems; guess it means most backends are pretty
tolerant XD ) but we've been sending 2 cancels per order (dialog) due to
the mirrored lines on each chart: 1s and 1m. This fixes that by
reworking the `OrderMode` methods to be a bit more sane and less
conflated with the graphics (lines) layer.
Deatz:
- add new methods:
- `.oids_from_lines()` line -> oid extraction,
- `.cancel_orders()` which makes the order client cancel requests from
a `oids: list[str]`.
- re-impl `.cancel_all_orders()` and `.cancel_orders_under_cursor()` to
use the above methods thus fixing the original bug B)
Since we want to be able to support user-configurable vnc socketaddrs,
this preps for passing the piker client direct into the vnc hacker
routine so that we can (eventually load) and read the ib brokers config
settings into the client and then read those in the `asyncvnc` task
spawner.
It's been getting setup in the `brokerd` daemon-actor spawn task for
a while now and worker tasks already get a ref to that global log
instance so they don't need to care (in data or trading) task spawn
endpoints.
Also move to the new `open_trade_dialog()` naming for working broker
backends B)
Discovered due to originally having a history loading bug between
btcusdt futes display where the same time series was being loaded into
the graphics system, this avoids the issue where 2 (or more) curves are
measured to have the same dispersion and thus do not get added as unique
entries to the `overlay_table: dict[float, tuple]` during the scaling
phase..
Practically speaking this should never really be a problem if the curves
(and their backing timeseries) are indeed unique but keying the
overlay table by the dispersion and the `Viz` is a minimal performance
hit when looping the sorted table and is a lot nicer then you **do want
to show** duplicate curves then having one overlay just not be ranged
correctly at all XD
Tyler Goodlet
Guillermo Rodriguez