Of course I missed this first try but, we need to use the ws market pair
symbology set (since apparently kraken loves redundancy at least 3 times
XD) when processing transactions that arrive from live clears since it's
an entirely different `LTC/EUR` style key then the `XLTCEUR` style
delivered from the ReST eps..
As part of this:
- add `Client._altnames`, `._wsnames` as `dict[str, Pair]` tables,
leaving the `._AssetPairs` table as is keyed by the "xname"s.
- Change `Pair.respname: str` -> `.xname` since these keys all just seem
to have a weird 'X' prefix.
- do the appropriately keyed pair table lookup via a new `api_name_set:
str` to `norm_trade_records()` and set is correctly in the ws live txn
handler task.
This was more involved then expected but on the bright side, is going to
help drive a more general `Account` update/processing/loading API
providing for all the high-level txn update methods needed for any
backend to generically update the participant's account *state* via
an input ledger/txn set B)
Key changes to enable `SymbologyCache` compat:
- adjust `Client` pairs / assets lookup tables to include a duplicate
keying of all assets and "asset pairs" using the (chitty) default key
set that kraken ships which is NOT the `.altname` no `.wsname` keys;
the "default ReST response keys" i guess?
- `._AssetPairs` and `._Assets` are *these ^* rest-key sets delivered
verbatim from the endpoint responses,
- `._pairs` and `._assets` the equivalent value-sets keyed by piker
style FQME-looking keys (now provided via the new
`.kraken.symbols.Pair.bs_fqme: str` and the delivered `'altname'`
field (for assets) respectively.
- re-implement `.get_assets()` and `.get_mkt_pairs()` to appropriately
delegate to internal methods and these new (multi-keyed) tables to
deliver the cacheable set of symbology info.
- adjust `.feed.get_mkt_info()` to handle parsing of both fqme-style and
wtv(-the-shit-stupid) kraken key set a caller passes via
a key-matches-first-table-style-scan after pre-processing the
input `fqme: str`; also do the `Asset` lookups from the new
`Pair.bs_dst/src_asset: str` fields which should always map correctly
to an internal asset entry delivered by `Client.get_assets()`.
Dirty impl deatz:
- add new `.kraken.symbols` and move the newly refined `Pair` there.
- add `.kraken.ledger` and move in the factored out ledger processing
routines.
- also move out what was the `has_pp()` and large chung of nested-ish
looking acnt-position verification logic blocks into a new
`verify_balances()` B)
After #520 we've moved to better supporting explicit venues for cex
backends which is important where a provider offers both spot and
derivatives markets (kraken, binance, kucoin) and we need to distinguish
which is being traded given a common asset pair (eg. BTC/USDT). So, make
this work for `kraken`'s brokerd such that requests and pre-existing
live order are (un)packed to/from EMS messaging form.
Drop the older `dict[str, ChainMap]` prototype we had since the new
`OrderDialogs` built-out while adding `binance` order support is more
refined and general. Also, handle new and now expect `.spot` venue token
in FQMEs since kraken too has futes markets that we'll likely want to
support eventually.
As just added for binance move to using an explicit `.<venue>.kraken`
style for spot markets which makes the current spot symbology expand to
`<PAIR>.SPOT` from the new `Pair.bs_fqme: str`. Reasons for why are
laid out in the equivalent patch for binance. Obviously this also primes
for supporting kraken's futures venue APIs as well 🏄https://docs.futures.kraken.com/#introduction
Detalles:
- add `.spot.kraken` parsing to `get_mkt_info()` so that if the venue
token is not passed by caller we implicitly expand it in.
- change `normalize()` to only return the `quote: dict` not the topic
key.
- rewrite live feed msg loop to use `match:` syntax B)
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)
Turns out the reason we were originally making the `time: float` column in our
ohlcv arrays was bc that's what **only** ib uses XD (and/or 🤦)
Instead we changed the default field type to be an `int` (which is also
more correct to avoid `float` rounding/precision discrepancies) and thus
**do not need to override it** in all other (crypto) backends (except
`ib`). Now we only do the customization (via `._ohlc_dtype`) to `float`
only for `ib` for now (though pretty sure we can also not do that
eventually as well..)!
Previously you couldn't have a brokerd backend which defined
`.trades_dialogue()` but which could also indicate that the paper
clearing engine should be used. This adds that support by allowing the
endpoint task to return a simple `'paper'` string, in which case the ems
will boot a paperboi.
The obvious useful case for this is if you have a broker you want to use
but do not have actual broker credentials setup (yet) with that provider
in your `brokers.toml`; demonstrated here with the adjustment to
`kraken`'s startup to no longer raise a runtime error B)
Our issue was not having the correct value set on each
`Symbol.lot_tick_size`.. and then doing PPU calcs with the default set
for legacy mkts..
Also,
- actually write `pps.toml` on broker mode exit.
- drop `get_likely_pair()` and import from pp module.
Also includes a retyping of `Client._pair: dict[str, Pair]` to look up
pair structs and map all alt-key-name-sets to each for easy precision
info lookup to set the `.sym` field for each transaction including for
on-chain transfers which kraken provides as an "asset decimals" field,
presumably pulled from the particular block-token's limitation info.
Add decimal quantize API to Symbol to simplify by-broker truncation
Add symbol info to `pps.toml`
Move _assert call to outside the _async_main context manager
Minor indentation and styling changes, also convert a few prints to log calls
Fix multi write / race condition on open_pps call
Switch open_pps to not write by default
Fix integer math kraken syminfo _tick_size initialization
Factor and fix dst <- src pair parsing into a new func
`get_likely_pair()` and use throughout initial position loading; solves
a parsing bug for src asset balances which aren't only 3 chars long..
a terrible assumption.
Clearly, the linter didn't help us here.. but, just pass the
`brokerd` time for now in the `.broker_time` field; we can't get it from
the fill-case incremental updates in the `openOrders` sub. Add some
notes about this and how we might approach for backends with this
limitation.
The (partial) fills from this sub are most indicative of clears (also
says support) whereas the msgs in the `ownTrades` sub are only emitted
after the entire order request has completed - there is no size-vlm
remaining.
Further enhancements:
- this also includes proper subscription-syncing inside `subscribe()` with
a small pre-msg-loop which waits on ack-msgs for each sub and raises any
errors. This approach should probably be implemented for the data feed
streams as well.
- configure the `ownTrades` sub to not bother sending historical data on
startup.
- make the `openOrders` sub include rate limit counters.
- handle the rare case where the ems is trying to cancel an order which
was just edited and hasn't yet had it's new `txid` registered.
Since we figured out how to pass through ems dialog ids to the
`openOrders` sub we don't really need to do much with status updates
other then error handling. This drops `process_status()` and moves the
error handling logic into a status handler sub-block; we now just
info-log status updates for troubleshooting purposes.
Why we need so many fields to accomplish passing through a dialog key to
orders is beyond me but this is how they do it with edits..
Allows not having to handle `editOrderStatus` msgs to update the dialog
key table and instead just do it in the `openOrders` sub by checking the
canceled msg for a 'cancel_reason' of 'Order replaced', in which case we
just pop the txid and wait for the new order the kraken backend engine
will submit automatically, which will now have the correct 'userref'
value we passed in via the `newuserref`, and then we add that new `txid`
to our table.
Turns out you can pass both thus making mapping an ems `oid` to
a brokerd-side `reqid` much more simple. This allows us to avoid keeping
as much local dialog state but with still the following caveats:
- ok `editOrder` msgs must update the reqid<->txid map
- only pop `reqids2txids` entries inside the `cancelOrderStatus` handler
Tyler Goodlet
Guillermo Rodriguez