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9 changed files with 212 additions and 372 deletions

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@ -50,7 +50,7 @@ __brokers__: list[str] = [
'binance', 'binance',
'ib', 'ib',
'kraken', 'kraken',
'kucoin', 'kucoin'
# broken but used to work # broken but used to work
# 'questrade', # 'questrade',
@ -71,7 +71,7 @@ def get_brokermod(brokername: str) -> ModuleType:
Return the imported broker module by name. Return the imported broker module by name.
''' '''
module: ModuleType = import_module('.' + brokername, 'piker.brokers') module = import_module('.' + brokername, 'piker.brokers')
# we only allow monkeying because it's for internal keying # we only allow monkeying because it's for internal keying
module.name = module.__name__.split('.')[-1] module.name = module.__name__.split('.')[-1]
return module return module

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@ -18,11 +18,10 @@
Handy cross-broker utils. Handy cross-broker utils.
""" """
from __future__ import annotations
from functools import partial from functools import partial
import json import json
import httpx import asks
import logging import logging
from ..log import ( from ..log import (
@ -61,11 +60,11 @@ class NoData(BrokerError):
def __init__( def __init__(
self, self,
*args, *args,
info: dict|None = None, info: dict,
) -> None: ) -> None:
super().__init__(*args) super().__init__(*args)
self.info: dict|None = info self.info: dict = info
# when raised, machinery can check if the backend # when raised, machinery can check if the backend
# set a "frame size" for doing datetime calcs. # set a "frame size" for doing datetime calcs.
@ -91,18 +90,16 @@ class DataThrottle(BrokerError):
def resproc( def resproc(
resp: httpx.Response, resp: asks.response_objects.Response,
log: logging.Logger, log: logging.Logger,
return_json: bool = True, return_json: bool = True,
log_resp: bool = False, log_resp: bool = False,
) -> httpx.Response: ) -> asks.response_objects.Response:
''' """Process response and return its json content.
Process response and return its json content.
Raise the appropriate error on non-200 OK responses. Raise the appropriate error on non-200 OK responses.
"""
'''
if not resp.status_code == 200: if not resp.status_code == 200:
raise BrokerError(resp.body) raise BrokerError(resp.body)
try: try:

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@ -25,13 +25,14 @@ from __future__ import annotations
from collections import ChainMap from collections import ChainMap
from contextlib import ( from contextlib import (
asynccontextmanager as acm, asynccontextmanager as acm,
AsyncExitStack,
) )
from datetime import datetime from datetime import datetime
from pprint import pformat from pprint import pformat
from typing import ( from typing import (
Any, Any,
Callable, Callable,
Hashable,
Sequence,
Type, Type,
) )
import hmac import hmac
@ -42,7 +43,8 @@ import trio
from pendulum import ( from pendulum import (
now, now,
) )
import httpx import asks
from rapidfuzz import process as fuzzy
import numpy as np import numpy as np
from piker import config from piker import config
@ -52,7 +54,6 @@ from piker.clearing._messages import (
from piker.accounting import ( from piker.accounting import (
Asset, Asset,
digits_to_dec, digits_to_dec,
MktPair,
) )
from piker.types import Struct from piker.types import Struct
from piker.data import ( from piker.data import (
@ -68,6 +69,7 @@ from .venues import (
PAIRTYPES, PAIRTYPES,
Pair, Pair,
MarketType, MarketType,
_spot_url, _spot_url,
_futes_url, _futes_url,
_testnet_futes_url, _testnet_futes_url,
@ -77,18 +79,19 @@ from .venues import (
log = get_logger('piker.brokers.binance') log = get_logger('piker.brokers.binance')
def get_config() -> dict[str, Any]: def get_config() -> dict:
conf: dict conf: dict
path: Path path: Path
conf, path = config.load( conf, path = config.load(
conf_name='brokers', conf_name='brokers',
touch_if_dne=True, touch_if_dne=True,
) )
section: dict = conf.get('binance')
section = conf.get('binance')
if not section: if not section:
log.warning( log.warning(f'No config section found for binance in {path}')
f'No config section found for binance in {path}'
)
return {} return {}
return section return section
@ -144,7 +147,7 @@ def binance_timestamp(
class Client: class Client:
''' '''
Async ReST API client using `trio` + `httpx` B) Async ReST API client using ``trio`` + ``asks`` B)
Supports all of the spot, margin and futures endpoints depending Supports all of the spot, margin and futures endpoints depending
on method. on method.
@ -153,17 +156,10 @@ class Client:
def __init__( def __init__(
self, self,
venue_sessions: dict[
str, # venue key
tuple[httpx.AsyncClient, str] # session, eps path
],
conf: dict[str, Any],
# TODO: change this to `Client.[mkt_]venue: MarketType`? # TODO: change this to `Client.[mkt_]venue: MarketType`?
mkt_mode: MarketType = 'spot', mkt_mode: MarketType = 'spot',
) -> None: ) -> None:
self.conf = conf
# build out pair info tables for each market type # build out pair info tables for each market type
# and wrap in a chain-map view for search / query. # and wrap in a chain-map view for search / query.
self._spot_pairs: dict[str, Pair] = {} # spot info table self._spot_pairs: dict[str, Pair] = {} # spot info table
@ -190,13 +186,44 @@ class Client:
# market symbols for use by search. See `.exch_info()`. # market symbols for use by search. See `.exch_info()`.
self._pairs: ChainMap[str, Pair] = ChainMap() self._pairs: ChainMap[str, Pair] = ChainMap()
# spot EPs sesh
self._sesh = asks.Session(connections=4)
self._sesh.base_location: str = _spot_url
# spot testnet
self._test_sesh: asks.Session = asks.Session(connections=4)
self._test_sesh.base_location: str = _testnet_spot_url
# margin and extended spot endpoints session.
self._sapi_sesh = asks.Session(connections=4)
self._sapi_sesh.base_location: str = _spot_url
# futes EPs sesh
self._fapi_sesh = asks.Session(connections=4)
self._fapi_sesh.base_location: str = _futes_url
# futes testnet
self._test_fapi_sesh: asks.Session = asks.Session(connections=4)
self._test_fapi_sesh.base_location: str = _testnet_futes_url
# global client "venue selection" mode. # global client "venue selection" mode.
# set this when you want to switch venues and not have to # set this when you want to switch venues and not have to
# specify the venue for the next request. # specify the venue for the next request.
self.mkt_mode: MarketType = mkt_mode self.mkt_mode: MarketType = mkt_mode
# per-mkt-venue API client table # per 8
self.venue_sesh = venue_sessions self.venue_sesh: dict[
str, # venue key
tuple[asks.Session, str] # session, eps path
] = {
'spot': (self._sesh, '/api/v3/'),
'spot_testnet': (self._test_sesh, '/fapi/v1/'),
'margin': (self._sapi_sesh, '/sapi/v1/'),
'usdtm_futes': (self._fapi_sesh, '/fapi/v1/'),
'usdtm_futes_testnet': (self._test_fapi_sesh, '/fapi/v1/'),
# 'futes_coin': self._dapi, # TODO
}
# lookup for going from `.mkt_mode: str` to the config # lookup for going from `.mkt_mode: str` to the config
# subsection `key: str` # subsection `key: str`
@ -211,6 +238,40 @@ class Client:
'futes': ['usdtm_futes'], 'futes': ['usdtm_futes'],
} }
# for creating API keys see,
# https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
self.conf: dict = get_config()
for key, subconf in self.conf.items():
if api_key := subconf.get('api_key', ''):
venue_keys: list[str] = self.confkey2venuekeys[key]
venue_key: str
sesh: asks.Session
for venue_key in venue_keys:
sesh, _ = self.venue_sesh[venue_key]
api_key_header: dict = {
# taken from official:
# https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
"Content-Type": "application/json;charset=utf-8",
# TODO: prolly should just always query and copy
# in the real latest ver?
"User-Agent": "binance-connector/6.1.6smbz6",
"X-MBX-APIKEY": api_key,
}
sesh.headers.update(api_key_header)
# if `.use_tesnet = true` in the config then
# also add headers for the testnet session which
# will be used for all order control
if subconf.get('use_testnet', False):
testnet_sesh, _ = self.venue_sesh[
venue_key + '_testnet'
]
testnet_sesh.headers.update(api_key_header)
def _mk_sig( def _mk_sig(
self, self,
data: dict, data: dict,
@ -229,6 +290,7 @@ class Client:
'to define the creds for auth-ed endpoints!?' 'to define the creds for auth-ed endpoints!?'
) )
# XXX: Info on security and authentification # XXX: Info on security and authentification
# https://binance-docs.github.io/apidocs/#endpoint-security-type # https://binance-docs.github.io/apidocs/#endpoint-security-type
if not (api_secret := subconf.get('api_secret')): if not (api_secret := subconf.get('api_secret')):
@ -268,9 +330,8 @@ class Client:
- /fapi/v3/ USD-M FUTURES, or - /fapi/v3/ USD-M FUTURES, or
- /api/v3/ SPOT/MARGIN - /api/v3/ SPOT/MARGIN
account/market endpoint request depending on either passed in account/market endpoint request depending on either passed in `venue: str`
`venue: str` or the current setting `.mkt_mode: str` setting, or the current setting `.mkt_mode: str` setting, default `'spot'`.
default `'spot'`.
Docs per venue API: Docs per venue API:
@ -299,6 +360,9 @@ class Client:
venue=venue_key, venue=venue_key,
) )
sesh: asks.Session
path: str
# Check if we're configured to route order requests to the # Check if we're configured to route order requests to the
# venue equivalent's testnet. # venue equivalent's testnet.
use_testnet: bool = False use_testnet: bool = False
@ -323,12 +387,11 @@ class Client:
# ctl machinery B) # ctl machinery B)
venue_key += '_testnet' venue_key += '_testnet'
client: httpx.AsyncClient sesh, path = self.venue_sesh[venue_key]
path: str
client, path = self.venue_sesh[venue_key] meth: Callable = getattr(sesh, method)
meth: Callable = getattr(client, method)
resp = await meth( resp = await meth(
url=path + endpoint, path=path + endpoint,
params=params, params=params,
timeout=float('inf'), timeout=float('inf'),
) )
@ -370,15 +433,7 @@ class Client:
item['filters'] = filters item['filters'] = filters
pair_type: Type = PAIRTYPES[venue] pair_type: Type = PAIRTYPES[venue]
try:
pair: Pair = pair_type(**item) pair: Pair = pair_type(**item)
except Exception as e:
e.add_note(
"\nDon't panic, prolly stupid binance changed their symbology schema again..\n"
'Check out their API docs here:\n\n'
'https://binance-docs.github.io/apidocs/spot/en/#exchange-information'
)
raise
pair_table[pair.symbol.upper()] = pair pair_table[pair.symbol.upper()] = pair
# update an additional top-level-cross-venue-table # update an additional top-level-cross-venue-table
@ -473,9 +528,7 @@ class Client:
''' '''
pair_table: dict[str, Pair] = self._venue2pairs[ pair_table: dict[str, Pair] = self._venue2pairs[
venue venue or self.mkt_mode
or
self.mkt_mode
] ]
if ( if (
expiry expiry
@ -494,9 +547,9 @@ class Client:
venues: list[str] = [venue] venues: list[str] = [venue]
# batch per-venue download of all exchange infos # batch per-venue download of all exchange infos
async with trio.open_nursery() as tn: async with trio.open_nursery() as rn:
for ven in venues: for ven in venues:
tn.start_soon( rn.start_soon(
self._cache_pairs, self._cache_pairs,
ven, ven,
) )
@ -549,11 +602,11 @@ class Client:
) -> dict[str, Any]: ) -> dict[str, Any]:
fq_pairs: dict[str, Pair] = await self.exch_info() fq_pairs: dict = await self.exch_info()
# TODO: cache this list like we were in # TODO: cache this list like we were in
# `open_symbol_search()`? # `open_symbol_search()`?
# keys: list[str] = list(fq_pairs) keys: list[str] = list(fq_pairs)
return match_from_pairs( return match_from_pairs(
pairs=fq_pairs, pairs=fq_pairs,
@ -561,19 +614,9 @@ class Client:
score_cutoff=50, score_cutoff=50,
) )
def pair2venuekey(
self,
pair: Pair,
) -> str:
return {
'USDTM': 'usdtm_futes',
# 'COINM': 'coin_futes',
# ^-TODO-^ bc someone might want it..?
}[pair.venue]
async def bars( async def bars(
self, self,
mkt: MktPair, symbol: str,
start_dt: datetime | None = None, start_dt: datetime | None = None,
end_dt: datetime | None = None, end_dt: datetime | None = None,
@ -603,20 +646,16 @@ class Client:
start_time = binance_timestamp(start_dt) start_time = binance_timestamp(start_dt)
end_time = binance_timestamp(end_dt) end_time = binance_timestamp(end_dt)
bs_pair: Pair = self._pairs[mkt.bs_fqme.upper()]
# https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data # https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
bars = await self._api( bars = await self._api(
'klines', 'klines',
params={ params={
# NOTE: always query using their native symbology! 'symbol': symbol.upper(),
'symbol': mkt.bs_mktid.upper(),
'interval': '1m', 'interval': '1m',
'startTime': start_time, 'startTime': start_time,
'endTime': end_time, 'endTime': end_time,
'limit': limit 'limit': limit
}, },
venue=self.pair2venuekey(bs_pair),
allow_testnet=False, allow_testnet=False,
) )
new_bars: list[tuple] = [] new_bars: list[tuple] = []
@ -933,148 +972,17 @@ class Client:
await self.close_listen_key(key) await self.close_listen_key(key)
_venue_urls: dict[str, str] = {
'spot': (
_spot_url,
'/api/v3/',
),
'spot_testnet': (
_testnet_spot_url,
'/fapi/v1/'
),
# margin and extended spot endpoints session.
# TODO: did this ever get implemented fully?
# 'margin': (
# _spot_url,
# '/sapi/v1/'
# ),
'usdtm_futes': (
_futes_url,
'/fapi/v1/',
),
'usdtm_futes_testnet': (
_testnet_futes_url,
'/fapi/v1/',
),
# TODO: for anyone who actually needs it ;P
# 'coin_futes': ()
}
def init_api_keys(
client: Client,
conf: dict[str, Any],
) -> None:
'''
Set up per-venue API keys each http client according to the user's
`brokers.conf`.
For ex, to use spot-testnet and live usdt futures APIs:
```toml
[binance]
# spot test net
spot.use_testnet = true
spot.api_key = '<spot_api_key_from_binance_account>'
spot.api_secret = '<spot_api_key_password>'
# futes live
futes.use_testnet = false
accounts.usdtm = 'futes'
futes.api_key = '<futes_api_key_from_binance>'
futes.api_secret = '<futes_api_key_password>''
# if uncommented will use the built-in paper engine and not
# connect to `binance` API servers for order ctl.
# accounts.paper = 'paper'
```
'''
for key, subconf in conf.items():
if api_key := subconf.get('api_key', ''):
venue_keys: list[str] = client.confkey2venuekeys[key]
venue_key: str
client: httpx.AsyncClient
for venue_key in venue_keys:
client, _ = client.venue_sesh[venue_key]
api_key_header: dict = {
# taken from official:
# https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
"Content-Type": "application/json;charset=utf-8",
# TODO: prolly should just always query and copy
# in the real latest ver?
"User-Agent": "binance-connector/6.1.6smbz6",
"X-MBX-APIKEY": api_key,
}
client.headers.update(api_key_header)
# if `.use_tesnet = true` in the config then
# also add headers for the testnet session which
# will be used for all order control
if subconf.get('use_testnet', False):
testnet_sesh, _ = client.venue_sesh[
venue_key + '_testnet'
]
testnet_sesh.headers.update(api_key_header)
@acm @acm
async def get_client( async def get_client() -> Client:
mkt_mode: MarketType = 'spot',
) -> Client:
'''
Construct an single `piker` client which composes multiple underlying venue
specific API clients both for live and test networks.
''' client = Client()
venue_sessions: dict[ await client.exch_info()
str, # venue key
tuple[httpx.AsyncClient, str] # session, eps path
] = {}
async with AsyncExitStack() as client_stack:
for name, (base_url, path) in _venue_urls.items():
api: httpx.AsyncClient = await client_stack.enter_async_context(
httpx.AsyncClient(
base_url=base_url,
# headers={},
# TODO: is there a way to numerate this?
# https://www.python-httpx.org/advanced/clients/#why-use-a-client
# connections=4
)
)
venue_sessions[name] = (
api,
path,
)
conf: dict[str, Any] = get_config()
# for creating API keys see,
# https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
client = Client(
venue_sessions=venue_sessions,
conf=conf,
mkt_mode=mkt_mode,
)
init_api_keys(
client=client,
conf=conf,
)
fq_pairs: dict[str, Pair] = await client.exch_info()
assert fq_pairs
log.info( log.info(
f'Loaded multi-venue `Client` in mkt_mode={client.mkt_mode!r}\n\n' f'{client} in {client.mkt_mode} mode: caching exchange infos..\n'
f'Symbology Summary:\n' 'Cached multi-market pairs:\n'
f'------ - ------\n'
f'spot: {len(client._spot_pairs)}\n' f'spot: {len(client._spot_pairs)}\n'
f'usdtm_futes: {len(client._ufutes_pairs)}\n' f'usdtm_futes: {len(client._ufutes_pairs)}\n'
'------ - ------\n' f'Total: {len(client._pairs)}\n'
f'total: {len(client._pairs)}\n'
) )
yield client yield client

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@ -264,20 +264,15 @@ async def open_trade_dialog(
# do a open_symcache() call.. though maybe we can hide # do a open_symcache() call.. though maybe we can hide
# this in a new async version of open_account()? # this in a new async version of open_account()?
async with open_cached_client('binance') as client: async with open_cached_client('binance') as client:
subconf: dict|None = client.conf.get(venue_name) subconf: dict = client.conf[venue_name]
use_testnet = subconf.get('use_testnet', False)
# XXX: if no futes.api_key or spot.api_key has been set we # XXX: if no futes.api_key or spot.api_key has been set we
# always fall back to the paper engine! # always fall back to the paper engine!
if ( if not subconf.get('api_key'):
not subconf
or
not subconf.get('api_key')
):
await ctx.started('paper') await ctx.started('paper')
return return
use_testnet: bool = subconf.get('use_testnet', False)
async with ( async with (
open_cached_client('binance') as client, open_cached_client('binance') as client,
): ):

View File

@ -48,7 +48,6 @@ import tractor
from piker.brokers import ( from piker.brokers import (
open_cached_client, open_cached_client,
NoData,
) )
from piker._cacheables import ( from piker._cacheables import (
async_lifo_cache, async_lifo_cache,
@ -253,30 +252,24 @@ async def open_history_client(
else: else:
client.mkt_mode = 'spot' client.mkt_mode = 'spot'
array: np.ndarray = await client.bars( # NOTE: always query using their native symbology!
mkt=mkt, mktid: str = mkt.bs_mktid
array = await client.bars(
mktid,
start_dt=start_dt, start_dt=start_dt,
end_dt=end_dt, end_dt=end_dt,
) )
if array.size == 0:
raise NoData(
f'No frame for {start_dt} -> {end_dt}\n'
)
times = array['time'] times = array['time']
if not times.any(): if (
raise ValueError( end_dt is None
'Bad frame with null-times?\n\n' ):
f'{times}' inow = round(time.time())
)
if end_dt is None:
inow: int = round(time.time())
if (inow - times[-1]) > 60: if (inow - times[-1]) > 60:
await tractor.pause() await tractor.pause()
start_dt = from_timestamp(times[0]) start_dt = from_timestamp(times[0])
end_dt = from_timestamp(times[-1]) end_dt = from_timestamp(times[-1])
return array, start_dt, end_dt return array, start_dt, end_dt
yield get_ohlc, {'erlangs': 3, 'rate': 3} yield get_ohlc, {'erlangs': 3, 'rate': 3}

View File

@ -137,12 +137,10 @@ class SpotPair(Pair, frozen=True):
quoteOrderQtyMarketAllowed: bool quoteOrderQtyMarketAllowed: bool
isSpotTradingAllowed: bool isSpotTradingAllowed: bool
isMarginTradingAllowed: bool isMarginTradingAllowed: bool
otoAllowed: bool
defaultSelfTradePreventionMode: str defaultSelfTradePreventionMode: str
allowedSelfTradePreventionModes: list[str] allowedSelfTradePreventionModes: list[str]
permissions: list[str] permissions: list[str]
permissionSets: list[list[str]]
# NOTE: see `.data._symcache.SymbologyCache.load()` for why # NOTE: see `.data._symcache.SymbologyCache.load()` for why
ns_path: str = 'piker.brokers.binance:SpotPair' ns_path: str = 'piker.brokers.binance:SpotPair'

View File

@ -27,8 +27,8 @@ from typing import (
) )
import time import time
import httpx
import pendulum import pendulum
import asks
import numpy as np import numpy as np
import urllib.parse import urllib.parse
import hashlib import hashlib
@ -60,11 +60,6 @@ log = get_logger('piker.brokers.kraken')
# <uri>/<version>/ # <uri>/<version>/
_url = 'https://api.kraken.com/0' _url = 'https://api.kraken.com/0'
_headers: dict[str, str] = {
'User-Agent': 'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
}
# TODO: this is the only backend providing this right? # TODO: this is the only backend providing this right?
# in which case we should drop it from the defaults and # in which case we should drop it from the defaults and
# instead make a custom fields descr in this module! # instead make a custom fields descr in this module!
@ -140,15 +135,16 @@ class Client:
def __init__( def __init__(
self, self,
config: dict[str, str], config: dict[str, str],
httpx_client: httpx.AsyncClient,
name: str = '', name: str = '',
api_key: str = '', api_key: str = '',
secret: str = '' secret: str = ''
) -> None: ) -> None:
self._sesh = asks.Session(connections=4)
self._sesh: httpx.AsyncClient = httpx_client self._sesh.base_location = _url
self._sesh.headers.update({
'User-Agent':
'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
})
self._name = name self._name = name
self._api_key = api_key self._api_key = api_key
self._secret = secret self._secret = secret
@ -170,9 +166,10 @@ class Client:
method: str, method: str,
data: dict, data: dict,
) -> dict[str, Any]: ) -> dict[str, Any]:
resp: httpx.Response = await self._sesh.post( resp = await self._sesh.post(
url=f'/public/{method}', path=f'/public/{method}',
json=data, json=data,
timeout=float('inf')
) )
return resproc(resp, log) return resproc(resp, log)
@ -183,18 +180,18 @@ class Client:
uri_path: str uri_path: str
) -> dict[str, Any]: ) -> dict[str, Any]:
headers = { headers = {
'Content-Type': 'application/x-www-form-urlencoded', 'Content-Type':
'API-Key': self._api_key, 'application/x-www-form-urlencoded',
'API-Sign': get_kraken_signature( 'API-Key':
uri_path, self._api_key,
data, 'API-Sign':
self._secret, get_kraken_signature(uri_path, data, self._secret)
),
} }
resp: httpx.Response = await self._sesh.post( resp = await self._sesh.post(
url=f'/private/{method}', path=f'/private/{method}',
data=data, data=data,
headers=headers, headers=headers,
timeout=float('inf')
) )
return resproc(resp, log) return resproc(resp, log)
@ -668,19 +665,10 @@ class Client:
@acm @acm
async def get_client() -> Client: async def get_client() -> Client:
conf: dict[str, Any] = get_config() conf = get_config()
async with httpx.AsyncClient(
base_url=_url,
headers=_headers,
# TODO: is there a way to numerate this?
# https://www.python-httpx.org/advanced/clients/#why-use-a-client
# connections=4
) as trio_client:
if conf: if conf:
client = Client( client = Client(
conf, conf,
httpx_client=trio_client,
# TODO: don't break these up and just do internal # TODO: don't break these up and just do internal
# conf lookups instead.. # conf lookups instead..
@ -689,10 +677,7 @@ async def get_client() -> Client:
secret=conf['secret'] secret=conf['secret']
) )
else: else:
client = Client( client = Client({})
conf={},
httpx_client=trio_client,
)
# at startup, load all symbols, and asset info in # at startup, load all symbols, and asset info in
# batch requests. # batch requests.

View File

@ -612,18 +612,18 @@ async def open_trade_dialog(
# enter relay loop # enter relay loop
await handle_order_updates( await handle_order_updates(
client=client, client,
ws=ws, ws,
ws_stream=stream, stream,
ems_stream=ems_stream, ems_stream,
apiflows=apiflows, apiflows,
ids=ids, ids,
reqids2txids=reqids2txids, reqids2txids,
acnt=acnt, acnt,
ledger=ledger, api_trans,
acctid=acctid, acctid,
acc_name=acc_name, acc_name,
token=token, token,
) )
@ -639,8 +639,7 @@ async def handle_order_updates(
# transaction records which will be updated # transaction records which will be updated
# on new trade clearing events (aka order "fills") # on new trade clearing events (aka order "fills")
ledger: TransactionLedger, ledger_trans: dict[str, Transaction],
# ledger_trans: dict[str, Transaction],
acctid: str, acctid: str,
acc_name: str, acc_name: str,
token: str, token: str,
@ -700,8 +699,7 @@ async def handle_order_updates(
# if tid not in ledger_trans # if tid not in ledger_trans
} }
for tid, trade in trades.items(): for tid, trade in trades.items():
# assert tid not in ledger_trans assert tid not in ledger_trans
assert tid not in ledger
txid = trade['ordertxid'] txid = trade['ordertxid']
reqid = trade.get('userref') reqid = trade.get('userref')
@ -749,17 +747,11 @@ async def handle_order_updates(
client, client,
api_name_set='wsname', api_name_set='wsname',
) )
ppmsgs: list[BrokerdPosition] = trades2pps( ppmsgs = trades2pps(
acnt=acnt, acnt,
ledger=ledger, acctid,
acctid=acctid, new_trans,
new_trans=new_trans,
) )
# ppmsgs = trades2pps(
# acnt,
# acctid,
# new_trans,
# )
for pp_msg in ppmsgs: for pp_msg in ppmsgs:
await ems_stream.send(pp_msg) await ems_stream.send(pp_msg)

View File

@ -16,9 +16,10 @@
# along with this program. If not, see <https://www.gnu.org/licenses/>. # along with this program. If not, see <https://www.gnu.org/licenses/>.
''' '''
Kucoin cex API backend. Kucoin broker backend
''' '''
from contextlib import ( from contextlib import (
asynccontextmanager as acm, asynccontextmanager as acm,
aclosing, aclosing,
@ -41,7 +42,7 @@ import wsproto
from uuid import uuid4 from uuid import uuid4
from trio_typing import TaskStatus from trio_typing import TaskStatus
import httpx import asks
from bidict import bidict from bidict import bidict
import numpy as np import numpy as np
import pendulum import pendulum
@ -211,11 +212,7 @@ def get_config() -> BrokerConfig | None:
class Client: class Client:
def __init__( def __init__(self) -> None:
self,
httpx_client: httpx.AsyncClient,
) -> None:
self._http: httpx.AsyncClient = httpx_client
self._config: BrokerConfig | None = get_config() self._config: BrokerConfig | None = get_config()
self._pairs: dict[str, KucoinMktPair] = {} self._pairs: dict[str, KucoinMktPair] = {}
self._fqmes2mktids: bidict[str, str] = bidict() self._fqmes2mktids: bidict[str, str] = bidict()
@ -230,24 +227,18 @@ class Client:
) -> dict[str, str | bytes]: ) -> dict[str, str | bytes]:
''' '''
Generate authenticated request headers: Generate authenticated request headers
https://docs.kucoin.com/#authentication https://docs.kucoin.com/#authentication
https://www.kucoin.com/docs/basic-info/connection-method/authentication/creating-a-request
https://www.kucoin.com/docs/basic-info/connection-method/authentication/signing-a-message
''' '''
if not self._config: if not self._config:
raise ValueError( raise ValueError(
'No config found when trying to send authenticated request' 'No config found when trying to send authenticated request')
)
str_to_sign = ( str_to_sign = (
str(int(time.time() * 1000)) str(int(time.time() * 1000))
+ + action + f'/api/{api}/{endpoint.lstrip("/")}'
action
+
f'/api/{api}/{endpoint.lstrip("/")}'
) )
signature = base64.b64encode( signature = base64.b64encode(
@ -258,7 +249,6 @@ class Client:
).digest() ).digest()
) )
# TODO: can we cache this between calls?
passphrase = base64.b64encode( passphrase = base64.b64encode(
hmac.new( hmac.new(
self._config.key_secret.encode('utf-8'), self._config.key_secret.encode('utf-8'),
@ -280,10 +270,8 @@ class Client:
self, self,
action: Literal['POST', 'GET'], action: Literal['POST', 'GET'],
endpoint: str, endpoint: str,
api: str = 'v2', api: str = 'v2',
headers: dict = {}, headers: dict = {},
) -> Any: ) -> Any:
''' '''
Generic request wrapper for Kucoin API Generic request wrapper for Kucoin API
@ -296,19 +284,14 @@ class Client:
api, api,
) )
req_meth: Callable = getattr( api_url = f'https://api.kucoin.com/api/{api}/{endpoint}'
self._http,
action.lower(), res = await asks.request(action, api_url, headers=headers)
)
res = await req_meth( json = res.json()
url=f'/{api}/{endpoint}', if 'data' in json:
headers=headers, return json['data']
)
json: dict = res.json()
if (data := json.get('data')) is not None:
return data
else: else:
api_url: str = self._http.base_url
log.error( log.error(
f'Error making request to {api_url} ->\n' f'Error making request to {api_url} ->\n'
f'{pformat(res)}' f'{pformat(res)}'
@ -366,8 +349,8 @@ class Client:
currencies: dict[str, Currency] = {} currencies: dict[str, Currency] = {}
entries: list[dict] = await self._request( entries: list[dict] = await self._request(
'GET', 'GET',
endpoint='currencies',
api='v1', api='v1',
endpoint='currencies',
) )
for entry in entries: for entry in entries:
curr = Currency(**entry).copy() curr = Currency(**entry).copy()
@ -383,10 +366,7 @@ class Client:
dict[str, KucoinMktPair], dict[str, KucoinMktPair],
bidict[str, KucoinMktPair], bidict[str, KucoinMktPair],
]: ]:
entries = await self._request( entries = await self._request('GET', 'symbols')
'GET',
endpoint='symbols',
)
log.info(f' {len(entries)} Kucoin market pairs fetched') log.info(f' {len(entries)} Kucoin market pairs fetched')
pairs: dict[str, KucoinMktPair] = {} pairs: dict[str, KucoinMktPair] = {}
@ -587,18 +567,10 @@ def fqme_to_kucoin_sym(
@acm @acm
async def get_client() -> AsyncGenerator[Client, None]: async def get_client() -> AsyncGenerator[Client, None]:
''' client = Client()
Load an API `Client` preconfigured from user settings
''' async with trio.open_nursery() as n:
async with ( n.start_soon(client.get_mkt_pairs)
httpx.AsyncClient(
base_url=f'https://api.kucoin.com/api',
) as trio_client,
):
client = Client(httpx_client=trio_client)
async with trio.open_nursery() as tn:
tn.start_soon(client.get_mkt_pairs)
await client.get_currencies() await client.get_currencies()
yield client yield client