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07a417a482
...
5cefe8bcdb
148
default.nix
148
default.nix
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@ -1,130 +1,82 @@
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with (import <nixpkgs> {});
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with (import <nixpkgs> {});
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with python312Packages;
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let
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let
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glibStorePath = lib.getLib glib;
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glibStorePath = lib.getLib glib;
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zstdStorePath = lib.getLib zstd;
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qtpyStorePath = lib.getLib qtpy;
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dbusStorePath = lib.getLib dbus;
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pyqt6StorePath = lib.getLib pyqt6;
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libGLStorePath = lib.getLib libGL;
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pyqt6SipStorePath = lib.getLib pyqt6-sip;
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freetypeStorePath = lib.getLib freetype;
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qt6baseStorePath = lib.getLib qt6.qtbase;
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qt6baseStorePath = lib.getLib qt6.qtbase;
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fontconfigStorePath = lib.getLib fontconfig;
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rapidfuzzStorePath = lib.getLib rapidfuzz;
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libxkbcommonStorePath = lib.getLib libxkbcommon;
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qdarkstyleStorePath = lib.getLib qdarkstyle;
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xcbutilcursorStorePath = lib.getLib xcb-util-cursor;
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qtpyStorePath = lib.getLib python312Packages.qtpy;
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pyqt6StorePath = lib.getLib python312Packages.pyqt6;
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pyqt6SipStorePath = lib.getLib python312Packages.pyqt6-sip;
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rapidfuzzStorePath = lib.getLib python312Packages.rapidfuzz;
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qdarkstyleStorePath = lib.getLib python312Packages.qdarkstyle;
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xorgLibX11StorePath = lib.getLib xorg.libX11;
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xorgLibxcbStorePath = lib.getLib xorg.libxcb;
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xorgxcbutilwmStorePath = lib.getLib xorg.xcbutilwm;
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xorgxcbutilimageStorePath = lib.getLib xorg.xcbutilimage;
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xorgxcbutilerrorsStorePath = lib.getLib xorg.xcbutilerrors;
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xorgxcbutilkeysymsStorePath = lib.getLib xorg.xcbutilkeysyms;
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xorgxcbutilrenderutilStorePath = lib.getLib xorg.xcbutilrenderutil;
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in
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in
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stdenv.mkDerivation {
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stdenv.mkDerivation {
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name = "piker-qt6-uv";
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name = "piker-qt6-poetry-shell";
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buildInputs = [
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buildInputs = [
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# System requirements.
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# System requirements.
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glib
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glib
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dbus
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zstd
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libGL
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freetype
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qt6.qtbase
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qt6.qtbase
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libgcc.lib
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libgcc.lib
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fontconfig
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libxkbcommon
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# Xorg requirements
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xcb-util-cursor
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xorg.libxcb
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xorg.libX11
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xorg.xcbutilwm
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xorg.xcbutilimage
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xorg.xcbutilerrors
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xorg.xcbutilkeysyms
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xorg.xcbutilrenderutil
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# Python requirements.
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# Python requirements.
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python312Full
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python312Full
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python312Packages.uv
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poetry-core
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python312Packages.qdarkstyle
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qdarkstyle
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python312Packages.rapidfuzz
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rapidfuzz
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python312Packages.pyqt6
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pyqt6
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python312Packages.qtpy
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qtpy
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];
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];
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src = null;
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src = null;
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shellHook = ''
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shellHook = ''
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set -e
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set -e
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export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:${libgcc.lib}/lib:${glibStorePath}/lib
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# Set the Qt plugin path
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# Set the Qt plugin path
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# export QT_DEBUG_PLUGINS=1
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# export QT_DEBUG_PLUGINS=1
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QTBASE_PATH="${qt6baseStorePath}/lib"
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QT_PLUGIN_PATH="$QTBASE_PATH/qt-6/plugins"
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QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
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LIB_GCC_PATH="${libgcc.lib}/lib"
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QTBASE_PATH="${qt6baseStorePath}"
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GLIB_PATH="${glibStorePath}/lib"
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echo "qtbase path: $QTBASE_PATH"
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ZSTD_PATH="${zstdStorePath}/lib"
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echo ""
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DBUS_PATH="${dbusStorePath}/lib"
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export QT_PLUGIN_PATH="$QTBASE_PATH/lib/qt-6/plugins"
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LIBGL_PATH="${libGLStorePath}/lib"
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export QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
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FREETYPE_PATH="${freetypeStorePath}/lib"
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echo "qt plugin path: $QT_PLUGIN_PATH"
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FONTCONFIG_PATH="${fontconfigStorePath}/lib"
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echo ""
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LIB_XKB_COMMON_PATH="${libxkbcommonStorePath}/lib"
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XCB_UTIL_CURSOR_PATH="${xcbutilcursorStorePath}/lib"
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# Maybe create venv & install deps
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XORG_LIB_X11_PATH="${xorgLibX11StorePath}/lib"
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poetry install --with uis
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XORG_LIB_XCB_PATH="${xorgLibxcbStorePath}/lib"
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XORG_XCB_UTIL_IMAGE_PATH="${xorgxcbutilimageStorePath}/lib"
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XORG_XCB_UTIL_WM_PATH="${xorgxcbutilwmStorePath}/lib"
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XORG_XCB_UTIL_RENDER_UTIL_PATH="${xorgxcbutilrenderutilStorePath}/lib"
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XORG_XCB_UTIL_KEYSYMS_PATH="${xorgxcbutilkeysymsStorePath}/lib"
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XORG_XCB_UTIL_ERRORS_PATH="${xorgxcbutilerrorsStorePath}/lib"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QTBASE_PATH"
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# Use pyqt6 from System, patch activate script
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_PLUGIN_PATH"
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ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_QPA_PLATFORM_PLUGIN_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_GCC_PATH"
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export RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$DBUS_PATH"
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export QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$GLIB_PATH"
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export QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$ZSTD_PATH"
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export PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIBGL_PATH"
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export PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FONTCONFIG_PATH"
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echo "rapidfuzz at: $RPDFUZZ_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FREETYPE_PATH"
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echo "qdarkstyle at: $QDRKSTYLE_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_XKB_COMMON_PATH"
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echo "qtpy at: $QTPY_PATH"
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echo "pyqt6 at: $PYQT6_PATH"
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echo "pyqt6-sip at: $PYQT6_SIP_PATH"
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echo ""
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|
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XCB_UTIL_CURSOR_PATH"
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PATCH="export PYTHONPATH=\""
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_X11_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_XCB_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_IMAGE_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_WM_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_RENDER_UTIL_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_KEYSYMS_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_ERRORS_PATH"
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export LD_LIBRARY_PATH
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PATCH="$PATCH\$RPDFUZZ_PATH"
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PATCH="$PATCH:\$QDRKSTYLE_PATH"
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PATCH="$PATCH:\$QTPY_PATH"
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PATCH="$PATCH:\$PYQT6_PATH"
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PATCH="$PATCH:\$PYQT6_SIP_PATH"
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RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
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PATCH="$PATCH\""
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QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
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QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
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PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
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PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
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||||||
|
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PATCH="$PATCH:$RPDFUZZ_PATH"
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if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then
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PATCH="$PATCH:$QDRKSTYLE_PATH"
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echo "venv is already patched."
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PATCH="$PATCH:$QTPY_PATH"
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else
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PATCH="$PATCH:$PYQT6_PATH"
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echo "patching $ACTIVATE_SCRIPT_PATH to use pyqt6 from nixos..."
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||||||
PATCH="$PATCH:$PYQT6_SIP_PATH"
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sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH
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||||||
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fi
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export PATCH
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|
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# Install deps
|
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||||||
uv lock
|
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||||||
|
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||||||
|
poetry shell
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||||||
'';
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'';
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||||||
}
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}
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||||||
|
|
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@ -1,139 +0,0 @@
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#!/usr/bin/env python
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from decimal import (
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|
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Decimal,
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)
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import trio
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import tractor
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from datetime import datetime
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from pprint import pformat
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from piker.brokers.deribit.api import (
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get_client,
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maybe_open_oi_feed,
|
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)
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||||||
|
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def check_if_complete(
|
|
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oi: dict[str, dict[str, Decimal | None]]
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) -> bool:
|
|
||||||
return all(
|
|
||||||
oi[strike]['C'] is not None
|
|
||||||
and
|
|
||||||
oi[strike]['P'] is not None for strike in oi
|
|
||||||
)
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||||||
|
|
||||||
|
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||||||
async def max_pain_daemon(
|
|
||||||
) -> None:
|
|
||||||
oi_by_strikes: dict[str, dict[str, Decimal | None]]
|
|
||||||
expiry_dates: list[str]
|
|
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currency: str = 'btc'
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|
||||||
kind: str = 'option'
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|
||||||
|
|
||||||
async with get_client(
|
|
||||||
) as client:
|
|
||||||
expiry_dates: list[str] = await client.get_expiration_dates(
|
|
||||||
currency=currency,
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|
||||||
kind=kind
|
|
||||||
)
|
|
||||||
|
|
||||||
print(f'Available expiration dates for {currency}-{kind}:')
|
|
||||||
print(f'{expiry_dates}')
|
|
||||||
expiry_date: str = input('Please enter a valid expiration date: ').upper()
|
|
||||||
print('Starting little daemon...')
|
|
||||||
instruments: list[Symbol] = []
|
|
||||||
oi_by_strikes: dict[str, dict[str, Decimal]]
|
|
||||||
|
|
||||||
def update_oi_by_strikes(msg: tuple):
|
|
||||||
nonlocal oi_by_strikes
|
|
||||||
if 'oi' == msg[0]:
|
|
||||||
strike_price = msg[1]['strike_price']
|
|
||||||
option_type = msg[1]['option_type']
|
|
||||||
open_interest = msg[1]['open_interest']
|
|
||||||
oi_by_strikes.setdefault(
|
|
||||||
strike_price, {}
|
|
||||||
).update(
|
|
||||||
{option_type: open_interest}
|
|
||||||
)
|
|
||||||
|
|
||||||
def get_max_pain(
|
|
||||||
oi_by_strikes: dict[str, dict[str, Decimal]]
|
|
||||||
) -> dict[str, str | Decimal]:
|
|
||||||
'''
|
|
||||||
This method requires only the strike_prices and oi for call
|
|
||||||
and puts, the closes list are the same as the strike_prices
|
|
||||||
the idea is to sum all the calls and puts cash for each strike
|
|
||||||
and the ITM strikes from that strike, the lowest value is what we
|
|
||||||
are looking for the intrinsic value.
|
|
||||||
|
|
||||||
'''
|
|
||||||
|
|
||||||
nonlocal timestamp
|
|
||||||
# We meed to find the lowest value, so we start at
|
|
||||||
# infinity to ensure that, and the max_pain must be
|
|
||||||
# an amount greater than zero.
|
|
||||||
total_intrinsic_value: Decimal = Decimal('Infinity')
|
|
||||||
max_pain: Decimal = Decimal(0)
|
|
||||||
call_cash: Decimal = Decimal(0)
|
|
||||||
put_cash: Decimal = Decimal(0)
|
|
||||||
intrinsic_values: dict[str, dict[str, Decimal]] = {}
|
|
||||||
closes: list = sorted(Decimal(close) for close in oi_by_strikes)
|
|
||||||
|
|
||||||
for strike, oi in oi_by_strikes.items():
|
|
||||||
s = Decimal(strike)
|
|
||||||
call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
|
|
||||||
put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c in closes)
|
|
||||||
|
|
||||||
intrinsic_values[strike] = {
|
|
||||||
'C': call_cash,
|
|
||||||
'P': put_cash,
|
|
||||||
'total': call_cash + put_cash,
|
|
||||||
}
|
|
||||||
|
|
||||||
if intrinsic_values[strike]['total'] < total_intrinsic_value:
|
|
||||||
total_intrinsic_value = intrinsic_values[strike]['total']
|
|
||||||
max_pain = s
|
|
||||||
|
|
||||||
return {
|
|
||||||
'timestamp': timestamp,
|
|
||||||
'expiry_date': expiry_date,
|
|
||||||
'total_intrinsic_value': total_intrinsic_value,
|
|
||||||
'max_pain': max_pain,
|
|
||||||
}
|
|
||||||
|
|
||||||
async with get_client(
|
|
||||||
) as client:
|
|
||||||
instruments = await client.get_instruments(
|
|
||||||
expiry_date=expiry_date,
|
|
||||||
)
|
|
||||||
oi_by_strikes = client.get_strikes_dict(instruments)
|
|
||||||
|
|
||||||
async with maybe_open_oi_feed(
|
|
||||||
instruments,
|
|
||||||
) as oi_feed:
|
|
||||||
async for msg in oi_feed:
|
|
||||||
|
|
||||||
update_oi_by_strikes(msg)
|
|
||||||
if check_if_complete(oi_by_strikes):
|
|
||||||
if 'oi' == msg[0]:
|
|
||||||
timestamp = msg[1]['timestamp']
|
|
||||||
max_pain = get_max_pain(oi_by_strikes)
|
|
||||||
print('-----------------------------------------------')
|
|
||||||
print(f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}')
|
|
||||||
print(f'expiry_date: {max_pain['expiry_date']}')
|
|
||||||
print(f'max_pain: {max_pain['max_pain']}')
|
|
||||||
print(f'total intrinsic value: {max_pain['total_intrinsic_value']}')
|
|
||||||
print('-----------------------------------------------')
|
|
||||||
|
|
||||||
|
|
||||||
async def main():
|
|
||||||
|
|
||||||
async with tractor.open_nursery() as n:
|
|
||||||
|
|
||||||
p: tractor.Portal = await n.start_actor(
|
|
||||||
'max_pain_daemon',
|
|
||||||
enable_modules=[__name__],
|
|
||||||
infect_asyncio=True,
|
|
||||||
)
|
|
||||||
await p.run(max_pain_daemon)
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
|
||||||
trio.run(main)
|
|
|
@ -52,14 +52,12 @@ from cryptofeed import FeedHandler
|
||||||
from cryptofeed.defines import (
|
from cryptofeed.defines import (
|
||||||
DERIBIT,
|
DERIBIT,
|
||||||
L1_BOOK, TRADES,
|
L1_BOOK, TRADES,
|
||||||
OPTION, CALL, PUT,
|
OPTION, CALL, PUT
|
||||||
OPEN_INTEREST,
|
|
||||||
)
|
)
|
||||||
from cryptofeed.symbols import Symbol
|
from cryptofeed.symbols import Symbol
|
||||||
from cryptofeed.types import (
|
from cryptofeed.types import (
|
||||||
L1Book,
|
L1Book,
|
||||||
Trade,
|
Trade,
|
||||||
OpenInterest,
|
|
||||||
)
|
)
|
||||||
from piker.brokers import SymbolNotFound
|
from piker.brokers import SymbolNotFound
|
||||||
from .venues import (
|
from .venues import (
|
||||||
|
@ -112,10 +110,6 @@ def deribit_timestamp(when: datetime) -> int:
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
def get_timestamp_int(expiry_date: str) -> int:
|
|
||||||
return int(time.mktime(time.strptime(expiry_date, '%d%b%y')))
|
|
||||||
|
|
||||||
|
|
||||||
def str_to_cb_sym(name: str) -> Symbol:
|
def str_to_cb_sym(name: str) -> Symbol:
|
||||||
base, strike_price, expiry_date, option_type = name.split('-')
|
base, strike_price, expiry_date, option_type = name.split('-')
|
||||||
|
|
||||||
|
@ -123,14 +117,13 @@ def str_to_cb_sym(name: str) -> Symbol:
|
||||||
|
|
||||||
if option_type == 'put':
|
if option_type == 'put':
|
||||||
option_type = PUT
|
option_type = PUT
|
||||||
elif option_type == 'call':
|
elif option_type == 'call':
|
||||||
option_type = CALL
|
option_type = CALL
|
||||||
else:
|
else:
|
||||||
raise Exception("Couldn\'t parse option type")
|
raise Exception("Couldn\'t parse option type")
|
||||||
|
|
||||||
new_expiry_date: int = get_timestamp_int(
|
new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
|
||||||
get_values_from_cb_normalized_date(expiry_date)
|
|
||||||
)
|
|
||||||
return Symbol(
|
return Symbol(
|
||||||
base=base,
|
base=base,
|
||||||
quote=quote,
|
quote=quote,
|
||||||
|
@ -150,12 +143,11 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
|
||||||
)= tuple(
|
)= tuple(
|
||||||
name.upper().split('-'))
|
name.upper().split('-'))
|
||||||
|
|
||||||
new_expiry_date = get_timestamp_int(expiry_date)
|
|
||||||
quote: str = base
|
quote: str = base
|
||||||
|
|
||||||
if option_type == 'P' or option_type == 'PUT':
|
if option_type == 'P':
|
||||||
option_type = PUT
|
option_type = PUT
|
||||||
elif option_type == 'C' or option_type == 'CALL':
|
elif option_type == 'C':
|
||||||
option_type = CALL
|
option_type = CALL
|
||||||
else:
|
else:
|
||||||
raise Exception("Couldn\'t parse option type")
|
raise Exception("Couldn\'t parse option type")
|
||||||
|
@ -166,7 +158,7 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
|
||||||
type=OPTION,
|
type=OPTION,
|
||||||
strike_price=strike_price,
|
strike_price=strike_price,
|
||||||
option_type=option_type,
|
option_type=option_type,
|
||||||
expiry_date=new_expiry_date
|
expiry_date=expiry_date
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
|
@ -234,18 +226,16 @@ def get_config() -> dict[str, Any]:
|
||||||
)
|
)
|
||||||
|
|
||||||
conf_option = section.get('option', {})
|
conf_option = section.get('option', {})
|
||||||
conf_log = conf_option.get('log', {})
|
section.clear # clear the dict to reuse it
|
||||||
return {
|
section['deribit'] = {}
|
||||||
'deribit': {
|
section['deribit']['key_id'] = conf_option.get('api_key')
|
||||||
'key_id': conf_option['key_id'],
|
section['deribit']['key_secret'] = conf_option.get('api_secret')
|
||||||
'key_secret': conf_option['key_secret'],
|
|
||||||
},
|
section['log'] = {}
|
||||||
'log': {
|
section['log']['filename'] = 'feedhandler.log'
|
||||||
'filename': conf_log['filename'],
|
section['log']['level'] = 'DEBUG'
|
||||||
'level': conf_log['level'],
|
|
||||||
'disabled': conf_log['disabled'],
|
return section
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
class Client:
|
class Client:
|
||||||
|
@ -321,20 +311,6 @@ class Client:
|
||||||
|
|
||||||
return balances
|
return balances
|
||||||
|
|
||||||
async def get_currencies(
|
|
||||||
self,
|
|
||||||
|
|
||||||
) -> list[dict]:
|
|
||||||
'''
|
|
||||||
Return the set of currencies for deribit.
|
|
||||||
'''
|
|
||||||
assets = {}
|
|
||||||
resp = await self._json_rpc_auth_wrapper(
|
|
||||||
'public/get_currencies',
|
|
||||||
params={}
|
|
||||||
)
|
|
||||||
return resp.result
|
|
||||||
|
|
||||||
async def get_assets(
|
async def get_assets(
|
||||||
self,
|
self,
|
||||||
venue: str | None = None,
|
venue: str | None = None,
|
||||||
|
@ -347,7 +323,11 @@ class Client:
|
||||||
|
|
||||||
'''
|
'''
|
||||||
assets = {}
|
assets = {}
|
||||||
currencies = await self.get_currencies()
|
resp = await self._json_rpc_auth_wrapper(
|
||||||
|
'public/get_currencies',
|
||||||
|
params={}
|
||||||
|
)
|
||||||
|
currencies: list[dict] = resp.result
|
||||||
for currency in currencies:
|
for currency in currencies:
|
||||||
name: str = currency['currency']
|
name: str = currency['currency']
|
||||||
tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
|
tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
|
||||||
|
@ -379,82 +359,6 @@ class Client:
|
||||||
|
|
||||||
return flat
|
return flat
|
||||||
|
|
||||||
async def get_instruments(
|
|
||||||
self,
|
|
||||||
currency: str = 'btc',
|
|
||||||
kind: str = 'option',
|
|
||||||
expired: bool = False,
|
|
||||||
expiry_date: str = None,
|
|
||||||
|
|
||||||
) -> list[Symbol]:
|
|
||||||
"""
|
|
||||||
Get instruments for cryptoFeed.FeedHandler.
|
|
||||||
"""
|
|
||||||
params: dict[str, str] = {
|
|
||||||
'currency': currency.upper(),
|
|
||||||
'kind': kind,
|
|
||||||
'expired': expired,
|
|
||||||
}
|
|
||||||
|
|
||||||
r: JSONRPCResult = await self._json_rpc_auth_wrapper(
|
|
||||||
'public/get_instruments',
|
|
||||||
params,
|
|
||||||
)
|
|
||||||
resp = r.result
|
|
||||||
response_list = []
|
|
||||||
|
|
||||||
for i in range(len(resp)):
|
|
||||||
element = resp[i]
|
|
||||||
name = f'{element["instrument_name"].split("-")[1]}'
|
|
||||||
if not expiry_date or name == expiry_date.upper():
|
|
||||||
response_list.append(piker_sym_to_cb_sym(element['instrument_name']))
|
|
||||||
|
|
||||||
return response_list
|
|
||||||
|
|
||||||
async def get_expiration_dates(
|
|
||||||
self,
|
|
||||||
currency: str = 'btc',
|
|
||||||
kind: str = 'option',
|
|
||||||
|
|
||||||
) -> list[str]:
|
|
||||||
"""
|
|
||||||
Get a dict with all expiration dates listed as value and currency as key.
|
|
||||||
"""
|
|
||||||
|
|
||||||
params: dict[str, str] = {
|
|
||||||
'currency': currency.upper(),
|
|
||||||
'kind': kind,
|
|
||||||
}
|
|
||||||
|
|
||||||
r: JSONRPCResult = await self._json_rpc_auth_wrapper(
|
|
||||||
'public/get_expirations',
|
|
||||||
params,
|
|
||||||
)
|
|
||||||
resp = r.result
|
|
||||||
|
|
||||||
return resp[currency][kind]
|
|
||||||
|
|
||||||
def get_strikes_dict(
|
|
||||||
self,
|
|
||||||
instruments: list[Symbol],
|
|
||||||
|
|
||||||
) -> dict[str, dict[str, Decimal | None]]:
|
|
||||||
"""
|
|
||||||
Get a dict with strike prices as keys.
|
|
||||||
"""
|
|
||||||
|
|
||||||
response: dict[str, dict[str, Decimal | None]] = {}
|
|
||||||
|
|
||||||
for i in range(len(instruments)):
|
|
||||||
element = instruments[i]
|
|
||||||
strike = f'{str(element).split('-')[1]}'
|
|
||||||
response[f'{strike}'] = {
|
|
||||||
'C': None,
|
|
||||||
'P': None,
|
|
||||||
}
|
|
||||||
|
|
||||||
return response
|
|
||||||
|
|
||||||
async def submit_limit(
|
async def submit_limit(
|
||||||
self,
|
self,
|
||||||
symbol: str,
|
symbol: str,
|
||||||
|
@ -834,116 +738,6 @@ async def maybe_open_price_feed(
|
||||||
yield feed
|
yield feed
|
||||||
|
|
||||||
|
|
||||||
async def aio_open_interest_feed_relay(
|
|
||||||
fh: FeedHandler,
|
|
||||||
instruments: list[Symbol],
|
|
||||||
from_trio: asyncio.Queue,
|
|
||||||
to_trio: trio.abc.SendChannel,
|
|
||||||
) -> None:
|
|
||||||
async def _trade(
|
|
||||||
trade: Trade, # cryptofeed, NOT ours from `.venues`!
|
|
||||||
receipt_timestamp: int,
|
|
||||||
) -> None:
|
|
||||||
'''
|
|
||||||
Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side.
|
|
||||||
|
|
||||||
'''
|
|
||||||
to_trio.send_nowait(('trade', trade))
|
|
||||||
|
|
||||||
# trade and oi are user defined functions that
|
|
||||||
# will be called when trade and open interest updates are received
|
|
||||||
# data type is not dict, is an object: cryptofeed.types.OpenINterest
|
|
||||||
async def _oi(
|
|
||||||
oi: OpenInterest,
|
|
||||||
receipt_timestamp: int,
|
|
||||||
) -> None:
|
|
||||||
'''
|
|
||||||
Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
|
|
||||||
|
|
||||||
'''
|
|
||||||
symbol: Symbol = str_to_cb_sym(oi.symbol)
|
|
||||||
piker_sym: str = cb_sym_to_deribit_inst(symbol)
|
|
||||||
(
|
|
||||||
base,
|
|
||||||
expiry_date,
|
|
||||||
strike_price,
|
|
||||||
option_type
|
|
||||||
) = tuple(
|
|
||||||
piker_sym.split('-')
|
|
||||||
)
|
|
||||||
msg = {
|
|
||||||
'timestamp': oi.timestamp,
|
|
||||||
'strike_price': strike_price,
|
|
||||||
'option_type': option_type,
|
|
||||||
'open_interest': Decimal(oi.open_interest),
|
|
||||||
}
|
|
||||||
to_trio.send_nowait(('oi', msg))
|
|
||||||
|
|
||||||
|
|
||||||
channels = [TRADES, OPEN_INTEREST]
|
|
||||||
callbacks={TRADES: _trade, OPEN_INTEREST: _oi}
|
|
||||||
|
|
||||||
fh.add_feed(
|
|
||||||
DERIBIT,
|
|
||||||
channels=channels,
|
|
||||||
symbols=instruments,
|
|
||||||
callbacks=callbacks
|
|
||||||
)
|
|
||||||
|
|
||||||
if not fh.running:
|
|
||||||
fh.run(
|
|
||||||
start_loop=False,
|
|
||||||
install_signal_handlers=False
|
|
||||||
)
|
|
||||||
|
|
||||||
# sync with trio
|
|
||||||
to_trio.send_nowait(None)
|
|
||||||
|
|
||||||
# run until cancelled
|
|
||||||
await asyncio.sleep(float('inf'))
|
|
||||||
|
|
||||||
|
|
||||||
@acm
|
|
||||||
async def open_oi_feed(
|
|
||||||
instruments: list[Symbol],
|
|
||||||
) -> to_asyncio.LinkedTaskChannel:
|
|
||||||
|
|
||||||
fh: FeedHandler
|
|
||||||
first: None
|
|
||||||
chan: to_asyncio.LinkedTaskChannel
|
|
||||||
async with (
|
|
||||||
maybe_open_feed_handler() as fh,
|
|
||||||
to_asyncio.open_channel_from(
|
|
||||||
partial(
|
|
||||||
aio_open_interest_feed_relay,
|
|
||||||
fh,
|
|
||||||
instruments,
|
|
||||||
)
|
|
||||||
) as (first, chan)
|
|
||||||
):
|
|
||||||
yield chan
|
|
||||||
|
|
||||||
|
|
||||||
@acm
|
|
||||||
async def maybe_open_oi_feed(
|
|
||||||
instruments: list[Symbol],
|
|
||||||
) -> trio.abc.ReceiveStream:
|
|
||||||
|
|
||||||
# TODO: add a predicate to maybe_open_context
|
|
||||||
feed: to_asyncio.LinkedTaskChannel
|
|
||||||
async with maybe_open_context(
|
|
||||||
acm_func=open_oi_feed,
|
|
||||||
kwargs={
|
|
||||||
'instruments': instruments
|
|
||||||
},
|
|
||||||
key=f'{instruments[0].base}',
|
|
||||||
|
|
||||||
) as (cache_hit, feed):
|
|
||||||
if cache_hit:
|
|
||||||
yield broadcast_receiver(feed, 10)
|
|
||||||
else:
|
|
||||||
yield feed
|
|
||||||
|
|
||||||
|
|
||||||
# TODO, move all to `.broker` submod!
|
# TODO, move all to `.broker` submod!
|
||||||
# async def aio_order_feed_relay(
|
# async def aio_order_feed_relay(
|
||||||
|
|
221
pyproject.toml
221
pyproject.toml
|
@ -15,8 +15,8 @@
|
||||||
# You should have received a copy of the GNU Affero General Public License
|
# You should have received a copy of the GNU Affero General Public License
|
||||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||||
[build-system]
|
[build-system]
|
||||||
requires = ["hatchling"]
|
requires = ["poetry-core"]
|
||||||
build-backend = "hatchling.build"
|
build-backend = "poetry.core.masonry.api"
|
||||||
|
|
||||||
# ------ - ------
|
# ------ - ------
|
||||||
|
|
||||||
|
@ -34,114 +34,119 @@ ignore = []
|
||||||
|
|
||||||
# ------ - ------
|
# ------ - ------
|
||||||
|
|
||||||
[project]
|
[tool.poetry]
|
||||||
name = "piker"
|
name = "piker"
|
||||||
version = "0.1.0a0dev0"
|
version = "0.1.0.alpha0.dev0"
|
||||||
description = "trading gear for hackers"
|
description = "trading gear for hackers"
|
||||||
authors = [{ name = "Tyler Goodlet", email = "goodboy_foss@protonmail.com" }]
|
authors = ["Tyler Goodlet <goodboy_foss@protonmail.com>"]
|
||||||
requires-python = ">=3.12, <3.13"
|
license = "AGPLv3"
|
||||||
license = "AGPL-3.0-or-later"
|
|
||||||
readme = "README.rst"
|
readme = "README.rst"
|
||||||
keywords = [
|
|
||||||
"async",
|
# ------ - ------
|
||||||
"trading",
|
|
||||||
"finance",
|
[tool.poetry.dependencies]
|
||||||
"quant",
|
async-generator = "^1.10"
|
||||||
"charting",
|
attrs = "^23.1.0"
|
||||||
|
bidict = "^0.22.1"
|
||||||
|
colorama = "^0.4.6"
|
||||||
|
colorlog = "^6.7.0"
|
||||||
|
ib-insync = "^0.9.86"
|
||||||
|
msgspec = "^0.18.6"
|
||||||
|
numba = "^0.59.0"
|
||||||
|
numpy = "^1.25"
|
||||||
|
polars = "^0.18.13"
|
||||||
|
pygments = "^2.16.1"
|
||||||
|
python = ">=3.11, <3.13"
|
||||||
|
rich = "^13.5.2"
|
||||||
|
# setuptools = "^68.0.0"
|
||||||
|
tomli = "^2.0.1"
|
||||||
|
tomli-w = "^1.0.0"
|
||||||
|
trio-util = "^0.7.0"
|
||||||
|
trio-websocket = "^0.10.3"
|
||||||
|
typer = "^0.9.0"
|
||||||
|
rapidfuzz = "^3.5.2"
|
||||||
|
pdbp = "^1.5.0"
|
||||||
|
trio = "^0.24"
|
||||||
|
pendulum = "^3.0.0"
|
||||||
|
httpx = "^0.27.0"
|
||||||
|
cryptofeed = "^2.4.0"
|
||||||
|
pyarrow = "^17.0.0"
|
||||||
|
|
||||||
|
tractor = {path = "../tractor", develop = true}
|
||||||
|
websockets = "12.0"
|
||||||
|
[tool.poetry.dependencies.asyncvnc]
|
||||||
|
git = 'https://github.com/pikers/asyncvnc.git'
|
||||||
|
branch = 'main'
|
||||||
|
|
||||||
|
[tool.poetry.dependencies.tomlkit]
|
||||||
|
develop = true
|
||||||
|
git = 'https://github.com/pikers/tomlkit.git'
|
||||||
|
branch = 'piker_pin'
|
||||||
|
# path = "../tomlkit/"
|
||||||
|
|
||||||
|
[tool.poetry.group.uis]
|
||||||
|
optional = true
|
||||||
|
[tool.poetry.group.uis.dependencies]
|
||||||
|
# https://python-poetry.org/docs/managing-dependencies/#dependency-groups
|
||||||
|
# TODO: make sure the levenshtein shit compiles on nix..
|
||||||
|
# rapidfuzz = {extras = ["speedup"], version = "^0.18.0"}
|
||||||
|
rapidfuzz = "^3.2.0"
|
||||||
|
qdarkstyle = ">=3.0.2"
|
||||||
|
pyqtgraph = { git = 'https://github.com/pikers/pyqtgraph.git' }
|
||||||
|
|
||||||
|
# ------ - ------
|
||||||
|
pyqt6 = "^6.7.0"
|
||||||
|
|
||||||
|
[tool.poetry.group.dev]
|
||||||
|
optional = true
|
||||||
|
[tool.poetry.group.dev.dependencies]
|
||||||
|
# testing / CI
|
||||||
|
pytest = "^6.0.0"
|
||||||
|
elasticsearch = "^8.9.0"
|
||||||
|
xonsh = "^0.14.2"
|
||||||
|
prompt-toolkit = "3.0.40"
|
||||||
|
cython = "^3.0.0"
|
||||||
|
greenback = "^1.1.1"
|
||||||
|
|
||||||
|
# console ehancements and eventually remote debugging
|
||||||
|
# extras/helpers.
|
||||||
|
# TODO: add a toolset that makes debugging a `pikerd` service
|
||||||
|
# (tree) easy to hack on directly using more or less the local env:
|
||||||
|
# - xonsh + xxh
|
||||||
|
# - rsyscall + pdbp
|
||||||
|
# - actor runtime control console like BEAM/OTP
|
||||||
|
|
||||||
|
# ------ - ------
|
||||||
|
|
||||||
|
# TODO: add an `--only daemon` group for running non-ui / pikerd
|
||||||
|
# service tree in distributed mode B)
|
||||||
|
# https://python-poetry.org/docs/managing-dependencies/#installing-group-dependencies
|
||||||
|
# [tool.poetry.group.daemon.dependencies]
|
||||||
|
|
||||||
|
[tool.poetry.scripts]
|
||||||
|
piker = 'piker.cli:cli'
|
||||||
|
pikerd = 'piker.cli:pikerd'
|
||||||
|
ledger = 'piker.accounting.cli:ledger'
|
||||||
|
|
||||||
|
|
||||||
|
[project]
|
||||||
|
keywords=[
|
||||||
|
"async",
|
||||||
|
"trading",
|
||||||
|
"finance",
|
||||||
|
"quant",
|
||||||
|
"charting",
|
||||||
]
|
]
|
||||||
classifiers = [
|
classifiers=[
|
||||||
"Development Status :: 3 - Alpha",
|
'Development Status :: 3 - Alpha',
|
||||||
"License :: OSI Approved :: GNU Affero General Public License v3 or later (AGPLv3+)",
|
"License :: OSI Approved :: GNU Affero General Public License v3 or later (AGPLv3+)",
|
||||||
"Operating System :: POSIX :: Linux",
|
'Operating System :: POSIX :: Linux',
|
||||||
"Programming Language :: Python :: Implementation :: CPython",
|
"Programming Language :: Python :: Implementation :: CPython",
|
||||||
"Programming Language :: Python :: 3 :: Only",
|
"Programming Language :: Python :: 3 :: Only",
|
||||||
"Programming Language :: Python :: 3.11",
|
"Programming Language :: Python :: 3.11",
|
||||||
"Programming Language :: Python :: 3.12",
|
"Programming Language :: Python :: 3.12",
|
||||||
"Intended Audience :: Financial and Insurance Industry",
|
'Intended Audience :: Financial and Insurance Industry',
|
||||||
"Intended Audience :: Science/Research",
|
'Intended Audience :: Science/Research',
|
||||||
"Intended Audience :: Developers",
|
'Intended Audience :: Developers',
|
||||||
"Intended Audience :: Education",
|
'Intended Audience :: Education',
|
||||||
]
|
]
|
||||||
dependencies = [
|
|
||||||
"async-generator >=1.10, <2.0.0",
|
|
||||||
"attrs >=23.1.0, <24.0.0",
|
|
||||||
"bidict >=0.22.1, <0.23.0",
|
|
||||||
"colorama >=0.4.6, <0.5.0",
|
|
||||||
"colorlog >=6.7.0, <7.0.0",
|
|
||||||
"ib-insync >=0.9.86, <0.10.0",
|
|
||||||
"numba >=0.59.0, <0.60.0",
|
|
||||||
"numpy >=1.25, <2.0",
|
|
||||||
"polars >=0.18.13, <0.19.0",
|
|
||||||
"pygments >=2.16.1, <3.0.0",
|
|
||||||
"rich >=13.5.2, <14.0.0",
|
|
||||||
"tomli >=2.0.1, <3.0.0",
|
|
||||||
"tomli-w >=1.0.0, <2.0.0",
|
|
||||||
"trio-util >=0.7.0, <0.8.0",
|
|
||||||
"trio-websocket >=0.10.3, <0.11.0",
|
|
||||||
"typer >=0.9.0, <1.0.0",
|
|
||||||
"rapidfuzz >=3.5.2, <4.0.0",
|
|
||||||
"pdbp >=1.5.0, <2.0.0",
|
|
||||||
"trio >=0.24, <0.25",
|
|
||||||
"pendulum >=3.0.0, <4.0.0",
|
|
||||||
"httpx >=0.27.0, <0.28.0",
|
|
||||||
"cryptofeed >=2.4.0, <3.0.0",
|
|
||||||
"pyarrow >=17.0.0, <18.0.0",
|
|
||||||
"websockets ==12.0",
|
|
||||||
"msgspec",
|
|
||||||
"tractor",
|
|
||||||
"asyncvnc",
|
|
||||||
"tomlkit",
|
|
||||||
]
|
|
||||||
|
|
||||||
[project.optional-dependencies]
|
|
||||||
uis = [
|
|
||||||
# https://docs.astral.sh/uv/concepts/projects/dependencies/#optional-dependencies
|
|
||||||
# TODO: make sure the levenshtein shit compiles on nix..
|
|
||||||
# rapidfuzz = {extras = ["speedup"], version = "^0.18.0"}
|
|
||||||
"rapidfuzz >=3.2.0, <4.0.0",
|
|
||||||
"qdarkstyle >=3.0.2, <4.0.0",
|
|
||||||
"pyqt6 >=6.7.0, <7.0.0",
|
|
||||||
"pyqtgraph",
|
|
||||||
|
|
||||||
# ------ - ------
|
|
||||||
|
|
||||||
# TODO: add an `--only daemon` group for running non-ui / pikerd
|
|
||||||
# service tree in distributed mode B)
|
|
||||||
# https://docs.astral.sh/uv/concepts/projects/dependencies/#optional-dependencies
|
|
||||||
# [project.optional-dependencies]
|
|
||||||
]
|
|
||||||
|
|
||||||
[dependency-groups]
|
|
||||||
dev = [
|
|
||||||
"pytest >=6.0.0, <7.0.0",
|
|
||||||
"elasticsearch >=8.9.0, <9.0.0",
|
|
||||||
"xonsh >=0.14.2, <0.15.0",
|
|
||||||
"prompt-toolkit ==3.0.40",
|
|
||||||
"cython >=3.0.0, <4.0.0",
|
|
||||||
"greenback >=1.1.1, <2.0.0",
|
|
||||||
# console ehancements and eventually remote debugging
|
|
||||||
# extras/helpers.
|
|
||||||
# TODO: add a toolset that makes debugging a `pikerd` service
|
|
||||||
# (tree) easy to hack on directly using more or less the local env:
|
|
||||||
# - xonsh + xxh
|
|
||||||
# - rsyscall + pdbp
|
|
||||||
# - actor runtime control console like BEAM/OTP
|
|
||||||
]
|
|
||||||
|
|
||||||
[project.scripts]
|
|
||||||
piker = "piker.cli:cli"
|
|
||||||
pikerd = "piker.cli:pikerd"
|
|
||||||
ledger = "piker.accounting.cli:ledger"
|
|
||||||
|
|
||||||
[tool.hatch.build.targets.sdist]
|
|
||||||
include = ["piker"]
|
|
||||||
|
|
||||||
[tool.hatch.build.targets.wheel]
|
|
||||||
include = ["piker"]
|
|
||||||
|
|
||||||
[tool.uv.sources]
|
|
||||||
pyqtgraph = { git = "https://github.com/pikers/pyqtgraph.git" }
|
|
||||||
asyncvnc = { git = "https://github.com/pikers/asyncvnc.git", branch = "main" }
|
|
||||||
tomlkit = { git = "https://github.com/pikers/tomlkit.git", branch ="piker_pin" }
|
|
||||||
msgspec = { git = "https://github.com/jcrist/msgspec.git" }
|
|
||||||
tractor = { path = "../tractor" }
|
|
||||||
|
|
Loading…
Reference in New Issue