Deribit api key changes introduce:

- `get_timestamp_int`: added this is the hack, so we can aboid use the custom deribit date format.

- `get_currencies`: added so we could get all deribit's available currencies.

- Also a couple of format fixes.

piker/brokers/deribit/api.py

@@ -28,6 +28,8 @@ from decimal import (
     Decimal,
 )
 from functools import partial
+from pathlib import Path
+from pprint import pformat
 import time
 from typing import (
     Any,
@@ -37,8 +39,6 @@ from typing import (
 
 from pendulum import now
 import trio
-from trio_typing import TaskStatus
-from rapidfuzz import process as fuzzy
 import numpy as np
 from tractor.trionics import (
     broadcast_receiver,
@@ -52,11 +52,16 @@ from cryptofeed import FeedHandler
 from cryptofeed.defines import (
     DERIBIT,
     L1_BOOK, TRADES,
-    OPTION, CALL, PUT
+    OPTION, CALL, PUT,
+    OPEN_INTEREST,
 )
 from cryptofeed.symbols import Symbol
-# types for managing the cb callbacks.
-# from cryptofeed.types import L1Book
+from cryptofeed.types import (
+    L1Book,
+    Trade,
+    OpenInterest,
+)
+from piker.brokers import SymbolNotFound
 from .venues import (
     _ws_url,
     MarketType,
@@ -64,9 +69,7 @@ from .venues import (
     Pair,
     OptionPair,
     JSONRPCResult,
-    JSONRPCChannel,
     KLinesResult,
-    Trade,
     LastTradesResult,
 )
 from piker.accounting import (
@@ -77,7 +80,7 @@ from piker.accounting import (
 from piker.data import (
     def_iohlcv_fields,
     match_from_pairs,
-    Struct,
+    # Struct,
 )
 from piker.data._web_bs import (
     open_jsonrpc_session
@@ -96,9 +99,21 @@ _spawn_kwargs = {
 }
 
 
-# convert datetime obj timestamp to unixtime in milliseconds
-def deribit_timestamp(when):
-    return int((when.timestamp() * 1000) + (when.microsecond / 1000))
+def deribit_timestamp(when: datetime) -> int:
+    '''
+    Convert conventional epoch timestamp, in secs, to unixtime in
+    milliseconds.
+
+    '''
+    return int(
+        (when.timestamp() * 1000)
+        +
+        (when.microsecond / 1000)
+    )
+
+
+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:
@@ -107,32 +122,40 @@ def str_to_cb_sym(name: str) -> Symbol:
     quote = base
 
     if option_type == 'put':
-        option_type = PUT 
-    elif option_type  == 'call':
+        option_type = PUT
+    elif option_type == 'call':
         option_type = CALL
     else:
         raise Exception("Couldn\'t parse option type")
 
-    new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
-
+    new_expiry_date: int = get_timestamp_int(
+        get_values_from_cb_normalized_date(expiry_date)
+    )
     return Symbol(
         base=base,
         quote=quote,
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=new_expiry_date)
+        expiry_date=new_expiry_date
+    )
 
 
 def piker_sym_to_cb_sym(name: str) -> Symbol:
-    base, expiry_date, strike_price, option_type = tuple(
+    (
+        base,
+        expiry_date,
+        strike_price,
+        option_type,
+    )= tuple(
         name.upper().split('-'))
 
-    quote = base
+    new_expiry_date = get_timestamp_int(expiry_date)
+    quote: str = base
 
-    if option_type == 'P':
-        option_type = PUT 
-    elif option_type == 'C':
+    if option_type == 'P' or option_type == 'PUT':
+        option_type = PUT
+    elif option_type == 'C' or option_type == 'CALL':
         option_type = CALL
     else:
         raise Exception("Couldn\'t parse option type")
@@ -143,14 +166,32 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=expiry_date)
+        expiry_date=new_expiry_date
+    )
 
 
-def cb_sym_to_deribit_inst(sym: Symbol):
+# TODO, instead can't we just lookup the `MktPair` directly
+# and pass it upward to `stream_quotes()`??
+def cb_sym_to_deribit_inst(sym: Symbol) -> str:
+    '''
+    Generate our own internal `str`-repr for a `cryptofeed.Symbol`
+    uniquely from its fields.
+
+    This is the equiv of generating a `Pair.fmqe` from `cryptofeed`
+    for now i suppose..?
+
+    '''
     new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
-    otype = 'C' if sym.option_type == CALL else 'P'
-
-    return f'{sym.base}-{new_expiry_date}-{sym.strike_price}-{otype}'
+    otype = (
+        'C' if sym.option_type == CALL
+        else 'P'
+    )
+    return (
+        f'{sym.base}-'
+        f'{new_expiry_date}-'
+        f'{sym.strike_price}-'
+        f'{otype}'
+    )
 
 
 def get_values_from_cb_normalized_date(expiry_date: str) -> str:
@@ -179,32 +220,39 @@ def get_config() -> dict[str, Any]:
 
     conf: dict
     path: Path
-
     conf, path = config.load(
         conf_name='brokers',
         touch_if_dne=True,
     )
-    section: dict = {}
-    section = conf.get('deribit')
+    section: dict|None = conf.get('deribit')
     if section is None:
-        log.warning(f'No config section found for deribit in {path}')
-        return {}
+        raise ValueError(
+            f'No `[deribit]` section found in\n'
+            f'{path!r}\n\n'
+            f'See the template config from the core repo for samples..\n'
+            # f'<TODO put repo link here??>'
+        )
 
     conf_option = section.get('option', {})
-    section.clear # clear the dict to reuse it
-    section['deribit'] = {}
-    section['deribit']['key_id'] = conf_option.get('api_key')
-    section['deribit']['key_secret'] = conf_option.get('api_secret')
-
-    section['log'] = {}
-    section['log']['filename'] = 'feedhandler.log'
-    section['log']['level'] = 'DEBUG'
-
-    return section
+    conf_log = conf_option.get('log', {})
+    return {
+        'deribit': {
+            'key_id': conf_option['key_id'],
+            'key_secret': conf_option['key_secret'],
+        },
+        'log': {
+            'filename': conf_log['filename'],
+            'level': conf_log['level'],
+            'disabled': conf_log['disabled'],
+        }
+    }
 
 
 class Client:
+    '''
+    Hi-level interface for the jsron-RPC over websocket API.
 
+    '''
     def __init__(
         self,
 
@@ -223,8 +271,12 @@ class Client:
         self._auth_ts = None
         self._auth_renew_ts = 5 # seconds to renew auth
 
-    async def _json_rpc_auth_wrapper(self, *args, **kwargs) -> JSONRPCResult:
-        
+    async def _json_rpc_auth_wrapper(
+        self,
+        *args,
+        **kwargs,
+    ) -> JSONRPCResult:
+
         """Background task that adquires a first access token and then will
         refresh the access token.
 
@@ -250,9 +302,6 @@ class Client:
 
         return await self.json_rpc(*args, **kwargs)
 
-
-
-
     async def get_balances(
         self,
         kind: str = 'option'
@@ -272,28 +321,44 @@ class Client:
 
         return balances
 
-    async def get_assets(
+    async def get_currencies(
         self,
-        venue: str | None = None,
 
-    ) -> dict[str, Asset]:
-        """Return the set of asset balances for this account
-        by symbol.
-        """
+    ) -> list[dict]:
+        '''
+        Return the set of currencies for deribit.
+        '''
         assets = {}
         resp = await self._json_rpc_auth_wrapper(
             'public/get_currencies',
             params={}
         )
-        currencies = resp.result
+        return resp.result
+
+    async def get_assets(
+        self,
+        venue: str | None = None,
+
+    ) -> dict[str, Asset]:
+        '''
+        Return the set of asset balances for this account
+        by (deribit's) symbol.
+
+
+        '''
+        assets = {}
+        currencies = await self.get_currencies()
         for currency in currencies:
-            name = currency['currency']
-            tx_tick = digits_to_dec(currency['fee_precision']) 
-            atype='crypto_currency'
+            name: str = currency['currency']
+            tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
+
+            # TODO, handling of options, futures, perps etc. more
+            # specifically with diff `.atype`s?
             assets[name] = Asset(
                 name=name,
-                atype=atype,
-                tx_tick=tx_tick)
+                atype='crypto_currency',
+                tx_tick=tx_tick,
+            )
 
             instruments = await self.symbol_info(currency=name)
             for instrument in instruments:
@@ -301,9 +366,10 @@ class Client:
                 assets[pair.symbol] = Asset(
                     name=pair.symbol,
                     atype=pair.venue,
-                    tx_tick=pair.size_tick)
+                    tx_tick=pair.size_tick,
+                )
 
-        return assets 
+        return assets
 
     async def get_mkt_pairs(self) -> dict[str, Pair]:
         flat: dict[str, Pair] = {}
@@ -358,6 +424,19 @@ class Client:
             return cached_pair
 
         if sym:
+            opt: OptionPair|None = pair_table.get(sym)
+            if not opt:
+                closest_matches: dict[str, Pair] = match_from_pairs(
+                    pairs=pair_table,
+                    query=sym,
+                    score_cutoff=40,
+                )
+                closest_syms: list[str] = list(closest_matches.keys())
+                raise ValueError(
+                    f'No contract found for {sym!r}\n\n'
+                    f'Closest {len(closest_syms)} available contracts:\n\n'
+                    f'{pformat(closest_syms)}\n'
+                )
             return pair_table[sym]
         else:
             return self._pairs
@@ -381,7 +460,7 @@ class Client:
         params: dict[str, str] = {
             'currency': currency.upper(),
             'kind': kind,
-            'expired': str(expired).lower()
+            'expired': expired,
         }
 
         resp: JSONRPCResult = await self._json_rpc_auth_wrapper(
@@ -389,9 +468,9 @@ class Client:
             params,
         )
         # convert to symbol-keyed table
-        pair_type: Type = PAIRTYPES[kind]
+        pair_type: Pair = PAIRTYPES[kind]
         results: list[dict] | None = resp.result
-        
+
         instruments: dict[str, Pair] = {}
         for item in results:
             symbol=item['instrument_name'].lower()
@@ -427,12 +506,15 @@ class Client:
         mkt_pairs = await self.symbol_info()
 
         if not mkt_pairs:
-            raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
+            raise SymbolNotFound(
+                f'No market pairs found!?:\n'
+                f'{mkt_pairs}'
+            )
 
         pairs_view_subtable: dict[str, Pair] = {}
 
         for instrument in mkt_pairs:
-            pair_type: Type = PAIRTYPES[venue]
+            pair_type: Pair|OptionPair = PAIRTYPES[venue]
 
             pair: Pair = pair_type(**mkt_pairs[instrument].to_dict())
 
@@ -480,12 +562,14 @@ class Client:
         if end_dt is None:
             end_dt = now('UTC')
 
+        _orig_start_dt = start_dt
         if start_dt is None:
             start_dt = end_dt.start_of(
-                'minute').subtract(minutes=limit)
+                'minute'
+            ).subtract(minutes=limit)
 
-        start_time = deribit_timestamp(start_dt)
-        end_time = deribit_timestamp(end_dt)
+        start_time: int = deribit_timestamp(start_dt)
+        end_time: int = deribit_timestamp(end_dt)
 
         # https://docs.deribit.com/#public-get_tradingview_chart_data
         resp = await self._json_rpc_auth_wrapper(
@@ -499,9 +583,13 @@ class Client:
 
         result = KLinesResult(**resp.result)
         new_bars: list[tuple] = []
-        for i in range(len(result.close)):
+        # if _orig_start_dt is None:
+        # if not new_bars:
+        #     import tractor
+        #     await tractor.pause()
 
-            row = [ 
+        for i in range(len(result.close)):
+            row = [
                 (start_time + (i * (60 * 1000))) / 1000.0,  # time
                 result.open[i],
                 result.high[i],
@@ -554,7 +642,7 @@ async def get_client(
 
 
 @acm
-async def open_feed_handler():
+async def open_feed_handler() -> FeedHandler:
     fh = FeedHandler(config=get_config())
     yield fh
     await to_asyncio.run_task(fh.stop_async)
@@ -575,43 +663,37 @@ async def aio_price_feed_relay(
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
-    async def _trade(data: dict, receipt_timestamp):
-        to_trio.send_nowait(('trade', {
-            'symbol': cb_sym_to_deribit_inst(
-                str_to_cb_sym(data.symbol)).lower(),
-            'last': data,
-            'broker_ts': time.time(),
-            'data': data.to_dict(),
-            'receipt': receipt_timestamp
-        }))
+    '''
+    Relay price feed quotes from the `cryptofeed.FeedHandler` to
+    the `piker`-side `trio.task` consumers for delivery to consumer
+    sub-actors for various subsystems.
+
+    '''
+    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))
+
+    async def _l1(
+        book: L1Book,
+        receipt_timestamp: int,
+    ) -> None:
+        '''
+        Relay-thru "l1 book" updates.
+
+        '''
+
+        to_trio.send_nowait(('l1', book))
+
+        # TODO, make this work!
+        # -[ ] why isn't this working in `tractor.pause_from_sync()`??
+        # breakpoint()
 
-    async def _l1(data: dict, receipt_timestamp):
-        to_trio.send_nowait(('l1', {
-            'symbol': cb_sym_to_deribit_inst(
-                str_to_cb_sym(data.symbol)).lower(),
-            'ticks': [
-                {
-                    'type': 'bid',
-                    'price': float(data.bid_price),
-                    'size': float(data.bid_size)
-                },
-                {
-                    'type': 'bsize',
-                    'price': float(data.bid_price),
-                    'size': float(data.bid_size)
-                },
-                {
-                    'type': 'ask',
-                    'price': float(data.ask_price),
-                    'size': float(data.ask_size)
-                },
-                {
-                    'type': 'asize',
-                    'price': float(data.ask_price),
-                    'size': float(data.ask_size)
-                }
-            ]
-        }))
     sym: Symbol = piker_sym_to_cb_sym(instrument)
     fh.add_feed(
         DERIBIT,
@@ -625,27 +707,35 @@ async def aio_price_feed_relay(
     if not fh.running:
         fh.run(
             start_loop=False,
-            install_signal_handlers=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_price_feed(
     instrument: str
-) -> trio.abc.ReceiveStream:
-    async with maybe_open_feed_handler() as fh:
-        async with to_asyncio.open_channel_from(
+) -> 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_price_feed_relay,
                 fh,
                 instrument
             )
-        ) as (first, chan):
-            yield chan
+        ) as (first, chan)
+    ):
+        yield chan
 
 
 @acm
@@ -654,6 +744,7 @@ async def maybe_open_price_feed(
 ) -> trio.abc.ReceiveStream:
 
     # TODO: add a predicate to maybe_open_context
+    feed: to_asyncio.LinkedTaskChannel
     async with maybe_open_context(
         acm_func=open_price_feed,
         kwargs={
@@ -668,68 +759,69 @@ async def maybe_open_price_feed(
 
 
 
-async def aio_order_feed_relay(
-    fh: FeedHandler,
-    instrument: Symbol,
-    from_trio: asyncio.Queue,
-    to_trio: trio.abc.SendChannel,
-) -> None:
-    async def _fill(data: dict, receipt_timestamp):
-        breakpoint()
+# TODO, move all to `.broker` submod!
+# async def aio_order_feed_relay(
+#     fh: FeedHandler,
+#     instrument: Symbol,
+#     from_trio: asyncio.Queue,
+#     to_trio: trio.abc.SendChannel,
+# ) -> None:
+#     async def _fill(data: dict, receipt_timestamp):
+#         breakpoint()
 
-    async def _order_info(data: dict, receipt_timestamp):
-        breakpoint()
+#     async def _order_info(data: dict, receipt_timestamp):
+#         breakpoint()
 
-    fh.add_feed(
-        DERIBIT,
-        channels=[FILLS, ORDER_INFO],
-        symbols=[instrument.upper()],
-        callbacks={
-            FILLS: _fill,
-            ORDER_INFO: _order_info,
-        })
+#     fh.add_feed(
+#         DERIBIT,
+#         channels=[FILLS, ORDER_INFO],
+#         symbols=[instrument.upper()],
+#         callbacks={
+#             FILLS: _fill,
+#             ORDER_INFO: _order_info,
+#         })
 
-    if not fh.running:
-        fh.run(
-            start_loop=False,
-            install_signal_handlers=False)
+#     if not fh.running:
+#         fh.run(
+#             start_loop=False,
+#             install_signal_handlers=False)
 
-    # sync with trio
-    to_trio.send_nowait(None)
+#     # sync with trio
+#     to_trio.send_nowait(None)
 
-    await asyncio.sleep(float('inf'))
+#     await asyncio.sleep(float('inf'))
 
 
-@acm
-async def open_order_feed(
-    instrument: list[str]
-) -> trio.abc.ReceiveStream:
-    async with maybe_open_feed_handler() as fh:
-        async with to_asyncio.open_channel_from(
-            partial(
-                aio_order_feed_relay,
-                fh,
-                instrument
-            )
-        ) as (first, chan):
-            yield chan
+# @acm
+# async def open_order_feed(
+#     instrument: list[str]
+# ) -> trio.abc.ReceiveStream:
+#     async with maybe_open_feed_handler() as fh:
+#         async with to_asyncio.open_channel_from(
+#             partial(
+#                 aio_order_feed_relay,
+#                 fh,
+#                 instrument
+#             )
+#         ) as (first, chan):
+#             yield chan
 
 
-@acm
-async def maybe_open_order_feed(
-    instrument: str
-) -> trio.abc.ReceiveStream:
+# @acm
+# async def maybe_open_order_feed(
+#     instrument: str
+# ) -> trio.abc.ReceiveStream:
 
-    # TODO: add a predicate to maybe_open_context
-    async with maybe_open_context(
-        acm_func=open_order_feed,
-        kwargs={
-            'instrument': instrument.split('.')[0],
-            'fh': fh
-        },
-        key=f'{instrument.split('.')[0]}-order',
-    ) as (cache_hit, feed):
-        if cache_hit:
-            yield broadcast_receiver(feed, 10)
-        else:
-            yield feed
+#     # TODO: add a predicate to maybe_open_context
+#     async with maybe_open_context(
+#         acm_func=open_order_feed,
+#         kwargs={
+#             'instrument': instrument.split('.')[0],
+#             'fh': fh
+#         },
+#         key=f'{instrument.split('.')[0]}-order',
+#     ) as (cache_hit, feed):
+#         if cache_hit:
+#             yield broadcast_receiver(feed, 10)
+#         else:
+#             yield feed

piker/brokers/deribit/feed.py

@@ -18,56 +18,58 @@
 Deribit backend.
 
 '''
+from __future__ import annotations
 from contextlib import asynccontextmanager as acm
 from datetime import datetime
-from typing import Any, Optional, Callable
-from pprint import pformat
+from typing import (
+    # Any,
+    # Optional,
+    Callable,
+)
+# from pprint import pformat
 import time
 
+import cryptofeed
 import trio
 from trio_typing import TaskStatus
 from pendulum import (
     from_timestamp,
-    now,
 )
-from rapidfuzz import process as fuzzy
 import numpy as np
 import tractor
 
 from piker.accounting import (
+    Asset,
     MktPair,
     unpack_fqme,
 )
 from piker.brokers import (
     open_cached_client,
     NoData,
+    DataUnavailable,
 )
 from piker._cacheables import (
     async_lifo_cache,
 )
-from piker.log import get_logger, get_console_log
-from piker.data import ShmArray
+from piker.log import (
+    get_logger,
+    mk_repr,
+)
 from piker.data.validate import FeedInit
-from piker.brokers._util import (
-    BrokerError,
-    DataUnavailable,
-)
 
-from cryptofeed import FeedHandler
-from cryptofeed.defines import (
-    DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
-)
-from cryptofeed.symbols import Symbol
 
 from .api import (
-    Client, Trade,
-    get_config,
-    piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
+    Client,
+    # get_config,
+    piker_sym_to_cb_sym,
+    cb_sym_to_deribit_inst,
+    str_to_cb_sym,
     maybe_open_price_feed
 )
 from .venues import (
     Pair,
     OptionPair,
+    Trade,
 )
 
 _spawn_kwargs = {
@@ -86,6 +88,10 @@ async def open_history_client(
     # TODO implement history getter for the new storage layer.
     async with open_cached_client('deribit') as client:
 
+        pair: OptionPair = client._pairs[mkt.dst.name]
+        # XXX NOTE, the cuckers use ms !!!
+        creation_time_s: int = pair.creation_timestamp/1000
+
         async def get_ohlc(
             timeframe: float,
             end_dt: datetime | None = None,
@@ -105,6 +111,31 @@ async def open_history_client(
                 end_dt=end_dt,
             )
             if len(array) == 0:
+                if (
+                    end_dt is None
+                ):
+                    raise DataUnavailable(
+                        'No history seems to exist yet?\n\n'
+                        f'{mkt}'
+                    )
+                elif (
+                    end_dt
+                    and
+                    end_dt.timestamp() < creation_time_s
+                ):
+                    # the contract can't have history
+                    # before it was created.
+                    pair_type_str: str = type(pair).__name__
+                    create_dt: datetime = from_timestamp(creation_time_s)
+                    raise DataUnavailable(
+                        f'No history prior to\n'
+                        f'`{pair_type_str}.creation_timestamp: int = '
+                        f'{pair.creation_timestamp}\n\n'
+                        f'------ deribit sux ------\n'
+                        f'WHICH IN "NORMAL PEOPLE WHO USE EPOCH TIME" form is,\n'
+                        f'creation_time_s: {creation_time_s}\n'
+                        f'create_dt: {create_dt}\n'
+                    )
                 raise NoData(
                     f'No frame for {start_dt} -> {end_dt}\n'
                 )
@@ -126,14 +157,20 @@ async def open_history_client(
 
             return array, start_dt, end_dt
 
-        yield get_ohlc, {'erlangs': 3, 'rate': 3}
+        yield (
+            get_ohlc,
+            {  # backfill config
+                'erlangs': 3,
+                'rate': 3,
+            }
+        )
 
 
 @async_lifo_cache()
 async def get_mkt_info(
     fqme: str,
 
-) -> tuple[MktPair, Pair] | None:
+) -> tuple[MktPair, Pair|OptionPair] | None:
 
     # uppercase since kraken bs_mktid is always upper
     if 'deribit' not in fqme.lower():
@@ -149,7 +186,7 @@ async def get_mkt_info(
     # returns, always!
     expiry: str = expiry.upper()
     venue: str = venue.upper()
-    venue_lower: str = venue.lower()
+    # venue_lower: str = venue.lower()
 
     mkt_mode: str = 'option'
 
@@ -175,64 +212,88 @@ async def get_mkt_info(
             price_tick=pair.price_tick,
             size_tick=pair.size_tick,
             bs_mktid=pair.symbol,
-            expiry=pair.expiry,
             venue=mkt_mode,
             broker='deribit',
             _atype=mkt_mode,
             _fqme_without_src=True,
+
+            # expiry=pair.expiry,
+            # XXX TODO, currently we don't use it since it's
+            # already "described" in the `OptionPair.symbol: str`
+            # and if we slap in the ISO repr it's kinda hideous..
+            # -[ ] figure out the best either std
         )
         return mkt, pair
 
 
 async def stream_quotes(
-
     send_chan: trio.abc.SendChannel,
     symbols: list[str],
     feed_is_live: trio.Event,
-    loglevel: str = None,
 
     # startup sync
     task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
 
 ) -> None:
-    # XXX: required to propagate ``tractor`` loglevel to piker logging
-    get_console_log(loglevel or tractor.current_actor().loglevel)
+    '''
+    Open a live quote stream for the market set defined by `symbols`.
 
+    Internally this starts a `cryptofeed.FeedHandler` inside an `asyncio`-side
+    task and relays through L1 and `Trade` msgs here to our `trio.Task`.
+
+    '''
     sym = symbols[0].split('.')[0]
-
     init_msgs: list[FeedInit] = []
 
+    # multiline nested `dict` formatter (since rn quote-msgs are
+    # just that).
+    pfmt: Callable[[str], str] = mk_repr(
+        # so we can see `deribit`'s delightfully mega-long bs fields..
+        maxstring=100,
+    )
+
     async with (
         open_cached_client('deribit') as client,
         send_chan as send_chan
     ):
-
+        mkt: MktPair
+        pair: Pair
         mkt, pair = await get_mkt_info(sym)
 
         # build out init msgs according to latest spec
         init_msgs.append(
-            FeedInit(mkt_info=mkt)
+            FeedInit(
+                mkt_info=mkt,
+            )
         )
-        nsym = piker_sym_to_cb_sym(sym)
+        # build `cryptofeed` feed-handle
+        cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym)
 
-        async with maybe_open_price_feed(sym) as stream:
+        from_cf: tractor.to_asyncio.LinkedTaskChannel
+        async with maybe_open_price_feed(sym) as from_cf:
 
-            cache = client._pairs
+            # load the "last trades" summary
+            last_trades_res: cryptofeed.LastTradesResult = await client.last_trades(
+                cb_sym_to_deribit_inst(cf_sym),
+                count=1,
+            )
+            last_trades: list[Trade] = last_trades_res.trades
 
-            last_trades = (await client.last_trades(
-                cb_sym_to_deribit_inst(nsym), count=1)).trades
+            # TODO, do we even need this or will the above always
+            # work?
+            # if not last_trades:
+            #     await tractor.pause()
+            #     async for typ, quote in from_cf:
+            #         if typ == 'trade':
+            #             last_trade = Trade(**(quote['data']))
+            #             break
 
-            if len(last_trades) == 0:
-                last_trade = None
-                async for typ, quote in stream:
-                    if typ == 'trade':
-                        last_trade = Trade(**(quote['data']))
-                        break
+            # else:
+            last_trade = Trade(
+                **(last_trades[0])
+            )
 
-            else:
-                last_trade = Trade(**(last_trades[0]))
-
-            first_quote = {
+            first_quote: dict = {
                 'symbol': sym,
                 'last': last_trade.price,
                 'brokerd_ts': last_trade.timestamp,
@@ -243,13 +304,84 @@ async def stream_quotes(
                     'broker_ts': last_trade.timestamp
                 }]
             }
-            task_status.started((init_msgs,  first_quote))
+            task_status.started((
+                init_msgs,
+                first_quote,
+            ))
 
             feed_is_live.set()
 
-            async for typ, quote in stream:
-                topic = quote['symbol']
-                await send_chan.send({topic: quote})
+            # NOTE XXX, static for now!
+            # => since this only handles ONE mkt feed at a time we
+            # don't need a lookup table to map interleaved quotes
+            # from multiple possible mkt-pairs
+            topic: str = mkt.bs_fqme
+
+            # deliver until cancelled
+            async for typ, ref in from_cf:
+                match typ:
+                    case 'trade':
+                        trade: cryptofeed.types.Trade = ref
+
+                        # TODO, re-impl this according to teh ideal
+                        # fqme for opts that we choose!!
+                        bs_fqme: str = cb_sym_to_deribit_inst(
+                            str_to_cb_sym(trade.symbol)
+                        ).lower()
+
+                        piker_quote: dict = {
+                            'symbol': bs_fqme,
+                            'last': trade.price,
+                            'broker_ts': time.time(),
+                            # ^TODO, name this `brokerd/datad_ts` and
+                            # use `time.time_ns()` ??
+                            'ticks': [{
+                                'type': 'trade',
+                                'price': float(trade.price),
+                                'size': float(trade.amount),
+                                'broker_ts': trade.timestamp,
+                            }],
+                        }
+                        log.info(
+                            f'deribit {typ!r} quote for {sym!r}\n\n'
+                            f'{trade}\n\n'
+                            f'{pfmt(piker_quote)}\n'
+                        )
+
+                    case 'l1':
+                        book: cryptofeed.types.L1Book = ref
+
+                        # TODO, so this is where we can possibly change things
+                        # and instead lever the `MktPair.bs_fqme: str` output?
+                        bs_fqme: str = cb_sym_to_deribit_inst(
+                            str_to_cb_sym(book.symbol)
+                        ).lower()
+
+                        piker_quote: dict = {
+                            'symbol': bs_fqme,
+                            'ticks': [
+
+                                {'type': 'bid',
+                                 'price': float(book.bid_price),
+                                 'size': float(book.bid_size)},
+
+                                {'type': 'bsize',
+                                 'price': float(book.bid_price),
+                                 'size': float(book.bid_size),},
+
+                                {'type': 'ask',
+                                 'price': float(book.ask_price),
+                                 'size': float(book.ask_size),},
+
+                                {'type': 'asize',
+                                 'price': float(book.ask_price),
+                                 'size': float(book.ask_size),}
+                            ]
+                        }
+
+                await send_chan.send({
+                    topic: piker_quote,
+                })
 
 
 @tractor.context
@@ -259,13 +391,13 @@ async def open_symbol_search(
     async with open_cached_client('deribit') as client:
 
         # load all symbols locally for fast search
-        cache = client._pairs
+        # cache = client._pairs
         await ctx.started()
 
         async with ctx.open_stream() as stream:
-
             pattern: str
             async for pattern in stream:
+
                 # NOTE: pattern fuzzy-matching is done within
                 # the methd impl.
                 pairs: dict[str, Pair] = await client.search_symbols(

piker/brokers/deribit/venues.py

@@ -22,11 +22,10 @@ from __future__ import annotations
 import pendulum
 from typing import (
     Literal,
+    Optional,
 )
 from decimal import Decimal
 
-from msgspec import field
-
 from piker.types import Struct
 
 
@@ -111,18 +110,21 @@ class OptionPair(Pair, frozen=True):
     block_trade_min_trade_amount: int # '25'
     block_trade_commission: float # '0.003'
 
-
     # NOTE: see `.data._symcache.SymbologyCache.load()` for why
     ns_path: str = 'piker.brokers.deribit:OptionPair'
 
+    # TODO, impl this without the MM:SS part of
+    # the `'THH:MM:SS..'` etc..
     @property
     def expiry(self) -> str:
-        iso_date = pendulum.from_timestamp(self.expiration_timestamp / 1000).isoformat()
+        iso_date = pendulum.from_timestamp(
+            self.expiration_timestamp / 1000
+        ).isoformat()
         return iso_date 
 
     @property
     def venue(self) -> str:
-        return 'option'
+        return f'{self.instrument_type}_option'
 
     @property
     def bs_fqme(self) -> str:
@@ -152,6 +154,7 @@ class JSONRPCResult(Struct):
     error: Optional[dict] = None
     result: Optional[list[dict]] = None
 
+
 class JSONRPCChannel(Struct):
     method: str
     params: dict
@@ -168,6 +171,7 @@ class KLinesResult(Struct):
     status: str
     volume: list[float]
 
+
 class Trade(Struct):
     iv: float
     price: float
@@ -186,6 +190,7 @@ class Trade(Struct):
     block_trade_id: Optional[str] = '',
     block_trade_leg_count: Optional[int] = 0,
 
+
 class LastTradesResult(Struct):
     trades: list[Trade]
     has_more: bool

piker/tsp/__init__.py

@@ -434,21 +434,32 @@ async def start_backfill(
                 # - some other unknown error (ib blocking the
                 #   history bc they don't want you seeing how they
                 #   cucked all the tinas..)
-                if dur := frame_types.get(timeframe):
-                    # decrement by a frame's worth of duration and
-                    # retry a few times.
-                    last_start_dt.subtract(
+                if (
+                    frame_types
+                    and
+                    (dur := frame_types.get(timeframe))
+                ):
+                    # decrement by a duration's (frame) worth of time
+                    # as maybe indicated by the backend to see if we
+                    # can get older data before this possible
+                    # "history gap".
+                    orig_last_start_dt = last_start_dt
+                    last_start_dt = last_start_dt.subtract(
                         seconds=dur.total_seconds()
                     )
                     log.warning(
                         f'{mod.name} -> EMPTY FRAME for end_dt?\n'
                         f'tf@fqme: {timeframe}@{mkt.fqme}\n'
-                        'bf_until <- last_start_dt:\n'
-                        f'{backfill_until_dt} <- {last_start_dt}\n'
-                        f'Decrementing `end_dt` by {dur} and retry..\n'
+                        f'Decrementing `end_dt` by {dur} and retry..\n\n'
+
+                        f'orig_last_start_dt: {orig_last_start_dt}\n'
+                        f'dur subtracted last_start_dt: {last_start_dt}\n'
+                        f'bf_until: {backfill_until_dt}\n'
                     )
                     continue
 
+                raise
+
             # broker says there never was or is no more history to pull
             except DataUnavailable:
                 log.warning(