Factor out ws msg hearbeat and error handling

Move the core ws message handling into `stream_messages()` and call that
from 2 new stream processors: `process_data_feed_msgs()` and
`process_order_msgs()`. Add comments for hints on how to implement the
order msg parsing as well as `pprint` received msgs to console for now.

config/brokers.toml

@@ -8,8 +8,8 @@ expires_at = 1616095326.355846
 
 [kraken]
 key_descr = "api_0"
-public_key = ""
+api_key = ""
-private_key = ""
+secret = ""
 
 [ib]
 host = "127.0.0.1"

piker/brokers/kraken.py

@@ -33,20 +33,24 @@ import tractor
 from pydantic.dataclasses import dataclass
 from pydantic import BaseModel
 import wsproto
+from itertools import count
 
 from .. import config
 from .._cacheables import open_cached_client
 from ._util import resproc, SymbolNotFound, BrokerError
 from ..log import get_logger, get_console_log
 from ..data import ShmArray
-from ..data._web_bs import open_autorecon_ws
+from ..data._web_bs import open_autorecon_ws, NoBsWs
-from ..clearing._messages import BrokerdPosition
+from ..clearing._messages import (
+    BrokerdPosition, BrokerdOrder, BrokerdStatus,
+    BrokerdOrderAck, BrokerdError, BrokerdCancel,
+    BrokerdFill,
+)
 
 import urllib.parse
 import hashlib
 import hmac
 import base64
-import pandas as pd
 
 
 log = get_logger(__name__)
@@ -138,6 +142,19 @@ class OHLC:
     ticks: List[Any] = field(default_factory=list)
 
 
+def get_config() -> dict[str, Any]:
+
+    conf, path = config.load()
+
+    section = conf.get('kraken')
+
+    if section is None:
+        log.warning(f'No config section found for kraken in {path}')
+        return {}
+
+    return section
+
+
 def get_kraken_signature(
     urlpath: str,
     data: Dict[str, Any],
@@ -170,6 +187,7 @@ class Client:
                 'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
         })
         self._pairs: list[str] = []
+        self._name = ''
         self._api_key = ''
         self._secret = ''
 
@@ -217,7 +235,7 @@ class Client:
         )
         return resproc(resp, log)
 
-    async def get_user_data(
+    async def kraken_endpoint(
         self,
         method: str,
         data: Dict[str, Any]
@@ -225,18 +243,17 @@ class Client:
         uri_path = f'/0/private/{method}'
         data['nonce'] = str(int(1000*time.time()))
         resp = await self._private(method, data, uri_path)
-        err = resp['error']
+        return resp
-        if err:
-            print(err)
-        return resp['result']
 
     async def get_positions(
         self,
         data: Dict[str, Any] = {}
     ) -> Dict[str, Any]:
-        balances = await self.get_user_data('Balance', data)
+        resp = await self.kraken_endpoint('Balance', data)
+        balances = resp['result']
         ## TODO: grab all entries, not just first 50
-        traders = await self.get_user_data('TradesHistory', data)
+        resp = await self.kraken_endpoint('TradesHistory', data)
+        traders = resp['result']
         positions = {}
         vols = {}
         
@@ -258,7 +275,46 @@ class Client:
             else:
                 positions[pair] /= asset_balance
 
-        return positions
+        return positions, vols
+
+    async def submit_limit(
+        self,
+        oid: str,
+        symbol: str,
+        price: float,
+        action: str,
+        size: float,
+#        account: str,
+        reqid: int = None,
+    ) -> int:
+        """Place an order and return integer request id provided by client.
+
+        """
+        # Build order data for kraken api
+        data = {
+            "userref": reqid,
+            "ordertype": "limit",
+            "type": action,
+            "volume": str(size),
+            "pair": symbol,
+            "price": str(price),
+            # set to True test AddOrder call without a real submission
+            "validate": False
+        }
+        resp = await self.kraken_endpoint('AddOrder', data)
+        return resp
+
+    async def submit_cancel(
+        self,
+        reqid: str,
+    ) -> None:
+        """Send cancel request for order id ``reqid``.
+
+        """
+        # txid is a transaction id given by kraken
+        data = {"txid": reqid}
+        resp = await self.kraken_endpoint('CancelOrder', data)
+        return resp
 
     async def symbol_info(
         self,
@@ -373,16 +429,15 @@ class Client:
 async def get_client() -> Client:
     client = Client()
 
-    conf, path = config.load()
+    ## TODO: maybe add conditional based on section
-    section = conf.get('kraken')
+    section = get_config()
+    client._name = section['key_descr']
     client._api_key = section['api_key']
     client._secret = section['secret']
-    data = {
+    ## TODO: Add a client attribute to hold this info
-        # add non-nonce and non-ofs vars
+    #data = {
-    }
+    #    # add non-nonce and non-ofs vars
-    # positions = await client.get_positions(data)
+    #}
-
-    # await tractor.breakpoint()
 
     # at startup, load all symbols locally for fast search
     await client.cache_symbols()
@@ -390,6 +445,166 @@ async def get_client() -> Client:
     yield client
 
 
+def pack_position(
+    acc: str,
+    symkey: str,
+    pos: float,
+    vol: float
+) -> dict[str, Any]:
+
+    return BrokerdPosition(
+        broker='kraken',
+        account=acc,
+        symbol=symkey,
+        currency=symkey[-3:],
+        size=float(vol),
+        avg_price=float(pos),
+    )
+
+
+def normalize_symbol(
+    ticker: str
+) -> str:
+    symlen = len(ticker)
+    if symlen == 6:
+        return ticker.lower()
+    else:
+        for sym in ['XXBT', 'XXMR', 'ZEUR']:
+            if sym in ticker:
+                ticker = ticker.replace(sym, sym[1:])
+        return ticker.lower()
+
+
+def make_auth_sub(data: Dict[str, Any]) -> Dict[str, str]:
+    """Create a request subscription packet dict.
+
+    ## TODO: point to the auth urls
+    https://docs.kraken.com/websockets/#message-subscribe
+
+    """
+    # eg. specific logic for this in kraken's sync client:
+    # https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
+    return {
+        'event': 'subscribe',
+        'subscription': data,
+    }
+
+
+async def handle_order_requests(
+
+        client: Client,
+        ems_order_stream: tractor.MsgStream,
+
+) -> None:
+
+    request_msg: dict
+    order: BrokerdOrder
+    userref_counter = count()
+    async for request_msg in ems_order_stream:
+        log.info(f'Received order request {request_msg}')
+
+        action = request_msg['action']
+
+        if action in {'buy', 'sell'}:
+
+            account = request_msg['account']
+            if account != 'kraken.spot':
+                log.error(
+                    'This is a kraken account, \
+                    only a `kraken.spot` selection is valid'
+                )
+                await ems_order_stream.send(BrokerdError(
+                    oid=request_msg['oid'],
+                    symbol=request_msg['symbol'],
+                    reason=f'Kraken only, No account found: `{account}` ?',
+                ).dict())
+                continue
+
+            # validate
+            temp_id = next(userref_counter)
+            order = BrokerdOrder(**request_msg)
+
+            # call our client api to submit the order
+            resp = await client.submit_limit(
+
+                oid=order.oid,
+                symbol=order.symbol,
+                price=order.price,
+                action=order.action,
+                size=order.size,
+                ## XXX: how do I handle new orders
+                reqid=temp_id,
+            )
+
+            err = resp['error']
+            if err:
+                log.error(f'Failed to submit order')
+                await ems_order_stream.send(
+                    BrokerdError(
+                        oid=order.oid,
+                        reqid=temp_id,
+                        symbol=order.symbol,
+                        reason="Failed order submission",
+                        broker_details=resp
+                    ).dict()
+                )
+            else:
+                ## TODO: handle multiple cancels
+                ##       txid is an array of strings
+                reqid = resp['result']['txid'][0]
+                # deliver ack that order has been submitted to broker routing
+                await ems_order_stream.send(
+                    BrokerdOrderAck(
+
+                        # ems order request id
+                        oid=order.oid,
+
+                        # broker specific request id
+                        reqid=reqid,
+
+                        # account the made the order
+                        account=order.account
+
+                    ).dict()
+                )
+
+        elif action == 'cancel':
+            msg = BrokerdCancel(**request_msg)
+
+            # Send order cancellation to kraken
+            resp = await client.submit_cancel(
+                reqid=msg.reqid
+            )
+
+            try:
+                # Check to make sure there was no error returned by
+                # the kraken endpoint. Assert one order was cancelled
+                assert resp['error'] == []
+                assert resp['result']['count'] == 1
+
+                ## TODO: Change this code using .get
+                try:
+                    pending = resp['result']['pending']
+                # Check to make sure the cancellation is NOT pending,
+                # then send the confirmation to the ems order stream
+                except KeyError:
+                    await ems_order_stream.send(
+                        BrokerdStatus(
+                            reqid=msg.reqid,
+                            account=msg.account,
+                            time_ns=time.time_ns(),
+                            status='cancelled',
+                            reason='Order cancelled',
+                            broker_details={'name': 'kraken'}
+                        ).dict()
+                    )
+            except AssertionError:
+                log.error(f'Order cancel was not successful')
+
+        else:
+            log.error(f'Unknown order command: {request_msg}')
+
+
 @tractor.context
 async def trades_dialogue(
     ctx: tractor.Context,
@@ -399,27 +614,99 @@ async def trades_dialogue(
     # XXX: required to propagate ``tractor`` loglevel to piker logging
     get_console_log(loglevel or tractor.current_actor().loglevel)
 
-    # deliver positions to subscriber before anything else
+    # Generate
-    # positions = await _trio_run_client_method(method='positions')
 
-    global _accounts2clients
+    @asynccontextmanager
+    async def subscribe(ws: wsproto.WSConnection, token: str):
+        ## TODO: Fix docs and points to right urls
+        # XXX: setup subs
+        # https://docs.kraken.com/websockets/#message-subscribe
+        # specific logic for this in kraken's shitty sync client:
+        # https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
+        trades_sub = make_auth_sub(
+            {'name': 'openOrders', 'token': token}
+        )
 
-    positions = await client.get_positions()
+        # TODO: we want to eventually allow unsubs which should
+        # be completely fine to request from a separate task
+        # since internally the ws methods appear to be FIFO
+        # locked.
+        await ws.send_msg(trades_sub)
 
-    await tractor.breakpoint()
+        ## trade data (aka L1)
+        #l1_sub = make_sub(
+        #    list(ws_pairs.values()),
+        #    {'name': 'spread'}  # 'depth': 10}
+        #)
+
+        ## pull a first quote and deliver
+        #await ws.send_msg(l1_sub)
+
+        yield
+
+        # unsub from all pairs on teardown
+        await ws.send_msg({
+            'event': 'unsubscribe',
+            'subscription': ['openOrders'],
+        })
+
+        # XXX: do we need to ack the unsub?
+        # await ws.recv_msg()
 
 
-    all_positions = {}
+    # Authenticated block
+    async with get_client() as client:
+        acc_name = 'kraken.' + client._name
+        positions, vols = await client.get_positions()
 
-    for pos in positions:
+        all_positions = []
-        msg = pack_position(pos)
-        all_positions[msg.symbol] = msg.dict()
 
-    await ctx.started(all_positions)
+        for ticker, pos in positions.items():
+            norm_sym = normalize_symbol(ticker)
+            if float(vols[ticker]) != 0:
+                msg = pack_position(acc_name, norm_sym, pos, vols[ticker])
+                all_positions.append(msg.dict())
+
+        open_orders = await client.kraken_endpoint('OpenOrders', {})
+        #await tractor.breakpoint()
+
+        await ctx.started((all_positions, (acc_name,)))
+
+        #await trio.sleep_forever()
+
+        # Get websocket token for authenticated data stream
+        # Assert that a token was actually received 
+        resp = await client.kraken_endpoint('GetWebSocketsToken', {})
+        assert resp['error'] == []
+        token = resp['result']['token']
+
+        async with (
+            ctx.open_stream() as ems_stream,
+            trio.open_nursery() as n,
+        ):
+            ## TODO: maybe add multiple accounts
+            n.start_soon(handle_order_requests, client, ems_stream)
+
+            async with open_autorecon_ws(
+                'wss://ws-auth.kraken.com/',
+                fixture=subscribe,
+                token=token,
+            ) as ws:
+                from pprint import pprint
+                async for msg in process_order_msgs(ws):
+                    pprint(msg)
 
 
-async def stream_messages(ws):
+async def stream_messages(
+    ws: NoBsWs,
+):
+    '''
+    Message stream parser and heartbeat handler.
 
+    Deliver ws subscription messages as well as handle heartbeat logic
+    though a single async generator.
+
+    '''
     too_slow_count = last_hb = 0
 
     while True:
@@ -457,39 +744,76 @@ async def stream_messages(ws):
             if err:
                 raise BrokerError(err)
         else:
-            chan_id, *payload_array, chan_name, pair = msg
+            yield msg
 
-            if 'ohlc' in chan_name:
 
-                yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
+async def process_data_feed_msgs(
+    ws: NoBsWs,
+):
+    '''
+    Parse and pack data feed messages.
 
-            elif 'spread' in chan_name:
+    '''
+    async for msg in stream_messages(ws):
 
-                bid, ask, ts, bsize, asize = map(float, payload_array[0])
+        chan_id, *payload_array, chan_name, pair = msg
 
-                # TODO: really makes you think IB has a horrible API...
+        if 'ohlc' in chan_name:
-                quote = {
-                    'symbol': pair.replace('/', ''),
-                    'ticks': [
-                        {'type': 'bid', 'price': bid, 'size': bsize},
-                        {'type': 'bsize', 'price': bid, 'size': bsize},
 
-                        {'type': 'ask', 'price': ask, 'size': asize},
+            yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
-                        {'type': 'asize', 'price': ask, 'size': asize},
-                    ],
-                }
-                yield 'l1', quote
 
-            # elif 'book' in msg[-2]:
+        elif 'spread' in chan_name:
-            #     chan_id, *payload_array, chan_name, pair = msg
-            #     print(msg)
 
-            else:
+            bid, ask, ts, bsize, asize = map(float, payload_array[0])
-                print(f'UNHANDLED MSG: {msg}')
+
+            # TODO: really makes you think IB has a horrible API...
+            quote = {
+                'symbol': pair.replace('/', ''),
+                'ticks': [
+                    {'type': 'bid', 'price': bid, 'size': bsize},
+                    {'type': 'bsize', 'price': bid, 'size': bsize},
+
+                    {'type': 'ask', 'price': ask, 'size': asize},
+                    {'type': 'asize', 'price': ask, 'size': asize},
+                ],
+            }
+            yield 'l1', quote
+
+        # elif 'book' in msg[-2]:
+        #     chan_id, *payload_array, chan_name, pair = msg
+        #     print(msg)
+
+        else:
+            print(f'UNHANDLED MSG: {msg}')
+            yield msg
+
+
+async def process_order_msgs(
+    ws: NoBsWs,
+):
+    '''
+    Parse and pack data feed messages.
+
+    '''
+    async for msg in stream_messages(ws):
+
+        # TODO: write your order event parser here!
+        # HINT: create a ``pydantic.BaseModel`` to parse and validate
+        # and then in the caller recast to our native ``BrokerdX`` msg types.
+
+        # form of order msgs:
+        # [{'OIZACU-HB2JZ-YA2QEF': {'lastupdated': '1644595511.768544',
+        #     'status': 'canceled', 'vol_exec': '0.00000000', 'cost':
+        #     '0.00000000', 'fee': '0.00000000', 'avg_price':
+        #     '0.00000000', 'userref': 1, 'cancel_reason': 'User
+        #     requested'}}], 'openOrders', {'sequence': 4}]
+
+        yield msg
 
 
 def normalize(
     ohlc: OHLC,
+
 ) -> dict:
     quote = asdict(ohlc)
     quote['broker_ts'] = quote['time']
@@ -629,15 +953,16 @@ async def stream_quotes(
             # XXX: do we need to ack the unsub?
             # await ws.recv_msg()
 
-        # see the tips on reonnection logic:
+        # see the tips on reconnection logic:
         # https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
+        ws: NoBsWs
         async with open_autorecon_ws(
             'wss://ws.kraken.com/',
             fixture=subscribe,
         ) as ws:
 
             # pull a first quote and deliver
-            msg_gen = stream_messages(ws)
+            msg_gen = process_data_feed_msgs(ws)
 
             # TODO: use ``anext()`` when it lands in 3.10!
             typ, ohlc_last = await msg_gen.__anext__()
@@ -696,6 +1021,7 @@ async def stream_quotes(
 @tractor.context
 async def open_symbol_search(
     ctx: tractor.Context,
+
 ) -> Client:
     async with open_cached_client('kraken') as client:
 

piker/clearing/_ems.py

@@ -493,7 +493,8 @@ async def open_brokerd_trades_dialogue(
         finally:
             # parent context must have been closed
             # remove from cache so next client will respawn if needed
-            _router.relays.pop(broker)
+            ## TODO: Maybe add a warning
+            _router.relays.pop(broker, None)
 
 
 @tractor.context

piker/clearing/_paper_engine.py

@@ -389,7 +389,7 @@ async def handle_order_requests(
             account = request_msg['account']
             if account != 'paper':
                 log.error(
-                    'On a paper account, only a `paper` selection is valid'
+                    'This is a paper account, only a `paper` selection is valid'
                 )
                 await ems_order_stream.send(BrokerdError(
                     oid=request_msg['oid'],
@@ -463,7 +463,8 @@ async def trades_dialogue(
     ):
         # TODO: load paper positions per broker from .toml config file
         # and pass as symbol to position data mapping: ``dict[str, dict]``
-        await ctx.started(({}, ['paper']))
+        # await ctx.started(all_positions)
+        await ctx.started(({}, {'paper',}))
 
         async with (
             ctx.open_stream() as ems_stream,

piker/data/_web_bs.py

@@ -53,11 +53,13 @@ class NoBsWs:
     def __init__(
         self,
         url: str,
+        token: str,
         stack: AsyncExitStack,
         fixture: Callable,
         serializer: ModuleType = json,
     ):
         self.url = url
+        self.token = token
         self.fixture = fixture
         self._stack = stack
         self._ws: 'WebSocketConnection' = None  # noqa
@@ -81,9 +83,15 @@ class NoBsWs:
                     trio_websocket.open_websocket_url(self.url)
                 )
                 # rerun user code fixture
-                ret = await self._stack.enter_async_context(
+                if self.token == '':
-                    self.fixture(self)
+                    ret = await self._stack.enter_async_context(
-                )
+                        self.fixture(self)
+                    )
+                else:
+                    ret = await self._stack.enter_async_context(
+                        self.fixture(self, self.token)
+                    )
+
                 assert ret is None
 
                 log.info(f'Connection success: {self.url}')
@@ -127,12 +135,14 @@ async def open_autorecon_ws(
 
     # TODO: proper type annot smh
     fixture: Callable,
+    # used for authenticated websockets
+    token: str = '',
 ) -> AsyncGenerator[tuple[...],  NoBsWs]:
     """Apparently we can QoS for all sorts of reasons..so catch em.
 
     """
     async with AsyncExitStack() as stack:
-        ws = NoBsWs(url, stack, fixture=fixture)
+        ws = NoBsWs(url, token, stack, fixture=fixture)
         await ws._connect()
 
         try: