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30fdf550d7
...
20a5ffdc2b
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@ -8,8 +8,8 @@ expires_at = 1616095326.355846
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[kraken]
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key_descr = "api_0"
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api_key = ""
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secret = ""
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public_key = ""
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private_key = ""
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[ib]
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host = "127.0.0.1"
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@ -33,24 +33,20 @@ import tractor
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from itertools import count
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from .. import config
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from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound, BrokerError
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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from ..clearing._messages import (
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BrokerdPosition, BrokerdOrder, BrokerdStatus,
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BrokerdOrderAck, BrokerdError, BrokerdCancel,
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BrokerdFill,
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)
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from ..data._web_bs import open_autorecon_ws
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from ..clearing._messages import BrokerdPosition
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import urllib.parse
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import hashlib
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import hmac
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import base64
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import pandas as pd
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log = get_logger(__name__)
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@ -142,19 +138,6 @@ class OHLC:
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ticks: List[Any] = field(default_factory=list)
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def get_config() -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get('kraken')
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if section is None:
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log.warning(f'No config section found for kraken in {path}')
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return {}
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return section
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def get_kraken_signature(
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urlpath: str,
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data: Dict[str, Any],
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@ -187,7 +170,6 @@ class Client:
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'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
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})
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self._pairs: list[str] = []
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self._name = ''
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self._api_key = ''
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self._secret = ''
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@ -235,7 +217,7 @@ class Client:
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)
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return resproc(resp, log)
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async def kraken_endpoint(
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async def get_user_data(
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self,
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method: str,
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data: Dict[str, Any]
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@ -243,17 +225,18 @@ class Client:
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uri_path = f'/0/private/{method}'
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data['nonce'] = str(int(1000*time.time()))
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resp = await self._private(method, data, uri_path)
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return resp
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err = resp['error']
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if err:
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print(err)
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return resp['result']
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async def get_positions(
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self,
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data: Dict[str, Any] = {}
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) -> Dict[str, Any]:
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resp = await self.kraken_endpoint('Balance', data)
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balances = resp['result']
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balances = await self.get_user_data('Balance', data)
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## TODO: grab all entries, not just first 50
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resp = await self.kraken_endpoint('TradesHistory', data)
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traders = resp['result']
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traders = await self.get_user_data('TradesHistory', data)
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positions = {}
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vols = {}
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@ -275,46 +258,7 @@ class Client:
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else:
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positions[pair] /= asset_balance
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return positions, vols
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async def submit_limit(
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self,
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oid: str,
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symbol: str,
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price: float,
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action: str,
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size: float,
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# account: str,
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reqid: int = None,
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) -> int:
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"""Place an order and return integer request id provided by client.
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"""
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# Build order data for kraken api
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data = {
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"userref": reqid,
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"ordertype": "limit",
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"type": action,
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"volume": str(size),
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"pair": symbol,
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"price": str(price),
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# set to True test AddOrder call without a real submission
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"validate": False
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}
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resp = await self.kraken_endpoint('AddOrder', data)
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return resp
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async def submit_cancel(
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self,
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reqid: str,
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) -> None:
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"""Send cancel request for order id ``reqid``.
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"""
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# txid is a transaction id given by kraken
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data = {"txid": reqid}
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resp = await self.kraken_endpoint('CancelOrder', data)
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return resp
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return positions
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async def symbol_info(
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self,
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@ -429,15 +373,16 @@ class Client:
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async def get_client() -> Client:
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client = Client()
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## TODO: maybe add conditional based on section
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section = get_config()
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client._name = section['key_descr']
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conf, path = config.load()
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section = conf.get('kraken')
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client._api_key = section['api_key']
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client._secret = section['secret']
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## TODO: Add a client attribute to hold this info
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#data = {
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# # add non-nonce and non-ofs vars
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#}
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data = {
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# add non-nonce and non-ofs vars
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}
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# positions = await client.get_positions(data)
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# await tractor.breakpoint()
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# at startup, load all symbols locally for fast search
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await client.cache_symbols()
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@ -445,166 +390,6 @@ async def get_client() -> Client:
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yield client
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def pack_position(
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acc: str,
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symkey: str,
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pos: float,
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vol: float
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) -> dict[str, Any]:
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return BrokerdPosition(
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broker='kraken',
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account=acc,
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symbol=symkey,
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currency=symkey[-3:],
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size=float(vol),
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avg_price=float(pos),
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)
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def normalize_symbol(
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ticker: str
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) -> str:
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symlen = len(ticker)
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if symlen == 6:
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return ticker.lower()
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else:
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for sym in ['XXBT', 'XXMR', 'ZEUR']:
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if sym in ticker:
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ticker = ticker.replace(sym, sym[1:])
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return ticker.lower()
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def make_auth_sub(data: Dict[str, Any]) -> Dict[str, str]:
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"""Create a request subscription packet dict.
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## TODO: point to the auth urls
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https://docs.kraken.com/websockets/#message-subscribe
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"""
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# eg. specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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'event': 'subscribe',
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'subscription': data,
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}
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async def handle_order_requests(
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client: Client,
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ems_order_stream: tractor.MsgStream,
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) -> None:
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request_msg: dict
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order: BrokerdOrder
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userref_counter = count()
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async for request_msg in ems_order_stream:
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log.info(f'Received order request {request_msg}')
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action = request_msg['action']
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if action in {'buy', 'sell'}:
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account = request_msg['account']
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if account != 'kraken.spot':
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log.error(
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'This is a kraken account, \
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only a `kraken.spot` selection is valid'
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)
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await ems_order_stream.send(BrokerdError(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'Kraken only, No account found: `{account}` ?',
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).dict())
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continue
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# validate
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temp_id = next(userref_counter)
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order = BrokerdOrder(**request_msg)
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# call our client api to submit the order
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resp = await client.submit_limit(
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oid=order.oid,
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symbol=order.symbol,
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price=order.price,
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action=order.action,
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size=order.size,
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## XXX: how do I handle new orders
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reqid=temp_id,
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)
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err = resp['error']
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if err:
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log.error(f'Failed to submit order')
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await ems_order_stream.send(
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BrokerdError(
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oid=order.oid,
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reqid=temp_id,
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symbol=order.symbol,
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reason="Failed order submission",
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broker_details=resp
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).dict()
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)
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else:
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## TODO: handle multiple cancels
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## txid is an array of strings
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reqid = resp['result']['txid'][0]
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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# account the made the order
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account=order.account
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).dict()
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)
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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# Send order cancellation to kraken
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resp = await client.submit_cancel(
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reqid=msg.reqid
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)
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try:
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# Check to make sure there was no error returned by
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# the kraken endpoint. Assert one order was cancelled
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assert resp['error'] == []
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assert resp['result']['count'] == 1
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## TODO: Change this code using .get
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try:
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pending = resp['result']['pending']
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# Check to make sure the cancellation is NOT pending,
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# then send the confirmation to the ems order stream
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except KeyError:
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await ems_order_stream.send(
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BrokerdStatus(
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reqid=msg.reqid,
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account=msg.account,
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time_ns=time.time_ns(),
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status='cancelled',
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reason='Order cancelled',
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broker_details={'name': 'kraken'}
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).dict()
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)
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except AssertionError:
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log.error(f'Order cancel was not successful')
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else:
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log.error(f'Unknown order command: {request_msg}')
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@tractor.context
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async def trades_dialogue(
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ctx: tractor.Context,
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@ -614,99 +399,27 @@ async def trades_dialogue(
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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# Generate
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# deliver positions to subscriber before anything else
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# positions = await _trio_run_client_method(method='positions')
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@asynccontextmanager
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async def subscribe(ws: wsproto.WSConnection, token: str):
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## TODO: Fix docs and points to right urls
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# XXX: setup subs
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# https://docs.kraken.com/websockets/#message-subscribe
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# specific logic for this in kraken's shitty sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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trades_sub = make_auth_sub(
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{'name': 'openOrders', 'token': token}
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)
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global _accounts2clients
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# TODO: we want to eventually allow unsubs which should
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# be completely fine to request from a separate task
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# since internally the ws methods appear to be FIFO
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# locked.
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await ws.send_msg(trades_sub)
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positions = await client.get_positions()
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## trade data (aka L1)
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#l1_sub = make_sub(
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# list(ws_pairs.values()),
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# {'name': 'spread'} # 'depth': 10}
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#)
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## pull a first quote and deliver
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#await ws.send_msg(l1_sub)
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yield
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# unsub from all pairs on teardown
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await ws.send_msg({
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'event': 'unsubscribe',
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'subscription': ['openOrders'],
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})
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# XXX: do we need to ack the unsub?
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# await ws.recv_msg()
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await tractor.breakpoint()
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# Authenticated block
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async with get_client() as client:
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acc_name = 'kraken.' + client._name
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positions, vols = await client.get_positions()
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all_positions = {}
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all_positions = []
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for pos in positions:
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msg = pack_position(pos)
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all_positions[msg.symbol] = msg.dict()
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|
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for ticker, pos in positions.items():
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norm_sym = normalize_symbol(ticker)
|
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if float(vols[ticker]) != 0:
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msg = pack_position(acc_name, norm_sym, pos, vols[ticker])
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all_positions.append(msg.dict())
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open_orders = await client.kraken_endpoint('OpenOrders', {})
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#await tractor.breakpoint()
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await ctx.started((all_positions, (acc_name,)))
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#await trio.sleep_forever()
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|
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# Get websocket token for authenticated data stream
|
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# Assert that a token was actually received
|
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resp = await client.kraken_endpoint('GetWebSocketsToken', {})
|
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assert resp['error'] == []
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token = resp['result']['token']
|
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|
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async with (
|
||||
ctx.open_stream() as ems_stream,
|
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trio.open_nursery() as n,
|
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):
|
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## TODO: maybe add multiple accounts
|
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n.start_soon(handle_order_requests, client, ems_stream)
|
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|
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async with open_autorecon_ws(
|
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'wss://ws-auth.kraken.com/',
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fixture=subscribe,
|
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token=token,
|
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) as ws:
|
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from pprint import pprint
|
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async for msg in process_order_msgs(ws):
|
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pprint(msg)
|
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await ctx.started(all_positions)
|
||||
|
||||
|
||||
async def stream_messages(
|
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ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Message stream parser and heartbeat handler.
|
||||
async def stream_messages(ws):
|
||||
|
||||
Deliver ws subscription messages as well as handle heartbeat logic
|
||||
though a single async generator.
|
||||
|
||||
'''
|
||||
too_slow_count = last_hb = 0
|
||||
|
||||
while True:
|
||||
|
@ -744,76 +457,39 @@ async def stream_messages(
|
|||
if err:
|
||||
raise BrokerError(err)
|
||||
else:
|
||||
yield msg
|
||||
chan_id, *payload_array, chan_name, pair = msg
|
||||
|
||||
if 'ohlc' in chan_name:
|
||||
|
||||
async def process_data_feed_msgs(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Parse and pack data feed messages.
|
||||
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
||||
|
||||
'''
|
||||
async for msg in stream_messages(ws):
|
||||
elif 'spread' in chan_name:
|
||||
|
||||
chan_id, *payload_array, chan_name, pair = msg
|
||||
bid, ask, ts, bsize, asize = map(float, payload_array[0])
|
||||
|
||||
if 'ohlc' in chan_name:
|
||||
# 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},
|
||||
|
||||
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
||||
{'type': 'ask', 'price': ask, 'size': asize},
|
||||
{'type': 'asize', 'price': ask, 'size': asize},
|
||||
],
|
||||
}
|
||||
yield 'l1', quote
|
||||
|
||||
elif 'spread' in chan_name:
|
||||
# elif 'book' in msg[-2]:
|
||||
# chan_id, *payload_array, chan_name, pair = msg
|
||||
# print(msg)
|
||||
|
||||
bid, ask, ts, bsize, asize = map(float, payload_array[0])
|
||||
|
||||
# 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
|
||||
else:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
|
||||
|
||||
def normalize(
|
||||
ohlc: OHLC,
|
||||
|
||||
) -> dict:
|
||||
quote = asdict(ohlc)
|
||||
quote['broker_ts'] = quote['time']
|
||||
|
@ -953,16 +629,15 @@ async def stream_quotes(
|
|||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
# see the tips on reconnection logic:
|
||||
# see the tips on reonnection 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 = process_data_feed_msgs(ws)
|
||||
msg_gen = stream_messages(ws)
|
||||
|
||||
# TODO: use ``anext()`` when it lands in 3.10!
|
||||
typ, ohlc_last = await msg_gen.__anext__()
|
||||
|
@ -1021,7 +696,6 @@ async def stream_quotes(
|
|||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> Client:
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
|
|
|
@ -493,8 +493,7 @@ async def open_brokerd_trades_dialogue(
|
|||
finally:
|
||||
# parent context must have been closed
|
||||
# remove from cache so next client will respawn if needed
|
||||
## TODO: Maybe add a warning
|
||||
_router.relays.pop(broker, None)
|
||||
_router.relays.pop(broker)
|
||||
|
||||
|
||||
@tractor.context
|
||||
|
|
|
@ -389,7 +389,7 @@ async def handle_order_requests(
|
|||
account = request_msg['account']
|
||||
if account != 'paper':
|
||||
log.error(
|
||||
'This is a paper account, only a `paper` selection is valid'
|
||||
'On a paper account, only a `paper` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
|
@ -463,8 +463,7 @@ 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(all_positions)
|
||||
await ctx.started(({}, {'paper',}))
|
||||
await ctx.started(({}, ['paper']))
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
|
|
|
@ -53,13 +53,11 @@ 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
|
||||
|
@ -83,15 +81,9 @@ class NoBsWs:
|
|||
trio_websocket.open_websocket_url(self.url)
|
||||
)
|
||||
# rerun user code fixture
|
||||
if self.token == '':
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self)
|
||||
)
|
||||
else:
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self, self.token)
|
||||
)
|
||||
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self)
|
||||
)
|
||||
assert ret is None
|
||||
|
||||
log.info(f'Connection success: {self.url}')
|
||||
|
@ -135,14 +127,12 @@ 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, token, stack, fixture=fixture)
|
||||
ws = NoBsWs(url, stack, fixture=fixture)
|
||||
await ws._connect()
|
||||
|
||||
try:
|
||||
|
|
Loading…
Reference in New Issue