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35 Commits

Author SHA1 Message Date
Nelson Torres 11f11e077b . Update uv docs in pyproject.toml
. Format fixes
. Add uv docs
2025-01-28 13:15:07 -03:00
Nelson Torres 41b334dfbf Restore missing data at pyproject.toml
Restore keywords and classifiers for the project
2025-01-28 13:15:07 -03:00
Nelson Torres 40c61a88b5 uv migration
Migrate to uv, use msgspec from git due to python 3.13 compatibility
2025-01-28 13:15:07 -03:00
Nelson Torres 34956b7e43 minor refactor
cleaning the code
2025-01-28 13:15:07 -03:00
Nelson Torres cbb2ca619d added aux method for update and check if completed 2025-01-28 13:15:07 -03:00
Nelson Torres 9547a90d93 datetime for humans 2025-01-28 13:15:07 -03:00
Nelson Torres 56f52f887b More configs refactor
Now in the broker config file are the log configs for cryptofeed.
2025-01-28 13:15:07 -03:00
Nelson Torres 92e1238d93 get_config refactor 2025-01-28 13:15:07 -03:00
Nelson Torres a8eb8d90eb major refactor
all the logic now in the max_pain script
2025-01-28 13:15:07 -03:00
Nelson Torres 990b065fa4 fix the input values
for acm related to oi
2025-01-28 13:15:07 -03:00
Nelson Torres 266e37f966 moved function out of api 2025-01-28 13:15:07 -03:00
Nelson Torres 4c8bdb77b9 removed unused variable
minor refactor
expiry date changed to 20DEC24
2025-01-28 13:15:07 -03:00
Nelson Torres efec1f7f08 Update api.py
Now intrinsic values list is initialize in the aio_open_interest_feed_relay instead in the scope above.
2025-01-28 13:15:07 -03:00
Nelson Torres d3a23c9f33 renaming variable
fixed variable name for better understanding.
2025-01-28 13:15:07 -03:00
Nelson Torres 754364bfb2 Update poetry.lock 2025-01-28 13:15:07 -03:00
Nelson Torres f63308ee50 oi max_pain major refactor
Now the max_pain is calculated taking into account all strike prices and all close prices to find the intrinsic value as deribit.
2025-01-28 13:15:07 -03:00
Nelson Torres 2ef5305533 auxiliar methods 2025-01-28 13:15:07 -03:00
Nelson Torres 49a49373d4 some refactor 2025-01-28 13:15:07 -03:00
Nelson Torres 6d8e503fd7 added first calcs for max_pain 2025-01-28 13:15:07 -03:00
Nelson Torres 4f08d591d7 deactivate cryptofeed debug log 2025-01-28 13:15:07 -03:00
Nelson Torres addfeb9c85 Update api.py
Now we get the data for an e specific expiration date if and expiry_date is passed, or for all expiration if expiry_date is None
2025-01-28 13:15:07 -03:00
Nelson Torres 28911afa79 Update api.py
open_interest for each strike price and each expiry date
2025-01-28 13:15:07 -03:00
Nelson Torres 8667dab2f4 Update api.py
get_currencies function
2025-01-28 13:15:07 -03:00
Nelson Torres 3fdffcd39d Update api.py
covers cases when option_type comes as PUT or P, same with calls CALL or C
2025-01-28 13:15:07 -03:00
Nelson Torres c30c48ff5c Update api.py
This function receive a date in this format DDMMMYY and returns timestamps int
2025-01-28 13:15:07 -03:00
Nelson Torres 325748931f max_pain_daemon 2025-01-28 13:15:07 -03:00
Nelson Torres bc1a815066 maybe_open_oi_feed 2025-01-28 13:15:07 -03:00
Nelson Torres 6035565171 open_oi_feed 2025-01-28 13:15:07 -03:00
Nelson Torres b42be0d98e aio_open_interest_feed_relay 2025-01-28 13:15:07 -03:00
Nelson Torres a805c41f0e get_instrumets for cryptofeed.FeedHandler 2025-01-28 13:15:07 -03:00
Nelson Torres faa64f1fab minor get_config fix 2025-01-28 13:15:07 -03:00
Nelson Torres 06caeb6dc7 OpenInterest imports for cryptofeed 2025-01-28 13:15:07 -03:00
Nelson Torres 5e0085d7c5 clean up 2025-01-28 13:00:32 -03:00
Nelson Torres 33cc0a5bc4 add qtbase to ld library path 2025-01-28 13:00:32 -03:00
Nelson Torres 41e9b016b9 necessary libraries for qt6 2025-01-28 13:00:32 -03:00
6 changed files with 2234 additions and 408 deletions

View File

@ -1,82 +1,130 @@
with (import <nixpkgs> {}); with (import <nixpkgs> {});
with python312Packages;
let let
glibStorePath = lib.getLib glib; glibStorePath = lib.getLib glib;
qtpyStorePath = lib.getLib qtpy; zstdStorePath = lib.getLib zstd;
pyqt6StorePath = lib.getLib pyqt6; dbusStorePath = lib.getLib dbus;
pyqt6SipStorePath = lib.getLib pyqt6-sip; libGLStorePath = lib.getLib libGL;
freetypeStorePath = lib.getLib freetype;
qt6baseStorePath = lib.getLib qt6.qtbase; qt6baseStorePath = lib.getLib qt6.qtbase;
rapidfuzzStorePath = lib.getLib rapidfuzz; fontconfigStorePath = lib.getLib fontconfig;
qdarkstyleStorePath = lib.getLib qdarkstyle; libxkbcommonStorePath = lib.getLib libxkbcommon;
xcbutilcursorStorePath = lib.getLib xcb-util-cursor;
qtpyStorePath = lib.getLib python312Packages.qtpy;
pyqt6StorePath = lib.getLib python312Packages.pyqt6;
pyqt6SipStorePath = lib.getLib python312Packages.pyqt6-sip;
rapidfuzzStorePath = lib.getLib python312Packages.rapidfuzz;
qdarkstyleStorePath = lib.getLib python312Packages.qdarkstyle;
xorgLibX11StorePath = lib.getLib xorg.libX11;
xorgLibxcbStorePath = lib.getLib xorg.libxcb;
xorgxcbutilwmStorePath = lib.getLib xorg.xcbutilwm;
xorgxcbutilimageStorePath = lib.getLib xorg.xcbutilimage;
xorgxcbutilerrorsStorePath = lib.getLib xorg.xcbutilerrors;
xorgxcbutilkeysymsStorePath = lib.getLib xorg.xcbutilkeysyms;
xorgxcbutilrenderutilStorePath = lib.getLib xorg.xcbutilrenderutil;
in in
stdenv.mkDerivation { stdenv.mkDerivation {
name = "piker-qt6-poetry-shell"; name = "piker-qt6-uv";
buildInputs = [ buildInputs = [
# System requirements. # System requirements.
glib glib
dbus
zstd
libGL
freetype
qt6.qtbase qt6.qtbase
libgcc.lib libgcc.lib
fontconfig
libxkbcommon
# Xorg requirements
xcb-util-cursor
xorg.libxcb
xorg.libX11
xorg.xcbutilwm
xorg.xcbutilimage
xorg.xcbutilerrors
xorg.xcbutilkeysyms
xorg.xcbutilrenderutil
# Python requirements. # Python requirements.
python312Full python312Full
poetry-core python312Packages.uv
qdarkstyle python312Packages.qdarkstyle
rapidfuzz python312Packages.rapidfuzz
pyqt6 python312Packages.pyqt6
qtpy python312Packages.qtpy
]; ];
src = null; src = null;
shellHook = '' shellHook = ''
set -e set -e
export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:${libgcc.lib}/lib:${glibStorePath}/lib
# Set the Qt plugin path # Set the Qt plugin path
# export QT_DEBUG_PLUGINS=1 # export QT_DEBUG_PLUGINS=1
QTBASE_PATH="${qt6baseStorePath}/lib"
QT_PLUGIN_PATH="$QTBASE_PATH/qt-6/plugins"
QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
QTBASE_PATH="${qt6baseStorePath}" LIB_GCC_PATH="${libgcc.lib}/lib"
echo "qtbase path: $QTBASE_PATH" GLIB_PATH="${glibStorePath}/lib"
echo "" ZSTD_PATH="${zstdStorePath}/lib"
export QT_PLUGIN_PATH="$QTBASE_PATH/lib/qt-6/plugins" DBUS_PATH="${dbusStorePath}/lib"
export QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms" LIBGL_PATH="${libGLStorePath}/lib"
echo "qt plugin path: $QT_PLUGIN_PATH" FREETYPE_PATH="${freetypeStorePath}/lib"
echo "" FONTCONFIG_PATH="${fontconfigStorePath}/lib"
LIB_XKB_COMMON_PATH="${libxkbcommonStorePath}/lib"
# Maybe create venv & install deps XCB_UTIL_CURSOR_PATH="${xcbutilcursorStorePath}/lib"
poetry install --with uis XORG_LIB_X11_PATH="${xorgLibX11StorePath}/lib"
XORG_LIB_XCB_PATH="${xorgLibxcbStorePath}/lib"
XORG_XCB_UTIL_IMAGE_PATH="${xorgxcbutilimageStorePath}/lib"
XORG_XCB_UTIL_WM_PATH="${xorgxcbutilwmStorePath}/lib"
XORG_XCB_UTIL_RENDER_UTIL_PATH="${xorgxcbutilrenderutilStorePath}/lib"
XORG_XCB_UTIL_KEYSYMS_PATH="${xorgxcbutilkeysymsStorePath}/lib"
XORG_XCB_UTIL_ERRORS_PATH="${xorgxcbutilerrorsStorePath}/lib"
# Use pyqt6 from System, patch activate script LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QTBASE_PATH"
ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_PLUGIN_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_QPA_PLATFORM_PLUGIN_PATH"
export RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_GCC_PATH"
export QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$DBUS_PATH"
export QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$GLIB_PATH"
export PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$ZSTD_PATH"
export PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIBGL_PATH"
echo "rapidfuzz at: $RPDFUZZ_PATH" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FONTCONFIG_PATH"
echo "qdarkstyle at: $QDRKSTYLE_PATH" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FREETYPE_PATH"
echo "qtpy at: $QTPY_PATH" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_XKB_COMMON_PATH"
echo "pyqt6 at: $PYQT6_PATH"
echo "pyqt6-sip at: $PYQT6_SIP_PATH"
echo ""
PATCH="export PYTHONPATH=\"" LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XCB_UTIL_CURSOR_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_X11_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_XCB_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_IMAGE_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_WM_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_RENDER_UTIL_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_KEYSYMS_PATH"
LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_ERRORS_PATH"
PATCH="$PATCH\$RPDFUZZ_PATH" export LD_LIBRARY_PATH
PATCH="$PATCH:\$QDRKSTYLE_PATH"
PATCH="$PATCH:\$QTPY_PATH"
PATCH="$PATCH:\$PYQT6_PATH"
PATCH="$PATCH:\$PYQT6_SIP_PATH"
PATCH="$PATCH\"" RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then PATCH="$PATCH:$RPDFUZZ_PATH"
echo "venv is already patched." PATCH="$PATCH:$QDRKSTYLE_PATH"
else PATCH="$PATCH:$QTPY_PATH"
echo "patching $ACTIVATE_SCRIPT_PATH to use pyqt6 from nixos..." PATCH="$PATCH:$PYQT6_PATH"
sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH PATCH="$PATCH:$PYQT6_SIP_PATH"
fi
export PATCH
# Install deps
uv lock
poetry shell
''; '';
} }

124
max_pain.py 100644
View File

@ -0,0 +1,124 @@
#!/usr/bin/env python
from decimal import (
Decimal,
)
import trio
import tractor
from datetime import datetime
from pprint import pformat
from piker.brokers.deribit.api import (
get_client,
maybe_open_oi_feed,
)
def check_if_complete(
oi: dict[str, dict[str, Decimal | None]]
) -> bool:
return all(
oi[strike]['C'] is not None
and
oi[strike]['P'] is not None for strike in oi
)
async def max_pain_daemon(
) -> None:
expiry_date: str = '13DEC24'
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)

View File

@ -52,12 +52,14 @@ 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 (
@ -110,6 +112,10 @@ 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('-')
@ -117,13 +123,14 @@ 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 = 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( return Symbol(
base=base, base=base,
quote=quote, quote=quote,
@ -143,11 +150,12 @@ 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': if option_type == 'P' or option_type == 'PUT':
option_type = PUT option_type = PUT
elif option_type == 'C': elif option_type == 'C' or 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")
@ -158,7 +166,7 @@ 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=expiry_date expiry_date=new_expiry_date
) )
@ -226,16 +234,18 @@ def get_config() -> dict[str, Any]:
) )
conf_option = section.get('option', {}) conf_option = section.get('option', {})
section.clear # clear the dict to reuse it conf_log = conf_option.get('log', {})
section['deribit'] = {} return {
section['deribit']['key_id'] = conf_option.get('api_key') 'deribit': {
section['deribit']['key_secret'] = conf_option.get('api_secret') 'key_id': conf_option['key_id'],
'key_secret': conf_option['key_secret'],
section['log'] = {} },
section['log']['filename'] = 'feedhandler.log' 'log': {
section['log']['level'] = 'DEBUG' 'filename': conf_log['filename'],
'level': conf_log['level'],
return section 'disabled': conf_log['disabled'],
}
}
class Client: class Client:
@ -311,6 +321,20 @@ 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,
@ -323,11 +347,7 @@ class Client:
''' '''
assets = {} assets = {}
resp = await self._json_rpc_auth_wrapper( currencies = await self.get_currencies()
'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'])
@ -359,6 +379,59 @@ 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
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,
@ -738,6 +811,116 @@ 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(

445
poetry.lock generated
View File

@ -173,7 +173,7 @@ name = "asyncvnc"
version = "1.1.0" version = "1.1.0"
description = "Asynchronous VNC for Python" description = "Asynchronous VNC for Python"
optional = false optional = false
python-versions = ">= 3.7" python-versions = ">=3.7"
files = [] files = []
develop = false develop = false
@ -1769,62 +1769,82 @@ test = ["cffi", "hypothesis", "pandas", "pytest", "pytz"]
[[package]] [[package]]
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optional = false optional = false
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[[package]] [[package]]
@ -2798,93 +2801,93 @@ test = ["pytest"]
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] ]
[package.dependencies] [package.dependencies]

View File

@ -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 = ["poetry-core"] requires = ["hatchling"]
build-backend = "poetry.core.masonry.api" build-backend = "hatchling.build"
# ------ - ------ # ------ - ------
@ -34,119 +34,114 @@ ignore = []
# ------ - ------ # ------ - ------
[tool.poetry]
name = "piker"
version = "0.1.0.alpha0.dev0"
description = "trading gear for hackers"
authors = ["Tyler Goodlet <goodboy_foss@protonmail.com>"]
license = "AGPLv3"
readme = "README.rst"
# ------ - ------
[tool.poetry.dependencies]
async-generator = "^1.10"
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] [project]
keywords=[ name = "piker"
"async", version = "0.1.0a0dev0"
"trading", description = "trading gear for hackers"
"finance", authors = [{ name = "Tyler Goodlet", email = "goodboy_foss@protonmail.com" }]
"quant", requires-python = ">=3.12, <3.13"
"charting", license = "AGPL-3.0-or-later"
readme = "README.rst"
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" }

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uv.lock 100644

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