data._web_bs: try to raise jsonrpc errors in parent task

piker/brokers/deribit/api.py

@@ -58,20 +58,13 @@ from cryptofeed.symbols import Symbol
 # types for managing the cb callbacks.
 # from cryptofeed.types import L1Book
 from .venues import (
-    _ws_url,
     MarketType,
     PAIRTYPES,
     Pair,
     OptionPair,
-    JSONRPCResult,
-    JSONRPCChannel,
-    KLinesResult,
-    Trade,
-    LastTradesResult,
 )
 from piker.accounting import (
     Asset,
-    digits_to_dec,
     MktPair,
 )
 from piker.data import (
@@ -96,6 +89,60 @@ _spawn_kwargs = {
 }
 
 
+_url = 'https://www.deribit.com'
+_ws_url = 'wss://www.deribit.com/ws/api/v2'
+_testnet_ws_url = 'wss://test.deribit.com/ws/api/v2'
+
+
+class JSONRPCResult(Struct):
+    id: int
+    usIn: int
+    usOut: int
+    usDiff: int
+    testnet: bool
+    jsonrpc: str = '2.0'
+    result: Optional[list[dict]] = None
+    error: Optional[dict] = None
+
+class JSONRPCChannel(Struct):
+    method: str
+    params: dict
+    jsonrpc: str = '2.0'
+
+
+class KLinesResult(Struct):
+    close: list[float]
+    cost: list[float]
+    high: list[float]
+    low: list[float]
+    open: list[float]
+    status: str
+    ticks: list[int]
+    volume: list[float]
+
+class Trade(Struct):
+    trade_seq: int
+    trade_id: str
+    timestamp: int
+    tick_direction: int
+    price: float
+    mark_price: float
+    iv: float
+    instrument_name: str
+    index_price: float
+    direction: str
+    contracts: float
+    amount: float
+    combo_trade_id: Optional[int] = 0,
+    combo_id: Optional[str] = '',
+    block_trade_leg_count: Optional[int] = 0,
+    block_trade_id: Optional[str] = '',
+
+class LastTradesResult(Struct):
+    trades: list[Trade]
+    has_more: bool
+
+
 # convert datetime obj timestamp to unixtime in milliseconds
 def deribit_timestamp(when):
     return int((when.timestamp() * 1000) + (when.microsecond / 1000))
@@ -186,22 +233,34 @@ def get_config() -> dict[str, Any]:
     )
     section: dict = {}
     section = conf.get('deribit')
-    if section is None:
-        log.warning(f'No config section found for deribit in {path}')
-        return {}
-
-    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'
+    section['log']['disabled'] = True
+
+    if section is None:
+        log.warning(f'No config section found for deribit in {path}')
+        return {}
 
     return section
 
+def get_fh_config() -> dict[str, Any]:
+    conf_option = get_config().get('option', {})
+    conf_log = get_config().get('log', {})
+
+    return {
+        'log': {
+            'filename': conf_log.get('filename'),
+            'level': conf_log.get('level'),
+            'disabled': conf_log.get('disabled')
+        },
+        'deribit': {
+            'key_id': conf_option.get('api_key'),
+            'key_secret': conf_option.get('api_secret')
+        }
+    }
+
 
 class Client:
 
@@ -213,45 +272,16 @@ class Client:
     ) -> None:
         self._pairs: ChainMap[str, Pair] = ChainMap()
 
-        config = get_config().get('deribit', {})
+        config = get_config().get('option', {})
 
-        self._key_id = config.get('key_id')
-        self._key_secret = config.get('key_secret')
+        self._key_id = config.get('api_key')
+        self._key_secret = config.get('api_secret')
 
         self.json_rpc = json_rpc
 
-        self._auth_ts = None
-        self._auth_renew_ts = 5 # seconds to renew auth
-
-    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.
-
-        https://docs.deribit.com/?python#authentication-2
-        """
-        access_scope = 'trade:read_write'
-        current_ts = time.time()
-
-        if not self._auth_ts or current_ts - self._auth_ts < self._auth_renew_ts:
-            # if we are close to token expiry time
-
-            params = {
-                'grant_type': 'client_credentials',
-                'client_id': self._key_id,
-                'client_secret': self._key_secret,
-                'scope': access_scope
-            }
-
-            resp = await self.json_rpc('public/auth', params)
-            result = resp.result
-
-            self._auth_ts = time.time() + result['expires_in']
-
-        return await self.json_rpc(*args, **kwargs)
-
-
-
+    @property
+    def currencies(self):
+        return ['btc', 'eth', 'sol', 'usd']
 
     async def get_balances(
         self,
@@ -263,7 +293,7 @@ class Client:
         balances = {}
 
         for currency in self.currencies:
-            resp = await self._json_rpc_auth_wrapper(
+            resp = await self.json_rpc(
                 'private/get_positions', params={
                     'currency': currency.upper(),
                     'kind': kind})
@@ -281,28 +311,21 @@ class Client:
         by symbol.
         """
         assets = {}
-        resp = await self._json_rpc_auth_wrapper(
-            'public/get_currencies',
-            params={}
+        resp = await self.json_rpc(
+            'private/get_account_summaries',
+            params={
+                'extended' : True
+            }
         )
-        currencies = resp.result
-        for currency in currencies:
-            name = currency['currency']
-            tx_tick = digits_to_dec(currency['fee_precision']) 
+        summaries = resp.result['summaries']
+        for summary in summaries:
+            currency = summary['currency']
+            tx_tick = Decimal('1e-08')
             atype='crypto_currency'
-            assets[name] = Asset(
-                name=name,
+            assets[currency] = Asset(
+                name=currency,
                 atype=atype,
                 tx_tick=tx_tick)
-
-            instruments = await self.symbol_info(currency=name)
-            for instrument in instruments:
-                pair = instruments[instrument]
-                assets[pair.symbol] = Asset(
-                    name=pair.symbol,
-                    atype=pair.venue,
-                    tx_tick=pair.size_tick)
-
         return assets 
 
     async def get_mkt_pairs(self) -> dict[str, Pair]:
@@ -328,7 +351,7 @@ class Client:
             'type': 'limit',
             'price': price,
         }
-        resp = await self._json_rpc_auth_wrapper(
+        resp = await self.json_rpc(
             f'private/{action}', params)
 
         return resp.result
@@ -336,7 +359,7 @@ class Client:
     async def submit_cancel(self, oid: str):
         """Send cancel request for order id
         """
-        resp = await self._json_rpc_auth_wrapper(
+        resp = await self.json_rpc(
             'private/cancel', {'order_id': oid})
         return resp.result
 
@@ -344,7 +367,7 @@ class Client:
         self,
         sym: str | None = None,
 
-        venue: MarketType = 'option',
+        venue: MarketType | None = None,
         expiry: str | None = None,
 
     ) -> dict[str, Pair] | Pair:
@@ -358,7 +381,7 @@ class Client:
             return cached_pair
 
         if sym:
-            return pair_table[sym]
+            return pair_table[sym.lower()]
         else:
             return self._pairs
 
@@ -384,7 +407,7 @@ class Client:
             'expired': str(expired).lower()
         }
 
-        resp: JSONRPCResult = await self._json_rpc_auth_wrapper(
+        resp: JSONRPCResult = await self.json_rpc(
             'public/get_instruments',
             params,
         )
@@ -417,32 +440,10 @@ class Client:
 
     async def cache_symbols(
         self,
-        venue: MarketType = 'option',
+    ) -> dict:
 
-    ) -> None:
-        # lookup internal mkt-specific pair table to update
-        pair_table: dict[str, Pair] = self._pairs
-
-        # make API request(s)
-        mkt_pairs = await self.symbol_info()
-
-        if not mkt_pairs:
-            raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
-
-        pairs_view_subtable: dict[str, Pair] = {}
-
-        for instrument in mkt_pairs:
-            pair_type: Type = PAIRTYPES[venue]
-
-            pair: Pair = pair_type(**mkt_pairs[instrument].to_dict())
-
-            pair_table[pair.symbol.upper()] = pair
-
-            # update an additional top-level-cross-venue-table
-            # `._pairs: ChainMap` for search B0
-            pairs_view_subtable[pair.bs_fqme] = pair
-
-        self._pairs.maps.append(pairs_view_subtable)
+        if not self._pairs:
+            self._pairs = await self.symbol_info()
 
         return self._pairs
 
@@ -455,15 +456,20 @@ class Client:
         Fuzzy search symbology set for pairs matching `pattern`.
 
         '''
-        pairs: dict[str, Pair] = await self.exch_info()
-
-        return match_from_pairs(
+        pairs: dict[str, Pair] = await self.symbol_info()
+        matches: dict[str, Pair] = match_from_pairs(
             pairs=pairs,
             query=pattern.upper(),
             score_cutoff=35,
             limit=limit
         )
 
+       # repack in name-keyed table
+        return {
+            pair['instrument_name'].lower(): pair
+            for pair in matches.values()
+        }
+
     async def bars(
         self,
         mkt: MktPair,
@@ -475,7 +481,7 @@ class Client:
         as_np: bool = True,
 
     ) -> list[tuple] | np.ndarray:
-        instrument: str = mkt.bs_fqme.split('.')[0]
+        instrument: str = mkt.bs_fqme
 
         if end_dt is None:
             end_dt = now('UTC')
@@ -488,7 +494,7 @@ class Client:
         end_time = deribit_timestamp(end_dt)
 
         # https://docs.deribit.com/#public-get_tradingview_chart_data
-        resp = await self._json_rpc_auth_wrapper(
+        resp = await self.json_rpc(
             'public/get_tradingview_chart_data',
             params={
                 'instrument_name': instrument.upper(),
@@ -525,7 +531,7 @@ class Client:
         instrument: str,
         count: int = 10
     ):
-        resp = await self._json_rpc_auth_wrapper(
+        resp = await self.json_rpc(
             'public/get_last_trades_by_instrument',
             params={
                 'instrument_name': instrument,
@@ -537,8 +543,7 @@ class Client:
 
 @acm
 async def get_client(
-    is_brokercheck: bool = False,
-    venue: MarketType = 'option',
+    is_brokercheck: bool = False
 ) -> Client:
 
     async with (
@@ -548,6 +553,68 @@ async def get_client(
         ) as json_rpc
     ):
         client = Client(json_rpc)
+        _refresh_token: Optional[str] = None
+        _access_token: Optional[str] = None
+
+        async def _auth_loop(
+            task_status: TaskStatus = trio.TASK_STATUS_IGNORED
+        ):
+            """Background task that adquires a first access token and then will
+            refresh the access token while the nursery isn't cancelled.
+
+            https://docs.deribit.com/?python#authentication-2
+            """
+            renew_time = 10
+            access_scope = 'trade:read_write'
+            _expiry_time = time.time()
+            got_access = False
+            nonlocal _refresh_token
+            nonlocal _access_token
+
+            while True:
+                if time.time() - _expiry_time < renew_time:
+                    # if we are close to token expiry time
+
+                    if _refresh_token != None:
+                        # if we have a refresh token already dont need to send
+                        # secret
+                        params = {
+                            'grant_type': 'refresh_token',
+                            'refresh_token': _refresh_token,
+                            'scope': access_scope
+                        }
+
+                    else:
+                        # we don't have refresh token, send secret to initialize
+                        params = {
+                            'grant_type': 'client_credentials',
+                            'client_id': client._key_id,
+                            'client_secret': client._key_secret,
+                            'scope': access_scope
+                        }
+
+                    resp = await json_rpc('public/auth', params)
+                    result = resp.result
+
+                    _expiry_time = time.time() + result['expires_in']
+                    _refresh_token = result['refresh_token']
+
+                    if 'access_token' in result:
+                        _access_token = result['access_token']
+
+                    if not got_access:
+                        # first time this loop runs we must indicate task is
+                        # started, we have auth
+                        got_access = True
+                        task_status.started()
+
+                else:
+                    await trio.sleep(renew_time / 2)
+
+        # if we have client creds launch auth loop
+        if client._key_id is not None:
+            await n.start(_auth_loop)
+
         await client.cache_symbols()
         yield client
         n.cancel_scope.cancel()
@@ -555,7 +622,7 @@ async def get_client(
 
 @acm
 async def open_feed_handler():
-    fh = FeedHandler(config=get_config())
+    fh = FeedHandler(config=get_fh_config())
     yield fh
     await to_asyncio.run_task(fh.stop_async)
 

piker/brokers/deribit/feed.py

@@ -160,26 +160,38 @@ async def get_mkt_info(
         assets: dict[str, Asset] = await client.get_assets()
         pair_str: str = mkt_ep.lower()
 
+        # switch venue-mode depending on input pattern parsing
+        # since we want to use a particular endpoint (set) for
+        # pair info lookup!
+        client.mkt_mode = mkt_mode
+
         pair: Pair = await client.exch_info(
             sym=pair_str,
         )
-        mkt_mode = pair.venue
-        client.mkt_mode = mkt_mode
-
         dst: Asset | None = assets.get(pair.bs_dst_asset)
-        src: Asset | None = assets.get(pair.bs_src_asset)
+        if (
+            not dst
+            # TODO: a known asset DNE list?
+            # and pair.baseAsset == 'DEFI'
+        ):
+            log.warning(
+                f'UNKNOWN {venue} asset {pair.base_currency} from,\n'
+                f'{pformat(pair.to_dict())}'
+            )
+
+            # XXX UNKNOWN missing "asset", though no idea why?
+            # maybe it's only avail in the margin venue(s): /dapi/ ?
+            return None
 
         mkt = MktPair(
             dst=dst,
-            src=src,
+            src=assets.get(pair.bs_src_asset),
             price_tick=pair.price_tick,
             size_tick=pair.size_tick,
             bs_mktid=pair.symbol,
-            expiry=pair.expiry,
-            venue=mkt_mode,
+            expiry=expiry,
+            venue=venue,
             broker='deribit',
-            _atype=mkt_mode,
-            _fqme_without_src=True,
         )
         return mkt, pair
 
@@ -198,7 +210,7 @@ async def stream_quotes(
     # XXX: required to propagate ``tractor`` loglevel to piker logging
     get_console_log(loglevel or tractor.current_actor().loglevel)
 
-    sym = symbols[0].split('.')[0]
+    sym = symbols[0]
 
     init_msgs: list[FeedInit] = []
 
@@ -213,11 +225,11 @@ async def stream_quotes(
         init_msgs.append(
             FeedInit(mkt_info=mkt)
         )
-        nsym = piker_sym_to_cb_sym(sym)
+        nsym = piker_sym_to_cb_sym(sym.split('.')[0])
 
         async with maybe_open_price_feed(sym) as stream:
 
-            cache = client._pairs
+            cache = await client.cache_symbols()
 
             last_trades = (await client.last_trades(
                 cb_sym_to_deribit_inst(nsym), count=1)).trades
@@ -259,7 +271,7 @@ async def open_symbol_search(
     async with open_cached_client('deribit') as client:
 
         # load all symbols locally for fast search
-        cache = client._pairs
+        cache = await client.cache_symbols()
         await ctx.started()
 
         async with ctx.open_stream() as stream:

piker/brokers/deribit/venues.py

@@ -19,7 +19,6 @@ Per market data-type definitions and schemas types.
 
 """
 from __future__ import annotations
-import pendulum
 from typing import (
     Literal,
 )
@@ -67,27 +66,29 @@ class Pair(Struct, frozen=True, kw_only=True):
     # dst
     base_currency: str # "BTC",
 
-    tick_size: float # 0.0001 # [{'above_price': 0.005, 'tick_size': 0.0005}]
-    tick_size_steps: list[dict[str, float]] 
+    tick_size: float # 0.0001
+    tick_size_steps: list[dict[str, str | int | float]] # [{'above_price': 0.005, 'tick_size': 0.0005}]
 
     @property
     def price_tick(self) -> Decimal:
-        return Decimal(str(self.tick_size_steps[0]['above_price']))
+        step_size: float = self.tick_size_steps[0].get('above_price')
+        return Decimal(step_size)
 
     @property
     def size_tick(self) -> Decimal:
-        return Decimal(str(self.tick_size))
+        step_size: float = self.tick_size_steps[0].get('tick_size')
+        return Decimal(step_size)
 
     @property
     def bs_fqme(self) -> str:
-        return f'{self.symbol}'
+        return self.symbol
 
     @property
     def bs_mktid(self) -> str:
         return f'{self.symbol}.{self.venue}'
 
 
-class OptionPair(Pair, frozen=True):
+class OptionPair(Pair, frozen=True, kw_only=True):
 
     taker_commission: float # 0.0003
     strike: float # 5000.0
@@ -115,18 +116,13 @@ class OptionPair(Pair, frozen=True):
     # NOTE: see `.data._symcache.SymbologyCache.load()` for why
     ns_path: str = 'piker.brokers.deribit:OptionPair'
 
-    @property
-    def expiry(self) -> str:
-        iso_date = pendulum.from_timestamp(self.expiration_timestamp / 1000).isoformat()
-        return iso_date 
-
     @property
     def venue(self) -> str:
-        return 'option'
+        return 'OPTION'
 
     @property
     def bs_fqme(self) -> str:
-        return f'{self.symbol}'
+        return f'{self.symbol}.OPTION'
 
     @property
     def bs_src_asset(self) -> str:
@@ -134,58 +130,13 @@ class OptionPair(Pair, frozen=True):
 
     @property
     def bs_dst_asset(self) -> str:
-        return f'{self.symbol}'
+        return f'{self.base_currency}'
+    
+    @property
+    def bs_mktid(self) -> str:
+        return f'{self.symbol}.{self.venue}'
 
 
 PAIRTYPES: dict[MarketType, Pair] = {
     'option': OptionPair,
 }
-
-
-class JSONRPCResult(Struct):
-    id: int
-    usIn: int
-    usOut: int
-    usDiff: int
-    testnet: bool
-    jsonrpc: str = '2.0'
-    error: Optional[dict] = None
-    result: Optional[list[dict]] = None
-
-class JSONRPCChannel(Struct):
-    method: str
-    params: dict
-    jsonrpc: str = '2.0'
-
-
-class KLinesResult(Struct):
-    low: list[float]
-    cost: list[float]
-    high: list[float]
-    open: list[float]
-    close: list[float]
-    ticks: list[int]
-    status: str
-    volume: list[float]
-
-class Trade(Struct):
-    iv: float
-    price: float
-    amount: float
-    trade_id: str
-    contracts: float
-    direction: str
-    trade_seq: int
-    timestamp: int
-    mark_price: float
-    index_price: float
-    tick_direction: int
-    instrument_name: str
-    combo_id: Optional[str] = '',
-    combo_trade_id: Optional[int] = 0,
-    block_trade_id: Optional[str] = '',
-    block_trade_leg_count: Optional[int] = 0,
-
-class LastTradesResult(Struct):
-    trades: list[Trade]
-    has_more: bool

piker/data/_web_bs.py

@@ -483,7 +483,7 @@ async def open_jsonrpc_session(
                         # response in original "result" msg,
                         # THEN FINALLY set the event to signal caller
                         # to raise the error in the parent task.
-                        req_id: int = msg['id']
+                        req_id: int = error['id']
                         req_msg: dict = req_msgs[req_id]
                         result: dict = rpc_results[req_id]
                         result['error'] = error