Add necessary classes in init file for deribit

piker/brokers/deribit/__init__.py

@@ -25,6 +25,7 @@ from .api import (
     get_client,
 )
 from .feed import (
+    get_mkt_info,
     open_history_client,
     open_symbol_search,
     stream_quotes,
@@ -34,15 +35,20 @@ from .feed import (
     # open_trade_dialog,
     # norm_trade_records,
 # )
+from .venues import (
+    OptionPair,
+)
 
 log = get_logger(__name__)
 
 __all__ = [
     'get_client',
 #    'trades_dialogue',
+    'get_mkt_info',
     'open_history_client',
     'open_symbol_search',
     'stream_quotes',
+    'OptionPair',
 #    'norm_trade_records',
 ]
 

piker/brokers/deribit/api.py

@@ -19,10 +19,14 @@ Deribit backend.
 
 '''
 import asyncio
+from collections import ChainMap
 from contextlib import (
     asynccontextmanager as acm,
 )
 from datetime import datetime
+from decimal import (
+    Decimal,
+)
 from functools import partial
 import time
 from typing import (
@@ -53,7 +57,16 @@ from cryptofeed.defines import (
 from cryptofeed.symbols import Symbol
 # types for managing the cb callbacks.
 # from cryptofeed.types import L1Book
-from piker.accounting import MktPair
+from .venues import (
+    MarketType,
+    PAIRTYPES,
+    Pair,
+    OptionPair,
+)
+from piker.accounting import (
+    Asset,
+    MktPair,
+)
 from piker.data import (
     def_iohlcv_fields,
     match_from_pairs,
@@ -257,7 +270,7 @@ class Client:
         json_rpc: Callable
 
     ) -> None:
-        self._pairs: dict[str, Any] = None
+        self._pairs: ChainMap[str, Pair] = ChainMap()
 
         config = get_config().get('option', {})
 
@@ -289,20 +302,39 @@ class Client:
 
         return balances
 
-    async def get_assets(self) -> dict[str, float]:
+    async def get_assets(
+        self,
+        venue: str | None = None,
+
+    ) -> dict[str, Asset]:
         """Return the set of asset balances for this account
         by symbol.
         """
-        balances = {}
+        assets = {}
+        resp = await self.json_rpc(
+            'private/get_account_summaries',
+            params={
+                'extended' : True
+            }
+        )
+        summaries = resp.result['summaries']
+        for summary in summaries:
+            currency = summary['currency']
+            tx_tick = Decimal('1e-08')
+            atype='crypto_currency'
+            assets[currency] = Asset(
+                name=currency,
+                atype=atype,
+                tx_tick=tx_tick)
+        return assets 
 
-        for currency in self.currencies:
-            resp = await self.json_rpc(
-                'private/get_account_summary', params={
-                    'currency': currency.upper()})
+    async def get_mkt_pairs(self) -> dict[str, Pair]:
+        flat: dict[str, Pair] = {}
+        for key in self._pairs:
+            item = self._pairs.get(key)
+            flat[item.bs_fqme] = item
 
-            balances[currency] = resp.result['balance']
-
-        return balances
+        return flat
 
     async def submit_limit(
         self,
@@ -331,6 +363,28 @@ class Client:
             'private/cancel', {'order_id': oid})
         return resp.result
 
+    async def exch_info(
+        self,
+        sym: str | None = None,
+
+        venue: MarketType | None = None,
+        expiry: str | None = None,
+
+    ) -> dict[str, Pair] | Pair:
+
+        pair_table: dict[str, Pair] = self._pairs
+
+        if (
+            sym
+            and (cached_pair := pair_table.get(sym))
+        ):
+            return cached_pair
+
+        if sym:
+            return pair_table[sym.lower()]
+        else:
+            return self._pairs
+
     async def symbol_info(
         self,
         instrument: Optional[str] = None,
@@ -338,7 +392,7 @@ class Client:
         kind: str = 'option',
         expired: bool = False
 
-    ) -> dict[str, dict]:
+    ) -> dict[str, Pair] | Pair:
         '''
         Get symbol infos.
 
@@ -358,14 +412,29 @@ class Client:
             params,
         )
         # convert to symbol-keyed table
+        pair_type: Type = PAIRTYPES[kind]
         results: list[dict] | None = resp.result
-        instruments: dict[str, dict] = {
-            item['instrument_name'].lower(): item
-            for item in results
-        }
+        
+        instruments: dict[str, Pair] = {}
+        for item in results:
+            symbol=item['instrument_name'].lower()
+            try:
+                pair: Pair = pair_type(
+                    symbol=symbol,
+                    **item
+                )
+            except Exception as e:
+                e.add_note(
+                    "\nDon't panic, prolly stupid deribit changed their symbology schema again..\n"
+                    'Check out their API docs here:\n\n'
+                    'https://docs.deribit.com/?python#deribit-api-v2-1-1'
+                )
+                raise
+
+            instruments[symbol] = pair
 
         if instrument is not None:
-            return instruments[instrument]
+            return instruments[instrument.lower()]
         else:
             return instruments
 
@@ -382,12 +451,12 @@ class Client:
         self,
         pattern: str,
         limit: int = 30,
-    ) -> dict[str, Any]:
+    ) -> dict[str, Pair]:
         '''
         Fuzzy search symbology set for pairs matching `pattern`.
 
         '''
-        pairs: dict[str, Any] = await self.symbol_info()
+        pairs: dict[str, Pair] = await self.symbol_info()
         matches: dict[str, Pair] = match_from_pairs(
             pairs=pairs,
             query=pattern.upper(),
@@ -588,14 +657,26 @@ async def aio_price_feed_relay(
             'symbol': cb_sym_to_deribit_inst(
                 str_to_cb_sym(data.symbol)).lower(),
             'ticks': [
-                {'type': 'bid',
-                    'price': float(data.bid_price), 'size': float(data.bid_size)},
-                {'type': 'bsize',
-                    'price': float(data.bid_price), 'size': float(data.bid_size)},
-                {'type': 'ask',
-                    'price': float(data.ask_price), 'size': float(data.ask_size)},
-                {'type': 'asize',
-                    'price': float(data.ask_price), 'size': float(data.ask_size)}
+                {
+                    'type': 'bid',
+                    'price': float(data.bid_price),
+                    'size': float(data.bid_size)
+                },
+                {
+                    'type': 'bsize',
+                    'price': float(data.bid_price),
+                    'size': float(data.bid_size)
+                },
+                {
+                    'type': 'ask',
+                    'price': float(data.ask_price),
+                    'size': float(data.ask_size)
+                },
+                {
+                    'type': 'asize',
+                    'price': float(data.ask_price),
+                    'size': float(data.ask_size)
+                }
             ]
         }))
     sym: Symbol = piker_sym_to_cb_sym(instrument)

piker/brokers/deribit/feed.py

@@ -21,6 +21,7 @@ Deribit backend.
 from contextlib import asynccontextmanager as acm
 from datetime import datetime
 from typing import Any, Optional, Callable
+from pprint import pformat
 import time
 
 import trio
@@ -33,13 +34,20 @@ from rapidfuzz import process as fuzzy
 import numpy as np
 import tractor
 
-from piker.accounting import MktPair
+from piker.accounting import (
+    MktPair,
+    unpack_fqme,
+)
 from piker.brokers import (
     open_cached_client,
     NoData,
 )
+from piker._cacheables import (
+    async_lifo_cache,
+)
 from piker.log import get_logger, get_console_log
 from piker.data import ShmArray
+from piker.data.validate import FeedInit
 from piker.brokers._util import (
     BrokerError,
     DataUnavailable,
@@ -57,6 +65,10 @@ from .api import (
     piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
     maybe_open_price_feed
 )
+from .venues import (
+    Pair,
+    OptionPair,
+)
 
 _spawn_kwargs = {
     'infect_asyncio': True,
@@ -117,6 +129,73 @@ async def open_history_client(
         yield get_ohlc, {'erlangs': 3, 'rate': 3}
 
 
+@async_lifo_cache()
+async def get_mkt_info(
+    fqme: str,
+
+) -> tuple[MktPair, Pair] | None:
+
+    # uppercase since kraken bs_mktid is always upper
+    if 'deribit' not in fqme.lower():
+        fqme += '.deribit'
+
+    mkt_mode: str = ''
+    broker, mkt_ep, venue, expiry = unpack_fqme(fqme)
+
+    # NOTE: we always upper case all tokens to be consistent with
+    # binance's symbology style for pairs, like `BTCUSDT`, but in
+    # theory we could also just keep things lower case; as long as
+    # we're consistent and the symcache matches whatever this func
+    # returns, always!
+    expiry: str = expiry.upper()
+    venue: str = venue.upper()
+    venue_lower: str = venue.lower()
+
+    mkt_mode: str = 'option'
+
+    async with open_cached_client(
+        'deribit',
+    ) as client:
+
+        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,
+        )
+        dst: Asset | None = assets.get(pair.bs_dst_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=assets.get(pair.bs_src_asset),
+            price_tick=pair.price_tick,
+            size_tick=pair.size_tick,
+            bs_mktid=pair.symbol,
+            expiry=expiry,
+            venue=venue,
+            broker='deribit',
+        )
+        return mkt, pair
+
+
 async def stream_quotes(
 
     send_chan: trio.abc.SendChannel,
@@ -133,29 +212,19 @@ async def stream_quotes(
 
     sym = symbols[0]
 
-    #init_msgs: list[FeedInit] = []
+    init_msgs: list[FeedInit] = []
 
     async with (
         open_cached_client('deribit') as client,
         send_chan as send_chan
     ):
 
-        init_msgs = {
-            # pass back token, and bool, signalling if we're the writer
-            # and that history has been written
-            sym: {
-                'symbol_info': {
-                    'asset_type': 'option',
-                    'price_tick_size': 0.0005
-                },
-                'shm_write_opts': {
-                    'sum_tick_vml': True,
-                    'has_vlm': True
-                },
-                'fqsn': sym,
-            },
-        }
+        mkt, pair = await get_mkt_info(sym)
 
+        # build out init msgs according to latest spec
+        init_msgs.append(
+            FeedInit(mkt_info=mkt)
+        )
         nsym = piker_sym_to_cb_sym(sym.split('.')[0])
 
         async with maybe_open_price_feed(sym) as stream:
@@ -207,7 +276,16 @@ async def open_symbol_search(
 
         async with ctx.open_stream() as stream:
 
+            pattern: str
             async for pattern in stream:
-                # repack in dict form
-                await stream.send(
-                    await client.search_symbols(pattern))
+                # NOTE: pattern fuzzy-matching is done within
+                # the methd impl.
+                pairs: dict[str, Pair] = await client.search_symbols(
+                    pattern,
+                )
+                # repack in fqme-keyed table
+                byfqme: dict[str, Pair] = {}
+                for pair in pairs.values():
+                    byfqme[pair.bs_fqme] = pair
+
+                await stream.send(byfqme)

piker/brokers/deribit/venues.py

@@ -56,25 +56,45 @@ def get_api_eps(venue: MarketType) -> tuple[str, str]:
     }[venue]
 
 
-class OptionPair(Struct, frozen=True, kw_only=True):
+class Pair(Struct, frozen=True, kw_only=True):
 
     symbol: str
-    venue: str
 
     # src
-    quote_currency: str
+    quote_currency: str # 'BTC'
 
     # dst
-    base_currency: str
+    base_currency: str # "BTC",
 
     tick_size: float # 0.0001
-    tick_size_steps: list[dict] # [{'above_price': 0.005, 'tick_size': 0.0005}]
+    tick_size_steps: list[dict[str, str | int | float]] # [{'above_price': 0.005, 'tick_size': 0.0005}]
+
+    @property
+    def price_tick(self) -> Decimal:
+        step_size: float = self.tick_size_steps[0].get('above_price')
+        return Decimal(step_size)
+
+    @property
+    def size_tick(self) -> Decimal:
+        step_size: float = self.tick_size_steps[0].get('tick_size')
+        return Decimal(step_size)
+
+    @property
+    def bs_fqme(self) -> str:
+        return self.symbol
+
+    @property
+    def bs_mktid(self) -> str:
+        return f'{self.symbol}.{self.venue}'
+
+
+class OptionPair(Pair, frozen=True, kw_only=True):
+
     taker_commission: float # 0.0003
     strike: float # 5000.0
     settlement_period: str # 'day'
     settlement_currency: str # "BTC",
     rfq: bool # false
-    quote_currency: str # 'BTC'
     price_index: str # 'btc_usd'
     option_type: str # 'call'
     min_trade_amount: float # 0.1
@@ -117,3 +137,6 @@ class OptionPair(Struct, frozen=True, kw_only=True):
         return f'{self.symbol}.{self.venue}'
 
 
+PAIRTYPES: dict[MarketType, Pair] = {
+    'option': OptionPair,
+}