Add stream ticker test

Add hook management to open_jsonrpc_session helper

piker/brokers/deribit/__init__.py

@@ -52,13 +52,3 @@ __enable_modules__: list[str] = [
     'feed',
 #   'broker',
 ]
-
-# passed to ``tractor.ActorNursery.start_actor()``
-_spawn_kwargs = {
-    'infect_asyncio': True,
-}
-
-# annotation to let backend agnostic code
-# know if ``brokerd`` should be spawned with
-# ``tractor``'s aio mode.
-_infect_asyncio: bool = True

piker/brokers/deribit/api.py

@@ -20,7 +20,6 @@ Deribit backend.
 '''
 from __future__ import annotations
 import time
-import asyncio
 
 from contextlib import asynccontextmanager as acm
 from functools import partial
@@ -31,16 +30,8 @@ from typing import (
     Callable,
 )
 
-from cryptofeed import FeedHandler
-from cryptofeed.defines import (
-    DERIBIT,
-    L1_BOOK,
-    TRADES,
-    OPTION,
-    CALL,
-    PUT,
-)
 import pendulum
+import asks
 import trio
 from trio_typing import TaskStatus
 from fuzzywuzzy import process as fuzzy
@@ -49,8 +40,6 @@ from tractor.trionics import (
     broadcast_receiver,
     maybe_open_context
 )
-from tractor import to_asyncio
-from cryptofeed.symbols import Symbol
 
 from piker.data.types import Struct
 from piker.data._web_bs import (
@@ -59,16 +48,12 @@ from piker.data._web_bs import (
 
 from piker import config
 from piker.log import get_logger
+from piker._cacheables import open_cached_client
 
 
 log = get_logger(__name__)
 
 
-_spawn_kwargs = {
-    'infect_asyncio': True,
-}
-
-
 _url = 'https://www.deribit.com'
 _ws_url = 'wss://www.deribit.com/ws/api/v2'
 _testnet_ws_url = 'wss://test.deribit.com/ws/api/v2'
@@ -142,70 +127,12 @@ def deribit_timestamp(when):
     return int((when.timestamp() * 1000) + (when.microsecond / 1000))
 
 
-def str_to_cb_sym(name: str) -> Symbol:
+def sym_fmt_piker_to_deribit(sym: str) -> str:
-    base, strike_price, expiry_date, option_type = name.split('-')
+    return sym.upper()
-
-    quote = base
-
-    if option_type == 'put':
-        option_type = PUT
-    elif option_type == 'call':
-        option_type = CALL
-    else:
-        raise Exception("Couldn\'t parse option type")
-
-    return Symbol(
-        base, quote,
-        type=OPTION,
-        strike_price=strike_price,
-        option_type=option_type,
-        expiry_date=expiry_date,
-        expiry_normalize=False)
 
 
-def piker_sym_to_cb_sym(name: str) -> Symbol:
+def sym_fmt_deribit_to_piker(sym: str):
-    base, expiry_date, strike_price, option_type = tuple(
+    return sym.lower()
-        name.upper().split('-'))
-
-    quote = base
-
-    if option_type == 'P':
-        option_type = PUT
-    elif option_type == 'C':
-        option_type = CALL
-    else:
-        raise Exception("Couldn\'t parse option type")
-
-    return Symbol(
-        base, quote,
-        type=OPTION,
-        strike_price=strike_price,
-        option_type=option_type,
-        expiry_date=expiry_date.upper())
-
-
-def cb_sym_to_deribit_inst(sym: Symbol):
-    # cryptofeed normalized
-    cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
-
-    # deribit specific
-    months = [
-        'JAN', 'FEB', 'MAR',
-        'APR', 'MAY', 'JUN',
-        'JUL', 'AUG', 'SEP',
-        'OCT', 'NOV', 'DEC',
-    ]
-
-    exp = sym.expiry_date
-
-    # YYMDD
-    # 01234
-    year, month, day = (
-        exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
-
-    otype = 'C' if sym.option_type == CALL else 'P'
-
-    return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}'
 
 
 def get_config() -> dict[str, Any]:
@@ -214,11 +141,6 @@ def get_config() -> dict[str, Any]:
 
     section = conf.get('deribit')
 
-    # TODO: document why we send this, basically because logging params
-    # for cryptofeed
-    conf['log'] = {}
-    conf['log']['disabled'] = True
-
     if section is None:
         log.warning(f'No config section found for deribit in {path}')
 
@@ -227,20 +149,22 @@ def get_config() -> dict[str, Any]:
 
 class Client:
 
-    def __init__(self, json_rpc: Callable) -> None:
+    def __init__(
+        self,
+        json_rpc: Callable,
+        append_hooks: Callable,
+        update_types: Callable,
+        key_id: str | None = None,
+        key_secret: str | None = None
+    ) -> None:
+
         self._pairs: dict[str, Any] = None
-
+        self._key_id = key_id
-        config = get_config().get('deribit', {})
+        self._key_secret = key_secret
-
-        if ('key_id' in config) and ('key_secret' in config):
-            self._key_id = config['key_id']
-            self._key_secret = config['key_secret']
-
-        else:
-            self._key_id = None
-            self._key_secret = None
 
         self.json_rpc = json_rpc
+        self.append_hooks = append_hooks
+        self.update_types = update_types
 
     @property
     def currencies(self):
@@ -287,7 +211,7 @@ class Client:
         """Place an order
         """
         params = {
-            'instrument_name': symbol.upper(),
+            'instrument_name': sym_fmt_piker_to_deribit(symbol),
             'amount': size,
             'type': 'limit',
             'price': price,
@@ -328,7 +252,7 @@ class Client:
         results = resp.result
 
         instruments = {
-            item['instrument_name'].lower(): item
+            sym_fmt_deribit_to_piker(item['instrument_name']): item
             for item in results
         }
 
@@ -359,8 +283,10 @@ class Client:
             limit=limit
         )
         # repack in dict form
-        return {item[0]['instrument_name'].lower(): item[0]
+        return {
-                for item in matches}
+            sym_fmt_deribit_to_piker(item[0]['instrument_name']): item[0]
+            for item in matches
+        }
 
     async def bars(
         self,
@@ -387,7 +313,7 @@ class Client:
         resp = await self.json_rpc(
             'public/get_tradingview_chart_data',
             params={
-                'instrument_name': instrument.upper(),
+                'instrument_name': sym_fmt_piker_to_deribit(instrument),
                 'start_timestamp': start_time,
                 'end_timestamp': end_time,
                 'resolution': '1'
@@ -420,26 +346,55 @@ class Client:
         resp = await self.json_rpc(
             'public/get_last_trades_by_instrument',
             params={
-                'instrument_name': instrument,
+                'instrument_name': sym_fmt_piker_to_deribit(instrument),
                 'count': count
             })
 
         return LastTradesResult(**resp.result)
 
+    async def get_book_summary(
+        self,
+        currency: str,
+        kind: str = 'option'
+    ):
+        return await self.json_rpc(
+            'public/get_book_summary_by_currency',
+            params={
+                'currency': currency,
+                'kind': kind
+            })
+
+
+
+class JSONRPCSubRequest(Struct):
+    method: str
+    params: dict
+    jsonrpc: str = '2.0'
+
 
 @acm
 async def get_client(
     is_brokercheck: bool = False
 ) -> Client:
 
+    config = get_config().get('deribit', {})
+
+    ws_url = config.get('ws_url', _ws_url)
+    key_id = config.get('key_id', None)
+    key_secret = config.get('key_secret', None)
+
     async with (
         trio.open_nursery() as n,
         open_jsonrpc_session(
-            _testnet_ws_url,
+            ws_url,
             response_type=JSONRPCResult
-        ) as json_rpc
+        ) as control_functions
     ):
-        client = Client(json_rpc)
+        client = Client(
+            *control_functions,
+            key_id=key_id,
+            key_secret=key_secret
+        )
 
         _refresh_token: Optional[str] = None
         _access_token: Optional[str] = None
@@ -452,7 +407,7 @@ async def get_client(
 
             https://docs.deribit.com/?python#authentication-2
             """
-            renew_time = 10
+            renew_time = 240
             access_scope = 'trade:read_write'
             _expiry_time = time.time()
             got_access = False
@@ -482,7 +437,7 @@ async def get_client(
                             'scope': access_scope
                         }
 
-                    resp = await json_rpc('public/auth', params)
+                    resp = await client.json_rpc('public/auth', params)
                     result = resp.result
 
                     _expiry_time = time.time() + result['expires_in']
@@ -509,98 +464,76 @@ async def get_client(
         n.cancel_scope.cancel()
 
 
-@acm
-async def open_feed_handler():
-    fh = FeedHandler(config=get_config())
-    yield fh
-    await to_asyncio.run_task(fh.stop_async)
-
-
-@acm
-async def maybe_open_feed_handler() -> trio.abc.ReceiveStream:
-    async with maybe_open_context(
-        acm_func=open_feed_handler,
-        key='feedhandler',
-    ) as (cache_hit, fh):
-        yield fh
-
-
-async def aio_price_feed_relay(
-    fh: FeedHandler,
-    instrument: Symbol,
-    from_trio: asyncio.Queue,
-    to_trio: trio.abc.SendChannel,
-) -> None:
-    async def _trade(data: dict, receipt_timestamp):
-        to_trio.send_nowait(('trade', {
-            'symbol': cb_sym_to_deribit_inst(
-                str_to_cb_sym(data.symbol)).lower(),
-            'last': data,
-            'broker_ts': time.time(),
-            'data': data.to_dict(),
-            'receipt': receipt_timestamp
-        }))
-
-    async def _l1(data: dict, receipt_timestamp):
-        to_trio.send_nowait(
-            ('l1', {
-                '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)}
-                ]
-            })
-        )
-
-    fh.add_feed(
-        DERIBIT,
-        channels=[TRADES, L1_BOOK],
-        symbols=[piker_sym_to_cb_sym(instrument)],
-        callbacks={
-            TRADES: _trade,
-            L1_BOOK: _l1
-        })
-
-    if not fh.running:
-        fh.run(
-            start_loop=False,
-            install_signal_handlers=False)
-
-    # sync with trio
-    to_trio.send_nowait(None)
-
-    await asyncio.sleep(float('inf'))
-
-
 @acm
 async def open_price_feed(
     instrument: str
 ) -> trio.abc.ReceiveStream:
-    async with maybe_open_feed_handler() as fh:
-        async with to_asyncio.open_channel_from(
-            partial(
-                aio_price_feed_relay,
-                fh,
-                instrument
-            )
-        ) as (first, chan):
-            yield chan
 
+    instrument_db = sym_fmt_piker_to_deribit(instrument)
+
+    trades_chan = f'trades.{instrument_db}.raw'
+    book_chan = f'book.{instrument_db}.none.1.100ms'
+
+    channels = [trades_chan, book_chan]
+
+    send_chann, recv_chann = trio.open_memory_channel(0)
+    async def sub_hook(msg):
+        chan = msg.params['channel']
+        data = msg.params['data']
+        if chan == trades_chan:
+            await send_chann.send((
+                'trade', {
+                    'symbol': instrument,
+                    'last': data['price'],
+                    'brokerd_ts': time.time(),
+                    'ticks': [{
+                        'type': 'trade',
+                        'price': data['price'],
+                        'size': data['amount'],
+                        'broker_ts': data['timestamp']
+                    }]
+                }
+            ))
+            return True
+
+        elif chan == book_chan:
+            bid, bsize = data['bids'][0]
+            ask, asize = data['asks'][0]
+            await send_chann.send((
+                'l1', {
+                'symbol': instrument,
+                '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}
+                ]}
+            ))
+            return True
+
+        return False
+
+    async with open_cached_client('deribit') as client:
+
+        client.append_hooks({
+            'request': [sub_hook]
+        })
+        client.update_types({
+            'request': JSONRPCSubRequest
+        })
+
+        resp = await client.json_rpc(
+            'private/subscribe', {'channels': channels})
+
+        assert not resp.error
+
+        log.info(f'Subscribed to {channels}')
+
+        yield recv_chann
+
+        resp = await client.json_rpc('private/unsubscribe', {'channels': channels})
+
+        assert not resp.error
 
 @acm
 async def maybe_open_price_feed(
@@ -621,71 +554,67 @@ async def maybe_open_price_feed(
             yield feed
 
 
-# TODO: order broker support: this is all draft code from @guilledk B)
+@acm
+async def open_ticker_feed(
+    instrument: str
+) -> trio.abc.ReceiveStream:
 
-# async def aio_order_feed_relay(
+    instrument_db = sym_fmt_piker_to_deribit(instrument)
-#     fh: FeedHandler,
-#     instrument: Symbol,
-#     from_trio: asyncio.Queue,
-#     to_trio: trio.abc.SendChannel,
 
-# ) -> None:
+    ticker_chan = f'incremental_ticker.{instrument_db}'
-#     async def _fill(data: dict, receipt_timestamp):
-#         breakpoint()
 
-#     async def _order_info(data: dict, receipt_timestamp):
+    channels = [ticker_chan]
-#         breakpoint()
 
-#     fh.add_feed(
+    send_chann, recv_chann = trio.open_memory_channel(0)
-#         DERIBIT,
+    async def sub_hook(msg):
-#         channels=[FILLS, ORDER_INFO],
+        chann = msg.params['channel']
-#         symbols=[instrument.upper()],
+        if chann == ticker_chan:
-#         callbacks={
+            data = msg.params['data']
-#             FILLS: _fill,
+            await send_chann.send((
-#             ORDER_INFO: _order_info,
+                'ticker', {
-#         })
+                    'symbol': instrument,
+                    'data': data
+                }
+            ))
+            return True
 
-#     if not fh.running:
+        return False
-#         fh.run(
-#             start_loop=False,
-#             install_signal_handlers=False)
 
-#     # sync with trio
+    async with open_cached_client('deribit') as client:
-#     to_trio.send_nowait(None)
 
-#     await asyncio.sleep(float('inf'))
+        client.append_hooks({
+            'request': [sub_hook]
+        })
+        client.update_types({
+            'request': JSONRPCSubRequest
+        })
 
+        resp = await client.json_rpc(
+            'private/subscribe', {'channels': channels})
 
-# @acm
+        assert not resp.error
-# async def open_order_feed(
-#     instrument: list[str]
-# ) -> trio.abc.ReceiveStream:
-#     async with maybe_open_feed_handler() as fh:
-#         async with to_asyncio.open_channel_from(
-#             partial(
-#                 aio_order_feed_relay,
-#                 fh,
-#                 instrument
-#             )
-#         ) as (first, chan):
-#             yield chan
 
+        log.info(f'Subscribed to {channels}')
 
-# @acm
+        yield recv_chann
-# async def maybe_open_order_feed(
-#     instrument: str
-# ) -> trio.abc.ReceiveStream:
 
-#     # TODO: add a predicate to maybe_open_context
+        resp = await client.json_rpc('private/unsubscribe', {'channels': channels})
-#     async with maybe_open_context(
+
-#         acm_func=open_order_feed,
+        assert not resp.error
-#         kwargs={
+
-#             'instrument': instrument,
+@acm
-#             'fh': fh
+async def maybe_open_ticker_feed(
-#         },
+    instrument: str
-#         key=f'{instrument}-order',
+) -> trio.abc.ReceiveStream:
-#     ) as (cache_hit, feed):
+
-#         if cache_hit:
+    async with maybe_open_context(
-#             yield broadcast_receiver(feed, 10)
+        acm_func=open_ticker_feed,
-#         else:
+        kwargs={
-#             yield feed
+            'instrument': instrument
+        },
+        key=f'{instrument}-ticker',
+    ) as (cache_hit, feed):
+        if cache_hit:
+            yield broadcast_receiver(feed, 10)
+        else:
+            yield feed

piker/brokers/deribit/feed.py

@@ -40,16 +40,9 @@ from piker.brokers._util import (
 from .api import (
     Client,
     Trade,
-    piker_sym_to_cb_sym,
-    cb_sym_to_deribit_inst,
     maybe_open_price_feed
 )
 
-_spawn_kwargs = {
-    'infect_asyncio': True,
-}
-
-
 log = get_logger(__name__)
 
 
@@ -107,10 +100,7 @@ async def stream_quotes(
 
     sym = symbols[0]
 
-    async with (
+    async with open_cached_client('deribit') as client:
-        open_cached_client('deribit') as client,
-        send_chan as send_chan
-    ):
 
         init_msgs = {
             # pass back token, and bool, signalling if we're the writer
@@ -118,22 +108,19 @@ async def stream_quotes(
             sym: {
                 'symbol_info': {
                     'asset_type': 'option',
-                    'price_tick_size': 0.0005
+                    'price_tick_size': 0.0005,
+                    'lot_tick_size': 0.1
                 },
                 'shm_write_opts': {'sum_tick_vml': False},
                 'fqsn': sym,
             },
         }
 
-        nsym = piker_sym_to_cb_sym(sym)
+
+        last_trades = (await client.last_trades(sym, count=1)).trades
 
         async with maybe_open_price_feed(sym) as stream:
 
-            await client.cache_symbols()
-
-            last_trades = (await client.last_trades(
-                cb_sym_to_deribit_inst(nsym), count=1)).trades
-
             if len(last_trades) == 0:
                 last_trade = None
                 async for typ, quote in stream:

piker/data/_web_bs.py

@@ -187,7 +187,6 @@ over a NoBsWs.
 
 '''
 
-
 class JSONRPCResult(Struct):
     id: int
     jsonrpc: str = '2.0'
@@ -202,9 +201,41 @@ async def open_jsonrpc_session(
     response_type: type = JSONRPCResult,
     request_type: Optional[type] = None,
     request_hook: Optional[Callable] = None,
-    error_hook: Optional[Callable] = None,
+    error_hook: Optional[Callable] = None
 ) -> Callable[[str, dict], dict]:
 
+    # xor: this two params need to be passed together or not at all
+    if bool(request_type) ^ bool(request_hook):
+        raise ValueError(
+            'Need to path both a request_type and request_hook')
+
+    req_hooks = []
+    if request_hook:
+        req_hooks.append(request_hook)
+
+    err_hooks = []
+    if error_hook:
+        err_hooks.append(error_hook)
+
+    hook_table = {
+        'request': req_hooks,
+        'error': err_hooks
+    }
+
+    types_table = {
+        'response': response_type,
+        'request': request_type
+    }
+
+    def append_hooks(new_hooks: dict):
+        nonlocal hook_table
+        for htype, hooks in new_hooks.items():
+            hook_table[htype] += hooks
+
+    def update_types(new_types: dict):
+        nonlocal types_table
+        types_table.update(new_types)
+
     async with (
         trio.open_nursery() as n,
         open_autorecon_ws(url) as ws
@@ -212,7 +243,7 @@ async def open_jsonrpc_session(
         rpc_id: Iterable = count(start_id)
         rpc_results: dict[int, dict] = {}
 
-        async def json_rpc(method: str, params: dict) -> dict:
+        async def json_rpc(method: str, params: dict = {}) -> dict:
             '''
             perform a json rpc call and wait for the result, raise exception in
             case of error field present on response
@@ -257,8 +288,7 @@ async def open_jsonrpc_session(
                         'result': _,
                         'id': mid,
                     } if res_entry := rpc_results.get(mid):
-
+                        res_entry['result'] = types_table['response'](**msg)
-                        res_entry['result'] = response_type(**msg)
                         res_entry['event'].set()
 
                     case {
@@ -269,24 +299,38 @@ async def open_jsonrpc_session(
                             f'Unexpected ws msg: {json.dumps(msg, indent=4)}'
                         )
 
+                    case {
+                        'error': error,
+                        'id': mid
+                    } if res_entry := rpc_results.get(mid):
+
+                        res_entry['result'] = types_table['response'](**msg)
+                        res_entry['event'].set()
+
                     case {
                         'method': _,
                         'params': _,
                     }:
-                        log.debug(f'Recieved\n{msg}')
+                        log.info(f'Recieved\n{msg}')
-                        if request_hook:
+                        if len(hook_table['request']) > 0:
-                            await request_hook(request_type(**msg))
+                            for hook in hook_table['request']:
+                                result = await hook(types_table['request'](**msg))
+                                if result:
+                                    break
 
                     case {
-                        'error': error
+                        'error': error,
                     }:
                         log.warning(f'Recieved\n{error}')
-                        if error_hook:
+                        if len(hook_table['error']) > 0:
-                            await error_hook(response_type(**msg))
+                            for hook in hook_table['error']:
+                                result = await hook(types_table['response'](**msg))
+                                if result:
+                                    break
 
                     case _:
                         log.warning(f'Unhandled JSON-RPC msg!?\n{msg}')
 
         n.start_soon(recv_task)
-        yield json_rpc
+        yield json_rpc, append_hooks, update_types
         n.cancel_scope.cancel()

tests/test_deribit.py

@@ -0,0 +1,46 @@
+import trio
+import pytest
+import tractor
+
+from piker import config
+
+from piker.brokers.deribit import api as deribit
+from piker.brokers.deribit.api import _testnet_ws_url
+
+from piker._cacheables import open_cached_client
+
+
+TESTNET_KEY_ID: str | None = None
+TESTNET_KEY_SECRET: str | None = None
+
+@pytest.mark.skipif(
+    not TESTNET_KEY_ID or not TESTNET_KEY_SECRET,
+    reason='configure a deribit testnet key pair before running this test'
+)
+def test_deribit_get_ticker(open_test_pikerd):
+
+    async def _test_main():
+        async with open_test_pikerd() as _:
+            async with open_cached_client('deribit') as client:
+
+                symbols = await client.symbol_info()
+
+                syms = list(symbols.keys())
+                sym = syms[int(len(syms) / 2)]
+
+                async with deribit.maybe_open_ticker_feed(sym) as tick_stream:
+                    async for typ, msg in tick_stream:
+                        assert typ == 'ticker'
+                        assert 'open_interest' in msg['data']
+                        break
+
+
+
+    config.write({
+        'deribit': {
+            'ws_url': _testnet_ws_url,
+            'key_id': TESTNET_KEY_ID,
+            'key_secret': TESTNET_KEY_SECRET
+        }
+    })
+    trio.run(_test_main)