Deribit's feed fix

- `FeedInit` for init_msgs in `stream_quotes`.

- new cache is `client_pairs` so is replacing the old `client.cache_symbols`.

- `get_mkt_info` added

- `get_ohlc` fixed to comply the new ways of the feed.

piker/brokers/__init__.py

@@ -51,6 +51,7 @@ __brokers__: list[str] = [
     'ib',
     'kraken',
     'kucoin',
+    'deribit',
 
     # broken but used to work
     # 'questrade',
@@ -61,7 +62,6 @@ __brokers__: list[str] = [
     # wstrade
     # iex
 
-    # deribit
     # bitso
 ]
 

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 (
@@ -31,7 +35,7 @@ from typing import (
     Callable,
 )
 
-import pendulum
+from pendulum import now
 import trio
 from trio_typing import TaskStatus
 from rapidfuzz import process as fuzzy
@@ -51,7 +55,25 @@ from cryptofeed.defines import (
     OPTION, CALL, PUT
 )
 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 (
     def_iohlcv_fields,
     match_from_pairs,
@@ -74,57 +96,6 @@ _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):
-    jsonrpc: str = '2.0'
-    id: int
-    result: Optional[list[dict]] = None
-    error: Optional[dict] = None
-    usIn: int
-    usOut: int
-    usDiff: int
-    testnet: bool
-
-class JSONRPCChannel(Struct):
-    jsonrpc: str = '2.0'
-    method: str
-    params: dict
-
-
-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
-    combo_trade_id: Optional[int] = 0,
-    combo_id: Optional[str] = '',
-    amount: float
-
-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))
@@ -142,13 +113,15 @@ def str_to_cb_sym(name: str) -> Symbol:
     else:
         raise Exception("Couldn\'t parse option type")
 
+    new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
+
     return Symbol(
-        base, quote,
+        base=base,
+        quote=quote,
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=expiry_date,
+        expiry_date=new_expiry_date)
-        expiry_normalize=False)
 
 
 def piker_sym_to_cb_sym(name: str) -> Symbol:
@@ -159,83 +132,138 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
 
     if option_type == 'P':
         option_type = PUT 
-    elif option_type  == 'C':
+    elif option_type == 'C':
         option_type = CALL
     else:
         raise Exception("Couldn\'t parse option type")
 
     return Symbol(
-        base, quote,
+        base=base,
+        quote=quote,
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=expiry_date.upper())
+        expiry_date=expiry_date)
 
 
 def cb_sym_to_deribit_inst(sym: Symbol):
-    # cryptofeed normalized
+    new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
-    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}'
+    return f'{sym.base}-{new_expiry_date}-{sym.strike_price}-{otype}'
+
+
+def get_values_from_cb_normalized_date(expiry_date: str) -> str:
+    # deribit specific
+    cb_norm = [
+        'F', 'G', 'H', 'J',
+        'K', 'M', 'N', 'Q',
+        'U', 'V', 'X', 'Z'
+    ]
+    months = [
+        'JAN', 'FEB', 'MAR', 'APR',
+        'MAY', 'JUN', 'JUL', 'AUG',
+        'SEP', 'OCT', 'NOV', 'DEC'
+    ]
+    # YYMDD
+    # 01234
+    day, month, year = (
+        expiry_date[3:],
+        months[cb_norm.index(expiry_date[2:3])],
+        expiry_date[:2]
+    )
+    return f'{day}{month}{year}'
 
 
 def get_config() -> dict[str, Any]:
 
-    conf, path = config.load()
+    conf: dict
+    path: Path
 
+    conf, path = config.load(
+        conf_name='brokers',
+        touch_if_dne=True,
+    )
+    section: dict = {}
     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}')
+        return {}
 
-    return conf 
+    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'
+
+    return section
 
 
 class Client:
 
-    def __init__(self, json_rpc: Callable) -> None:
+    def __init__(
-        self._pairs: dict[str, Any] = None
+        self,
+
+        json_rpc: Callable
+
+    ) -> None:
+        self._pairs: ChainMap[str, Pair] = ChainMap()
 
         config = get_config().get('deribit', {})
 
-        if ('key_id' in config) and ('key_secret' in config):
+        self._key_id = config.get('key_id')
-            self._key_id = config['key_id']
+        self._key_secret = config.get('key_secret')
-            self._key_secret = config['key_secret']
-
-        else:
-            self._key_id = None
-            self._key_secret = None
 
         self.json_rpc = json_rpc
 
-    @property
+        self._auth_ts = None
-    def currencies(self):
+        self._auth_renew_ts = 5 # seconds to renew auth
-        return ['btc', 'eth', 'sol', 'usd']
 
-    async def get_balances(self, kind: str = 'option') -> dict[str, float]:
+    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)
+
+
+
+
+    async def get_balances(
+        self,
+        kind: str = 'option'
+    ) -> dict[str, float]:
         """Return the set of positions for this account
         by symbol.
         """
         balances = {}
 
         for currency in self.currencies:
-            resp = await self.json_rpc(
+            resp = await self._json_rpc_auth_wrapper(
                 'private/get_positions', params={
                     'currency': currency.upper(),
                     'kind': kind})
@@ -244,20 +272,46 @@ 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_auth_wrapper(
+            'public/get_currencies',
+            params={}
+        )
+        currencies = resp.result
+        for currency in currencies:
+            name = currency['currency']
+            tx_tick = digits_to_dec(currency['fee_precision']) 
+            atype='crypto_currency'
+            assets[name] = Asset(
+                name=name,
+                atype=atype,
+                tx_tick=tx_tick)
 
-        for currency in self.currencies:
+            instruments = await self.symbol_info(currency=name)
-            resp = await self.json_rpc(
+            for instrument in instruments:
-                'private/get_account_summary', params={
+                pair = instruments[instrument]
-                    'currency': currency.upper()})
+                assets[pair.symbol] = Asset(
+                    name=pair.symbol,
+                    atype=pair.venue,
+                    tx_tick=pair.size_tick)
 
-            balances[currency] = resp.result['balance']
+        return assets 
 
-        return balances
+    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
+
+        return flat
 
     async def submit_limit(
         self,
@@ -274,7 +328,7 @@ class Client:
             'type': 'limit',
             'price': price,
         }
-        resp = await self.json_rpc(
+        resp = await self._json_rpc_auth_wrapper(
             f'private/{action}', params)
 
         return resp.result
@@ -282,10 +336,32 @@ class Client:
     async def submit_cancel(self, oid: str):
         """Send cancel request for order id
         """
-        resp = await self.json_rpc(
+        resp = await self._json_rpc_auth_wrapper(
             'private/cancel', {'order_id': oid})
         return resp.result
 
+    async def exch_info(
+        self,
+        sym: str | None = None,
+
+        venue: MarketType = 'option',
+        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]
+        else:
+            return self._pairs
+
     async def symbol_info(
         self,
         instrument: Optional[str] = None,
@@ -293,7 +369,7 @@ class Client:
         kind: str = 'option',
         expired: bool = False
 
-    ) -> dict[str, dict]:
+    ) -> dict[str, Pair] | Pair:
         '''
         Get symbol infos.
 
@@ -308,28 +384,65 @@ class Client:
             'expired': str(expired).lower()
         }
 
-        resp: JSONRPCResult = await self.json_rpc(
+        resp: JSONRPCResult = await self._json_rpc_auth_wrapper(
             'public/get_instruments',
             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
+        instruments: dict[str, Pair] = {}
-            for item in results
+        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
 
     async def cache_symbols(
         self,
-    ) -> dict:
+        venue: MarketType = 'option',
 
-        if not self._pairs:
+    ) -> None:
-            self._pairs = await self.symbol_info()
+        # 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)
 
         return self._pairs
 
@@ -337,37 +450,35 @@ 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.exch_info()
-        matches: dict[str, Pair] = match_from_pairs(
+
+        return 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,
-        symbol: str,
+        mkt: MktPair,
+
         start_dt: Optional[datetime] = None,
         end_dt: Optional[datetime] = None,
+
         limit: int = 1000,
         as_np: bool = True,
-    ) -> dict:
+
-        instrument = symbol
+    ) -> list[tuple] | np.ndarray:
+        instrument: str = mkt.bs_fqme.split('.')[0]
 
         if end_dt is None:
-            end_dt = pendulum.now('UTC')
+            end_dt = now('UTC')
 
         if start_dt is None:
             start_dt = end_dt.start_of(
@@ -377,7 +488,7 @@ class Client:
         end_time = deribit_timestamp(end_dt)
 
         # https://docs.deribit.com/#public-get_tradingview_chart_data
-        resp = await self.json_rpc(
+        resp = await self._json_rpc_auth_wrapper(
             'public/get_tradingview_chart_data',
             params={
                 'instrument_name': instrument.upper(),
@@ -387,36 +498,34 @@ class Client:
             })
 
         result = KLinesResult(**resp.result)
-        new_bars = []
+        new_bars: list[tuple] = []
         for i in range(len(result.close)):
 
-            _open = result.open[i]
-            high = result.high[i]
-            low = result.low[i]
-            close = result.close[i]
-            volume = result.volume[i]
-
             row = [ 
                 (start_time + (i * (60 * 1000))) / 1000.0,  # time
                 result.open[i],
                 result.high[i],
                 result.low[i],
                 result.close[i],
-                result.volume[i],
+                result.volume[i]
-                0
             ]
 
             new_bars.append((i,) + tuple(row))
 
-        array = np.array(new_bars, dtype=def_iohlcv_fields) if as_np else klines
+        if not as_np:
-        return array
+            return result
+
+        return np.array(
+            new_bars,
+            dtype=def_iohlcv_fields
+        )
 
     async def last_trades(
         self,
         instrument: str,
         count: int = 10
     ):
-        resp = await self.json_rpc(
+        resp = await self._json_rpc_auth_wrapper(
             'public/get_last_trades_by_instrument',
             params={
                 'instrument_name': instrument,
@@ -428,78 +537,17 @@ class Client:
 
 @acm
 async def get_client(
-    is_brokercheck: bool = False
+    is_brokercheck: bool = False,
+    venue: MarketType = 'option',
 ) -> Client:
 
     async with (
         trio.open_nursery() as n,
         open_jsonrpc_session(
-            _testnet_ws_url, dtype=JSONRPCResult) as json_rpc
+            _ws_url, response_type=JSONRPCResult
+        ) 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()
@@ -523,7 +571,7 @@ async def maybe_open_feed_handler() -> trio.abc.ReceiveStream:
 
 async def aio_price_feed_relay(
     fh: FeedHandler,
-    instrument: Symbol,
+    instrument: str,
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
@@ -542,21 +590,33 @@ 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': 'bid',
-                {'type': 'bsize',
+                    'price': float(data.bid_price),
-                    'price': float(data.bid_price), 'size': float(data.bid_size)},
+                    'size': float(data.bid_size)
-                {'type': 'ask',
+                },
-                    'price': float(data.ask_price), 'size': float(data.ask_size)},
+                {
-                {'type': 'asize',
+                    'type': 'bsize',
-                    'price': float(data.ask_price), 'size': float(data.ask_size)}
+                    '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)
     fh.add_feed(
         DERIBIT,
         channels=[TRADES, L1_BOOK],
-        symbols=[piker_sym_to_cb_sym(instrument)],
+        symbols=[sym],
         callbacks={
             TRADES: _trade,
             L1_BOOK: _l1
@@ -597,9 +657,9 @@ async def maybe_open_price_feed(
     async with maybe_open_context(
         acm_func=open_price_feed,
         kwargs={
-            'instrument': instrument
+            'instrument': instrument.split('.')[0]
         },
-        key=f'{instrument}-price',
+        key=f'{instrument.split('.')[0]}-price',
     ) as (cache_hit, feed):
         if cache_hit:
             yield broadcast_receiver(feed, 10)
@@ -664,10 +724,10 @@ async def maybe_open_order_feed(
     async with maybe_open_context(
         acm_func=open_order_feed,
         kwargs={
-            'instrument': instrument,
+            'instrument': instrument.split('.')[0],
             'fh': fh
         },
-        key=f'{instrument}-order',
+        key=f'{instrument.split('.')[0]}-order',
     ) as (cache_hit, feed):
         if cache_hit:
             yield broadcast_receiver(feed, 10)

piker/brokers/deribit/feed.py

@@ -21,18 +21,33 @@ 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
 from trio_typing import TaskStatus
-import pendulum
+from pendulum import (
+    from_timestamp,
+    now,
+)
 from rapidfuzz import process as fuzzy
 import numpy as np
 import tractor
 
-from piker.brokers import open_cached_client
+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,
@@ -47,9 +62,13 @@ from cryptofeed.symbols import Symbol
 from .api import (
     Client, Trade,
     get_config,
-    str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
+    piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
     maybe_open_price_feed
 )
+from .venues import (
+    Pair,
+    OptionPair,
+)
 
 _spawn_kwargs = {
     'infect_asyncio': True,
@@ -64,36 +83,107 @@ async def open_history_client(
     mkt: MktPair,
 ) -> tuple[Callable, int]:
 
-    fnstrument: str = mkt.bs_fqme
     # TODO implement history getter for the new storage layer.
     async with open_cached_client('deribit') as client:
 
         async def get_ohlc(
-            end_dt: Optional[datetime] = None,
+            timeframe: float,
-            start_dt: Optional[datetime] = None,
+            end_dt: datetime | None = None,
+            start_dt: datetime | None = None,
 
         ) -> tuple[
             np.ndarray,
             datetime,  # start
             datetime,  # end
         ]:
+            if timeframe != 60:
+                raise DataUnavailable('Only 1m bars are supported')
 
-            array = await client.bars(
+            array: np.ndarray = await client.bars(
-                instrument,
+                mkt,
                 start_dt=start_dt,
                 end_dt=end_dt,
             )
             if len(array) == 0:
-                raise DataUnavailable
+                raise NoData(
+                    f'No frame for {start_dt} -> {end_dt}\n'
+                )
 
-            start_dt = pendulum.from_timestamp(array[0]['time'])
+            start_dt = from_timestamp(array[0]['time'])
-            end_dt = pendulum.from_timestamp(array[-1]['time'])
+            end_dt = from_timestamp(array[-1]['time'])
+
+            times = array['time']
+            if not times.any():
+                raise ValueError(
+                    'Bad frame with null-times?\n\n'
+                    f'{times}'
+                )
+
+            if end_dt is None:
+                inow: int = round(time.time())
+                if (inow - times[-1]) > 60:
+                    await tractor.pause()
 
             return array, start_dt, end_dt
 
         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()
+
+        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)
+
+        mkt = MktPair(
+            dst=dst,
+            src=src,
+            price_tick=pair.price_tick,
+            size_tick=pair.size_tick,
+            bs_mktid=pair.symbol,
+            expiry=pair.expiry,
+            venue=mkt_mode,
+            broker='deribit',
+            _atype=mkt_mode,
+            _fqme_without_src=True,
+        )
+        return mkt, pair
+
+
 async def stream_quotes(
 
     send_chan: trio.abc.SendChannel,
@@ -108,31 +198,26 @@ 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]
+    sym = symbols[0].split('.')[0]
+
+    init_msgs: list[FeedInit] = []
 
     async with (
         open_cached_client('deribit') as client,
         send_chan as send_chan
     ):
 
-        init_msgs = {
+        mkt, pair = await get_mkt_info(sym)
-            # 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': False},
-                'fqsn': sym,
-            },
-        }
 
+        # build out init msgs according to latest spec
+        init_msgs.append(
+            FeedInit(mkt_info=mkt)
+        )
         nsym = piker_sym_to_cb_sym(sym)
 
         async with maybe_open_price_feed(sym) as stream:
 
-            cache = await client.cache_symbols()
+            cache = client._pairs
 
             last_trades = (await client.last_trades(
                 cb_sym_to_deribit_inst(nsym), count=1)).trades
@@ -174,12 +259,21 @@ async def open_symbol_search(
     async with open_cached_client('deribit') as client:
 
         # load all symbols locally for fast search
-        cache = await client.cache_symbols()
+        cache = client._pairs
         await ctx.started()
 
         async with ctx.open_stream() as stream:
 
+            pattern: str
             async for pattern in stream:
-                # repack in dict form
+                # NOTE: pattern fuzzy-matching is done within
-                await stream.send(
+                # the methd impl.
-                    await client.search_symbols(pattern))
+                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

@@ -0,0 +1,191 @@
+# piker: trading gear for hackers
+# Copyright (C) Tyler Goodlet (in stewardship for pikers)
+
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU Affero General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU Affero General Public License for more details.
+
+# 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/>.
+
+"""
+Per market data-type definitions and schemas types.
+
+"""
+from __future__ import annotations
+import pendulum
+from typing import (
+    Literal,
+)
+from decimal import Decimal
+
+from msgspec import field
+
+from piker.types import Struct
+
+
+# API endpoint paths by venue / sub-API
+_domain: str = 'deribit.com'
+_url = f'https://www.{_domain}'
+
+# WEBsocketz
+_ws_url: str = f'wss://www.{_domain}/ws/api/v2'
+
+# test nets
+_testnet_ws_url: str = f'wss://test.{_domain}/ws/api/v2'
+
+MarketType = Literal[
+    'option'
+]
+
+
+def get_api_eps(venue: MarketType) -> tuple[str, str]:
+    '''
+    Return API ep root paths per venue.
+
+    '''
+    return {
+        'option': (
+            _ws_url,
+        ),
+    }[venue]
+
+
+class Pair(Struct, frozen=True, kw_only=True):
+
+    symbol: str
+
+    # src
+    quote_currency: str # 'BTC'
+
+    # 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]] 
+
+    @property
+    def price_tick(self) -> Decimal:
+        return Decimal(str(self.tick_size_steps[0]['above_price']))
+
+    @property
+    def size_tick(self) -> Decimal:
+        return Decimal(str(self.tick_size))
+
+    @property
+    def bs_fqme(self) -> str:
+        return f'{self.symbol}'
+
+    @property
+    def bs_mktid(self) -> str:
+        return f'{self.symbol}.{self.venue}'
+
+
+class OptionPair(Pair, frozen=True):
+
+    taker_commission: float # 0.0003
+    strike: float # 5000.0
+    settlement_period: str # 'day'
+    settlement_currency: str # "BTC",
+    rfq: bool # false
+    price_index: str # 'btc_usd'
+    option_type: str # 'call'
+    min_trade_amount: float # 0.1
+    maker_commission: float # 0.0003
+    kind: str # 'option'
+    is_active: bool # true
+    instrument_type: str # 'reversed'
+    instrument_name: str # 'BTC-1SEP24-55000-C'
+    instrument_id: int # 364671
+    expiration_timestamp: int # 1725177600000
+    creation_timestamp: int # 1724918461000
+    counter_currency: str # 'USD' 
+    contract_size: float # '1.0'
+    block_trade_tick_size: float # '0.0001'
+    block_trade_min_trade_amount: int # '25'
+    block_trade_commission: float # '0.003'
+
+
+    # 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'
+
+    @property
+    def bs_fqme(self) -> str:
+        return f'{self.symbol}'
+
+    @property
+    def bs_src_asset(self) -> str:
+        return f'{self.quote_currency}'
+
+    @property
+    def bs_dst_asset(self) -> str:
+        return f'{self.symbol}'
+
+
+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

pyproject.toml

@@ -15,8 +15,8 @@
 # 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/>.
 [build-system]
-requires = ["hatchling"]
+requires = ["poetry-core"]
-build-backend = "hatchling.build"
+build-backend = "poetry.core.masonry.api"
 
 # ------ - ------
 
@@ -34,114 +34,122 @@ ignore = []
 
 # ------ - ------
 
-[project]
+[tool.poetry]
 name = "piker"
-version = "0.1.0a0dev0"
+version = "0.1.0.alpha0.dev0"
 description = "trading gear for hackers"
-authors = [{ name = "Tyler Goodlet", email = "goodboy_foss@protonmail.com" }]
+authors = ["Tyler Goodlet <goodboy_foss@protonmail.com>"]
-requires-python = ">=3.12, <3.13"
+license = "AGPLv3"
-license = "AGPL-3.0-or-later"
 readme = "README.rst"
-keywords = [
+
-    "async",
+# ------ - ------
-    "trading",
+
-    "finance",
+[tool.poetry.dependencies]
-    "quant",
+async-generator = "^1.10"
-    "charting",
+attrs = "^23.1.0"
+bidict = "^0.22.1"
+colorama = "^0.4.6"
+colorlog = "^6.7.0"
+cython = "^3.0.0"
+greenback = "^1.1.1"
+ib-insync = "^0.9.86"
+msgspec = "^0.18.0"
+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"
+
+[tool.poetry.dependencies.tractor]
+develop = true
+git = 'https://github.com/goodboy/tractor.git'
+branch = 'asyncio_debugger_support'
+# path = "../tractor"
+
+[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"
+
+# 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]
+name="piker"
+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" }