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2 changed files with 163 additions and 213 deletions

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@ -1,3 +1,4 @@
# piker: trading gear for hackers
# Copyright (C) Jared Goldman (in stewardship for pikers)
# This program is free software: you can redistribute it and/or modify
@ -13,10 +14,10 @@
# 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/>.
'''
"""
Kucoin broker backend
'''
"""
from random import randint
from typing import Any, Callable, Optional, Literal, AsyncGenerator
@ -51,14 +52,14 @@ from ..data._web_bs import (
log = get_logger(__name__)
_ohlc_dtype = [
('index', int),
('time', int),
('open', float),
('high', float),
('low', float),
('close', float),
('volume', float),
('bar_wap', float), # will be zeroed by sampler if not filled
("index", int),
("time", int),
("open", float),
("high", float),
("low", float),
("close", float),
("volume", float),
("bar_wap", float), # will be zeroed by sampler if not filled
]
@ -67,7 +68,6 @@ class KucoinMktPair(Struct, frozen=True):
Kucoin's pair format
'''
baseCurrency: str
baseIncrement: float
baseMaxSize: float
@ -92,7 +92,6 @@ class AccountTrade(Struct, frozen=True):
Historical trade format
'''
id: str
currency: str
amount: float
@ -100,7 +99,7 @@ class AccountTrade(Struct, frozen=True):
balance: float
accountType: str
bizType: str
direction: Literal['in', 'out']
direction: Literal["in", "out"]
createdAt: float
context: list[str]
@ -118,7 +117,6 @@ class KucoinTrade(Struct, frozen=True):
Real-time trade format
'''
bestAsk: float
bestAskSize: float
bestBid: float
@ -129,37 +127,26 @@ class KucoinTrade(Struct, frozen=True):
time: float
class KucoinL2(Struct, frozen=True):
'''
Real-time L2 order book format
'''
asks: list[list[float]]
bids: list[list[float]]
timestamp: float
class KucoinMsg(Struct, frozen=True):
type: str
topic: str
subject: str
data: list[KucoinTrade | KucoinL2]
class BrokerConfig(Struct, frozen=True):
key_id: str
key_secret: str
key_passphrase: str
class KucoinTradeMsg(Struct, frozen=True):
type: str
topic: str
subject: str
data: list[KucoinTrade]
def get_config() -> BrokerConfig | None:
conf, path = config.load()
section = conf.get('kucoin')
section = conf.get("kucoin")
if section is None:
log.warning('No config section found for kucoin in config')
log.warning("No config section found for kucoin in config")
return None
return BrokerConfig(**section)
@ -176,18 +163,19 @@ class Client:
config: BrokerConfig | None = get_config()
if config and config.key_id and config.key_secret and config.key_passphrase:
if (
config and float(config.key_id) and config.key_secret and config.key_passphrase
):
self._authenticated = True
self._key_id = config.key_id
self._key_secret = config.key_secret
self._key_passphrase = config.key_passphrase
log.info('User credentials added')
def _gen_auth_req_headers(
self,
action: Literal['POST', 'GET'],
action: Literal["POST", "GET"],
endpoint: str,
api_v: str = 'v2',
api_v: str = "v2",
) -> dict[str, str | bytes]:
'''
Generate authenticated request headers
@ -195,39 +183,39 @@ class Client:
'''
now = int(time.time() * 1000)
path = f'/api/{api_v}{endpoint}'
path = f"/api/{api_v}{endpoint}"
str_to_sign = str(now) + action + path
signature = base64.b64encode(
hmac.new(
self._key_secret.encode('utf-8'),
str_to_sign.encode('utf-8'),
self._key_secret.encode("utf-8"),
str_to_sign.encode("utf-8"),
hashlib.sha256,
).digest()
)
passphrase = base64.b64encode(
hmac.new(
self._key_secret.encode('utf-8'),
self._key_passphrase.encode('utf-8'),
self._key_secret.encode("utf-8"),
self._key_passphrase.encode("utf-8"),
hashlib.sha256,
).digest()
)
return {
'KC-API-SIGN': signature,
'KC-API-TIMESTAMP': str(now),
'KC-API-KEY': self._key_id,
'KC-API-PASSPHRASE': passphrase,
"KC-API-SIGN": signature,
"KC-API-TIMESTAMP": str(now),
"KC-API-KEY": self._key_id,
"KC-API-PASSPHRASE": passphrase,
# XXX: Even if using the v1 api - this stays the same
'KC-API-KEY-VERSION': '2',
"KC-API-KEY-VERSION": "2",
}
async def _request(
self,
action: Literal['POST', 'GET'],
action: Literal["POST", "GET"],
endpoint: str,
api_v: str = 'v2',
api_v: str = "v2",
headers: dict = {},
) -> Any:
'''
@ -237,29 +225,34 @@ class Client:
if self._authenticated:
headers = self._gen_auth_req_headers(action, endpoint, api_v)
api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
res = await asks.request(action, api_url, headers=headers)
if 'data' in res.json():
return res.json()['data']
if "data" in res.json():
return res.json()["data"]
else:
log.error(f'Error making request to {api_url} -> {res.json()["msg"]}')
return res.json()['msg']
return res.json()["msg"]
async def _get_ws_token(self, private: bool = False) -> tuple[str, int] | None:
async def _get_ws_token(
self,
private: bool = False
) -> tuple[str, int] | None:
'''
Fetch ws token needed for sub access
'''
token_type = 'private' if private else 'public'
token_type = "private" if private else "public"
data: dict[str, Any] | None = await self._request(
'POST', f'/bullet-{token_type}', 'v1'
"POST",
f"/bullet-{token_type}",
"v1"
)
if data and 'token' in data:
ping_interval: int = data['instanceServers'][0]['pingInterval']
return data['token'], ping_interval
if data and "token" in data:
ping_interval: int = data["instanceServers"][0]["pingInterval"]
return data["token"], ping_interval
elif data:
log.error(
f'Error making request for Kucoin ws token -> {data.json()["msg"]}'
@ -271,10 +264,8 @@ class Client:
if self._pairs:
return self._pairs
entries = await self._request('GET', '/symbols')
syms = {item['name']: KucoinMktPair(**item) for item in entries}
log.info('Kucoin market pairs fetches')
entries = await self._request("GET", "/symbols")
syms = {item["name"]: KucoinMktPair(**item) for item in entries}
return syms
async def cache_pairs(
@ -294,14 +285,14 @@ class Client:
def _normalize_pairs(
self, pairs: dict[str, KucoinMktPair]
) -> dict[str, KucoinMktPair]:
'''
"""
Map kucoin pairs to fqsn strings
'''
"""
norm_pairs = {}
for key, value in pairs.items():
fqsn = key.lower().replace('-', '')
fqsn = key.lower().replace("-", "")
norm_pairs[fqsn] = value
return norm_pairs
@ -318,7 +309,7 @@ class Client:
return {kucoin_sym_to_fqsn(item[0].name): item[0] for item in matches}
async def last_trades(self, sym: str) -> list[AccountTrade]:
trades = await self._request('GET', f'/accounts/ledgers?currency={sym}', 'v1')
trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
trades = AccountResponse(**trades)
return trades.items
@ -329,38 +320,38 @@ class Client:
end_dt: Optional[datetime] = None,
limit: int = 1000,
as_np: bool = True,
type: str = '1min',
type: str = "1min",
) -> np.ndarray:
'''
Get OHLC data and convert to numpy array for perffff
'''
# Generate generic end and start time if values not passed
# Currently gives us 12hrs of data
if end_dt is None:
end_dt = pendulum.now('UTC').add(minutes=1)
end_dt = pendulum.now("UTC").add(minutes=1)
if start_dt is None:
start_dt = end_dt.start_of('minute').subtract(minutes=limit)
start_dt = int(start_dt.timestamp())
end_dt = int(end_dt.timestamp())
start_dt = end_dt.start_of("minute").subtract(minutes=limit)
# Format datetime to unix timestamp
start_dt = math.trunc(time.mktime(start_dt.timetuple()))
end_dt = math.trunc(time.mktime(end_dt.timetuple()))
kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
url = f'/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}'
url = f"/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}"
bars = []
for i in range(10):
data = await self._request(
'GET',
"GET",
url,
api_v='v1',
api_v="v1",
)
if not isinstance(data, list):
# Do a gradual backoff if Kucoin is rate limiting us
backoff_interval = i
backoff_interval = i + (randint(0, 1000) / 1000)
log.warn(f'History call failed, backing off for {backoff_interval}s')
await trio.sleep(backoff_interval)
else:
@ -370,47 +361,53 @@ class Client:
# Map to OHLC values to dict then to np array
new_bars = []
for i, bar in enumerate(bars[::-1]):
data = {
'index': i,
'time': bar[0],
'open': bar[1],
'close': bar[2],
'high': bar[3],
'low': bar[4],
'volume': bar[5],
'amount': bar[6],
'bar_wap': 0.0,
"index": i,
"time": bar[0],
"open": bar[1],
"close": bar[2],
"high": bar[3],
"low": bar[4],
"volume": bar[5],
"amount": bar[6],
"bar_wap": 0.0,
}
row = []
for _, (field_name, field_type) in enumerate(_ohlc_dtype):
for j, (field_name, field_type) in enumerate(_ohlc_dtype):
value = data[field_name]
match field_name:
case 'index':
case "index" | "time":
row.append(int(value))
case 'time':
row.append(value)
case _:
row.append(float(value))
new_bars.append(tuple(row))
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
self._bars = array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
return array
def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
def fqsn_to_kucoin_sym(
fqsn: str,
pairs: dict[str, KucoinMktPair]
) -> str:
pair_data = pairs[fqsn]
return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
def kucoin_sym_to_fqsn(sym: str) -> str:
return sym.lower().replace('-', '')
return sym.lower().replace("-", "")
@ acm
async def get_client() -> AsyncGenerator[Client, None]:
client = Client()
await client.cache_pairs()
@ -421,7 +418,7 @@ async def get_client() -> AsyncGenerator[Client, None]:
async def open_symbol_search(
ctx: tractor.Context,
) -> None:
async with open_cached_client('kucoin') as client:
async with open_cached_client("kucoin") as client:
# load all symbols locally for fast search
await client.cache_pairs()
await ctx.started()
@ -429,7 +426,6 @@ async def open_symbol_search(
async with ctx.open_stream() as stream:
async for pattern in stream:
await stream.send(await client.search_symbols(pattern))
log.info('Kucoin symbol search opened')
async def stream_quotes(
@ -447,10 +443,11 @@ async def stream_quotes(
'''
connect_id = str(uuid4())
async with open_cached_client('kucoin') as client:
log.info('Starting up quote stream')
async with open_cached_client("kucoin") as client:
# loop through symbols and sub to feedz
for sym in symbols:
token, ping_interval = await client._get_ws_token()
pairs = await client.cache_pairs()
kucoin_sym = pairs[sym].symbol
@ -459,18 +456,19 @@ async def stream_quotes(
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
'symbol_info': {
'asset_type': 'crypto',
'price_tick_size': 0.0005,
'lot_tick_size': 0.1,
"symbol_info": {
"asset_type": "crypto",
"price_tick_size": 0.0005,
"lot_tick_size": 0.1,
},
'shm_write_opts': {'sum_tick_vml': False},
'fqsn': sym,
"shm_write_opts": {"sum_tick_vml": False},
"fqsn": sym,
},
}
@acm
async def subscribe(ws: wsproto.WSConnection):
@acm
async def open_ping_task(ws: wsproto.WSConnection):
'''
@ -480,13 +478,12 @@ async def stream_quotes(
'''
async with trio.open_nursery() as n:
# TODO: cache this task so it's only called once
async def ping_server():
while True:
await trio.sleep((ping_interval - 1000) / 1000)
await ws.send_msg({'id': connect_id, 'type': 'ping'})
await ws.send_msg({"id": connect_id, "type": "ping"})
log.info(f'Starting ping task for {sym}')
n.start_soon(ping_server)
yield ws
@ -495,37 +492,32 @@ async def stream_quotes(
# Spawn the ping task here
async with open_ping_task(ws) as ws:
tasks = []
tasks.append(make_sub(kucoin_sym, connect_id, level='l3'))
tasks.append(make_sub(kucoin_sym, connect_id, level='l1'))
for task in tasks:
log.info(f'Subscribing to {task["topic"]} feed for {sym}')
await ws.send_msg(task)
# subscribe to market feedz here
l1_sub = make_sub(kucoin_sym, connect_id)
await ws.send_msg(l1_sub)
yield
# unsub
if ws.connected():
log.info(f'Unsubscribing to {kucoin_sym} feed')
await ws.send_msg(
{
'id': connect_id,
'type': 'unsubscribe',
'topic': f'/market/ticker:{sym}',
'privateChannel': False,
'response': True,
"id": connect_id,
"type": "unsubscribe",
"topic": f"/market/ticker:{sym}",
"privateChannel": False,
"response": True,
}
)
async with open_autorecon_ws(
f'wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]',
f"wss://ws-api-spot.kucoin.com/?token={token}&[connectId={connect_id}]",
fixture=subscribe,
) as ws:
msg_gen = stream_messages(ws, sym)
typ, quote = await msg_gen.__anext__()
while typ != 'trade':
#
while typ != "trade":
# TODO: use ``anext()`` when it lands in 3.10!
typ, quote = await msg_gen.__anext__()
@ -536,30 +528,22 @@ async def stream_quotes(
await send_chan.send({sym: msg})
def make_sub(sym, connect_id, level='l1') -> dict[str, str | bool]:
match level:
case 'l1':
def make_sub(sym, connect_id) -> dict[str, str | bool]:
return {
'id': connect_id,
'type': 'subscribe',
'topic': f'/spotMarket/level2Depth5:{sym}',
'privateChannel': False,
'response': True,
}
case 'l3':
return {
'id': connect_id,
'type': 'subscribe',
'topic': f'/market/ticker:{sym}',
'privateChannel': False,
'response': True,
"id": connect_id,
"type": "subscribe",
"topic": f"/market/ticker:{sym}",
"privateChannel": False,
"response": True,
}
async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
async def stream_messages(
ws: NoBsWs,
sym: str
) -> AsyncGenerator[NoBsWs, dict]:
timeouts = 0
last_ts: int = 0
while True:
with trio.move_on_after(3) as cs:
@ -567,84 +551,52 @@ async def stream_messages(ws: NoBsWs, sym: str) -> AsyncGenerator[NoBsWs, dict]:
if cs.cancelled_caught:
timeouts += 1
if timeouts > 2:
log.error('kucoin feed is sh**ing the bed... rebooting...')
log.error("kucoin feed is sh**ing the bed... rebooting...")
await ws._connect()
continue
if msg.get('subject'):
msg = KucoinMsg(**msg)
if "subject" in msg and msg["subject"] == "trade.ticker":
match msg.subject:
case 'trade.ticker':
trade_data = KucoinTrade(**msg.data)
ts = trade_data.time
if ts <= last_ts:
trade_msg = KucoinTradeMsg(**msg)
trade_data = KucoinTrade(**trade_msg.data)
yield "trade", {
"symbol": sym,
"last": trade_data.price,
"brokerd_ts": trade_data.time,
"ticks": [
{
"type": "trade",
"price": float(trade_data.price),
"size": float(trade_data.size),
"broker_ts": trade_data.time,
}
],
}
else:
continue
last_ts = ts
yield 'trade', {
'symbol': sym,
'last': trade_data.price,
'brokerd_ts': trade_data.time,
'ticks': [
{
'type': 'trade',
'price': float(trade_data.price),
'size': float(trade_data.size),
'broker_ts': ts,
}
],
}
case 'level2':
l2_data = KucoinL2(**msg.data)
first_ask = l2_data.asks[0]
first_bid = l2_data.bids[0]
yield 'l1', {
'symbol': sym,
'ticks': [
{
'type': 'bid',
'price': float(first_bid[0]),
'size': float(first_bid[1]),
},
{
'type': 'bsize',
'price': float(first_bid[0]),
'size': float(first_bid[1]),
},
{
'type': 'ask',
'price': float(first_ask[0]),
'size': float(first_ask[1]),
},
{
'type': 'asize',
'price': float(first_ask[0]),
'size': float(first_ask[1]),
},
],
}
@acm
async def open_history_client(
symbol: str,
type: str = '1m',
type: str = "1m",
) -> AsyncGenerator[Callable, None]:
async with open_cached_client('kucoin') as client:
log.info('Attempting to open kucoin history client')
async with open_cached_client("kucoin") as client:
log.info("Attempting to open kucoin history client")
async def get_ohlc_history(
timeframe: float,
end_dt: datetime | None = None,
start_dt: datetime | None = None,
) -> tuple[np.ndarray, datetime | None, datetime | None]: # start # end
if timeframe != 60:
raise DataUnavailable('Only 1m bars are supported')
raise DataUnavailable("Only 1m bars are supported")
array = await client._get_bars(
symbol,
@ -652,13 +604,14 @@ async def open_history_client(
end_dt=end_dt,
)
times = array['time']
times = array["time"]
if end_dt is None:
inow = round(time.time())
print(
f'difference in time between load and processing {inow - times[-1]}'
f"difference in time between load and processing {inow - times[-1]}"
)
if (inow - times[-1]) > 60:
@ -666,9 +619,6 @@ async def open_history_client(
start_dt = pendulum.from_timestamp(times[0])
end_dt = pendulum.from_timestamp(times[-1])
log.info('History succesfully fetched baby')
return array, start_dt, end_dt
yield get_ohlc_history, {}
yield get_ohlc_history, {"erlangs": 3, "rate": 3}