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9ea9603037
...
b72f85433a
piker/brokers
|
@ -543,7 +543,7 @@ async def stream_quotes(
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# TODO: use ``anext()`` when it lands in 3.10!
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typ, quote = await msg_gen.__anext__()
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task_status.started((init_msgs, quote))
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task_status.started((init_msgs, quote))
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# signal to caller feed is ready for consumption
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feed_is_live.set()
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@ -1,3 +1,4 @@
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# piker: trading gear for hackers
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# Copyright (C) Jared Goldman (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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@ -13,10 +14,10 @@
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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"""
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Kucoin broker backend
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'''
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"""
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from random import randint
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from typing import Any, Callable, Optional, Literal, AsyncGenerator
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@ -51,14 +52,14 @@ from ..data._web_bs import (
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log = get_logger(__name__)
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_ohlc_dtype = [
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('index', int),
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('time', int),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('volume', float),
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('bar_wap', float), # will be zeroed by sampler if not filled
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("index", int),
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("time", int),
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("open", float),
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("high", float),
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("low", float),
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("close", float),
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("volume", float),
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("bar_wap", float), # will be zeroed by sampler if not filled
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]
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@ -67,7 +68,6 @@ class KucoinMktPair(Struct, frozen=True):
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Kucoin's pair format
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'''
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baseCurrency: str
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baseIncrement: float
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baseMaxSize: float
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@ -92,7 +92,6 @@ class AccountTrade(Struct, frozen=True):
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Historical trade format
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'''
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id: str
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currency: str
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amount: float
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@ -100,7 +99,7 @@ class AccountTrade(Struct, frozen=True):
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balance: float
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accountType: str
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bizType: str
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direction: Literal['in', 'out']
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direction: Literal["in", "out"]
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createdAt: float
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context: list[str]
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@ -118,7 +117,6 @@ class KucoinTrade(Struct, frozen=True):
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Real-time trade format
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'''
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bestAsk: float
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bestAskSize: float
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bestBid: float
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@ -129,37 +127,26 @@ class KucoinTrade(Struct, frozen=True):
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time: float
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class KucoinL2(Struct, frozen=True):
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'''
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Real-time L2 order book format
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'''
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asks: list[list[float]]
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bids: list[list[float]]
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timestamp: float
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class KucoinMsg(Struct, frozen=True):
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type: str
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topic: str
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subject: str
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data: list[KucoinTrade | KucoinL2]
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class BrokerConfig(Struct, frozen=True):
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key_id: str
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key_secret: str
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key_passphrase: str
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class KucoinTradeMsg(Struct, frozen=True):
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type: str
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topic: str
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subject: str
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data: list[KucoinTrade]
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def get_config() -> BrokerConfig | None:
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conf, path = config.load()
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section = conf.get('kucoin')
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section = conf.get("kucoin")
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if section is None:
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log.warning('No config section found for kucoin in config')
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log.warning("No config section found for kucoin in config")
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return None
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return BrokerConfig(**section)
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@ -176,18 +163,19 @@ class Client:
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config: BrokerConfig | None = get_config()
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if config and config.key_id and config.key_secret and config.key_passphrase:
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if (
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config and float(config.key_id) and config.key_secret and config.key_passphrase
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):
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self._authenticated = True
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self._key_id = config.key_id
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self._key_secret = config.key_secret
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self._key_passphrase = config.key_passphrase
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log.info('User credentials added')
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def _gen_auth_req_headers(
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self,
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action: Literal['POST', 'GET'],
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action: Literal["POST", "GET"],
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endpoint: str,
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api_v: str = 'v2',
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api_v: str = "v2",
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) -> dict[str, str | bytes]:
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'''
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Generate authenticated request headers
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@ -195,39 +183,39 @@ class Client:
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'''
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now = int(time.time() * 1000)
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path = f'/api/{api_v}{endpoint}'
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path = f"/api/{api_v}{endpoint}"
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str_to_sign = str(now) + action + path
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signature = base64.b64encode(
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hmac.new(
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self._key_secret.encode('utf-8'),
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str_to_sign.encode('utf-8'),
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self._key_secret.encode("utf-8"),
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str_to_sign.encode("utf-8"),
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hashlib.sha256,
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).digest()
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)
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passphrase = base64.b64encode(
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hmac.new(
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self._key_secret.encode('utf-8'),
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self._key_passphrase.encode('utf-8'),
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self._key_secret.encode("utf-8"),
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self._key_passphrase.encode("utf-8"),
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hashlib.sha256,
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).digest()
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)
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return {
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'KC-API-SIGN': signature,
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'KC-API-TIMESTAMP': str(now),
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'KC-API-KEY': self._key_id,
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'KC-API-PASSPHRASE': passphrase,
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"KC-API-SIGN": signature,
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"KC-API-TIMESTAMP": str(now),
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"KC-API-KEY": self._key_id,
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"KC-API-PASSPHRASE": passphrase,
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# XXX: Even if using the v1 api - this stays the same
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'KC-API-KEY-VERSION': '2',
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"KC-API-KEY-VERSION": "2",
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}
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async def _request(
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self,
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action: Literal['POST', 'GET'],
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action: Literal["POST", "GET"],
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endpoint: str,
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api_v: str = 'v2',
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api_v: str = "v2",
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headers: dict = {},
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) -> Any:
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'''
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@ -237,29 +225,34 @@ class Client:
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if self._authenticated:
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headers = self._gen_auth_req_headers(action, endpoint, api_v)
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api_url = f'https://api.kucoin.com/api/{api_v}{endpoint}'
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api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
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res = await asks.request(action, api_url, headers=headers)
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if 'data' in res.json():
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return res.json()['data']
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if "data" in res.json():
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return res.json()["data"]
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else:
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log.error(f'Error making request to {api_url} -> {res.json()["msg"]}')
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return res.json()['msg']
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return res.json()["msg"]
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async def _get_ws_token(self, private: bool = False) -> tuple[str, int] | None:
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async def _get_ws_token(
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self,
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private: bool = False
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) -> tuple[str, int] | None:
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'''
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Fetch ws token needed for sub access
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'''
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token_type = 'private' if private else 'public'
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token_type = "private" if private else "public"
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data: dict[str, Any] | None = await self._request(
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'POST', f'/bullet-{token_type}', 'v1'
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"POST",
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f"/bullet-{token_type}",
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"v1"
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)
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if data and 'token' in data:
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ping_interval: int = data['instanceServers'][0]['pingInterval']
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return data['token'], ping_interval
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if data and "token" in data:
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ping_interval: int = data["instanceServers"][0]["pingInterval"]
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return data["token"], ping_interval
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elif data:
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log.error(
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f'Error making request for Kucoin ws token -> {data.json()["msg"]}'
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@ -271,10 +264,8 @@ class Client:
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if self._pairs:
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return self._pairs
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entries = await self._request('GET', '/symbols')
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syms = {item['name']: KucoinMktPair(**item) for item in entries}
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log.info('Kucoin market pairs fetches')
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entries = await self._request("GET", "/symbols")
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syms = {item["name"]: KucoinMktPair(**item) for item in entries}
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return syms
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async def cache_pairs(
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@ -294,14 +285,14 @@ class Client:
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def _normalize_pairs(
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self, pairs: dict[str, KucoinMktPair]
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) -> dict[str, KucoinMktPair]:
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'''
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"""
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Map kucoin pairs to fqsn strings
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'''
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"""
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norm_pairs = {}
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for key, value in pairs.items():
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fqsn = key.lower().replace('-', '')
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fqsn = key.lower().replace("-", "")
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norm_pairs[fqsn] = value
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return norm_pairs
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@ -318,7 +309,7 @@ class Client:
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return {kucoin_sym_to_fqsn(item[0].name): item[0] for item in matches}
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async def last_trades(self, sym: str) -> list[AccountTrade]:
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trades = await self._request('GET', f'/accounts/ledgers?currency={sym}', 'v1')
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trades = await self._request("GET", f"/accounts/ledgers?currency={sym}", "v1")
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trades = AccountResponse(**trades)
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return trades.items
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@ -329,38 +320,38 @@ class Client:
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end_dt: Optional[datetime] = None,
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limit: int = 1000,
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as_np: bool = True,
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type: str = '1min',
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type: str = "1min",
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) -> np.ndarray:
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'''
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Get OHLC data and convert to numpy array for perffff
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'''
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# Generate generic end and start time if values not passed
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# Currently gives us 12hrs of data
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if end_dt is None:
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end_dt = pendulum.now('UTC').add(minutes=1)
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end_dt = pendulum.now("UTC").add(minutes=1)
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if start_dt is None:
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start_dt = end_dt.start_of('minute').subtract(minutes=limit)
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start_dt = int(start_dt.timestamp())
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end_dt = int(end_dt.timestamp())
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start_dt = end_dt.start_of("minute").subtract(minutes=limit)
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# Format datetime to unix timestamp
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start_dt = math.trunc(time.mktime(start_dt.timetuple()))
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end_dt = math.trunc(time.mktime(end_dt.timetuple()))
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kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
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url = f'/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}'
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url = f"/market/candles?type={type}&symbol={kucoin_sym}&startAt={start_dt}&endAt={end_dt}"
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bars = []
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for i in range(10):
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data = await self._request(
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'GET',
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"GET",
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url,
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api_v='v1',
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api_v="v1",
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)
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if not isinstance(data, list):
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# Do a gradual backoff if Kucoin is rate limiting us
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backoff_interval = i
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backoff_interval = i + (randint(0, 1000) / 1000)
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log.warn(f'History call failed, backing off for {backoff_interval}s')
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await trio.sleep(backoff_interval)
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else:
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|
@ -370,58 +361,64 @@ class Client:
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# Map to OHLC values to dict then to np array
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new_bars = []
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for i, bar in enumerate(bars[::-1]):
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data = {
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'index': i,
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'time': bar[0],
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'open': bar[1],
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'close': bar[2],
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'high': bar[3],
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'low': bar[4],
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'volume': bar[5],
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'amount': bar[6],
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'bar_wap': 0.0,
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"index": i,
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"time": bar[0],
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"open": bar[1],
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"close": bar[2],
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"high": bar[3],
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"low": bar[4],
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"volume": bar[5],
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"amount": bar[6],
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"bar_wap": 0.0,
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}
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row = []
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for _, (field_name, field_type) in enumerate(_ohlc_dtype):
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for j, (field_name, field_type) in enumerate(_ohlc_dtype):
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value = data[field_name]
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match field_name:
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case 'index':
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case "index" | "time":
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row.append(int(value))
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case 'time':
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row.append(value)
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case _:
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row.append(float(value))
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new_bars.append(tuple(row))
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|
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
|
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self._bars = array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
|
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return array
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|
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|
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def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
|
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def fqsn_to_kucoin_sym(
|
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fqsn: str,
|
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pairs: dict[str, KucoinMktPair]
|
||||
|
||||
|
||||
) -> str:
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pair_data = pairs[fqsn]
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return pair_data.baseCurrency + '-' + pair_data.quoteCurrency
|
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return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
|
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|
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|
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def kucoin_sym_to_fqsn(sym: str) -> str:
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return sym.lower().replace('-', '')
|
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return sym.lower().replace("-", "")
|
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|
||||
|
||||
@acm
|
||||
@ acm
|
||||
async def get_client() -> AsyncGenerator[Client, None]:
|
||||
|
||||
client = Client()
|
||||
await client.cache_pairs()
|
||||
|
||||
yield client
|
||||
|
||||
|
||||
@tractor.context
|
||||
@ tractor.context
|
||||
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':
|
||||
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,
|
||||
}
|
||||
def make_sub(sym, connect_id) -> dict[str, str | bool]:
|
||||
return {
|
||||
"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:
|
||||
continue
|
||||
trade_msg = KucoinTradeMsg(**msg)
|
||||
trade_data = KucoinTrade(**trade_msg.data)
|
||||
|
||||
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,
|
||||
}
|
||||
],
|
||||
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,
|
||||
}
|
||||
],
|
||||
}
|
||||
|
||||
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]),
|
||||
},
|
||||
],
|
||||
}
|
||||
else:
|
||||
continue
|
||||
|
||||
|
||||
@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}
|
||||
|
|
Loading…
Reference in New Issue