piker/brokers/binance/api.py

@@ -1,8 +1,8 @@
 # piker: trading gear for hackers
 # Copyright (C)
-#  Guillermo Rodriguez (aka ze jefe)
+#   Guillermo Rodriguez (aka ze jefe)
-#  Tyler Goodlet
+#   Tyler Goodlet
-#  (in stewardship for pikers)
+#   (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
@@ -25,13 +25,14 @@ from __future__ import annotations
 from collections import ChainMap
 from contextlib import (
     asynccontextmanager as acm,
-    AsyncExitStack,
 )
 from datetime import datetime
 from pprint import pformat
 from typing import (
     Any,
     Callable,
+    Hashable,
+    Sequence,
     Type,
 )
 import hmac
@@ -42,7 +43,8 @@ import trio
 from pendulum import (
     now,
 )
-import httpx
+import asks
+from rapidfuzz import process as fuzzy
 import numpy as np
 
 from piker import config
@@ -52,7 +54,6 @@ from piker.clearing._messages import (
 from piker.accounting import (
     Asset,
     digits_to_dec,
-    MktPair,
 )
 from piker.types import Struct
 from piker.data import (
@@ -68,6 +69,7 @@ from .venues import (
     PAIRTYPES,
     Pair,
     MarketType,
+
     _spot_url,
     _futes_url,
     _testnet_futes_url,
@@ -77,18 +79,19 @@ from .venues import (
 log = get_logger('piker.brokers.binance')
 
 
-def get_config() -> dict[str, Any]:
+def get_config() -> dict:
+
     conf: dict
     path: Path
     conf, path = config.load(
         conf_name='brokers',
         touch_if_dne=True,
     )
-    section: dict = conf.get('binance')
+
+    section = conf.get('binance')
+
     if not section:
-        log.warning(
+        log.warning(f'No config section found for binance in {path}')
-            f'No config section found for binance in {path}'
-        )
         return {}
 
     return section
@@ -144,7 +147,7 @@ def binance_timestamp(
 
 class Client:
     '''
-    Async ReST API client using `trio` + `httpx` B)
+    Async ReST API client using ``trio`` + ``asks`` B)
 
     Supports all of the spot, margin and futures endpoints depending
     on method.
@@ -153,17 +156,10 @@ class Client:
     def __init__(
         self,
 
-        venue_sessions: dict[
-            str,  # venue key
-            tuple[httpx.AsyncClient, str]  # session, eps path
-        ],
-        conf: dict[str, Any],
         # TODO: change this to `Client.[mkt_]venue: MarketType`?
         mkt_mode: MarketType = 'spot',
 
     ) -> None:
-        self.conf = conf
-
         # build out pair info tables for each market type
         # and wrap in a chain-map view for search / query.
         self._spot_pairs: dict[str, Pair] = {}  # spot info table
@@ -190,13 +186,44 @@ class Client:
         # market symbols for use by search. See `.exch_info()`.
         self._pairs: ChainMap[str, Pair] = ChainMap()
 
+        # spot EPs sesh
+        self._sesh = asks.Session(connections=4)
+        self._sesh.base_location: str = _spot_url
+        # spot testnet
+        self._test_sesh: asks.Session = asks.Session(connections=4)
+        self._test_sesh.base_location: str = _testnet_spot_url
+
+        # margin and extended spot endpoints session.
+        self._sapi_sesh = asks.Session(connections=4)
+        self._sapi_sesh.base_location: str = _spot_url
+
+        # futes EPs sesh
+        self._fapi_sesh = asks.Session(connections=4)
+        self._fapi_sesh.base_location: str = _futes_url
+        # futes testnet
+        self._test_fapi_sesh: asks.Session = asks.Session(connections=4)
+        self._test_fapi_sesh.base_location: str = _testnet_futes_url
+
         # global client "venue selection" mode.
         # set this when you want to switch venues and not have to
         # specify the venue for the next request.
         self.mkt_mode: MarketType = mkt_mode
 
-        # per-mkt-venue API client table
+        # per 8
-        self.venue_sesh = venue_sessions
+        self.venue_sesh: dict[
+            str,  # venue key
+            tuple[asks.Session, str]  # session, eps path
+        ] = {
+            'spot': (self._sesh, '/api/v3/'),
+            'spot_testnet': (self._test_sesh, '/fapi/v1/'),
+
+            'margin': (self._sapi_sesh, '/sapi/v1/'),
+
+            'usdtm_futes': (self._fapi_sesh, '/fapi/v1/'),
+            'usdtm_futes_testnet': (self._test_fapi_sesh, '/fapi/v1/'),
+
+            # 'futes_coin': self._dapi,  # TODO
+        }
 
         # lookup for going from `.mkt_mode: str` to the config
         # subsection `key: str`
@@ -211,6 +238,40 @@ class Client:
             'futes': ['usdtm_futes'],
         }
 
+        # for creating API keys see,
+        # https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
+        self.conf: dict = get_config()
+
+        for key, subconf in self.conf.items():
+            if api_key := subconf.get('api_key', ''):
+                venue_keys: list[str] = self.confkey2venuekeys[key]
+
+                venue_key: str
+                sesh: asks.Session
+                for venue_key in venue_keys:
+                    sesh, _ = self.venue_sesh[venue_key]
+
+                    api_key_header: dict = {
+                        # taken from official:
+                        # https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
+                        "Content-Type": "application/json;charset=utf-8",
+
+                        # TODO: prolly should just always query and copy
+                        # in the real latest ver?
+                        "User-Agent": "binance-connector/6.1.6smbz6",
+                        "X-MBX-APIKEY": api_key,
+                    }
+                    sesh.headers.update(api_key_header)
+
+                    # if `.use_tesnet = true` in the config then
+                    # also add headers for the testnet session which
+                    # will be used for all order control
+                    if subconf.get('use_testnet', False):
+                        testnet_sesh, _ = self.venue_sesh[
+                            venue_key + '_testnet'
+                        ]
+                        testnet_sesh.headers.update(api_key_header)
+
     def _mk_sig(
         self,
         data: dict,
@@ -229,6 +290,7 @@ class Client:
                 'to define the creds for auth-ed endpoints!?'
             )
 
+
         # XXX: Info on security and authentification
         # https://binance-docs.github.io/apidocs/#endpoint-security-type
         if not (api_secret := subconf.get('api_secret')):
@@ -257,7 +319,7 @@ class Client:
         params: dict,
 
         method: str = 'get',
-        venue: str|None = None,  # if None use `.mkt_mode` state
+        venue: str | None = None,  # if None use `.mkt_mode` state
         signed: bool = False,
         allow_testnet: bool = False,
 
@@ -268,9 +330,8 @@ class Client:
         - /fapi/v3/ USD-M FUTURES, or
         - /api/v3/ SPOT/MARGIN
 
-        account/market endpoint request depending on either passed in
+        account/market endpoint request depending on either passed in `venue: str`
-        `venue: str` or the current setting `.mkt_mode: str` setting,
+        or the current setting `.mkt_mode: str` setting, default `'spot'`.
-        default `'spot'`.
 
 
         Docs per venue API:
@@ -299,6 +360,9 @@ class Client:
                 venue=venue_key,
             )
 
+        sesh: asks.Session
+        path: str
+
         # Check if we're configured to route order requests to the
         # venue equivalent's testnet.
         use_testnet: bool = False
@@ -323,12 +387,11 @@ class Client:
             # ctl machinery B)
             venue_key += '_testnet'
 
-        client: httpx.AsyncClient
+        sesh, path = self.venue_sesh[venue_key]
-        path: str
+
-        client, path = self.venue_sesh[venue_key]
+        meth: Callable = getattr(sesh, method)
-        meth: Callable = getattr(client, method)
         resp = await meth(
-            url=path + endpoint,
+            path=path + endpoint,
             params=params,
             timeout=float('inf'),
         )
@@ -370,15 +433,7 @@ class Client:
                 item['filters'] = filters
 
             pair_type: Type = PAIRTYPES[venue]
-            try:
+            pair: Pair = pair_type(**item)
-                pair: Pair = pair_type(**item)
-            except Exception as e:
-                e.add_note(
-                    "\nDon't panic, prolly stupid binance changed their symbology schema again..\n"
-                    'Check out their API docs here:\n\n'
-                    'https://binance-docs.github.io/apidocs/spot/en/#exchange-information'
-                )
-                raise
             pair_table[pair.symbol.upper()] = pair
 
             # update an additional top-level-cross-venue-table
@@ -473,9 +528,7 @@ class Client:
 
         '''
         pair_table: dict[str, Pair] = self._venue2pairs[
-            venue
+            venue or self.mkt_mode
-            or
-            self.mkt_mode
         ]
         if (
             expiry
@@ -494,9 +547,9 @@ class Client:
             venues: list[str] = [venue]
 
         # batch per-venue download of all exchange infos
-        async with trio.open_nursery() as tn:
+        async with trio.open_nursery() as rn:
             for ven in venues:
-                tn.start_soon(
+                rn.start_soon(
                     self._cache_pairs,
                     ven,
                 )
@@ -549,11 +602,11 @@ class Client:
 
     ) -> dict[str, Any]:
 
-        fq_pairs: dict[str, Pair] = await self.exch_info()
+        fq_pairs: dict = await self.exch_info()
 
         # TODO: cache this list like we were in
         # `open_symbol_search()`?
-        # keys: list[str] = list(fq_pairs)
+        keys: list[str] = list(fq_pairs)
 
         return match_from_pairs(
             pairs=fq_pairs,
@@ -561,19 +614,9 @@ class Client:
             score_cutoff=50,
         )
 
-    def pair2venuekey(
-        self,
-        pair: Pair,
-    ) -> str:
-        return {
-            'USDTM': 'usdtm_futes',
-            # 'COINM': 'coin_futes',
-            # ^-TODO-^ bc someone might want it..?
-        }[pair.venue]
-
     async def bars(
         self,
-        mkt: MktPair,
+        symbol: str,
 
         start_dt: datetime | None = None,
         end_dt: datetime | None = None,
@@ -603,20 +646,16 @@ class Client:
         start_time = binance_timestamp(start_dt)
         end_time = binance_timestamp(end_dt)
 
-        bs_pair: Pair = self._pairs[mkt.bs_fqme.upper()]
-
         # https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
         bars = await self._api(
             'klines',
             params={
-                # NOTE: always query using their native symbology!
+                'symbol': symbol.upper(),
-                'symbol': mkt.bs_mktid.upper(),
                 'interval': '1m',
                 'startTime': start_time,
                 'endTime': end_time,
                 'limit': limit
             },
-            venue=self.pair2venuekey(bs_pair),
             allow_testnet=False,
         )
         new_bars: list[tuple] = []
@@ -933,148 +972,17 @@ class Client:
         await self.close_listen_key(key)
 
 
-_venue_urls: dict[str, str] = {
-    'spot': (
-        _spot_url,
-        '/api/v3/',
-    ),
-    'spot_testnet': (
-        _testnet_spot_url,
-        '/fapi/v1/'
-    ),
-    # margin and extended spot endpoints session.
-    # TODO: did this ever get implemented fully?
-    # 'margin': (
-    #     _spot_url,
-    #     '/sapi/v1/'
-    # ),
-
-    'usdtm_futes': (
-        _futes_url,
-        '/fapi/v1/',
-    ),
-
-    'usdtm_futes_testnet': (
-        _testnet_futes_url,
-        '/fapi/v1/',
-    ),
-
-    # TODO: for anyone who actually needs it ;P
-    # 'coin_futes': ()
-}
-
-
-def init_api_keys(
-    client: Client,
-    conf: dict[str, Any],
-) -> None:
-    '''
-    Set up per-venue API keys each http client according to the user's
-    `brokers.conf`.
-
-    For ex, to use spot-testnet and live usdt futures APIs:
-
-    ```toml
-        [binance]
-        # spot test net
-        spot.use_testnet = true
-        spot.api_key = '<spot_api_key_from_binance_account>'
-        spot.api_secret = '<spot_api_key_password>'
-
-        # futes live
-        futes.use_testnet = false
-        accounts.usdtm = 'futes'
-        futes.api_key = '<futes_api_key_from_binance>'
-        futes.api_secret = '<futes_api_key_password>''
-
-        # if uncommented will use the built-in paper engine and not
-        # connect to `binance` API servers for order ctl.
-        # accounts.paper = 'paper'
-    ```
-
-    '''
-    for key, subconf in conf.items():
-        if api_key := subconf.get('api_key', ''):
-            venue_keys: list[str] = client.confkey2venuekeys[key]
-
-            venue_key: str
-            client: httpx.AsyncClient
-            for venue_key in venue_keys:
-                client, _ = client.venue_sesh[venue_key]
-
-                api_key_header: dict = {
-                    # taken from official:
-                    # https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
-                    "Content-Type": "application/json;charset=utf-8",
-
-                    # TODO: prolly should just always query and copy
-                    # in the real latest ver?
-                    "User-Agent": "binance-connector/6.1.6smbz6",
-                    "X-MBX-APIKEY": api_key,
-                }
-                client.headers.update(api_key_header)
-
-                # if `.use_tesnet = true` in the config then
-                # also add headers for the testnet session which
-                # will be used for all order control
-                if subconf.get('use_testnet', False):
-                    testnet_sesh, _ = client.venue_sesh[
-                        venue_key + '_testnet'
-                    ]
-                    testnet_sesh.headers.update(api_key_header)
-
-
 @acm
-async def get_client(
+async def get_client() -> Client:
-    mkt_mode: MarketType = 'spot',
-) -> Client:
-    '''
-    Construct an single `piker` client which composes multiple underlying venue
-    specific API clients both for live and test networks.
 
-    '''
+    client = Client()
-    venue_sessions: dict[
+    await client.exch_info()
-        str,  # venue key
+    log.info(
-        tuple[httpx.AsyncClient, str]  # session, eps path
+        f'{client} in {client.mkt_mode} mode: caching exchange infos..\n'
-    ] = {}
+        'Cached multi-market pairs:\n'
-    async with AsyncExitStack() as client_stack:
+        f'spot: {len(client._spot_pairs)}\n'
-        for name, (base_url, path) in _venue_urls.items():
+        f'usdtm_futes: {len(client._ufutes_pairs)}\n'
-            api: httpx.AsyncClient = await client_stack.enter_async_context(
+        f'Total: {len(client._pairs)}\n'
-                httpx.AsyncClient(
+    )
-                    base_url=base_url,
-                    # headers={},
 
-                    # TODO: is there a way to numerate this?
+    yield client
-                    # https://www.python-httpx.org/advanced/clients/#why-use-a-client
-                    # connections=4
-                )
-            )
-            venue_sessions[name] = (
-                api,
-                path,
-            )
-
-        conf: dict[str, Any] = get_config()
-        # for creating API keys see,
-        # https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
-        client = Client(
-            venue_sessions=venue_sessions,
-            conf=conf,
-            mkt_mode=mkt_mode,
-        )
-        init_api_keys(
-            client=client,
-            conf=conf,
-        )
-        fq_pairs: dict[str, Pair] = await client.exch_info()
-        assert fq_pairs
-        log.info(
-            f'Loaded multi-venue `Client` in mkt_mode={client.mkt_mode!r}\n\n'
-            f'Symbology Summary:\n'
-            f'------ - ------\n'
-            f'spot: {len(client._spot_pairs)}\n'
-            f'usdtm_futes: {len(client._ufutes_pairs)}\n'
-            '------ - ------\n'
-            f'total: {len(client._pairs)}\n'
-        )
-        yield client

piker/brokers/binance/broker.py

@@ -264,20 +264,15 @@ async def open_trade_dialog(
     # do a open_symcache() call.. though maybe we can hide
     # this in a new async version of open_account()?
     async with open_cached_client('binance') as client:
-        subconf: dict|None = client.conf.get(venue_name)
+        subconf: dict = client.conf[venue_name]
+        use_testnet = subconf.get('use_testnet', False)
 
         # XXX: if no futes.api_key or spot.api_key has been set we
         # always fall back to the paper engine!
-        if (
+        if not subconf.get('api_key'):
-            not subconf
-            or
-            not subconf.get('api_key')
-        ):
             await ctx.started('paper')
             return
 
-        use_testnet: bool = subconf.get('use_testnet', False)
-
     async with (
         open_cached_client('binance') as client,
     ):

piker/brokers/binance/feed.py

@@ -48,7 +48,6 @@ import tractor
 
 from piker.brokers import (
     open_cached_client,
-    NoData,
 )
 from piker._cacheables import (
     async_lifo_cache,
@@ -253,30 +252,24 @@ async def open_history_client(
             else:
                 client.mkt_mode = 'spot'
 
-            array: np.ndarray = await client.bars(
+            # NOTE: always query using their native symbology!
-                mkt=mkt,
+            mktid: str = mkt.bs_mktid
+            array = await client.bars(
+                mktid,
                 start_dt=start_dt,
                 end_dt=end_dt,
             )
-            if array.size == 0:
-                raise NoData(
-                    f'No frame for {start_dt} -> {end_dt}\n'
-                )
-
             times = array['time']
-            if not times.any():
+            if (
-                raise ValueError(
+                end_dt is None
-                    'Bad frame with null-times?\n\n'
+            ):
-                    f'{times}'
+                inow = round(time.time())
-                )
-
-            if end_dt is None:
-                inow: int = round(time.time())
                 if (inow - times[-1]) > 60:
                     await tractor.pause()
 
             start_dt = from_timestamp(times[0])
             end_dt = from_timestamp(times[-1])
+
             return array, start_dt, end_dt
 
         yield get_ohlc, {'erlangs': 3, 'rate': 3}

piker/brokers/binance/venues.py

@@ -137,12 +137,10 @@ class SpotPair(Pair, frozen=True):
     quoteOrderQtyMarketAllowed: bool
     isSpotTradingAllowed: bool
     isMarginTradingAllowed: bool
-    otoAllowed: bool
 
     defaultSelfTradePreventionMode: str
     allowedSelfTradePreventionModes: list[str]
     permissions: list[str]
-    permissionSets: list[list[str]]
 
     # NOTE: see `.data._symcache.SymbologyCache.load()` for why
     ns_path: str = 'piker.brokers.binance:SpotPair'