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/deribit/api.py

@@ -28,8 +28,6 @@ from decimal import (
     Decimal,
 )
 from functools import partial
-from pathlib import Path
-from pprint import pformat
 import time
 from typing import (
     Any,
@@ -39,6 +37,8 @@ from typing import (
 
 from pendulum import now
 import trio
+from trio_typing import TaskStatus
+from rapidfuzz import process as fuzzy
 import numpy as np
 from tractor.trionics import (
     broadcast_receiver,
@@ -55,11 +55,8 @@ from cryptofeed.defines import (
     OPTION, CALL, PUT
 )
 from cryptofeed.symbols import Symbol
-from cryptofeed.types import (
+# types for managing the cb callbacks.
-    L1Book,
+# from cryptofeed.types import L1Book
-    Trade,
-)
-from piker.brokers import SymbolNotFound
 from .venues import (
     _ws_url,
     MarketType,
@@ -67,7 +64,9 @@ from .venues import (
     Pair,
     OptionPair,
     JSONRPCResult,
+    JSONRPCChannel,
     KLinesResult,
+    Trade,
     LastTradesResult,
 )
 from piker.accounting import (
@@ -78,7 +77,7 @@ from piker.accounting import (
 from piker.data import (
     def_iohlcv_fields,
     match_from_pairs,
-    # Struct,
+    Struct,
 )
 from piker.data._web_bs import (
     open_jsonrpc_session
@@ -97,17 +96,9 @@ _spawn_kwargs = {
 }
 
 
-def deribit_timestamp(when: datetime) -> int:
+# convert datetime obj timestamp to unixtime in milliseconds
-    '''
+def deribit_timestamp(when):
-    Convert conventional epoch timestamp, in secs, to unixtime in
+    return int((when.timestamp() * 1000) + (when.microsecond / 1000))
-    milliseconds.
-
-    '''
-    return int(
-        (when.timestamp() * 1000)
-        +
-        (when.microsecond / 1000)
-    )
 
 
 def str_to_cb_sym(name: str) -> Symbol:
@@ -130,20 +121,14 @@ def str_to_cb_sym(name: str) -> Symbol:
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=new_expiry_date
+        expiry_date=new_expiry_date)
-    )
 
 
 def piker_sym_to_cb_sym(name: str) -> Symbol:
-    (
+    base, expiry_date, strike_price, option_type = tuple(
-        base,
-        expiry_date,
-        strike_price,
-        option_type,
-    )= tuple(
         name.upper().split('-'))
 
-    quote: str = base
+    quote = base
 
     if option_type == 'P':
         option_type = PUT 
@@ -158,32 +143,14 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=expiry_date
+        expiry_date=expiry_date)
-    )
 
 
-# TODO, instead can't we just lookup the `MktPair` directly
+def cb_sym_to_deribit_inst(sym: Symbol):
-# and pass it upward to `stream_quotes()`??
-def cb_sym_to_deribit_inst(sym: Symbol) -> str:
-    '''
-    Generate our own internal `str`-repr for a `cryptofeed.Symbol`
-    uniquely from its fields.
-
-    This is the equiv of generating a `Pair.fmqe` from `cryptofeed`
-    for now i suppose..?
-
-    '''
     new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
-    otype = (
+    otype = 'C' if sym.option_type == CALL else 'P'
-        'C' if sym.option_type == CALL
+
-        else 'P'
+    return f'{sym.base}-{new_expiry_date}-{sym.strike_price}-{otype}'
-    )
-    return (
-        f'{sym.base}-'
-        f'{new_expiry_date}-'
-        f'{sym.strike_price}-'
-        f'{otype}'
-    )
 
 
 def get_values_from_cb_normalized_date(expiry_date: str) -> str:
@@ -212,18 +179,16 @@ def get_config() -> dict[str, Any]:
 
     conf: dict
     path: Path
+
     conf, path = config.load(
         conf_name='brokers',
         touch_if_dne=True,
     )
-    section: dict|None = conf.get('deribit')
+    section: dict = {}
+    section = conf.get('deribit')
     if section is None:
-        raise ValueError(
+        log.warning(f'No config section found for deribit in {path}')
-            f'No `[deribit]` section found in\n'
+        return {}
-            f'{path!r}\n\n'
-            f'See the template config from the core repo for samples..\n'
-            # f'<TODO put repo link here??>'
-        )
 
     conf_option = section.get('option', {})
     section.clear # clear the dict to reuse it
@@ -239,10 +204,7 @@ def get_config() -> dict[str, Any]:
 
 
 class Client:
-    '''
-    Hi-level interface for the jsron-RPC over websocket API.
 
-    '''
     def __init__(
         self,
 
@@ -261,12 +223,8 @@ class Client:
         self._auth_ts = None
         self._auth_renew_ts = 5 # seconds to renew auth
 
-    async def _json_rpc_auth_wrapper(
+    async def _json_rpc_auth_wrapper(self, *args, **kwargs) -> JSONRPCResult:
-        self,
+        
-        *args,
-        **kwargs,
-    ) -> JSONRPCResult:
-
         """Background task that adquires a first access token and then will
         refresh the access token.
 
@@ -292,6 +250,9 @@ class Client:
 
         return await self.json_rpc(*args, **kwargs)
 
+
+
+
     async def get_balances(
         self,
         kind: str = 'option'
@@ -316,29 +277,23 @@ class Client:
         venue: str | None = None,
 
     ) -> dict[str, Asset]:
-        '''
+        """Return the set of asset balances for this account
-        Return the set of asset balances for this account
+        by symbol.
-        by (deribit's) symbol.
+        """
-
-
-        '''
         assets = {}
         resp = await self._json_rpc_auth_wrapper(
             'public/get_currencies',
             params={}
         )
-        currencies: list[dict] = resp.result
+        currencies = resp.result
         for currency in currencies:
-            name: str = currency['currency']
+            name = currency['currency']
-            tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
+            tx_tick = digits_to_dec(currency['fee_precision']) 
-
+            atype='crypto_currency'
-            # TODO, handling of options, futures, perps etc. more
-            # specifically with diff `.atype`s?
             assets[name] = Asset(
                 name=name,
-                atype='crypto_currency',
+                atype=atype,
-                tx_tick=tx_tick,
+                tx_tick=tx_tick)
-            )
 
             instruments = await self.symbol_info(currency=name)
             for instrument in instruments:
@@ -346,10 +301,9 @@ class Client:
                 assets[pair.symbol] = Asset(
                     name=pair.symbol,
                     atype=pair.venue,
-                    tx_tick=pair.size_tick,
+                    tx_tick=pair.size_tick)
-                )
 
-        return assets
+        return assets 
 
     async def get_mkt_pairs(self) -> dict[str, Pair]:
         flat: dict[str, Pair] = {}
@@ -404,19 +358,6 @@ class Client:
             return cached_pair
 
         if sym:
-            opt: OptionPair|None = pair_table.get(sym)
-            if not opt:
-                closest_matches: dict[str, Pair] = match_from_pairs(
-                    pairs=pair_table,
-                    query=sym,
-                    score_cutoff=40,
-                )
-                closest_syms: list[str] = list(closest_matches.keys())
-                raise ValueError(
-                    f'No contract found for {sym!r}\n\n'
-                    f'Closest {len(closest_syms)} available contracts:\n\n'
-                    f'{pformat(closest_syms)}\n'
-                )
             return pair_table[sym]
         else:
             return self._pairs
@@ -440,7 +381,7 @@ class Client:
         params: dict[str, str] = {
             'currency': currency.upper(),
             'kind': kind,
-            'expired': expired,
+            'expired': str(expired).lower()
         }
 
         resp: JSONRPCResult = await self._json_rpc_auth_wrapper(
@@ -448,9 +389,9 @@ class Client:
             params,
         )
         # convert to symbol-keyed table
-        pair_type: Pair = PAIRTYPES[kind]
+        pair_type: Type = PAIRTYPES[kind]
         results: list[dict] | None = resp.result
-
+        
         instruments: dict[str, Pair] = {}
         for item in results:
             symbol=item['instrument_name'].lower()
@@ -486,15 +427,12 @@ class Client:
         mkt_pairs = await self.symbol_info()
 
         if not mkt_pairs:
-            raise SymbolNotFound(
+            raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
-                f'No market pairs found!?:\n'
-                f'{mkt_pairs}'
-            )
 
         pairs_view_subtable: dict[str, Pair] = {}
 
         for instrument in mkt_pairs:
-            pair_type: Pair|OptionPair = PAIRTYPES[venue]
+            pair_type: Type = PAIRTYPES[venue]
 
             pair: Pair = pair_type(**mkt_pairs[instrument].to_dict())
 
@@ -542,14 +480,12 @@ class Client:
         if end_dt is None:
             end_dt = now('UTC')
 
-        _orig_start_dt = start_dt
         if start_dt is None:
             start_dt = end_dt.start_of(
-                'minute'
+                'minute').subtract(minutes=limit)
-            ).subtract(minutes=limit)
 
-        start_time: int = deribit_timestamp(start_dt)
+        start_time = deribit_timestamp(start_dt)
-        end_time: int = deribit_timestamp(end_dt)
+        end_time = deribit_timestamp(end_dt)
 
         # https://docs.deribit.com/#public-get_tradingview_chart_data
         resp = await self._json_rpc_auth_wrapper(
@@ -563,13 +499,9 @@ class Client:
 
         result = KLinesResult(**resp.result)
         new_bars: list[tuple] = []
-        # if _orig_start_dt is None:
-        # if not new_bars:
-        #     import tractor
-        #     await tractor.pause()
-
         for i in range(len(result.close)):
-            row = [
+
+            row = [ 
                 (start_time + (i * (60 * 1000))) / 1000.0,  # time
                 result.open[i],
                 result.high[i],
@@ -622,7 +554,7 @@ async def get_client(
 
 
 @acm
-async def open_feed_handler() -> FeedHandler:
+async def open_feed_handler():
     fh = FeedHandler(config=get_config())
     yield fh
     await to_asyncio.run_task(fh.stop_async)
@@ -643,37 +575,43 @@ async def aio_price_feed_relay(
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
-    '''
+    async def _trade(data: dict, receipt_timestamp):
-    Relay price feed quotes from the `cryptofeed.FeedHandler` to
+        to_trio.send_nowait(('trade', {
-    the `piker`-side `trio.task` consumers for delivery to consumer
+            'symbol': cb_sym_to_deribit_inst(
-    sub-actors for various subsystems.
+                str_to_cb_sym(data.symbol)).lower(),
-
+            'last': data,
-    '''
+            'broker_ts': time.time(),
-    async def _trade(
+            'data': data.to_dict(),
-        trade: Trade,  # cryptofeed, NOT ours from `.venues`!
+            'receipt': receipt_timestamp
-        receipt_timestamp: int,
+        }))
-    ) -> None:
-        '''
-        Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side.
-
-        '''
-        to_trio.send_nowait(('trade', trade))
-
-    async def _l1(
-        book: L1Book,
-        receipt_timestamp: int,
-    ) -> None:
-        '''
-        Relay-thru "l1 book" updates.
-
-        '''
-
-        to_trio.send_nowait(('l1', book))
-
-        # TODO, make this work!
-        # -[ ] why isn't this working in `tractor.pause_from_sync()`??
-        # breakpoint()
 
+    async def _l1(data: dict, receipt_timestamp):
+        to_trio.send_nowait(('l1', {
+            'symbol': cb_sym_to_deribit_inst(
+                str_to_cb_sym(data.symbol)).lower(),
+            'ticks': [
+                {
+                    'type': 'bid',
+                    'price': float(data.bid_price),
+                    'size': float(data.bid_size)
+                },
+                {
+                    'type': 'bsize',
+                    'price': float(data.bid_price),
+                    'size': float(data.bid_size)
+                },
+                {
+                    'type': 'ask',
+                    'price': float(data.ask_price),
+                    'size': float(data.ask_size)
+                },
+                {
+                    'type': 'asize',
+                    'price': float(data.ask_price),
+                    'size': float(data.ask_size)
+                }
+            ]
+        }))
     sym: Symbol = piker_sym_to_cb_sym(instrument)
     fh.add_feed(
         DERIBIT,
@@ -687,35 +625,27 @@ async def aio_price_feed_relay(
     if not fh.running:
         fh.run(
             start_loop=False,
-            install_signal_handlers=False
+            install_signal_handlers=False)
-        )
 
     # sync with trio
     to_trio.send_nowait(None)
 
-    # run until cancelled
     await asyncio.sleep(float('inf'))
 
 
 @acm
 async def open_price_feed(
     instrument: str
-) -> to_asyncio.LinkedTaskChannel:
+) -> trio.abc.ReceiveStream:
-
+    async with maybe_open_feed_handler() as fh:
-    fh: FeedHandler
+        async with to_asyncio.open_channel_from(
-    first: None
-    chan: to_asyncio.LinkedTaskChannel
-    async with (
-        maybe_open_feed_handler() as fh,
-        to_asyncio.open_channel_from(
             partial(
                 aio_price_feed_relay,
                 fh,
                 instrument
             )
-        ) as (first, chan)
+        ) as (first, chan):
-    ):
+            yield chan
-        yield chan
 
 
 @acm
@@ -724,7 +654,6 @@ async def maybe_open_price_feed(
 ) -> trio.abc.ReceiveStream:
 
     # TODO: add a predicate to maybe_open_context
-    feed: to_asyncio.LinkedTaskChannel
     async with maybe_open_context(
         acm_func=open_price_feed,
         kwargs={
@@ -739,69 +668,68 @@ async def maybe_open_price_feed(
 
 
 
-# TODO, move all to `.broker` submod!
+async def aio_order_feed_relay(
-# async def aio_order_feed_relay(
+    fh: FeedHandler,
-#     fh: FeedHandler,
+    instrument: Symbol,
-#     instrument: Symbol,
+    from_trio: asyncio.Queue,
-#     from_trio: asyncio.Queue,
+    to_trio: trio.abc.SendChannel,
-#     to_trio: trio.abc.SendChannel,
+) -> None:
-# ) -> None:
+    async def _fill(data: dict, receipt_timestamp):
-#     async def _fill(data: dict, receipt_timestamp):
+        breakpoint()
-#         breakpoint()
 
-#     async def _order_info(data: dict, receipt_timestamp):
+    async def _order_info(data: dict, receipt_timestamp):
-#         breakpoint()
+        breakpoint()
 
-#     fh.add_feed(
+    fh.add_feed(
-#         DERIBIT,
+        DERIBIT,
-#         channels=[FILLS, ORDER_INFO],
+        channels=[FILLS, ORDER_INFO],
-#         symbols=[instrument.upper()],
+        symbols=[instrument.upper()],
-#         callbacks={
+        callbacks={
-#             FILLS: _fill,
+            FILLS: _fill,
-#             ORDER_INFO: _order_info,
+            ORDER_INFO: _order_info,
-#         })
+        })
 
-#     if not fh.running:
+    if not fh.running:
-#         fh.run(
+        fh.run(
-#             start_loop=False,
+            start_loop=False,
-#             install_signal_handlers=False)
+            install_signal_handlers=False)
 
-#     # sync with trio
+    # sync with trio
-#     to_trio.send_nowait(None)
+    to_trio.send_nowait(None)
 
-#     await asyncio.sleep(float('inf'))
+    await asyncio.sleep(float('inf'))
 
 
-# @acm
+@acm
-# async def open_order_feed(
+async def open_order_feed(
-#     instrument: list[str]
+    instrument: list[str]
-# ) -> trio.abc.ReceiveStream:
+) -> trio.abc.ReceiveStream:
-#     async with maybe_open_feed_handler() as fh:
+    async with maybe_open_feed_handler() as fh:
-#         async with to_asyncio.open_channel_from(
+        async with to_asyncio.open_channel_from(
-#             partial(
+            partial(
-#                 aio_order_feed_relay,
+                aio_order_feed_relay,
-#                 fh,
+                fh,
-#                 instrument
+                instrument
-#             )
+            )
-#         ) as (first, chan):
+        ) as (first, chan):
-#             yield chan
+            yield chan
 
 
-# @acm
+@acm
-# async def maybe_open_order_feed(
+async def maybe_open_order_feed(
-#     instrument: str
+    instrument: str
-# ) -> trio.abc.ReceiveStream:
+) -> trio.abc.ReceiveStream:
 
-#     # TODO: add a predicate to maybe_open_context
+    # TODO: add a predicate to maybe_open_context
-#     async with maybe_open_context(
+    async with maybe_open_context(
-#         acm_func=open_order_feed,
+        acm_func=open_order_feed,
-#         kwargs={
+        kwargs={
-#             'instrument': instrument.split('.')[0],
+            'instrument': instrument.split('.')[0],
-#             'fh': fh
+            'fh': fh
-#         },
+        },
-#         key=f'{instrument.split('.')[0]}-order',
+        key=f'{instrument.split('.')[0]}-order',
-#     ) as (cache_hit, feed):
+    ) as (cache_hit, feed):
-#         if cache_hit:
+        if cache_hit:
-#             yield broadcast_receiver(feed, 10)
+            yield broadcast_receiver(feed, 10)
-#         else:
+        else:
-#             yield feed
+            yield feed

piker/brokers/deribit/feed.py

@@ -18,58 +18,56 @@
 Deribit backend.
 
 '''
-from __future__ import annotations
 from contextlib import asynccontextmanager as acm
 from datetime import datetime
-from typing import (
+from typing import Any, Optional, Callable
-    # Any,
+from pprint import pformat
-    # Optional,
-    Callable,
-)
-# from pprint import pformat
 import time
 
-import cryptofeed
 import trio
 from trio_typing import TaskStatus
 from pendulum import (
     from_timestamp,
+    now,
 )
+from rapidfuzz import process as fuzzy
 import numpy as np
 import tractor
 
 from piker.accounting import (
-    Asset,
     MktPair,
     unpack_fqme,
 )
 from piker.brokers import (
     open_cached_client,
     NoData,
-    DataUnavailable,
 )
 from piker._cacheables import (
     async_lifo_cache,
 )
-from piker.log import (
+from piker.log import get_logger, get_console_log
-    get_logger,
+from piker.data import ShmArray
-    mk_repr,
-)
 from piker.data.validate import FeedInit
+from piker.brokers._util import (
+    BrokerError,
+    DataUnavailable,
+)
 
+from cryptofeed import FeedHandler
+from cryptofeed.defines import (
+    DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
+)
+from cryptofeed.symbols import Symbol
 
 from .api import (
-    Client,
+    Client, Trade,
-    # get_config,
+    get_config,
-    piker_sym_to_cb_sym,
+    piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
-    cb_sym_to_deribit_inst,
-    str_to_cb_sym,
     maybe_open_price_feed
 )
 from .venues import (
     Pair,
     OptionPair,
-    Trade,
 )
 
 _spawn_kwargs = {
@@ -88,10 +86,6 @@ async def open_history_client(
     # TODO implement history getter for the new storage layer.
     async with open_cached_client('deribit') as client:
 
-        pair: OptionPair = client._pairs[mkt.dst.name]
-        # XXX NOTE, the cuckers use ms !!!
-        creation_time_s: int = pair.creation_timestamp/1000
-
         async def get_ohlc(
             timeframe: float,
             end_dt: datetime | None = None,
@@ -111,31 +105,6 @@ async def open_history_client(
                 end_dt=end_dt,
             )
             if len(array) == 0:
-                if (
-                    end_dt is None
-                ):
-                    raise DataUnavailable(
-                        'No history seems to exist yet?\n\n'
-                        f'{mkt}'
-                    )
-                elif (
-                    end_dt
-                    and
-                    end_dt.timestamp() < creation_time_s
-                ):
-                    # the contract can't have history
-                    # before it was created.
-                    pair_type_str: str = type(pair).__name__
-                    create_dt: datetime = from_timestamp(creation_time_s)
-                    raise DataUnavailable(
-                        f'No history prior to\n'
-                        f'`{pair_type_str}.creation_timestamp: int = '
-                        f'{pair.creation_timestamp}\n\n'
-                        f'------ deribit sux ------\n'
-                        f'WHICH IN "NORMAL PEOPLE WHO USE EPOCH TIME" form is,\n'
-                        f'creation_time_s: {creation_time_s}\n'
-                        f'create_dt: {create_dt}\n'
-                    )
                 raise NoData(
                     f'No frame for {start_dt} -> {end_dt}\n'
                 )
@@ -157,20 +126,14 @@ async def open_history_client(
 
             return array, start_dt, end_dt
 
-        yield (
+        yield get_ohlc, {'erlangs': 3, 'rate': 3}
-            get_ohlc,
-            {  # backfill config
-                'erlangs': 3,
-                'rate': 3,
-            }
-        )
 
 
 @async_lifo_cache()
 async def get_mkt_info(
     fqme: str,
 
-) -> tuple[MktPair, Pair|OptionPair] | None:
+) -> tuple[MktPair, Pair] | None:
 
     # uppercase since kraken bs_mktid is always upper
     if 'deribit' not in fqme.lower():
@@ -186,7 +149,7 @@ async def get_mkt_info(
     # returns, always!
     expiry: str = expiry.upper()
     venue: str = venue.upper()
-    # venue_lower: str = venue.lower()
+    venue_lower: str = venue.lower()
 
     mkt_mode: str = 'option'
 
@@ -212,88 +175,64 @@ async def get_mkt_info(
             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,
-
-            # expiry=pair.expiry,
-            # XXX TODO, currently we don't use it since it's
-            # already "described" in the `OptionPair.symbol: str`
-            # and if we slap in the ISO repr it's kinda hideous..
-            # -[ ] figure out the best either std
         )
         return mkt, pair
 
 
 async def stream_quotes(
+
     send_chan: trio.abc.SendChannel,
     symbols: list[str],
     feed_is_live: trio.Event,
+    loglevel: str = None,
 
     # startup sync
     task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
 
 ) -> None:
-    '''
+    # XXX: required to propagate ``tractor`` loglevel to piker logging
-    Open a live quote stream for the market set defined by `symbols`.
+    get_console_log(loglevel or tractor.current_actor().loglevel)
 
-    Internally this starts a `cryptofeed.FeedHandler` inside an `asyncio`-side
-    task and relays through L1 and `Trade` msgs here to our `trio.Task`.
-
-    '''
     sym = symbols[0].split('.')[0]
-    init_msgs: list[FeedInit] = []
 
-    # multiline nested `dict` formatter (since rn quote-msgs are
+    init_msgs: list[FeedInit] = []
-    # just that).
-    pfmt: Callable[[str], str] = mk_repr(
-        # so we can see `deribit`'s delightfully mega-long bs fields..
-        maxstring=100,
-    )
 
     async with (
         open_cached_client('deribit') as client,
         send_chan as send_chan
     ):
-        mkt: MktPair
+
-        pair: Pair
         mkt, pair = await get_mkt_info(sym)
 
         # build out init msgs according to latest spec
         init_msgs.append(
-            FeedInit(
+            FeedInit(mkt_info=mkt)
-                mkt_info=mkt,
-            )
         )
-        # build `cryptofeed` feed-handle
+        nsym = piker_sym_to_cb_sym(sym)
-        cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym)
 
-        from_cf: tractor.to_asyncio.LinkedTaskChannel
+        async with maybe_open_price_feed(sym) as stream:
-        async with maybe_open_price_feed(sym) as from_cf:
 
-            # load the "last trades" summary
+            cache = client._pairs
-            last_trades_res: cryptofeed.LastTradesResult = await client.last_trades(
-                cb_sym_to_deribit_inst(cf_sym),
-                count=1,
-            )
-            last_trades: list[Trade] = last_trades_res.trades
 
-            # TODO, do we even need this or will the above always
+            last_trades = (await client.last_trades(
-            # work?
+                cb_sym_to_deribit_inst(nsym), count=1)).trades
-            # if not last_trades:
-            #     await tractor.pause()
-            #     async for typ, quote in from_cf:
-            #         if typ == 'trade':
-            #             last_trade = Trade(**(quote['data']))
-            #             break
 
-            # else:
+            if len(last_trades) == 0:
-            last_trade = Trade(
+                last_trade = None
-                **(last_trades[0])
+                async for typ, quote in stream:
-            )
+                    if typ == 'trade':
+                        last_trade = Trade(**(quote['data']))
+                        break
 
-            first_quote: dict = {
+            else:
+                last_trade = Trade(**(last_trades[0]))
+
+            first_quote = {
                 'symbol': sym,
                 'last': last_trade.price,
                 'brokerd_ts': last_trade.timestamp,
@@ -304,84 +243,13 @@ async def stream_quotes(
                     'broker_ts': last_trade.timestamp
                 }]
             }
-            task_status.started((
+            task_status.started((init_msgs,  first_quote))
-                init_msgs,
-                first_quote,
-            ))
 
             feed_is_live.set()
 
-            # NOTE XXX, static for now!
+            async for typ, quote in stream:
-            # => since this only handles ONE mkt feed at a time we
+                topic = quote['symbol']
-            # don't need a lookup table to map interleaved quotes
+                await send_chan.send({topic: quote})
-            # from multiple possible mkt-pairs
-            topic: str = mkt.bs_fqme
-
-            # deliver until cancelled
-            async for typ, ref in from_cf:
-                match typ:
-                    case 'trade':
-                        trade: cryptofeed.types.Trade = ref
-
-                        # TODO, re-impl this according to teh ideal
-                        # fqme for opts that we choose!!
-                        bs_fqme: str = cb_sym_to_deribit_inst(
-                            str_to_cb_sym(trade.symbol)
-                        ).lower()
-
-                        piker_quote: dict = {
-                            'symbol': bs_fqme,
-                            'last': trade.price,
-                            'broker_ts': time.time(),
-                            # ^TODO, name this `brokerd/datad_ts` and
-                            # use `time.time_ns()` ??
-                            'ticks': [{
-                                'type': 'trade',
-                                'price': float(trade.price),
-                                'size': float(trade.amount),
-                                'broker_ts': trade.timestamp,
-                            }],
-                        }
-                        log.info(
-                            f'deribit {typ!r} quote for {sym!r}\n\n'
-                            f'{trade}\n\n'
-                            f'{pfmt(piker_quote)}\n'
-                        )
-
-                    case 'l1':
-                        book: cryptofeed.types.L1Book = ref
-
-                        # TODO, so this is where we can possibly change things
-                        # and instead lever the `MktPair.bs_fqme: str` output?
-                        bs_fqme: str = cb_sym_to_deribit_inst(
-                            str_to_cb_sym(book.symbol)
-                        ).lower()
-
-                        piker_quote: dict = {
-                            'symbol': bs_fqme,
-                            'ticks': [
-
-                                {'type': 'bid',
-                                 'price': float(book.bid_price),
-                                 'size': float(book.bid_size)},
-
-                                {'type': 'bsize',
-                                 'price': float(book.bid_price),
-                                 'size': float(book.bid_size),},
-
-                                {'type': 'ask',
-                                 'price': float(book.ask_price),
-                                 'size': float(book.ask_size),},
-
-                                {'type': 'asize',
-                                 'price': float(book.ask_price),
-                                 'size': float(book.ask_size),}
-                            ]
-                        }
-
-                await send_chan.send({
-                    topic: piker_quote,
-                })
 
 
 @tractor.context
@@ -391,13 +259,13 @@ async def open_symbol_search(
     async with open_cached_client('deribit') as client:
 
         # load all symbols locally for fast search
-        # cache = client._pairs
+        cache = client._pairs
         await ctx.started()
 
         async with ctx.open_stream() as stream:
+
             pattern: str
             async for pattern in stream:
-
                 # NOTE: pattern fuzzy-matching is done within
                 # the methd impl.
                 pairs: dict[str, Pair] = await client.search_symbols(

piker/brokers/deribit/venues.py

@@ -22,10 +22,11 @@ from __future__ import annotations
 import pendulum
 from typing import (
     Literal,
-    Optional,
 )
 from decimal import Decimal
 
+from msgspec import field
+
 from piker.types import Struct
 
 
@@ -110,21 +111,18 @@ class OptionPair(Pair, frozen=True):
     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'
 
-    # TODO, impl this without the MM:SS part of
-    # the `'THH:MM:SS..'` etc..
     @property
     def expiry(self) -> str:
-        iso_date = pendulum.from_timestamp(
+        iso_date = pendulum.from_timestamp(self.expiration_timestamp / 1000).isoformat()
-            self.expiration_timestamp / 1000
-        ).isoformat()
         return iso_date 
 
     @property
     def venue(self) -> str:
-        return f'{self.instrument_type}_option'
+        return 'option'
 
     @property
     def bs_fqme(self) -> str:
@@ -154,7 +152,6 @@ class JSONRPCResult(Struct):
     error: Optional[dict] = None
     result: Optional[list[dict]] = None
 
-
 class JSONRPCChannel(Struct):
     method: str
     params: dict
@@ -171,7 +168,6 @@ class KLinesResult(Struct):
     status: str
     volume: list[float]
 
-
 class Trade(Struct):
     iv: float
     price: float
@@ -190,7 +186,6 @@ class Trade(Struct):
     block_trade_id: Optional[str] = '',
     block_trade_leg_count: Optional[int] = 0,
 
-
 class LastTradesResult(Struct):
     trades: list[Trade]
     has_more: bool

piker/data/_sampling.py

@@ -30,7 +30,6 @@ import time
 from typing import (
     Any,
     AsyncIterator,
-    Callable,
     TYPE_CHECKING,
 )
 
@@ -55,9 +54,6 @@ from ._util import (
     get_console_log,
 )
 from ..service import maybe_spawn_daemon
-from piker.log import (
-    mk_repr,
-)
 
 if TYPE_CHECKING:
     from ._sharedmem import (
@@ -579,6 +575,7 @@ async def open_sample_stream(
 
 
 async def sample_and_broadcast(
+
     bus: _FeedsBus,  # noqa
     rt_shm: ShmArray,
     hist_shm: ShmArray,
@@ -599,22 +596,11 @@ async def sample_and_broadcast(
 
     overruns = Counter()
 
-    # multiline nested `dict` formatter (since rn quote-msgs are
-    # just that).
-    pfmt: Callable[[str], str] = mk_repr()
-
     # iterate stream delivered by broker
     async for quotes in quote_stream:
+        # print(quotes)
 
-        # XXX WARNING XXX only enable for debugging bc ow can cost
+        # TODO: ``numba`` this!
-        # ALOT of perf with HF-feedz!!!
-        #
-        # log.info(
-        #     'Rx live quotes:\n'
-        #     f'{pfmt(quotes)}'
-        # )
-
-        # TODO: `numba` this!
         for broker_symbol, quote in quotes.items():
             # TODO: in theory you can send the IPC msg *before* writing
             # to the sharedmem array to decrease latency, however, that
@@ -687,18 +673,6 @@ async def sample_and_broadcast(
             sub_key: str = broker_symbol.lower()
             subs: set[Sub] = bus.get_subs(sub_key)
 
-            if not subs:
-                all_bs_fqmes: list[str] = list(
-                    bus._subscribers.keys()
-                )
-                log.warning(
-                    f'No subscribers for {brokername!r} live-quote ??\n'
-                    f'broker_symbol: {broker_symbol}\n\n'
-
-                    f'Maybe the backend-sys symbol does not match one of,\n'
-                    f'{pfmt(all_bs_fqmes)}\n'
-                )
-
             # NOTE: by default the broker backend doesn't append
             # it's own "name" into the fqme schema (but maybe it
             # should?) so we have to manually generate the correct

piker/data/_web_bs.py

@@ -360,7 +360,7 @@ async def open_autorecon_ws(
 
 '''
 JSONRPC response-request style machinery for transparent multiplexing
-of msgs over a `NoBsWs`.
+of msgs over a NoBsWs.
 
 '''
 
@@ -377,16 +377,6 @@ async def open_jsonrpc_session(
     url: str,
     start_id: int = 0,
     response_type: type = JSONRPCResult,
-    msg_recv_timeout: float = float('inf'),
-    # ^NOTE, since only `deribit` is using this jsonrpc stuff atm
-    # and options mkts are generally "slow moving"..
-    #
-    # FURTHER if we break the underlying ws connection then since we
-    # don't pass a `fixture` to the task that manages `NoBsWs`, i.e.
-    # `_reconnect_forever()`, the jsonrpc "transport pipe" get's
-    # broken and never restored with wtv init sequence is required to
-    # re-establish a working req-resp session.
-
     # request_type: Optional[type] = None,
     # request_hook: Optional[Callable] = None,
     # error_hook: Optional[Callable] = None,
@@ -398,18 +388,12 @@ async def open_jsonrpc_session(
 
     async with (
         trio.open_nursery() as n,
-        open_autorecon_ws(
+        open_autorecon_ws(url) as ws
-            url=url,
-            msg_recv_timeout=msg_recv_timeout,
-        ) as ws
     ):
         rpc_id: Iterable[int] = count(start_id)
         rpc_results: dict[int, dict] = {}
 
-        async def json_rpc(
+        async def json_rpc(method: str, params: dict) -> dict:
-            method: str,
-            params: dict,
-        ) -> dict:
             '''
             perform a json rpc call and wait for the result, raise exception in
             case of error field present on response
@@ -499,7 +483,7 @@ async def open_jsonrpc_session(
                         # response in original "result" msg,
                         # THEN FINALLY set the event to signal caller
                         # to raise the error in the parent task.
-                        req_id: int = msg['id']
+                        req_id: int = error['id']
                         req_msg: dict = req_msgs[req_id]
                         result: dict = rpc_results[req_id]
                         result['error'] = error

piker/data/feed.py

@@ -540,10 +540,7 @@ async def open_feed_bus(
         # subscription since the backend isn't (yet) expected to
         # append it's own name to the fqme, so we filter on keys
         # which *do not* include that name (e.g .ib) .
-        bus._subscribers.setdefault(
+        bus._subscribers.setdefault(bs_fqme, set())
-            bs_fqme,
-            set(),
-        )
 
     # sync feed subscribers with flume handles
     await ctx.started(

piker/log.py

@@ -18,11 +18,7 @@
 Log like a forester!
 """
 import logging
-import reprlib
 import json
-from typing import (
-    Callable,
-)
 
 import tractor
 from pygments import (
@@ -88,27 +84,3 @@ def colorize_json(
         # likeable styles: algol_nu, tango, monokai
         formatters.TerminalTrueColorFormatter(style=style)
     )
-
-
-def mk_repr(
-    **repr_kws,
-) -> Callable[[str], str]:
-    '''
-    Allocate and deliver a `repr.Repr` instance with provided input
-    settings using the std-lib's `reprlib` mod,
-     * https://docs.python.org/3/library/reprlib.html
-
-    ------ Ex. ------
-    An up to 6-layer-nested `dict` as multi-line:
-    - https://stackoverflow.com/a/79102479
-    - https://docs.python.org/3/library/reprlib.html#reprlib.Repr.maxlevel
-
-    '''
-    def_kws: dict[str, int] = dict(
-        indent=2,
-        maxlevel=6,  # recursion levels
-        maxstring=66,  # match editor line-len limit
-    )
-    def_kws |= repr_kws
-    reprr = reprlib.Repr(**def_kws)
-    return reprr.repr

piker/storage/nativedb.py

@@ -161,12 +161,7 @@ class NativeStorageClient:
 
     def index_files(self):
         for path in self._datadir.iterdir():
-            if (
+            if path.name in {'borked', 'expired',}:
-                path.name in {'borked', 'expired',}
-                or
-                '.parquet' not in str(path)
-            ):
-                # ignore all non-apache files (for now)
                 continue
 
             key: str = path.name.rstrip('.parquet')

piker/tsp/__init__.py

@@ -44,10 +44,8 @@ import trio
 from trio_typing import TaskStatus
 import tractor
 from pendulum import (
-    Interval,
     DateTime,
     Duration,
-    duration as mk_duration,
     from_timestamp,
 )
 import numpy as np
@@ -216,8 +214,7 @@ async def maybe_fill_null_segments(
         # pair, immediately stop backfilling?
         if (
             start_dt
-            and
+            and end_dt < start_dt
-            end_dt < start_dt
         ):
             await tractor.pause()
             break
@@ -265,7 +262,6 @@ async def maybe_fill_null_segments(
         except tractor.ContextCancelled:
             # log.exception
             await tractor.pause()
-            raise
 
     null_segs_detected.set()
     # RECHECK for more null-gaps
@@ -353,7 +349,7 @@ async def maybe_fill_null_segments(
 
 async def start_backfill(
     get_hist,
-    def_frame_duration: Duration,
+    frame_types: dict[str, Duration] | None,
     mod: ModuleType,
     mkt: MktPair,
     shm: ShmArray,
@@ -383,23 +379,22 @@ async def start_backfill(
         update_start_on_prepend: bool = False
         if backfill_until_dt is None:
 
-            # TODO: per-provider default history-durations?
+            # TODO: drop this right and just expose the backfill
-            # -[ ] inside the `open_history_client()` config allow
+            # limits inside a [storage] section in conf.toml?
-            #    declaring the history duration limits instead of
+            # when no tsdb "last datum" is provided, we just load
-            #    guessing and/or applying the same limits to all?
+            # some near-term history.
-            #
+            # periods = {
-            # -[ ] allow declaring (default) per-provider backfill
+            #     1: {'days': 1},
-            #     limits inside a [storage] sub-section in conf.toml?
+            #     60: {'days': 14},
-            #
+            # }
-            # NOTE, when no tsdb "last datum" is provided, we just
+
-            # load some near-term history by presuming a "decently
+            # do a decently sized backfill and load it into storage.
-            # large" 60s duration limit and a much shorter 1s range.
             periods = {
                 1: {'days': 2},
                 60: {'years': 6},
             }
             period_duration: int = periods[timeframe]
-            update_start_on_prepend: bool = True
+            update_start_on_prepend = True
 
             # NOTE: manually set the "latest" datetime which we intend to
             # backfill history "until" so as to adhere to the history
@@ -421,6 +416,7 @@ async def start_backfill(
                 f'backfill_until_dt: {backfill_until_dt}\n'
                 f'last_start_dt: {last_start_dt}\n'
             )
+
             try:
                 (
                     array,
@@ -430,58 +426,37 @@ async def start_backfill(
                     timeframe,
                     end_dt=last_start_dt,
                 )
+
             except NoData as _daterr:
-                orig_last_start_dt: datetime = last_start_dt
+                # 3 cases:
-                gap_report: str = (
+                # - frame in the middle of a legit venue gap
-                    f'EMPTY FRAME for `end_dt: {last_start_dt}`?\n'
+                # - history actually began at the `last_start_dt`
-                    f'{mod.name} -> tf@fqme: {timeframe}@{mkt.fqme}\n'
+                # - some other unknown error (ib blocking the
-                    f'last_start_dt: {orig_last_start_dt}\n\n'
+                #   history bc they don't want you seeing how they
-                    f'bf_until: {backfill_until_dt}\n'
+                #   cucked all the tinas..)
-                )
+                if dur := frame_types.get(timeframe):
-                # EMPTY FRAME signal with 3 (likely) causes:
+                    # decrement by a frame's worth of duration and
-                #
+                    # retry a few times.
-                # 1. range contains legit gap in venue history
+                    last_start_dt.subtract(
-                # 2. history actually (edge case) **began** at the
+                        seconds=dur.total_seconds()
-                #    value `last_start_dt`
-                # 3. some other unknown error (ib blocking the
-                #    history-query bc they don't want you seeing how
-                #    they cucked all the tinas.. like with options
-                #    hist)
-                #
-                if def_frame_duration:
-                    # decrement by a duration's (frame) worth of time
-                    # as maybe indicated by the backend to see if we
-                    # can get older data before this possible
-                    # "history gap".
-                    last_start_dt: datetime = last_start_dt.subtract(
-                        seconds=def_frame_duration.total_seconds()
                     )
-                    gap_report += (
+                    log.warning(
-                        f'Decrementing `end_dt` and retrying with,\n'
+                        f'{mod.name} -> EMPTY FRAME for end_dt?\n'
-                        f'def_frame_duration: {def_frame_duration}\n'
+                        f'tf@fqme: {timeframe}@{mkt.fqme}\n'
-                        f'(new) last_start_dt: {last_start_dt}\n'
+                        'bf_until <- last_start_dt:\n'
+                        f'{backfill_until_dt} <- {last_start_dt}\n'
+                        f'Decrementing `end_dt` by {dur} and retry..\n'
                     )
-                    log.warning(gap_report)
-                    # skip writing to shm/tsdb and try the next
-                    # duration's worth of prior history.
                     continue
 
-                else:
-                    # await tractor.pause()
-                    raise DataUnavailable(gap_report)
-
             # broker says there never was or is no more history to pull
-            except DataUnavailable as due:
+            except DataUnavailable:
-                message: str = due.args[0]
                 log.warning(
-                    f'Provider {mod.name!r} halted backfill due to,\n\n'
+                    f'NO-MORE-DATA in range?\n'
-
+                    f'`{mod.name}` halted history:\n'
-                    f'{message}\n'
+                    f'tf@fqme: {timeframe}@{mkt.fqme}\n'
-
+                    'bf_until <- last_start_dt:\n'
-                    f'fqme: {mkt.fqme}\n'
+                    f'{backfill_until_dt} <- {last_start_dt}\n'
-                    f'timeframe: {timeframe}\n'
-                    f'last_start_dt: {last_start_dt}\n'
-                    f'bf_until: {backfill_until_dt}\n'
                 )
                 # UGH: what's a better way?
                 # TODO: backends are responsible for being correct on
@@ -490,54 +465,34 @@ async def start_backfill(
                 #     to halt the request loop until the condition is
                 #     resolved or should the backend be entirely in
                 #     charge of solving such faults? yes, right?
+                # if timeframe > 1:
+                #     await tractor.pause()
                 return
 
-            time: np.ndarray = array['time']
             assert (
-                time[0]
+                array['time'][0]
                 ==
                 next_start_dt.timestamp()
             )
 
-            assert time[-1] == next_end_dt.timestamp()
+            diff = last_start_dt - next_start_dt
-
+            frame_time_diff_s = diff.seconds
-            expected_dur: Interval = last_start_dt - next_start_dt
 
             # frame's worth of sample-period-steps, in seconds
             frame_size_s: float = len(array) * timeframe
-            recv_frame_dur: Duration = (
+            expected_frame_size_s: float = frame_size_s + timeframe
-                from_timestamp(array[-1]['time'])
+            if frame_time_diff_s > expected_frame_size_s:
-                -
+
-                from_timestamp(array[0]['time'])
-            )
-            if (
-                (lt_frame := (recv_frame_dur < expected_dur))
-                or
-                (null_frame := (frame_size_s == 0))
-                # ^XXX, should NEVER hit now!
-            ):
                 # XXX: query result includes a start point prior to our
                 # expected "frame size" and thus is likely some kind of
                 # history gap (eg. market closed period, outage, etc.)
                 # so just report it to console for now.
-                if lt_frame:
-                    reason = 'Possible GAP (or first-datum)'
-                else:
-                    assert null_frame
-                    reason = 'NULL-FRAME'
-
-                missing_dur: Interval = expected_dur.end - recv_frame_dur.end
                 log.warning(
-                    f'{timeframe}s-series {reason} detected!\n'
+                    'GAP DETECTED:\n'
-                    f'fqme: {mkt.fqme}\n'
+                    f'last_start_dt: {last_start_dt}\n'
-                    f'last_start_dt: {last_start_dt}\n\n'
+                    f'diff: {diff}\n'
-                    f'recv interval: {recv_frame_dur}\n'
+                    f'frame_time_diff_s: {frame_time_diff_s}\n'
-                    f'expected interval: {expected_dur}\n\n'
-
-                    f'Missing duration of history of {missing_dur.in_words()!r}\n'
-                    f'{missing_dur}\n'
                 )
-                # await tractor.pause()
 
             to_push = diff_history(
                 array,
@@ -612,8 +567,7 @@ async def start_backfill(
             # long-term storage.
             if (
                 storage is not None
-                and
+                and write_tsdb
-                write_tsdb
             ):
                 log.info(
                     f'Writing {ln} frame to storage:\n'
@@ -734,7 +688,7 @@ async def back_load_from_tsdb(
         last_tsdb_dt
         and latest_start_dt
     ):
-        backfilled_size_s: Duration = (
+        backfilled_size_s = (
             latest_start_dt - last_tsdb_dt
         ).seconds
         # if the shm buffer len is not large enough to contain
@@ -957,8 +911,6 @@ async def tsdb_backfill(
             f'{pformat(config)}\n'
         )
 
-        # concurrently load the provider's most-recent-frame AND any
-        # pre-existing tsdb history already saved in `piker` storage.
         dt_eps: list[DateTime, DateTime] = []
         async with trio.open_nursery() as tn:
             tn.start_soon(
@@ -969,6 +921,7 @@ async def tsdb_backfill(
                 timeframe,
                 config,
             )
+
             tsdb_entry: tuple = await load_tsdb_hist(
                 storage,
                 mkt,
@@ -997,25 +950,6 @@ async def tsdb_backfill(
                 mr_end_dt,
             ) = dt_eps
 
-            first_frame_dur_s: Duration = (mr_end_dt - mr_start_dt).seconds
-            calced_frame_size: Duration = mk_duration(
-                seconds=first_frame_dur_s,
-            )
-            # NOTE, attempt to use the backend declared default frame
-            # sizing (as allowed by their time-series query APIs) and
-            # if not provided try to construct a default from the
-            # first frame received above.
-            def_frame_durs: dict[
-                int,
-                Duration,
-            ]|None = config.get('frame_types', None)
-            if def_frame_durs:
-                def_frame_size: Duration = def_frame_durs[timeframe]
-                assert def_frame_size == calced_frame_size
-            else:
-                # use what we calced from first frame above.
-                def_frame_size = calced_frame_size
-
             # NOTE: when there's no offline data, there's 2 cases:
             # - data backend doesn't support timeframe/sample
             #   period (in which case `dt_eps` should be `None` and
@@ -1046,7 +980,7 @@ async def tsdb_backfill(
                     partial(
                         start_backfill,
                         get_hist=get_hist,
-                        def_frame_duration=def_frame_size,
+                        frame_types=config.get('frame_types', None),
                         mod=mod,
                         mkt=mkt,
                         shm=shm,

pyproject.toml

@@ -25,11 +25,11 @@ build-backend = "poetry.core.masonry.api"
 ignore = []
 
 # https://docs.astral.sh/ruff/settings/#lint_per-file-ignores
-# "piker/ui/qt.py" = [
+"piker/ui/qt.py" = [
-#   "E402",
+  "E402",
-#   'F401',  # unused imports (without __all__ or blah as blah)
+  'F401',  # unused imports (without __all__ or blah as blah)
-#   # "F841", # unused variable rules
+  # "F841", # unused variable rules
-# ]
+]
 # ignore-init-module-imports = false
 
 # ------ - ------
@@ -72,8 +72,12 @@ httpx = "^0.27.0"
 cryptofeed = "^2.4.0"
 pyarrow = "^17.0.0"
 
-tractor = {path = "../tractor", develop = true}
+[tool.poetry.dependencies.tractor]
-websockets = "12.0"
+develop = true
+git = 'https://pikers.dev/goodboy/tractor.git'
+branch = 'aio_abandons'
+# path = "../tractor"
+
 [tool.poetry.dependencies.asyncvnc]
 git = 'https://github.com/pikers/asyncvnc.git'
 branch = 'main'