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No commits in common. "binance_api_3.1" and "gitea_feats" have entirely different histories.
binance_ap
...
gitea_feat
31
README.rst
31
README.rst
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@ -88,23 +88,7 @@ a sane install with `uv`
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************************
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************************
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bc why install with `python` when you can faster with `rust` ::
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bc why install with `python` when you can faster with `rust` ::
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uv sync
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uv lock
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# ^ astral's docs,
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# https://docs.astral.sh/uv/concepts/projects/sync/
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include all GUIs ::
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uv sync --extra uis
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AND with all our hacking tools::
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uv sync --dev --extra uis
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Ensure you can run the root-daemon::
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uv run pikerd [-l info --pdb]
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hacky install on nixos
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hacky install on nixos
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@ -119,18 +103,7 @@ start a chart
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*************
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*************
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run a realtime OHLCV chart stand-alone::
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run a realtime OHLCV chart stand-alone::
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[uv run] piker -l info chart btcusdt.spot.binance xmrusdt.spot.kraken
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piker -l info chart btcusdt.spot.binance xmrusdt.spot.kraken
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# ^^^ iff you haven't activated the py-env,
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# - https://docs.astral.sh/uv/concepts/projects/run/
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#
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# in order to create an explicit virt-env see,
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# - https://docs.astral.sh/uv/concepts/projects/layout/#the-project-environment
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# - https://docs.astral.sh/uv/pip/environments/
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#
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# use $UV_PROJECT_ENVIRONMENT to select any non-`.venv/`
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# as the venv sudir in the repo's root.
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# - https://docs.astral.sh/uv/reference/environment/#uv_project_environment
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this runs a chart UI (with 1m sampled OHLCV) and shows 2 spot markets from 2 diff cexes
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this runs a chart UI (with 1m sampled OHLCV) and shows 2 spot markets from 2 diff cexes
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overlayed on the same graph. Use of `piker` without first starting
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overlayed on the same graph. Use of `piker` without first starting
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@ -1,338 +0,0 @@
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#!/usr/bin/env python
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from decimal import (
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Decimal,
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)
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from pathlib import Path
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import numpy as np
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# import polars as pl
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import trio
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import tractor
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from datetime import datetime
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# from pprint import pformat
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from piker.brokers.deribit.api import (
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get_client,
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maybe_open_oi_feed,
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)
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from piker.storage import open_storage_client, StorageClient
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from piker.log import get_logger
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import sys
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import pyqtgraph as pg
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from PyQt6 import QtCore
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from pyqtgraph import ScatterPlotItem, InfiniteLine
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from PyQt6.QtWidgets import QApplication
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from cryptofeed.symbols import Symbol
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log = get_logger(__name__)
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# XXX, use 2 newlines between top level LOC (even between these
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# imports and the next function line ;)
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def check_if_complete(
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oi: dict[str, dict[str, Decimal | None]]
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) -> bool:
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return all(
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oi[strike]['C'] is not None
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and
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oi[strike]['P'] is not None for strike in oi
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)
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async def max_pain_daemon(
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) -> None:
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oi_by_strikes: dict[str, dict[str, Decimal | None]]
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instruments: list[Symbol] = []
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expiry_dates: list[str]
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expiry_date: str
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currency: str = 'btc'
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kind: str = 'option'
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async with get_client(
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) as client:
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expiry_dates: list[str] = await client.get_expiration_dates(
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currency=currency,
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kind=kind
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)
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log.info(
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f'Available expiries for {currency!r}-{kind}:\n'
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f'{expiry_dates}\n'
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)
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expiry_date: str = input(
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'Please enter a valid expiration date: '
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).upper()
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print('Starting little daemon...')
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# maybe move this type annot down to the assignment line?
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oi_by_strikes: dict[str, dict[str, Decimal]]
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instruments = await client.get_instruments(
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expiry_date=expiry_date,
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)
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oi_by_strikes = client.get_strikes_dict(instruments)
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def get_total_intrinsic_values(
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oi_by_strikes: dict[str, dict[str, Decimal]]
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) -> dict[str, dict[str, Decimal]]:
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call_cash: Decimal = Decimal(0)
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put_cash: Decimal = Decimal(0)
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intrinsic_values: dict[str, dict[str, Decimal]] = {}
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closes: list = sorted(Decimal(close) for close in oi_by_strikes)
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for strike, oi in oi_by_strikes.items():
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s = Decimal(strike)
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call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
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put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c in closes)
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intrinsic_values[strike] = {
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'C': call_cash,
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'P': put_cash,
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'total': call_cash + put_cash,
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}
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return intrinsic_values
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def get_intrinsic_value_and_max_pain(
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intrinsic_values: dict[str, dict[str, Decimal]]
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):
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# We meed to find the lowest value, so we start at
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# infinity to ensure that, and the max_pain must be
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# an amount greater than zero.
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total_intrinsic_value: Decimal = Decimal('Infinity')
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max_pain: Decimal = Decimal(0)
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for strike, oi in oi_by_strikes.items():
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s = Decimal(strike)
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if intrinsic_values[strike]['total'] < total_intrinsic_value:
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total_intrinsic_value = intrinsic_values[strike]['total']
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max_pain = s
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return total_intrinsic_value, max_pain
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def plot_graph(
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oi_by_strikes: dict[str, dict[str, Decimal]],
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plot,
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):
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"""Update the bar graph with new open interest data."""
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plot.clear()
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intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
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for strike_str in sorted(oi_by_strikes, key=lambda x: int(x)):
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strike = int(strike_str)
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calls_val = float(oi_by_strikes[strike_str]['C'])
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puts_val = float(oi_by_strikes[strike_str]['P'])
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bar_c = pg.BarGraphItem(
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x=[strike - 100],
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height=[calls_val],
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width=200,
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pen='w',
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brush=(0, 0, 255, 150)
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)
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plot.addItem(bar_c)
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bar_p = pg.BarGraphItem(
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x=[strike + 100],
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height=[puts_val],
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width=200,
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pen='w',
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brush=(255, 0, 0, 150)
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)
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plot.addItem(bar_p)
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total_val = float(intrinsic_values[strike_str]['total']) / 100000
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scatter_iv = ScatterPlotItem(
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x=[strike],
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y=[total_val],
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pen=pg.mkPen(color=(0, 255, 0), width=2),
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brush=pg.mkBrush(0, 255, 0, 150),
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size=3,
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symbol='o'
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)
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plot.addItem(scatter_iv)
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_, max_pain = get_intrinsic_value_and_max_pain(intrinsic_values)
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vertical_line = InfiniteLine(
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pos=max_pain,
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angle=90,
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pen=pg.mkPen(color='yellow', width=1, style=QtCore.Qt.PenStyle.DotLine),
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label=f'Max pain: {max_pain:,.0f}',
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labelOpts={
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'position': 0.85,
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'color': 'yellow',
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'movable': True
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}
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)
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plot.addItem(vertical_line)
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def update_oi_by_strikes(msg: tuple):
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nonlocal oi_by_strikes
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if 'oi' == msg[0]:
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strike_price = msg[1]['strike_price']
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option_type = msg[1]['option_type']
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open_interest = msg[1]['open_interest']
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oi_by_strikes.setdefault(
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strike_price, {}
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).update(
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{option_type: open_interest}
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)
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# Define the structured dtype
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dtype = np.dtype([
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('time', int),
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('oi', float),
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('oi_calc', float),
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])
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async def write_open_interest_on_file(msg: tuple, client: StorageClient):
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if 'oi' == msg[0]:
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nonlocal expiry_date
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timestamp = msg[1]['timestamp']
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strike_price = msg[1]["strike_price"]
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option_type = msg[1]['option_type'].lower()
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col_sym_key = f'btc-{expiry_date.lower()}-{strike_price}-{option_type}'
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# Create the numpy array with sample data
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data = np.array([
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(
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int(timestamp),
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float(msg[1]['open_interest']),
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np.nan,
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),
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], dtype=dtype)
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path: Path = await client.write_oi(
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col_sym_key,
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data,
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)
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# TODO, use std logging like this throughout for status
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# emissions on console!
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log.info(f'Wrote OI history to {path}')
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def get_max_pain(
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oi_by_strikes: dict[str, dict[str, Decimal]]
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) -> dict[str, str | Decimal]:
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'''
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This method requires only the strike_prices and oi for call
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and puts, the closes list are the same as the strike_prices
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the idea is to sum all the calls and puts cash for each strike
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and the ITM strikes from that strike, the lowest value is what we
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are looking for the intrinsic value.
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'''
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nonlocal timestamp
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intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
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total_intrinsic_value, max_pain = get_intrinsic_value_and_max_pain(intrinsic_values)
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return {
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'timestamp': timestamp,
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'expiry_date': expiry_date,
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'total_intrinsic_value': total_intrinsic_value,
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'max_pain': max_pain,
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}
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async with (
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open_storage_client() as (_, storage),
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|
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|
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maybe_open_oi_feed(
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instruments,
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) as oi_feed,
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):
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# Initialize QApplication
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app = QApplication(sys.argv)
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win = pg.GraphicsLayoutWidget(show=True)
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win.setWindowTitle('Calls (blue) vs Puts (red)')
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plot = win.addPlot(title='OI by Strikes')
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plot.showGrid(x=True, y=True)
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print('Plot initialized...')
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|
||||||
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async for msg in oi_feed:
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||||||
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# In memory oi_by_strikes dict, all message are filtered here
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# and the dict is updated with the open interest data
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update_oi_by_strikes(msg)
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|
||||||
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# Write on file using storage client
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await write_open_interest_on_file(msg, storage)
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||||||
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# Max pain calcs, before start we must gather all the open interest for
|
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# all the strike prices and option types available for a expiration date
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|
||||||
if check_if_complete(oi_by_strikes):
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|
||||||
if 'oi' == msg[0]:
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# Here we must read for the filesystem all the latest open interest value for
|
|
||||||
# each instrument for that specific expiration date, that means look up for the
|
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||||||
# last update got the instrument btc-{expity_date}-*oi1s.parquet (1s because is
|
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||||||
# hardcoded to something, sorry.)
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||||||
timestamp = msg[1]['timestamp']
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||||||
max_pain = get_max_pain(oi_by_strikes)
|
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||||||
# intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
|
|
||||||
|
|
||||||
# graph here
|
|
||||||
plot_graph(oi_by_strikes, plot)
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|
||||||
|
|
||||||
# TODO, use a single multiline string with `()`
|
|
||||||
# and drop the multiple `print()` calls (this
|
|
||||||
# should be done elsewhere in this file as well!
|
|
||||||
#
|
|
||||||
# As per the docs,
|
|
||||||
# https://docs.python.org/3/reference/lexical_analysis.html#string-literal-concatenation
|
|
||||||
# you could instead do,
|
|
||||||
# print(
|
|
||||||
# '-----------------------------------------------\n'
|
|
||||||
# f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}\n'
|
|
||||||
# )
|
|
||||||
# WHY?
|
|
||||||
# |_ less ctx-switches/calls to `print()`
|
|
||||||
# |_ the `str` can then be modified / passed
|
|
||||||
# around as a variable more easily if needed in
|
|
||||||
# the future ;)
|
|
||||||
#
|
|
||||||
# ALSO, i believe there already is a stdlib
|
|
||||||
# module to do "alignment" of text which you
|
|
||||||
# could try for doing the right-side alignment,
|
|
||||||
# https://docs.python.org/3/library/textwrap.html#textwrap.indent
|
|
||||||
#
|
|
||||||
print('-----------------------------------------------')
|
|
||||||
print(f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}')
|
|
||||||
print(f'expiry_date: {max_pain['expiry_date']}')
|
|
||||||
print(f'max_pain: {max_pain['max_pain']:,.0f}')
|
|
||||||
print(f'total intrinsic value: {max_pain['total_intrinsic_value']:,.0f}')
|
|
||||||
print('-----------------------------------------------')
|
|
||||||
|
|
||||||
# Process GUI events to keep the window responsive
|
|
||||||
app.processEvents()
|
|
||||||
|
|
||||||
|
|
||||||
async def main():
|
|
||||||
|
|
||||||
async with tractor.open_nursery(
|
|
||||||
debug_mode=True,
|
|
||||||
loglevel='info',
|
|
||||||
) as an:
|
|
||||||
from tractor import log
|
|
||||||
log.get_console_log(level='info')
|
|
||||||
|
|
||||||
ptl: tractor.Portal = await an.start_actor(
|
|
||||||
'max_pain_daemon',
|
|
||||||
enable_modules=[__name__],
|
|
||||||
infect_asyncio=True,
|
|
||||||
# ^TODO, we can actually run this in the root-actor now
|
|
||||||
# if needed as per 2nd "section" in,
|
|
||||||
# https://pikers.dev/goodboy/tractor/pulls/2
|
|
||||||
#
|
|
||||||
# NOTE, will first require us porting to modern
|
|
||||||
# `tractor:main` though ofc!
|
|
||||||
|
|
||||||
)
|
|
||||||
await ptl.run(max_pain_daemon)
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
|
||||||
trio.run(main)
|
|
||||||
|
|
@ -1,29 +0,0 @@
|
||||||
## Max Pain Calculation for Deribit Options
|
|
||||||
|
|
||||||
This feature, which calculates the max pain point for options traded
|
|
||||||
on the Deribit exchange using cryptofeed library.
|
|
||||||
|
|
||||||
- Functions in the api module for fetching options data from Deribit.
|
|
||||||
[commit](https://pikers.dev/pikers/piker/commit/da55856dd2876291f55a06eb0561438a912d8241)
|
|
||||||
|
|
||||||
- Compute the max pain point based on open interest data using
|
|
||||||
deribit's api.
|
|
||||||
[commit](https://pikers.dev/pikers/piker/commit/0d9d6e15ba0edeb662ec97f7599dd66af3046b94)
|
|
||||||
|
|
||||||
### How to test it?
|
|
||||||
|
|
||||||
**Before start:** in order to get this working with `uv`, you
|
|
||||||
**must** use my [`tractor` fork](https://pikers.dev/ntorres/tractor/src/branch/aio_abandons)
|
|
||||||
and this branch: `aio_abandons`, the reason is that I cherry-pick the
|
|
||||||
`uv_migration` that guille made, for some reason that a didn't dive
|
|
||||||
into, in my system y need tractor using `uv` too. quite hacky
|
|
||||||
I guess.
|
|
||||||
|
|
||||||
1. `uv lock`
|
|
||||||
|
|
||||||
2. `uv run --no-dev python examples/max_pain.py`
|
|
||||||
|
|
||||||
3. A message should be display, enter one of the expiration date
|
|
||||||
available.
|
|
||||||
|
|
||||||
4. The script should be up and running.
|
|
||||||
|
|
@ -42,6 +42,7 @@ from ._mktinfo import (
|
||||||
dec_digits,
|
dec_digits,
|
||||||
digits_to_dec,
|
digits_to_dec,
|
||||||
MktPair,
|
MktPair,
|
||||||
|
Symbol,
|
||||||
unpack_fqme,
|
unpack_fqme,
|
||||||
_derivs as DerivTypes,
|
_derivs as DerivTypes,
|
||||||
)
|
)
|
||||||
|
|
@ -59,6 +60,7 @@ __all__ = [
|
||||||
'Asset',
|
'Asset',
|
||||||
'MktPair',
|
'MktPair',
|
||||||
'Position',
|
'Position',
|
||||||
|
'Symbol',
|
||||||
'Transaction',
|
'Transaction',
|
||||||
'TransactionLedger',
|
'TransactionLedger',
|
||||||
'dec_digits',
|
'dec_digits',
|
||||||
|
|
|
||||||
|
|
@ -390,8 +390,8 @@ class MktPair(Struct, frozen=True):
|
||||||
cls,
|
cls,
|
||||||
fqme: str,
|
fqme: str,
|
||||||
|
|
||||||
price_tick: float|str,
|
price_tick: float | str,
|
||||||
size_tick: float|str,
|
size_tick: float | str,
|
||||||
bs_mktid: str,
|
bs_mktid: str,
|
||||||
|
|
||||||
broker: str | None = None,
|
broker: str | None = None,
|
||||||
|
|
@ -677,3 +677,90 @@ def unpack_fqme(
|
||||||
# '.'.join([mkt_ep, venue]),
|
# '.'.join([mkt_ep, venue]),
|
||||||
suffix,
|
suffix,
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
|
class Symbol(Struct):
|
||||||
|
'''
|
||||||
|
I guess this is some kinda container thing for dealing with
|
||||||
|
all the different meta-data formats from brokers?
|
||||||
|
|
||||||
|
'''
|
||||||
|
key: str
|
||||||
|
|
||||||
|
broker: str = ''
|
||||||
|
venue: str = ''
|
||||||
|
|
||||||
|
# precision descriptors for price and vlm
|
||||||
|
tick_size: Decimal = Decimal('0.01')
|
||||||
|
lot_tick_size: Decimal = Decimal('0.0')
|
||||||
|
|
||||||
|
suffix: str = ''
|
||||||
|
broker_info: dict[str, dict[str, Any]] = {}
|
||||||
|
|
||||||
|
@classmethod
|
||||||
|
def from_fqme(
|
||||||
|
cls,
|
||||||
|
fqsn: str,
|
||||||
|
info: dict[str, Any],
|
||||||
|
|
||||||
|
) -> Symbol:
|
||||||
|
broker, mktep, venue, suffix = unpack_fqme(fqsn)
|
||||||
|
tick_size = info.get('price_tick_size', 0.01)
|
||||||
|
lot_size = info.get('lot_tick_size', 0.0)
|
||||||
|
|
||||||
|
return Symbol(
|
||||||
|
broker=broker,
|
||||||
|
key=mktep,
|
||||||
|
tick_size=tick_size,
|
||||||
|
lot_tick_size=lot_size,
|
||||||
|
venue=venue,
|
||||||
|
suffix=suffix,
|
||||||
|
broker_info={broker: info},
|
||||||
|
)
|
||||||
|
|
||||||
|
@property
|
||||||
|
def type_key(self) -> str:
|
||||||
|
return list(self.broker_info.values())[0]['asset_type']
|
||||||
|
|
||||||
|
@property
|
||||||
|
def tick_size_digits(self) -> int:
|
||||||
|
return float_digits(self.tick_size)
|
||||||
|
|
||||||
|
@property
|
||||||
|
def lot_size_digits(self) -> int:
|
||||||
|
return float_digits(self.lot_tick_size)
|
||||||
|
|
||||||
|
@property
|
||||||
|
def price_tick(self) -> Decimal:
|
||||||
|
return Decimal(str(self.tick_size))
|
||||||
|
|
||||||
|
@property
|
||||||
|
def size_tick(self) -> Decimal:
|
||||||
|
return Decimal(str(self.lot_tick_size))
|
||||||
|
|
||||||
|
@property
|
||||||
|
def broker(self) -> str:
|
||||||
|
return list(self.broker_info.keys())[0]
|
||||||
|
|
||||||
|
@property
|
||||||
|
def fqme(self) -> str:
|
||||||
|
return maybe_cons_tokens([
|
||||||
|
self.key, # final "pair name" (eg. qqq[/usd], btcusdt)
|
||||||
|
self.venue,
|
||||||
|
self.suffix, # includes expiry and other con info
|
||||||
|
self.broker,
|
||||||
|
])
|
||||||
|
|
||||||
|
def quantize(
|
||||||
|
self,
|
||||||
|
size: float,
|
||||||
|
) -> Decimal:
|
||||||
|
digits = float_digits(self.lot_tick_size)
|
||||||
|
return Decimal(size).quantize(
|
||||||
|
Decimal(f'1.{"0".ljust(digits, "0")}'),
|
||||||
|
rounding=ROUND_HALF_EVEN
|
||||||
|
)
|
||||||
|
|
||||||
|
# NOTE: when cast to `str` return fqme
|
||||||
|
def __str__(self) -> str:
|
||||||
|
return self.fqme
|
||||||
|
|
|
||||||
|
|
@ -51,7 +51,6 @@ __brokers__: list[str] = [
|
||||||
'ib',
|
'ib',
|
||||||
'kraken',
|
'kraken',
|
||||||
'kucoin',
|
'kucoin',
|
||||||
'deribit',
|
|
||||||
|
|
||||||
# broken but used to work
|
# broken but used to work
|
||||||
# 'questrade',
|
# 'questrade',
|
||||||
|
|
@ -62,6 +61,7 @@ __brokers__: list[str] = [
|
||||||
# wstrade
|
# wstrade
|
||||||
# iex
|
# iex
|
||||||
|
|
||||||
|
# deribit
|
||||||
# bitso
|
# bitso
|
||||||
]
|
]
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -96,10 +96,7 @@ async def _setup_persistent_brokerd(
|
||||||
# - `open_symbol_search()`
|
# - `open_symbol_search()`
|
||||||
# NOTE: see ep invocation details inside `.data.feed`.
|
# NOTE: see ep invocation details inside `.data.feed`.
|
||||||
try:
|
try:
|
||||||
async with (
|
async with trio.open_nursery() as service_nursery:
|
||||||
tractor.trionics.collapse_eg(),
|
|
||||||
trio.open_nursery() as service_nursery
|
|
||||||
):
|
|
||||||
bus: _FeedsBus = feed.get_feed_bus(
|
bus: _FeedsBus = feed.get_feed_bus(
|
||||||
brokername,
|
brokername,
|
||||||
service_nursery,
|
service_nursery,
|
||||||
|
|
|
||||||
|
|
@ -374,14 +374,9 @@ class Client:
|
||||||
pair: Pair = pair_type(**item)
|
pair: Pair = pair_type(**item)
|
||||||
except Exception as e:
|
except Exception as e:
|
||||||
e.add_note(
|
e.add_note(
|
||||||
f'\n'
|
"\nDon't panic, prolly stupid binance changed their symbology schema again..\n"
|
||||||
f'New or removed field we need to codify!\n'
|
'Check out their API docs here:\n\n'
|
||||||
f'pair-type: {pair_type!r}\n'
|
'https://binance-docs.github.io/apidocs/spot/en/#exchange-information'
|
||||||
f'\n'
|
|
||||||
f"Don't panic, prolly stupid binance changed their symbology schema again..\n"
|
|
||||||
f'Check out their API docs here:\n'
|
|
||||||
f'\n'
|
|
||||||
f'https://binance-docs.github.io/apidocs/spot/en/#exchange-information\n'
|
|
||||||
)
|
)
|
||||||
raise
|
raise
|
||||||
pair_table[pair.symbol.upper()] = pair
|
pair_table[pair.symbol.upper()] = pair
|
||||||
|
|
|
||||||
|
|
@ -97,13 +97,6 @@ class Pair(Struct, frozen=True, kw_only=True):
|
||||||
baseAsset: str
|
baseAsset: str
|
||||||
baseAssetPrecision: int
|
baseAssetPrecision: int
|
||||||
|
|
||||||
permissionSets: list[list[str]]
|
|
||||||
|
|
||||||
# https://developers.binance.com/docs/binance-spot-api-docs#2025-08-26
|
|
||||||
# will become non-optional 2025-08-28?
|
|
||||||
# https://developers.binance.com/docs/binance-spot-api-docs#future-changes
|
|
||||||
pegInstructionsAllowed: bool|None = None
|
|
||||||
|
|
||||||
filters: dict[
|
filters: dict[
|
||||||
str,
|
str,
|
||||||
str | int | float,
|
str | int | float,
|
||||||
|
|
@ -149,11 +142,7 @@ class SpotPair(Pair, frozen=True):
|
||||||
defaultSelfTradePreventionMode: str
|
defaultSelfTradePreventionMode: str
|
||||||
allowedSelfTradePreventionModes: list[str]
|
allowedSelfTradePreventionModes: list[str]
|
||||||
permissions: list[str]
|
permissions: list[str]
|
||||||
|
permissionSets: list[list[str]]
|
||||||
# can the paint botz creat liq gaps even easier on this asset?
|
|
||||||
# Bp
|
|
||||||
# https://developers.binance.com/docs/binance-spot-api-docs/faqs/order_amend_keep_priority
|
|
||||||
amendAllowed: bool
|
|
||||||
|
|
||||||
# NOTE: see `.data._symcache.SymbologyCache.load()` for why
|
# NOTE: see `.data._symcache.SymbologyCache.load()` for why
|
||||||
ns_path: str = 'piker.brokers.binance:SpotPair'
|
ns_path: str = 'piker.brokers.binance:SpotPair'
|
||||||
|
|
|
||||||
|
|
@ -25,7 +25,6 @@ from .api import (
|
||||||
get_client,
|
get_client,
|
||||||
)
|
)
|
||||||
from .feed import (
|
from .feed import (
|
||||||
get_mkt_info,
|
|
||||||
open_history_client,
|
open_history_client,
|
||||||
open_symbol_search,
|
open_symbol_search,
|
||||||
stream_quotes,
|
stream_quotes,
|
||||||
|
|
@ -35,20 +34,15 @@ from .feed import (
|
||||||
# open_trade_dialog,
|
# open_trade_dialog,
|
||||||
# norm_trade_records,
|
# norm_trade_records,
|
||||||
# )
|
# )
|
||||||
from .venues import (
|
|
||||||
OptionPair,
|
|
||||||
)
|
|
||||||
|
|
||||||
log = get_logger(__name__)
|
log = get_logger(__name__)
|
||||||
|
|
||||||
__all__ = [
|
__all__ = [
|
||||||
'get_client',
|
'get_client',
|
||||||
# 'trades_dialogue',
|
# 'trades_dialogue',
|
||||||
'get_mkt_info',
|
|
||||||
'open_history_client',
|
'open_history_client',
|
||||||
'open_symbol_search',
|
'open_symbol_search',
|
||||||
'stream_quotes',
|
'stream_quotes',
|
||||||
'OptionPair',
|
|
||||||
# 'norm_trade_records',
|
# 'norm_trade_records',
|
||||||
]
|
]
|
||||||
|
|
||||||
|
|
|
||||||
File diff suppressed because it is too large
Load Diff
|
|
@ -18,59 +18,38 @@
|
||||||
Deribit backend.
|
Deribit backend.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
from __future__ import annotations
|
|
||||||
from contextlib import asynccontextmanager as acm
|
from contextlib import asynccontextmanager as acm
|
||||||
from datetime import datetime
|
from datetime import datetime
|
||||||
from typing import (
|
from typing import Any, Optional, Callable
|
||||||
# Any,
|
|
||||||
# Optional,
|
|
||||||
Callable,
|
|
||||||
)
|
|
||||||
# from pprint import pformat
|
|
||||||
import time
|
import time
|
||||||
|
|
||||||
import cryptofeed
|
|
||||||
import trio
|
import trio
|
||||||
from trio_typing import TaskStatus
|
from trio_typing import TaskStatus
|
||||||
from pendulum import (
|
import pendulum
|
||||||
from_timestamp,
|
from rapidfuzz import process as fuzzy
|
||||||
)
|
|
||||||
import numpy as np
|
import numpy as np
|
||||||
import tractor
|
import tractor
|
||||||
|
|
||||||
from piker.accounting import (
|
from piker.brokers import open_cached_client
|
||||||
Asset,
|
from piker.log import get_logger, get_console_log
|
||||||
MktPair,
|
from piker.data import ShmArray
|
||||||
unpack_fqme,
|
from piker.brokers._util import (
|
||||||
)
|
BrokerError,
|
||||||
from piker.brokers import (
|
|
||||||
open_cached_client,
|
|
||||||
NoData,
|
|
||||||
DataUnavailable,
|
DataUnavailable,
|
||||||
)
|
)
|
||||||
from piker._cacheables import (
|
|
||||||
async_lifo_cache,
|
|
||||||
)
|
|
||||||
from piker.log import (
|
|
||||||
get_logger,
|
|
||||||
mk_repr,
|
|
||||||
)
|
|
||||||
from piker.data.validate import FeedInit
|
|
||||||
|
|
||||||
|
from cryptofeed import FeedHandler
|
||||||
|
from cryptofeed.defines import (
|
||||||
|
DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
|
||||||
|
)
|
||||||
|
from cryptofeed.symbols import Symbol
|
||||||
|
|
||||||
from .api import (
|
from .api import (
|
||||||
Client,
|
Client, Trade,
|
||||||
# get_config,
|
get_config,
|
||||||
piker_sym_to_cb_sym,
|
str_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
|
maybe_open_price_feed
|
||||||
)
|
)
|
||||||
from .venues import (
|
|
||||||
Pair,
|
|
||||||
OptionPair,
|
|
||||||
Trade,
|
|
||||||
)
|
|
||||||
|
|
||||||
_spawn_kwargs = {
|
_spawn_kwargs = {
|
||||||
'infect_asyncio': True,
|
'infect_asyncio': True,
|
||||||
|
|
@ -85,215 +64,90 @@ async def open_history_client(
|
||||||
mkt: MktPair,
|
mkt: MktPair,
|
||||||
) -> tuple[Callable, int]:
|
) -> tuple[Callable, int]:
|
||||||
|
|
||||||
|
fnstrument: str = mkt.bs_fqme
|
||||||
# TODO implement history getter for the new storage layer.
|
# TODO implement history getter for the new storage layer.
|
||||||
async with open_cached_client('deribit') as client:
|
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(
|
async def get_ohlc(
|
||||||
timeframe: float,
|
end_dt: Optional[datetime] = None,
|
||||||
end_dt: datetime | None = None,
|
start_dt: Optional[datetime] = None,
|
||||||
start_dt: datetime | None = None,
|
|
||||||
|
|
||||||
) -> tuple[
|
) -> tuple[
|
||||||
np.ndarray,
|
np.ndarray,
|
||||||
datetime, # start
|
datetime, # start
|
||||||
datetime, # end
|
datetime, # end
|
||||||
]:
|
]:
|
||||||
if timeframe != 60:
|
|
||||||
raise DataUnavailable('Only 1m bars are supported')
|
|
||||||
|
|
||||||
array: np.ndarray = await client.bars(
|
array = await client.bars(
|
||||||
mkt,
|
instrument,
|
||||||
start_dt=start_dt,
|
start_dt=start_dt,
|
||||||
end_dt=end_dt,
|
end_dt=end_dt,
|
||||||
)
|
)
|
||||||
if len(array) == 0:
|
if len(array) == 0:
|
||||||
if (
|
raise DataUnavailable
|
||||||
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'
|
|
||||||
)
|
|
||||||
|
|
||||||
start_dt = from_timestamp(array[0]['time'])
|
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||||
end_dt = from_timestamp(array[-1]['time'])
|
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||||
|
|
||||||
times = array['time']
|
|
||||||
if not times.any():
|
|
||||||
raise ValueError(
|
|
||||||
'Bad frame with null-times?\n\n'
|
|
||||||
f'{times}'
|
|
||||||
)
|
|
||||||
|
|
||||||
if end_dt is None:
|
|
||||||
inow: int = round(time.time())
|
|
||||||
if (inow - times[-1]) > 60:
|
|
||||||
await tractor.pause()
|
|
||||||
|
|
||||||
return array, start_dt, end_dt
|
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:
|
|
||||||
|
|
||||||
# uppercase since kraken bs_mktid is always upper
|
|
||||||
if 'deribit' not in fqme.lower():
|
|
||||||
fqme += '.deribit'
|
|
||||||
|
|
||||||
mkt_mode: str = ''
|
|
||||||
broker, mkt_ep, venue, expiry = unpack_fqme(fqme)
|
|
||||||
|
|
||||||
# NOTE: we always upper case all tokens to be consistent with
|
|
||||||
# binance's symbology style for pairs, like `BTCUSDT`, but in
|
|
||||||
# theory we could also just keep things lower case; as long as
|
|
||||||
# we're consistent and the symcache matches whatever this func
|
|
||||||
# returns, always!
|
|
||||||
expiry: str = expiry.upper()
|
|
||||||
venue: str = venue.upper()
|
|
||||||
# venue_lower: str = venue.lower()
|
|
||||||
|
|
||||||
mkt_mode: str = 'option'
|
|
||||||
|
|
||||||
async with open_cached_client(
|
|
||||||
'deribit',
|
|
||||||
) as client:
|
|
||||||
|
|
||||||
assets: dict[str, Asset] = await client.get_assets()
|
|
||||||
pair_str: str = mkt_ep.lower()
|
|
||||||
|
|
||||||
pair: Pair = await client.exch_info(
|
|
||||||
sym=pair_str,
|
|
||||||
)
|
|
||||||
mkt_mode = pair.venue
|
|
||||||
client.mkt_mode = mkt_mode
|
|
||||||
|
|
||||||
dst: Asset | None = assets.get(pair.bs_dst_asset)
|
|
||||||
src: Asset | None = assets.get(pair.bs_src_asset)
|
|
||||||
|
|
||||||
mkt = MktPair(
|
|
||||||
dst=dst,
|
|
||||||
src=src,
|
|
||||||
price_tick=pair.price_tick,
|
|
||||||
size_tick=pair.size_tick,
|
|
||||||
bs_mktid=pair.symbol,
|
|
||||||
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(
|
async def stream_quotes(
|
||||||
|
|
||||||
send_chan: trio.abc.SendChannel,
|
send_chan: trio.abc.SendChannel,
|
||||||
symbols: list[str],
|
symbols: list[str],
|
||||||
feed_is_live: trio.Event,
|
feed_is_live: trio.Event,
|
||||||
|
loglevel: str = None,
|
||||||
|
|
||||||
# startup sync
|
# startup sync
|
||||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||||
|
|
||||||
) -> None:
|
) -> 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
|
sym = symbols[0]
|
||||||
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
|
|
||||||
# just that).
|
|
||||||
pfmt: Callable[[str], str] = mk_repr(
|
|
||||||
# so we can see `deribit`'s delightfully mega-long bs fields..
|
|
||||||
maxstring=100,
|
|
||||||
)
|
|
||||||
|
|
||||||
async with (
|
async with (
|
||||||
open_cached_client('deribit') as client,
|
open_cached_client('deribit') as client,
|
||||||
send_chan as send_chan
|
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 = {
|
||||||
init_msgs.append(
|
# pass back token, and bool, signalling if we're the writer
|
||||||
FeedInit(
|
# and that history has been written
|
||||||
mkt_info=mkt,
|
sym: {
|
||||||
)
|
'symbol_info': {
|
||||||
)
|
'asset_type': 'option',
|
||||||
# build `cryptofeed` feed-handle
|
'price_tick_size': 0.0005
|
||||||
cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym)
|
},
|
||||||
|
'shm_write_opts': {'sum_tick_vml': False},
|
||||||
|
'fqsn': sym,
|
||||||
|
},
|
||||||
|
}
|
||||||
|
|
||||||
from_cf: tractor.to_asyncio.LinkedTaskChannel
|
nsym = piker_sym_to_cb_sym(sym)
|
||||||
async with maybe_open_price_feed(sym) as from_cf:
|
|
||||||
|
|
||||||
# load the "last trades" summary
|
async with maybe_open_price_feed(sym) as stream:
|
||||||
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
|
cache = await client.cache_symbols()
|
||||||
# work?
|
|
||||||
# if not last_trades:
|
|
||||||
# await tractor.pause()
|
|
||||||
# async for typ, quote in from_cf:
|
|
||||||
# if typ == 'trade':
|
|
||||||
# last_trade = Trade(**(quote['data']))
|
|
||||||
# break
|
|
||||||
|
|
||||||
# else:
|
last_trades = (await client.last_trades(
|
||||||
last_trade = Trade(
|
cb_sym_to_deribit_inst(nsym), count=1)).trades
|
||||||
**(last_trades[0])
|
|
||||||
)
|
|
||||||
|
|
||||||
first_quote: dict = {
|
if len(last_trades) == 0:
|
||||||
|
last_trade = None
|
||||||
|
async for typ, quote in stream:
|
||||||
|
if typ == 'trade':
|
||||||
|
last_trade = Trade(**(quote['data']))
|
||||||
|
break
|
||||||
|
|
||||||
|
else:
|
||||||
|
last_trade = Trade(**(last_trades[0]))
|
||||||
|
|
||||||
|
first_quote = {
|
||||||
'symbol': sym,
|
'symbol': sym,
|
||||||
'last': last_trade.price,
|
'last': last_trade.price,
|
||||||
'brokerd_ts': last_trade.timestamp,
|
'brokerd_ts': last_trade.timestamp,
|
||||||
|
|
@ -304,84 +158,13 @@ async def stream_quotes(
|
||||||
'broker_ts': last_trade.timestamp
|
'broker_ts': last_trade.timestamp
|
||||||
}]
|
}]
|
||||||
}
|
}
|
||||||
task_status.started((
|
task_status.started((init_msgs, first_quote))
|
||||||
init_msgs,
|
|
||||||
first_quote,
|
|
||||||
))
|
|
||||||
|
|
||||||
feed_is_live.set()
|
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
|
@tractor.context
|
||||||
|
|
@ -391,21 +174,12 @@ async def open_symbol_search(
|
||||||
async with open_cached_client('deribit') as client:
|
async with open_cached_client('deribit') as client:
|
||||||
|
|
||||||
# load all symbols locally for fast search
|
# load all symbols locally for fast search
|
||||||
# cache = client._pairs
|
cache = await client.cache_symbols()
|
||||||
await ctx.started()
|
await ctx.started()
|
||||||
|
|
||||||
async with ctx.open_stream() as stream:
|
async with ctx.open_stream() as stream:
|
||||||
pattern: str
|
|
||||||
async for pattern in stream:
|
async for pattern in stream:
|
||||||
|
# repack in dict form
|
||||||
# NOTE: pattern fuzzy-matching is done within
|
await stream.send(
|
||||||
# the methd impl.
|
await client.search_symbols(pattern))
|
||||||
pairs: dict[str, Pair] = await client.search_symbols(
|
|
||||||
pattern,
|
|
||||||
)
|
|
||||||
# repack in fqme-keyed table
|
|
||||||
byfqme: dict[str, Pair] = {}
|
|
||||||
for pair in pairs.values():
|
|
||||||
byfqme[pair.bs_fqme] = pair
|
|
||||||
|
|
||||||
await stream.send(byfqme)
|
|
||||||
|
|
|
||||||
|
|
@ -1,196 +0,0 @@
|
||||||
# piker: trading gear for hackers
|
|
||||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
|
||||||
|
|
||||||
# This program is free software: you can redistribute it and/or modify
|
|
||||||
# it under the terms of the GNU Affero General Public License as published by
|
|
||||||
# the Free Software Foundation, either version 3 of the License, or
|
|
||||||
# (at your option) any later version.
|
|
||||||
|
|
||||||
# This program is distributed in the hope that it will be useful,
|
|
||||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
||||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
||||||
# GNU Affero General Public License for more details.
|
|
||||||
|
|
||||||
# You should have received a copy of the GNU Affero General Public License
|
|
||||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
|
||||||
|
|
||||||
"""
|
|
||||||
Per market data-type definitions and schemas types.
|
|
||||||
|
|
||||||
"""
|
|
||||||
from __future__ import annotations
|
|
||||||
import pendulum
|
|
||||||
from typing import (
|
|
||||||
Literal,
|
|
||||||
Optional,
|
|
||||||
)
|
|
||||||
from decimal import Decimal
|
|
||||||
|
|
||||||
from piker.types import Struct
|
|
||||||
|
|
||||||
|
|
||||||
# API endpoint paths by venue / sub-API
|
|
||||||
_domain: str = 'deribit.com'
|
|
||||||
_url = f'https://www.{_domain}'
|
|
||||||
|
|
||||||
# WEBsocketz
|
|
||||||
_ws_url: str = f'wss://www.{_domain}/ws/api/v2'
|
|
||||||
|
|
||||||
# test nets
|
|
||||||
_testnet_ws_url: str = f'wss://test.{_domain}/ws/api/v2'
|
|
||||||
|
|
||||||
MarketType = Literal[
|
|
||||||
'option'
|
|
||||||
]
|
|
||||||
|
|
||||||
|
|
||||||
def get_api_eps(venue: MarketType) -> tuple[str, str]:
|
|
||||||
'''
|
|
||||||
Return API ep root paths per venue.
|
|
||||||
|
|
||||||
'''
|
|
||||||
return {
|
|
||||||
'option': (
|
|
||||||
_ws_url,
|
|
||||||
),
|
|
||||||
}[venue]
|
|
||||||
|
|
||||||
|
|
||||||
class Pair(Struct, frozen=True, kw_only=True):
|
|
||||||
|
|
||||||
symbol: str
|
|
||||||
|
|
||||||
# src
|
|
||||||
quote_currency: str # 'BTC'
|
|
||||||
|
|
||||||
# dst
|
|
||||||
base_currency: str # "BTC",
|
|
||||||
|
|
||||||
tick_size: float # 0.0001 # [{'above_price': 0.005, 'tick_size': 0.0005}]
|
|
||||||
tick_size_steps: list[dict[str, float]]
|
|
||||||
|
|
||||||
@property
|
|
||||||
def price_tick(self) -> Decimal:
|
|
||||||
return Decimal(str(self.tick_size_steps[0]['above_price']))
|
|
||||||
|
|
||||||
@property
|
|
||||||
def size_tick(self) -> Decimal:
|
|
||||||
return Decimal(str(self.tick_size))
|
|
||||||
|
|
||||||
@property
|
|
||||||
def bs_fqme(self) -> str:
|
|
||||||
return f'{self.symbol}'
|
|
||||||
|
|
||||||
@property
|
|
||||||
def bs_mktid(self) -> str:
|
|
||||||
return f'{self.symbol}.{self.venue}'
|
|
||||||
|
|
||||||
|
|
||||||
class OptionPair(Pair, frozen=True):
|
|
||||||
|
|
||||||
taker_commission: float # 0.0003
|
|
||||||
strike: float # 5000.0
|
|
||||||
settlement_period: str # 'day'
|
|
||||||
settlement_currency: str # "BTC",
|
|
||||||
rfq: bool # false
|
|
||||||
price_index: str # 'btc_usd'
|
|
||||||
option_type: str # 'call'
|
|
||||||
min_trade_amount: float # 0.1
|
|
||||||
maker_commission: float # 0.0003
|
|
||||||
kind: str # 'option'
|
|
||||||
is_active: bool # true
|
|
||||||
instrument_type: str # 'reversed'
|
|
||||||
instrument_name: str # 'BTC-1SEP24-55000-C'
|
|
||||||
instrument_id: int # 364671
|
|
||||||
expiration_timestamp: int # 1725177600000
|
|
||||||
creation_timestamp: int # 1724918461000
|
|
||||||
counter_currency: str # 'USD'
|
|
||||||
contract_size: float # '1.0'
|
|
||||||
block_trade_tick_size: float # '0.0001'
|
|
||||||
block_trade_min_trade_amount: int # '25'
|
|
||||||
block_trade_commission: float # '0.003'
|
|
||||||
|
|
||||||
# NOTE: see `.data._symcache.SymbologyCache.load()` for why
|
|
||||||
ns_path: str = 'piker.brokers.deribit:OptionPair'
|
|
||||||
|
|
||||||
# TODO, impl this without the MM:SS part of
|
|
||||||
# the `'THH:MM:SS..'` etc..
|
|
||||||
@property
|
|
||||||
def expiry(self) -> str:
|
|
||||||
iso_date = pendulum.from_timestamp(
|
|
||||||
self.expiration_timestamp / 1000
|
|
||||||
).isoformat()
|
|
||||||
return iso_date
|
|
||||||
|
|
||||||
@property
|
|
||||||
def venue(self) -> str:
|
|
||||||
return f'{self.instrument_type}_option'
|
|
||||||
|
|
||||||
@property
|
|
||||||
def bs_fqme(self) -> str:
|
|
||||||
return f'{self.symbol}'
|
|
||||||
|
|
||||||
@property
|
|
||||||
def bs_src_asset(self) -> str:
|
|
||||||
return f'{self.quote_currency}'
|
|
||||||
|
|
||||||
@property
|
|
||||||
def bs_dst_asset(self) -> str:
|
|
||||||
return f'{self.symbol}'
|
|
||||||
|
|
||||||
|
|
||||||
PAIRTYPES: dict[MarketType, Pair] = {
|
|
||||||
'option': OptionPair,
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
class JSONRPCResult(Struct):
|
|
||||||
id: int
|
|
||||||
usIn: int
|
|
||||||
usOut: int
|
|
||||||
usDiff: int
|
|
||||||
testnet: bool
|
|
||||||
jsonrpc: str = '2.0'
|
|
||||||
error: Optional[dict] = None
|
|
||||||
result: Optional[list[dict]] = None
|
|
||||||
|
|
||||||
|
|
||||||
class JSONRPCChannel(Struct):
|
|
||||||
method: str
|
|
||||||
params: dict
|
|
||||||
jsonrpc: str = '2.0'
|
|
||||||
|
|
||||||
|
|
||||||
class KLinesResult(Struct):
|
|
||||||
low: list[float]
|
|
||||||
cost: list[float]
|
|
||||||
high: list[float]
|
|
||||||
open: list[float]
|
|
||||||
close: list[float]
|
|
||||||
ticks: list[int]
|
|
||||||
status: str
|
|
||||||
volume: list[float]
|
|
||||||
|
|
||||||
|
|
||||||
class Trade(Struct):
|
|
||||||
iv: float
|
|
||||||
price: float
|
|
||||||
amount: float
|
|
||||||
trade_id: str
|
|
||||||
contracts: float
|
|
||||||
direction: str
|
|
||||||
trade_seq: int
|
|
||||||
timestamp: int
|
|
||||||
mark_price: float
|
|
||||||
index_price: float
|
|
||||||
tick_direction: int
|
|
||||||
instrument_name: str
|
|
||||||
combo_id: Optional[str] = '',
|
|
||||||
combo_trade_id: Optional[int] = 0,
|
|
||||||
block_trade_id: Optional[str] = '',
|
|
||||||
block_trade_leg_count: Optional[int] = 0,
|
|
||||||
|
|
||||||
|
|
||||||
class LastTradesResult(Struct):
|
|
||||||
trades: list[Trade]
|
|
||||||
has_more: bool
|
|
||||||
|
|
@ -96,10 +96,6 @@ from ._util import (
|
||||||
get_logger,
|
get_logger,
|
||||||
)
|
)
|
||||||
|
|
||||||
# ?TODO? this can now be removed since it was originally to extend
|
|
||||||
# with a `bar_vwap` field that we removed from the default ohlcv
|
|
||||||
# dtype since it's better calculated in an FSP func
|
|
||||||
#
|
|
||||||
_bar_load_dtype: list[tuple[str, type]] = [
|
_bar_load_dtype: list[tuple[str, type]] = [
|
||||||
# NOTE XXX: only part that's diff
|
# NOTE XXX: only part that's diff
|
||||||
# from our default fields where
|
# from our default fields where
|
||||||
|
|
|
||||||
|
|
@ -34,7 +34,6 @@ import urllib.parse
|
||||||
import hashlib
|
import hashlib
|
||||||
import hmac
|
import hmac
|
||||||
import base64
|
import base64
|
||||||
import tractor
|
|
||||||
import trio
|
import trio
|
||||||
|
|
||||||
from piker import config
|
from piker import config
|
||||||
|
|
@ -373,7 +372,8 @@ class Client:
|
||||||
# 1658347714, 'status': 'Success'}]}
|
# 1658347714, 'status': 'Success'}]}
|
||||||
|
|
||||||
if xfers:
|
if xfers:
|
||||||
await tractor.pause()
|
import tractor
|
||||||
|
await tractor.pp()
|
||||||
|
|
||||||
trans: dict[str, Transaction] = {}
|
trans: dict[str, Transaction] = {}
|
||||||
for entry in xfers:
|
for entry in xfers:
|
||||||
|
|
@ -501,7 +501,6 @@ class Client:
|
||||||
for xkey, data in resp['result'].items():
|
for xkey, data in resp['result'].items():
|
||||||
|
|
||||||
# NOTE: always cache in pairs tables for faster lookup
|
# NOTE: always cache in pairs tables for faster lookup
|
||||||
with tractor.devx.maybe_open_crash_handler(): # as bxerr:
|
|
||||||
pair = Pair(xname=xkey, **data)
|
pair = Pair(xname=xkey, **data)
|
||||||
|
|
||||||
# register the above `Pair` structs for all
|
# register the above `Pair` structs for all
|
||||||
|
|
|
||||||
|
|
@ -175,8 +175,9 @@ async def handle_order_requests(
|
||||||
|
|
||||||
case {
|
case {
|
||||||
'account': 'kraken.spot' as account,
|
'account': 'kraken.spot' as account,
|
||||||
'action': 'buy'|'sell',
|
'action': action,
|
||||||
}:
|
} if action in {'buy', 'sell'}:
|
||||||
|
|
||||||
# validate
|
# validate
|
||||||
order = BrokerdOrder(**msg)
|
order = BrokerdOrder(**msg)
|
||||||
|
|
||||||
|
|
@ -261,12 +262,6 @@ async def handle_order_requests(
|
||||||
} | extra
|
} | extra
|
||||||
|
|
||||||
log.info(f'Submitting WS order request:\n{pformat(req)}')
|
log.info(f'Submitting WS order request:\n{pformat(req)}')
|
||||||
|
|
||||||
# NOTE HOWTO, debug order requests
|
|
||||||
#
|
|
||||||
# if 'XRP' in pair:
|
|
||||||
# await tractor.pause()
|
|
||||||
|
|
||||||
await ws.send_msg(req)
|
await ws.send_msg(req)
|
||||||
|
|
||||||
# placehold for sanity checking in relay loop
|
# placehold for sanity checking in relay loop
|
||||||
|
|
@ -1090,8 +1085,6 @@ async def handle_order_updates(
|
||||||
f'Failed to {action} order {reqid}:\n'
|
f'Failed to {action} order {reqid}:\n'
|
||||||
f'{errmsg}'
|
f'{errmsg}'
|
||||||
)
|
)
|
||||||
# if tractor._state.debug_mode():
|
|
||||||
# await tractor.pause()
|
|
||||||
|
|
||||||
symbol: str = 'N/A'
|
symbol: str = 'N/A'
|
||||||
if chain := apiflows.get(reqid):
|
if chain := apiflows.get(reqid):
|
||||||
|
|
|
||||||
|
|
@ -21,6 +21,7 @@ Symbology defs and search.
|
||||||
from decimal import Decimal
|
from decimal import Decimal
|
||||||
|
|
||||||
import tractor
|
import tractor
|
||||||
|
from rapidfuzz import process as fuzzy
|
||||||
|
|
||||||
from piker._cacheables import (
|
from piker._cacheables import (
|
||||||
async_lifo_cache,
|
async_lifo_cache,
|
||||||
|
|
@ -40,13 +41,8 @@ from piker.accounting._mktinfo import (
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
|
# https://www.kraken.com/features/api#get-tradable-pairs
|
||||||
class Pair(Struct):
|
class Pair(Struct):
|
||||||
'''
|
|
||||||
A tradable asset pair as schema-defined by,
|
|
||||||
|
|
||||||
https://docs.kraken.com/api/docs/rest-api/get-tradable-asset-pairs
|
|
||||||
|
|
||||||
'''
|
|
||||||
xname: str # idiotic bs_mktid equiv i guess?
|
xname: str # idiotic bs_mktid equiv i guess?
|
||||||
altname: str # alternate pair name
|
altname: str # alternate pair name
|
||||||
wsname: str # WebSocket pair name (if available)
|
wsname: str # WebSocket pair name (if available)
|
||||||
|
|
@ -57,6 +53,7 @@ class Pair(Struct):
|
||||||
lot: str # volume lot size
|
lot: str # volume lot size
|
||||||
|
|
||||||
cost_decimals: int
|
cost_decimals: int
|
||||||
|
costmin: float
|
||||||
pair_decimals: int # scaling decimal places for pair
|
pair_decimals: int # scaling decimal places for pair
|
||||||
lot_decimals: int # scaling decimal places for volume
|
lot_decimals: int # scaling decimal places for volume
|
||||||
|
|
||||||
|
|
@ -82,7 +79,6 @@ class Pair(Struct):
|
||||||
tick_size: float # min price step size
|
tick_size: float # min price step size
|
||||||
status: str
|
status: str
|
||||||
|
|
||||||
costmin: str|None = None # XXX, only some mktpairs?
|
|
||||||
short_position_limit: float = 0
|
short_position_limit: float = 0
|
||||||
long_position_limit: float = float('inf')
|
long_position_limit: float = float('inf')
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -25,10 +25,7 @@ from typing import TYPE_CHECKING
|
||||||
|
|
||||||
import trio
|
import trio
|
||||||
import tractor
|
import tractor
|
||||||
from tractor.trionics import (
|
from tractor.trionics import broadcast_receiver
|
||||||
broadcast_receiver,
|
|
||||||
collapse_eg,
|
|
||||||
)
|
|
||||||
|
|
||||||
from ._util import (
|
from ._util import (
|
||||||
log, # sub-sys logger
|
log, # sub-sys logger
|
||||||
|
|
@ -284,11 +281,8 @@ async def open_ems(
|
||||||
client._ems_stream = trades_stream
|
client._ems_stream = trades_stream
|
||||||
|
|
||||||
# start sync code order msg delivery task
|
# start sync code order msg delivery task
|
||||||
async with (
|
async with trio.open_nursery() as n:
|
||||||
collapse_eg(),
|
n.start_soon(
|
||||||
trio.open_nursery() as tn,
|
|
||||||
):
|
|
||||||
tn.start_soon(
|
|
||||||
relay_orders_from_sync_code,
|
relay_orders_from_sync_code,
|
||||||
client,
|
client,
|
||||||
fqme,
|
fqme,
|
||||||
|
|
@ -304,4 +298,4 @@ async def open_ems(
|
||||||
)
|
)
|
||||||
|
|
||||||
# stop the sync-msg-relay task on exit.
|
# stop the sync-msg-relay task on exit.
|
||||||
tn.cancel_scope.cancel()
|
n.cancel_scope.cancel()
|
||||||
|
|
|
||||||
|
|
@ -76,6 +76,7 @@ if TYPE_CHECKING:
|
||||||
|
|
||||||
# TODO: numba all of this
|
# TODO: numba all of this
|
||||||
def mk_check(
|
def mk_check(
|
||||||
|
|
||||||
trigger_price: float,
|
trigger_price: float,
|
||||||
known_last: float,
|
known_last: float,
|
||||||
action: str,
|
action: str,
|
||||||
|
|
@ -161,7 +162,7 @@ async def clear_dark_triggers(
|
||||||
|
|
||||||
router: Router,
|
router: Router,
|
||||||
brokerd_orders_stream: tractor.MsgStream,
|
brokerd_orders_stream: tractor.MsgStream,
|
||||||
quote_stream: tractor.MsgStream,
|
quote_stream: tractor.ReceiveMsgStream, # noqa
|
||||||
broker: str,
|
broker: str,
|
||||||
fqme: str,
|
fqme: str,
|
||||||
|
|
||||||
|
|
@ -177,7 +178,6 @@ async def clear_dark_triggers(
|
||||||
'''
|
'''
|
||||||
# XXX: optimize this for speed!
|
# XXX: optimize this for speed!
|
||||||
# TODO:
|
# TODO:
|
||||||
# - port to the new ringbuf stuff in `tractor.ipc`!
|
|
||||||
# - numba all this!
|
# - numba all this!
|
||||||
# - this stream may eventually contain multiple symbols
|
# - this stream may eventually contain multiple symbols
|
||||||
quote_stream._raise_on_lag = False
|
quote_stream._raise_on_lag = False
|
||||||
|
|
@ -1182,16 +1182,12 @@ async def process_client_order_cmds(
|
||||||
submitting live orders immediately if requested by the client.
|
submitting live orders immediately if requested by the client.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
# TODO, only allow `msgspec.Struct` form!
|
# cmd: dict
|
||||||
cmd: dict
|
|
||||||
async for cmd in client_order_stream:
|
async for cmd in client_order_stream:
|
||||||
log.info(
|
log.info(f'Received order cmd:\n{pformat(cmd)}')
|
||||||
f'Received order cmd:\n'
|
|
||||||
f'{pformat(cmd)}\n'
|
|
||||||
)
|
|
||||||
|
|
||||||
# CAWT DAMN we need struct support!
|
# CAWT DAMN we need struct support!
|
||||||
oid: str = str(cmd['oid'])
|
oid = str(cmd['oid'])
|
||||||
|
|
||||||
# register this stream as an active order dialog (msg flow) for
|
# register this stream as an active order dialog (msg flow) for
|
||||||
# this order id such that translated message from the brokerd
|
# this order id such that translated message from the brokerd
|
||||||
|
|
@ -1297,7 +1293,7 @@ async def process_client_order_cmds(
|
||||||
case {
|
case {
|
||||||
'oid': oid,
|
'oid': oid,
|
||||||
'symbol': fqme,
|
'symbol': fqme,
|
||||||
'price': price,
|
'price': trigger_price,
|
||||||
'size': size,
|
'size': size,
|
||||||
'action': ('buy' | 'sell') as action,
|
'action': ('buy' | 'sell') as action,
|
||||||
'exec_mode': ('live' | 'paper'),
|
'exec_mode': ('live' | 'paper'),
|
||||||
|
|
@ -1329,7 +1325,7 @@ async def process_client_order_cmds(
|
||||||
|
|
||||||
symbol=sym,
|
symbol=sym,
|
||||||
action=action,
|
action=action,
|
||||||
price=price,
|
price=trigger_price,
|
||||||
size=size,
|
size=size,
|
||||||
account=req.account,
|
account=req.account,
|
||||||
)
|
)
|
||||||
|
|
@ -1351,11 +1347,7 @@ async def process_client_order_cmds(
|
||||||
# (``translate_and_relay_brokerd_events()`` above) will
|
# (``translate_and_relay_brokerd_events()`` above) will
|
||||||
# handle relaying the ems side responses back to
|
# handle relaying the ems side responses back to
|
||||||
# the client/cmd sender from this request
|
# the client/cmd sender from this request
|
||||||
log.info(
|
log.info(f'Sending live order to {broker}:\n{pformat(msg)}')
|
||||||
f'Sending live order to {broker}:\n'
|
|
||||||
f'{pformat(msg)}'
|
|
||||||
)
|
|
||||||
|
|
||||||
await brokerd_order_stream.send(msg)
|
await brokerd_order_stream.send(msg)
|
||||||
|
|
||||||
# an immediate response should be ``BrokerdOrderAck``
|
# an immediate response should be ``BrokerdOrderAck``
|
||||||
|
|
@ -1371,7 +1363,7 @@ async def process_client_order_cmds(
|
||||||
case {
|
case {
|
||||||
'oid': oid,
|
'oid': oid,
|
||||||
'symbol': fqme,
|
'symbol': fqme,
|
||||||
'price': price,
|
'price': trigger_price,
|
||||||
'size': size,
|
'size': size,
|
||||||
'exec_mode': exec_mode,
|
'exec_mode': exec_mode,
|
||||||
'action': action,
|
'action': action,
|
||||||
|
|
@ -1399,12 +1391,7 @@ async def process_client_order_cmds(
|
||||||
if isnan(last):
|
if isnan(last):
|
||||||
last = flume.rt_shm.array[-1]['close']
|
last = flume.rt_shm.array[-1]['close']
|
||||||
|
|
||||||
trigger_price: float = float(price)
|
pred = mk_check(trigger_price, last, action)
|
||||||
pred = mk_check(
|
|
||||||
trigger_price,
|
|
||||||
last,
|
|
||||||
action,
|
|
||||||
)
|
|
||||||
|
|
||||||
# NOTE: for dark orders currently we submit
|
# NOTE: for dark orders currently we submit
|
||||||
# the triggered live order at a price 5 ticks
|
# the triggered live order at a price 5 ticks
|
||||||
|
|
@ -1544,7 +1531,7 @@ async def _emsd_main(
|
||||||
ctx: tractor.Context,
|
ctx: tractor.Context,
|
||||||
fqme: str,
|
fqme: str,
|
||||||
exec_mode: str, # ('paper', 'live')
|
exec_mode: str, # ('paper', 'live')
|
||||||
loglevel: str|None = None,
|
loglevel: str | None = None,
|
||||||
|
|
||||||
) -> tuple[
|
) -> tuple[
|
||||||
dict[
|
dict[
|
||||||
|
|
|
||||||
|
|
@ -19,7 +19,6 @@ Clearing sub-system message and protocols.
|
||||||
|
|
||||||
"""
|
"""
|
||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
from decimal import Decimal
|
|
||||||
from typing import (
|
from typing import (
|
||||||
Literal,
|
Literal,
|
||||||
)
|
)
|
||||||
|
|
@ -72,15 +71,7 @@ class Order(Struct):
|
||||||
symbol: str # | MktPair
|
symbol: str # | MktPair
|
||||||
account: str # should we set a default as '' ?
|
account: str # should we set a default as '' ?
|
||||||
|
|
||||||
# https://docs.python.org/3/library/decimal.html#decimal-objects
|
price: float
|
||||||
#
|
|
||||||
# ?TODO? decimal usage throughout?
|
|
||||||
# -[ ] possibly leverage the `Encoder(decimal_format='number')`
|
|
||||||
# bit?
|
|
||||||
# |_https://jcristharif.com/msgspec/supported-types.html#decimal
|
|
||||||
# -[ ] should we also use it for .size?
|
|
||||||
#
|
|
||||||
price: Decimal
|
|
||||||
size: float # -ve is "sell", +ve is "buy"
|
size: float # -ve is "sell", +ve is "buy"
|
||||||
|
|
||||||
brokers: list[str] = []
|
brokers: list[str] = []
|
||||||
|
|
@ -187,7 +178,7 @@ class BrokerdOrder(Struct):
|
||||||
time_ns: int
|
time_ns: int
|
||||||
|
|
||||||
symbol: str # fqme
|
symbol: str # fqme
|
||||||
price: Decimal
|
price: float
|
||||||
size: float
|
size: float
|
||||||
|
|
||||||
# TODO: if we instead rely on a +ve/-ve size to determine
|
# TODO: if we instead rely on a +ve/-ve size to determine
|
||||||
|
|
|
||||||
|
|
@ -508,7 +508,7 @@ async def handle_order_requests(
|
||||||
reqid = await client.submit_limit(
|
reqid = await client.submit_limit(
|
||||||
oid=order.oid,
|
oid=order.oid,
|
||||||
symbol=f'{order.symbol}.{client.broker}',
|
symbol=f'{order.symbol}.{client.broker}',
|
||||||
price=float(order.price),
|
price=order.price,
|
||||||
action=order.action,
|
action=order.action,
|
||||||
size=order.size,
|
size=order.size,
|
||||||
# XXX: by default 0 tells ``ib_insync`` methods that
|
# XXX: by default 0 tells ``ib_insync`` methods that
|
||||||
|
|
|
||||||
|
|
@ -184,12 +184,33 @@ def pikerd(
|
||||||
registry_addrs=regaddrs,
|
registry_addrs=regaddrs,
|
||||||
loglevel=loglevel,
|
loglevel=loglevel,
|
||||||
debug_mode=pdb,
|
debug_mode=pdb,
|
||||||
enable_transports=['uds'],
|
|
||||||
) as service_mngr,
|
) as service_mngr, # normally delivers a ``Services`` handle
|
||||||
|
|
||||||
|
# AsyncExitStack() as stack,
|
||||||
):
|
):
|
||||||
assert service_mngr
|
# TODO: spawn all other sub-actor daemons according to
|
||||||
# ?TODO? spawn all other sub-actor daemons according to
|
|
||||||
# multiaddress endpoint spec defined by user config
|
# multiaddress endpoint spec defined by user config
|
||||||
|
assert service_mngr
|
||||||
|
|
||||||
|
# if tsdb:
|
||||||
|
# dname, conf = await stack.enter_async_context(
|
||||||
|
# service.marketstore.start_ahab_daemon(
|
||||||
|
# service_mngr,
|
||||||
|
# loglevel=loglevel,
|
||||||
|
# )
|
||||||
|
# )
|
||||||
|
# log.info(f'TSDB `{dname}` up with conf:\n{conf}')
|
||||||
|
|
||||||
|
# if es:
|
||||||
|
# dname, conf = await stack.enter_async_context(
|
||||||
|
# service.elastic.start_ahab_daemon(
|
||||||
|
# service_mngr,
|
||||||
|
# loglevel=loglevel,
|
||||||
|
# )
|
||||||
|
# )
|
||||||
|
# log.info(f'DB `{dname}` up with conf:\n{conf}')
|
||||||
|
|
||||||
await trio.sleep_forever()
|
await trio.sleep_forever()
|
||||||
|
|
||||||
trio.run(main)
|
trio.run(main)
|
||||||
|
|
@ -314,7 +335,7 @@ def services(config, tl, ports):
|
||||||
name='service_query',
|
name='service_query',
|
||||||
loglevel=config['loglevel'] if tl else None,
|
loglevel=config['loglevel'] if tl else None,
|
||||||
),
|
),
|
||||||
tractor.get_registry(
|
tractor.get_arbiter(
|
||||||
host=host,
|
host=host,
|
||||||
port=ports[0]
|
port=ports[0]
|
||||||
) as portal
|
) as portal
|
||||||
|
|
|
||||||
|
|
@ -284,8 +284,7 @@ class Sampler:
|
||||||
|
|
||||||
except (
|
except (
|
||||||
trio.BrokenResourceError,
|
trio.BrokenResourceError,
|
||||||
trio.ClosedResourceError,
|
trio.ClosedResourceError
|
||||||
trio.EndOfChannel,
|
|
||||||
):
|
):
|
||||||
log.error(
|
log.error(
|
||||||
f'{stream._ctx.chan.uid} dropped connection'
|
f'{stream._ctx.chan.uid} dropped connection'
|
||||||
|
|
@ -698,7 +697,7 @@ async def sample_and_broadcast(
|
||||||
|
|
||||||
log.warning(
|
log.warning(
|
||||||
f'Feed OVERRUN {sub_key}'
|
f'Feed OVERRUN {sub_key}'
|
||||||
f'@{bus.brokername} -> \n'
|
'@{bus.brokername} -> \n'
|
||||||
f'feed @ {chan.uid}\n'
|
f'feed @ {chan.uid}\n'
|
||||||
f'throttle = {throttle} Hz'
|
f'throttle = {throttle} Hz'
|
||||||
)
|
)
|
||||||
|
|
@ -877,7 +876,6 @@ async def uniform_rate_send(
|
||||||
except tractor.RemoteActorError as rme:
|
except tractor.RemoteActorError as rme:
|
||||||
if rme.type is not tractor._exceptions.StreamOverrun:
|
if rme.type is not tractor._exceptions.StreamOverrun:
|
||||||
raise
|
raise
|
||||||
|
|
||||||
ctx = stream._ctx
|
ctx = stream._ctx
|
||||||
chan = ctx.chan
|
chan = ctx.chan
|
||||||
log.warning(
|
log.warning(
|
||||||
|
|
@ -894,7 +892,6 @@ async def uniform_rate_send(
|
||||||
trio.ClosedResourceError,
|
trio.ClosedResourceError,
|
||||||
trio.BrokenResourceError,
|
trio.BrokenResourceError,
|
||||||
ConnectionResetError,
|
ConnectionResetError,
|
||||||
trio.EndOfChannel,
|
|
||||||
):
|
):
|
||||||
# if the feed consumer goes down then drop
|
# if the feed consumer goes down then drop
|
||||||
# out of this rate limiter
|
# out of this rate limiter
|
||||||
|
|
|
||||||
|
|
@ -39,7 +39,6 @@ from typing import (
|
||||||
AsyncContextManager,
|
AsyncContextManager,
|
||||||
Awaitable,
|
Awaitable,
|
||||||
Sequence,
|
Sequence,
|
||||||
TYPE_CHECKING,
|
|
||||||
)
|
)
|
||||||
|
|
||||||
import trio
|
import trio
|
||||||
|
|
@ -76,10 +75,6 @@ from ._sampling import (
|
||||||
uniform_rate_send,
|
uniform_rate_send,
|
||||||
)
|
)
|
||||||
|
|
||||||
if TYPE_CHECKING:
|
|
||||||
from tractor._addr import Address
|
|
||||||
from tractor.msg.types import Aid
|
|
||||||
|
|
||||||
|
|
||||||
class Sub(Struct, frozen=True):
|
class Sub(Struct, frozen=True):
|
||||||
'''
|
'''
|
||||||
|
|
@ -904,19 +899,19 @@ async def open_feed(
|
||||||
feed.portals[brokermod] = portal
|
feed.portals[brokermod] = portal
|
||||||
|
|
||||||
# fill out "status info" that the UI can show
|
# fill out "status info" that the UI can show
|
||||||
chan: tractor.Channel = portal.chan
|
host, port = portal.channel.raddr
|
||||||
raddr: Address = chan.raddr
|
if host == '127.0.0.1':
|
||||||
aid: Aid = chan.aid
|
host = 'localhost'
|
||||||
# TAG_feed_status_update
|
|
||||||
feed.status.update({
|
feed.status.update({
|
||||||
'actor_id': aid,
|
'actor_name': portal.channel.uid[0],
|
||||||
'actor_short_id': f'{aid.name}@{aid.pid}',
|
'host': host,
|
||||||
'ipc': chan.raddr.proto_key,
|
'port': port,
|
||||||
'ipc_addr': raddr,
|
|
||||||
'hist_shm': 'NA',
|
'hist_shm': 'NA',
|
||||||
'rt_shm': 'NA',
|
'rt_shm': 'NA',
|
||||||
'throttle_hz': tick_throttle,
|
'throttle_rate': tick_throttle,
|
||||||
})
|
})
|
||||||
|
# feed.status.update(init_msg.pop('status', {}))
|
||||||
|
|
||||||
# (allocate and) connect to any feed bus for this broker
|
# (allocate and) connect to any feed bus for this broker
|
||||||
bus_ctxs.append(
|
bus_ctxs.append(
|
||||||
|
|
|
||||||
|
|
@ -498,7 +498,6 @@ async def cascade(
|
||||||
|
|
||||||
func_name: str = func.__name__
|
func_name: str = func.__name__
|
||||||
async with (
|
async with (
|
||||||
tractor.trionics.collapse_eg(), # avoid multi-taskc tb in console
|
|
||||||
trio.open_nursery() as tn,
|
trio.open_nursery() as tn,
|
||||||
):
|
):
|
||||||
# TODO: might be better to just make a "restart" method where
|
# TODO: might be better to just make a "restart" method where
|
||||||
|
|
|
||||||
28
piker/log.py
28
piker/log.py
|
|
@ -18,11 +18,7 @@
|
||||||
Log like a forester!
|
Log like a forester!
|
||||||
"""
|
"""
|
||||||
import logging
|
import logging
|
||||||
import reprlib
|
|
||||||
import json
|
import json
|
||||||
from typing import (
|
|
||||||
Callable,
|
|
||||||
)
|
|
||||||
|
|
||||||
import tractor
|
import tractor
|
||||||
from pygments import (
|
from pygments import (
|
||||||
|
|
@ -88,27 +84,3 @@ def colorize_json(
|
||||||
# likeable styles: algol_nu, tango, monokai
|
# likeable styles: algol_nu, tango, monokai
|
||||||
formatters.TerminalTrueColorFormatter(style=style)
|
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
|
|
||||||
|
|
|
||||||
|
|
@ -200,8 +200,7 @@ async def open_pikerd(
|
||||||
reg_addrs,
|
reg_addrs,
|
||||||
),
|
),
|
||||||
tractor.open_nursery() as actor_nursery,
|
tractor.open_nursery() as actor_nursery,
|
||||||
tractor.trionics.collapse_eg(),
|
trio.open_nursery() as service_nursery,
|
||||||
trio.open_nursery() as service_tn,
|
|
||||||
):
|
):
|
||||||
for addr in reg_addrs:
|
for addr in reg_addrs:
|
||||||
if addr not in root_actor.accept_addrs:
|
if addr not in root_actor.accept_addrs:
|
||||||
|
|
@ -212,7 +211,7 @@ async def open_pikerd(
|
||||||
|
|
||||||
# assign globally for future daemon/task creation
|
# assign globally for future daemon/task creation
|
||||||
Services.actor_n = actor_nursery
|
Services.actor_n = actor_nursery
|
||||||
Services.service_n = service_tn
|
Services.service_n = service_nursery
|
||||||
Services.debug_mode = debug_mode
|
Services.debug_mode = debug_mode
|
||||||
|
|
||||||
try:
|
try:
|
||||||
|
|
@ -222,7 +221,7 @@ async def open_pikerd(
|
||||||
# TODO: is this more clever/efficient?
|
# TODO: is this more clever/efficient?
|
||||||
# if 'samplerd' in Services.service_tasks:
|
# if 'samplerd' in Services.service_tasks:
|
||||||
# await Services.cancel_service('samplerd')
|
# await Services.cancel_service('samplerd')
|
||||||
service_tn.cancel_scope.cancel()
|
service_nursery.cancel_scope.cancel()
|
||||||
|
|
||||||
|
|
||||||
# TODO: do we even need this?
|
# TODO: do we even need this?
|
||||||
|
|
|
||||||
|
|
@ -138,16 +138,6 @@ class StorageClient(
|
||||||
) -> None:
|
) -> None:
|
||||||
...
|
...
|
||||||
|
|
||||||
async def write_oi(
|
|
||||||
self,
|
|
||||||
fqme: str,
|
|
||||||
oi: np.ndarray,
|
|
||||||
append_and_duplicate: bool = True,
|
|
||||||
limit: int = int(800e3),
|
|
||||||
|
|
||||||
) -> None:
|
|
||||||
...
|
|
||||||
|
|
||||||
|
|
||||||
class TimeseriesNotFound(Exception):
|
class TimeseriesNotFound(Exception):
|
||||||
'''
|
'''
|
||||||
|
|
|
||||||
|
|
@ -111,24 +111,6 @@ def mk_ohlcv_shm_keyed_filepath(
|
||||||
return path
|
return path
|
||||||
|
|
||||||
|
|
||||||
def mk_oi_shm_keyed_filepath(
|
|
||||||
fqme: str,
|
|
||||||
period: float | int,
|
|
||||||
datadir: Path,
|
|
||||||
|
|
||||||
) -> Path:
|
|
||||||
|
|
||||||
if period < 1.:
|
|
||||||
raise ValueError('Sample period should be >= 1.!?')
|
|
||||||
|
|
||||||
path: Path = (
|
|
||||||
datadir
|
|
||||||
/
|
|
||||||
f'{fqme}.oi{int(period)}s.parquet'
|
|
||||||
)
|
|
||||||
return path
|
|
||||||
|
|
||||||
|
|
||||||
def unpack_fqme_from_parquet_filepath(path: Path) -> str:
|
def unpack_fqme_from_parquet_filepath(path: Path) -> str:
|
||||||
|
|
||||||
filename: str = str(path.name)
|
filename: str = str(path.name)
|
||||||
|
|
@ -190,11 +172,7 @@ class NativeStorageClient:
|
||||||
|
|
||||||
key: str = path.name.rstrip('.parquet')
|
key: str = path.name.rstrip('.parquet')
|
||||||
fqme, _, descr = key.rpartition('.')
|
fqme, _, descr = key.rpartition('.')
|
||||||
if 'ohlcv' in descr:
|
|
||||||
prefix, _, suffix = descr.partition('ohlcv')
|
prefix, _, suffix = descr.partition('ohlcv')
|
||||||
elif 'oi' in descr:
|
|
||||||
prefix, _, suffix = descr.partition('oi')
|
|
||||||
|
|
||||||
period: int = int(suffix.strip('s'))
|
period: int = int(suffix.strip('s'))
|
||||||
|
|
||||||
# cache description data
|
# cache description data
|
||||||
|
|
@ -391,61 +369,6 @@ class NativeStorageClient:
|
||||||
timeframe,
|
timeframe,
|
||||||
)
|
)
|
||||||
|
|
||||||
def _write_oi(
|
|
||||||
self,
|
|
||||||
fqme: str,
|
|
||||||
oi: np.ndarray,
|
|
||||||
|
|
||||||
) -> Path:
|
|
||||||
'''
|
|
||||||
Sync version of the public interface meth, since we don't
|
|
||||||
currently actually need or support an async impl.
|
|
||||||
|
|
||||||
'''
|
|
||||||
path: Path = mk_oi_shm_keyed_filepath(
|
|
||||||
fqme=fqme,
|
|
||||||
period=1,
|
|
||||||
datadir=self._datadir,
|
|
||||||
)
|
|
||||||
if isinstance(oi, np.ndarray):
|
|
||||||
new_df: pl.DataFrame = tsp.np2pl(oi)
|
|
||||||
else:
|
|
||||||
new_df = oi
|
|
||||||
|
|
||||||
if path.exists():
|
|
||||||
old_df = pl.read_parquet(path)
|
|
||||||
df = pl.concat([old_df, new_df])
|
|
||||||
else:
|
|
||||||
df = new_df
|
|
||||||
|
|
||||||
start = time.time()
|
|
||||||
df.write_parquet(path)
|
|
||||||
delay: float = round(
|
|
||||||
time.time() - start,
|
|
||||||
ndigits=6,
|
|
||||||
)
|
|
||||||
log.info(
|
|
||||||
f'parquet write took {delay} secs\n'
|
|
||||||
f'file path: {path}'
|
|
||||||
)
|
|
||||||
return path
|
|
||||||
|
|
||||||
async def write_oi(
|
|
||||||
self,
|
|
||||||
fqme: str,
|
|
||||||
oi: np.ndarray,
|
|
||||||
|
|
||||||
) -> Path:
|
|
||||||
'''
|
|
||||||
Write input oi time series for fqme and sampling period
|
|
||||||
to (local) disk.
|
|
||||||
|
|
||||||
'''
|
|
||||||
return self._write_oi(
|
|
||||||
fqme,
|
|
||||||
oi,
|
|
||||||
)
|
|
||||||
|
|
||||||
async def delete_ts(
|
async def delete_ts(
|
||||||
self,
|
self,
|
||||||
key: str,
|
key: str,
|
||||||
|
|
|
||||||
|
|
@ -517,7 +517,7 @@ def with_dts(
|
||||||
|
|
||||||
'''
|
'''
|
||||||
return df.with_columns([
|
return df.with_columns([
|
||||||
pl.col(time_col).shift(1).name.suffix('_prev'),
|
pl.col(time_col).shift(1).suffix('_prev'),
|
||||||
pl.col(time_col).diff().alias('s_diff'),
|
pl.col(time_col).diff().alias('s_diff'),
|
||||||
pl.from_epoch(pl.col(time_col)).alias('dt'),
|
pl.from_epoch(pl.col(time_col)).alias('dt'),
|
||||||
]).with_columns([
|
]).with_columns([
|
||||||
|
|
@ -623,7 +623,7 @@ def detect_vlm_gaps(
|
||||||
|
|
||||||
) -> pl.DataFrame:
|
) -> pl.DataFrame:
|
||||||
|
|
||||||
vnull: pl.DataFrame = df.filter(
|
vnull: pl.DataFrame = w_dts.filter(
|
||||||
pl.col(col) == 0
|
pl.col(col) == 0
|
||||||
)
|
)
|
||||||
return vnull
|
return vnull
|
||||||
|
|
|
||||||
|
|
@ -21,7 +21,6 @@ Main app startup and run.
|
||||||
from functools import partial
|
from functools import partial
|
||||||
from types import ModuleType
|
from types import ModuleType
|
||||||
|
|
||||||
import tractor
|
|
||||||
import trio
|
import trio
|
||||||
|
|
||||||
from piker.ui.qt import (
|
from piker.ui.qt import (
|
||||||
|
|
@ -117,7 +116,6 @@ async def _async_main(
|
||||||
needed_brokermods[brokername] = brokers[brokername]
|
needed_brokermods[brokername] = brokers[brokername]
|
||||||
|
|
||||||
async with (
|
async with (
|
||||||
tractor.trionics.collapse_eg(),
|
|
||||||
trio.open_nursery() as root_n,
|
trio.open_nursery() as root_n,
|
||||||
):
|
):
|
||||||
# set root nursery and task stack for spawning other charts/feeds
|
# set root nursery and task stack for spawning other charts/feeds
|
||||||
|
|
|
||||||
|
|
@ -33,6 +33,7 @@ import trio
|
||||||
|
|
||||||
from piker.ui.qt import (
|
from piker.ui.qt import (
|
||||||
QtCore,
|
QtCore,
|
||||||
|
QtWidgets,
|
||||||
Qt,
|
Qt,
|
||||||
QLineF,
|
QLineF,
|
||||||
QFrame,
|
QFrame,
|
||||||
|
|
|
||||||
|
|
@ -1445,10 +1445,7 @@ async def display_symbol_data(
|
||||||
# for pause/resume on mouse interaction
|
# for pause/resume on mouse interaction
|
||||||
rt_chart.feed = feed
|
rt_chart.feed = feed
|
||||||
|
|
||||||
async with (
|
async with trio.open_nursery() as ln:
|
||||||
tractor.trionics.collapse_eg(),
|
|
||||||
trio.open_nursery() as ln,
|
|
||||||
):
|
|
||||||
# if available load volume related built-in display(s)
|
# if available load volume related built-in display(s)
|
||||||
vlm_charts: dict[
|
vlm_charts: dict[
|
||||||
str,
|
str,
|
||||||
|
|
|
||||||
|
|
@ -22,10 +22,7 @@ from contextlib import asynccontextmanager as acm
|
||||||
from typing import Callable
|
from typing import Callable
|
||||||
|
|
||||||
import trio
|
import trio
|
||||||
from tractor.trionics import (
|
from tractor.trionics import gather_contexts
|
||||||
gather_contexts,
|
|
||||||
collapse_eg,
|
|
||||||
)
|
|
||||||
|
|
||||||
from piker.ui.qt import (
|
from piker.ui.qt import (
|
||||||
QtCore,
|
QtCore,
|
||||||
|
|
@ -210,10 +207,7 @@ async def open_signal_handler(
|
||||||
async for args in recv:
|
async for args in recv:
|
||||||
await async_handler(*args)
|
await async_handler(*args)
|
||||||
|
|
||||||
async with (
|
async with trio.open_nursery() as tn:
|
||||||
collapse_eg(),
|
|
||||||
trio.open_nursery() as tn
|
|
||||||
):
|
|
||||||
tn.start_soon(proxy_to_handler)
|
tn.start_soon(proxy_to_handler)
|
||||||
async with send:
|
async with send:
|
||||||
yield
|
yield
|
||||||
|
|
@ -248,7 +242,6 @@ async def open_handlers(
|
||||||
widget: QWidget
|
widget: QWidget
|
||||||
streams: list[trio.abc.ReceiveChannel]
|
streams: list[trio.abc.ReceiveChannel]
|
||||||
async with (
|
async with (
|
||||||
collapse_eg(),
|
|
||||||
trio.open_nursery() as tn,
|
trio.open_nursery() as tn,
|
||||||
gather_contexts([
|
gather_contexts([
|
||||||
open_event_stream(
|
open_event_stream(
|
||||||
|
|
|
||||||
|
|
@ -18,11 +18,10 @@
|
||||||
Feed status and controls widget(s) for embedding in a UI-pane.
|
Feed status and controls widget(s) for embedding in a UI-pane.
|
||||||
|
|
||||||
"""
|
"""
|
||||||
|
|
||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
from typing import (
|
from textwrap import dedent
|
||||||
Any,
|
from typing import TYPE_CHECKING
|
||||||
TYPE_CHECKING,
|
|
||||||
)
|
|
||||||
|
|
||||||
# from PyQt5.QtCore import Qt
|
# from PyQt5.QtCore import Qt
|
||||||
|
|
||||||
|
|
@ -50,55 +49,35 @@ def mk_feed_label(
|
||||||
a feed control protocol.
|
a feed control protocol.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
status: dict[str, Any] = feed.status
|
status = feed.status
|
||||||
assert status
|
assert status
|
||||||
|
|
||||||
# SO tips on ws/nls,
|
msg = dedent("""
|
||||||
# https://stackoverflow.com/a/15721400
|
actor: **{actor_name}**\n
|
||||||
ws: str = ' '
|
|_ @**{host}:{port}**\n
|
||||||
# nl: str = '<br>' # dun work?
|
""")
|
||||||
actor_info_repr: str = (
|
|
||||||
f')> **{status["actor_short_id"]}**\n'
|
|
||||||
'\n' # bc md?
|
|
||||||
)
|
|
||||||
|
|
||||||
# fields to select *IN* for display
|
for key, val in status.items():
|
||||||
# (see `.data.feed.open_feed()` status
|
if key in ('host', 'port', 'actor_name'):
|
||||||
# update -> TAG_feed_status_update)
|
continue
|
||||||
for key in [
|
msg += f'\n|_ {key}: **{{{key}}}**\n'
|
||||||
'ipc',
|
|
||||||
'hist_shm',
|
|
||||||
'rt_shm',
|
|
||||||
'throttle_hz',
|
|
||||||
]:
|
|
||||||
# NOTE, the 2nd key is filled via `.format()` updates.
|
|
||||||
actor_info_repr += (
|
|
||||||
f'\n' # bc md?
|
|
||||||
f'{ws}|_{key}: **{{{key}}}**\n'
|
|
||||||
)
|
|
||||||
# ^TODO? formatting and content..
|
|
||||||
# -[ ] showing which fqme is "forward" on the
|
|
||||||
# chart/fsp/order-mode?
|
|
||||||
# '|_ flows: **{symbols}**\n'
|
|
||||||
#
|
|
||||||
# -[x] why isn't the indent working?
|
|
||||||
# => markdown, now solved..
|
|
||||||
|
|
||||||
feed_label = FormatLabel(
|
feed_label = FormatLabel(
|
||||||
fmt_str=actor_info_repr,
|
fmt_str=msg,
|
||||||
|
# |_ streams: **{symbols}**\n
|
||||||
font=_font.font,
|
font=_font.font,
|
||||||
font_size=_font_small.px_size,
|
font_size=_font_small.px_size,
|
||||||
font_color='default_lightest',
|
font_color='default_lightest',
|
||||||
)
|
)
|
||||||
|
|
||||||
# ?TODO, remove this?
|
|
||||||
# form.vbox.setAlignment(feed_label, Qt.AlignBottom)
|
# form.vbox.setAlignment(feed_label, Qt.AlignBottom)
|
||||||
# form.vbox.setAlignment(Qt.AlignBottom)
|
# form.vbox.setAlignment(Qt.AlignBottom)
|
||||||
# _ = chart.height() - (
|
_ = chart.height() - (
|
||||||
# form.height() +
|
form.height() +
|
||||||
# form.fill_bar.height()
|
form.fill_bar.height()
|
||||||
# # feed_label.height()
|
# feed_label.height()
|
||||||
# )
|
)
|
||||||
|
|
||||||
feed_label.format(**feed.status)
|
feed_label.format(**feed.status)
|
||||||
|
|
||||||
return feed_label
|
return feed_label
|
||||||
|
|
|
||||||
|
|
@ -600,7 +600,6 @@ async def open_fsp_admin(
|
||||||
kwargs=kwargs,
|
kwargs=kwargs,
|
||||||
) as (cache_hit, cluster_map),
|
) as (cache_hit, cluster_map),
|
||||||
|
|
||||||
tractor.trionics.collapse_eg(),
|
|
||||||
trio.open_nursery() as tn,
|
trio.open_nursery() as tn,
|
||||||
):
|
):
|
||||||
if cache_hit:
|
if cache_hit:
|
||||||
|
|
@ -614,8 +613,6 @@ async def open_fsp_admin(
|
||||||
)
|
)
|
||||||
try:
|
try:
|
||||||
yield admin
|
yield admin
|
||||||
|
|
||||||
# ??TODO, does this *need* to be inside a finally?
|
|
||||||
finally:
|
finally:
|
||||||
# terminate all tasks via signals
|
# terminate all tasks via signals
|
||||||
for key, entry in admin._registry.items():
|
for key, entry in admin._registry.items():
|
||||||
|
|
|
||||||
|
|
@ -285,20 +285,18 @@ class FormatLabel(QLabel):
|
||||||
font_size: int,
|
font_size: int,
|
||||||
font_color: str,
|
font_color: str,
|
||||||
|
|
||||||
use_md: bool = True,
|
|
||||||
|
|
||||||
parent=None,
|
parent=None,
|
||||||
|
|
||||||
) -> None:
|
) -> None:
|
||||||
|
|
||||||
super().__init__(parent)
|
super().__init__(parent)
|
||||||
|
|
||||||
# by default set the format string verbatim and expect user
|
# by default set the format string verbatim and expect user to
|
||||||
# to call ``.format()`` later (presumably they'll notice the
|
# call ``.format()`` later (presumably they'll notice the
|
||||||
# unformatted content if ``fmt_str`` isn't meant to be
|
# unformatted content if ``fmt_str`` isn't meant to be
|
||||||
# unformatted).
|
# unformatted).
|
||||||
self.fmt_str = fmt_str
|
self.fmt_str = fmt_str
|
||||||
# self.setText(fmt_str) # ?TODO, why here?
|
self.setText(fmt_str)
|
||||||
|
|
||||||
self.setStyleSheet(
|
self.setStyleSheet(
|
||||||
f"""QLabel {{
|
f"""QLabel {{
|
||||||
|
|
@ -308,7 +306,6 @@ class FormatLabel(QLabel):
|
||||||
"""
|
"""
|
||||||
)
|
)
|
||||||
self.setFont(_font.font)
|
self.setFont(_font.font)
|
||||||
if use_md:
|
|
||||||
self.setTextFormat(
|
self.setTextFormat(
|
||||||
Qt.TextFormat.MarkdownText
|
Qt.TextFormat.MarkdownText
|
||||||
)
|
)
|
||||||
|
|
@ -319,10 +316,7 @@ class FormatLabel(QLabel):
|
||||||
size_policy.Expanding,
|
size_policy.Expanding,
|
||||||
)
|
)
|
||||||
self.setAlignment(
|
self.setAlignment(
|
||||||
Qt.AlignLeft
|
Qt.AlignVCenter | Qt.AlignLeft
|
||||||
|
|
|
||||||
Qt.AlignBottom
|
|
||||||
# Qt.AlignVCenter
|
|
||||||
)
|
)
|
||||||
self.setText(self.fmt_str)
|
self.setText(self.fmt_str)
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -269,8 +269,6 @@ def hcolor(name: str) -> str:
|
||||||
|
|
||||||
# default ohlc-bars/curve gray
|
# default ohlc-bars/curve gray
|
||||||
'bracket': '#666666', # like the logo
|
'bracket': '#666666', # like the logo
|
||||||
'pikers': '#616161', # a trader shade of..
|
|
||||||
'beast': '#161616', # in the dark alone.
|
|
||||||
|
|
||||||
# bluish
|
# bluish
|
||||||
'charcoal': '#36454F',
|
'charcoal': '#36454F',
|
||||||
|
|
|
||||||
|
|
@ -21,7 +21,6 @@ Chart trading, the only way to scalp.
|
||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
from contextlib import asynccontextmanager
|
from contextlib import asynccontextmanager
|
||||||
from dataclasses import dataclass, field
|
from dataclasses import dataclass, field
|
||||||
from decimal import Decimal
|
|
||||||
from functools import partial
|
from functools import partial
|
||||||
from pprint import pformat
|
from pprint import pformat
|
||||||
import time
|
import time
|
||||||
|
|
@ -42,6 +41,7 @@ from piker.accounting import (
|
||||||
Position,
|
Position,
|
||||||
mk_allocator,
|
mk_allocator,
|
||||||
MktPair,
|
MktPair,
|
||||||
|
Symbol,
|
||||||
)
|
)
|
||||||
from piker.clearing import (
|
from piker.clearing import (
|
||||||
open_ems,
|
open_ems,
|
||||||
|
|
@ -143,15 +143,6 @@ class OrderMode:
|
||||||
}
|
}
|
||||||
_staged_order: Order | None = None
|
_staged_order: Order | None = None
|
||||||
|
|
||||||
@property
|
|
||||||
def curr_mkt(self) -> MktPair:
|
|
||||||
'''
|
|
||||||
Deliver the currently selected `MktPair` according
|
|
||||||
chart state.
|
|
||||||
|
|
||||||
'''
|
|
||||||
return self.chart.linked.mkt
|
|
||||||
|
|
||||||
def on_level_change_update_next_order_info(
|
def on_level_change_update_next_order_info(
|
||||||
self,
|
self,
|
||||||
level: float,
|
level: float,
|
||||||
|
|
@ -181,11 +172,7 @@ class OrderMode:
|
||||||
line.update_labels(order_info)
|
line.update_labels(order_info)
|
||||||
|
|
||||||
# update bound-in staged order
|
# update bound-in staged order
|
||||||
mkt: MktPair = self.curr_mkt
|
order.price = level
|
||||||
order.price: Decimal = mkt.quantize(
|
|
||||||
size=level,
|
|
||||||
quantity_type='price',
|
|
||||||
)
|
|
||||||
order.size = order_info['size']
|
order.size = order_info['size']
|
||||||
|
|
||||||
# when an order is changed we flip the settings side-pane to
|
# when an order is changed we flip the settings side-pane to
|
||||||
|
|
@ -200,9 +187,7 @@ class OrderMode:
|
||||||
|
|
||||||
) -> LevelLine:
|
) -> LevelLine:
|
||||||
|
|
||||||
# TODO, if we instead just always decimalize at the ems layer
|
level = order.price
|
||||||
# we can avoid this back-n-forth casting?
|
|
||||||
level = float(order.price)
|
|
||||||
|
|
||||||
line = order_line(
|
line = order_line(
|
||||||
chart or self.chart,
|
chart or self.chart,
|
||||||
|
|
@ -239,11 +224,7 @@ class OrderMode:
|
||||||
# the order mode allocator but we still need to update the
|
# the order mode allocator but we still need to update the
|
||||||
# "staged" order message we'll send to the ems
|
# "staged" order message we'll send to the ems
|
||||||
def update_order_price(y: float) -> None:
|
def update_order_price(y: float) -> None:
|
||||||
mkt: MktPair = self.curr_mkt
|
order.price = y
|
||||||
order.price: Decimal = mkt.quantize(
|
|
||||||
size=y,
|
|
||||||
quantity_type='price',
|
|
||||||
)
|
|
||||||
|
|
||||||
line._on_level_change = update_order_price
|
line._on_level_change = update_order_price
|
||||||
|
|
||||||
|
|
@ -294,31 +275,34 @@ class OrderMode:
|
||||||
chart = cursor.linked.chart
|
chart = cursor.linked.chart
|
||||||
if (
|
if (
|
||||||
not chart
|
not chart
|
||||||
and
|
and cursor
|
||||||
cursor
|
and cursor.active_plot
|
||||||
and
|
|
||||||
cursor.active_plot
|
|
||||||
):
|
):
|
||||||
return
|
return
|
||||||
|
|
||||||
chart = cursor.active_plot
|
chart = cursor.active_plot
|
||||||
price: float = cursor._datum_xy[1]
|
price = cursor._datum_xy[1]
|
||||||
if not price:
|
if not price:
|
||||||
# zero prices are not supported by any means
|
# zero prices are not supported by any means
|
||||||
# since that's illogical / a no-op.
|
# since that's illogical / a no-op.
|
||||||
return
|
return
|
||||||
|
|
||||||
|
mkt: MktPair = self.chart.linked.mkt
|
||||||
|
|
||||||
|
# NOTE : we could also use instead,
|
||||||
|
# mkt.quantize(price, quantity_type='price')
|
||||||
|
# but it returns a Decimal and it's probably gonna
|
||||||
|
# be slower?
|
||||||
# TODO: should we be enforcing this precision
|
# TODO: should we be enforcing this precision
|
||||||
# at a different layer in the stack?
|
# at a different layer in the stack? right now
|
||||||
# |_ might require `MktPair` tracking in the EMS?
|
# any precision error will literally be relayed
|
||||||
# |_ right now any precision error will be relayed
|
# all the way back from the backend.
|
||||||
# all the way back from the backend and vice-versa..
|
|
||||||
#
|
price = round(
|
||||||
mkt: MktPair = self.curr_mkt
|
price,
|
||||||
price: Decimal = mkt.quantize(
|
ndigits=mkt.price_tick_digits,
|
||||||
size=price,
|
|
||||||
quantity_type='price',
|
|
||||||
)
|
)
|
||||||
|
|
||||||
order = self._staged_order = Order(
|
order = self._staged_order = Order(
|
||||||
action=action,
|
action=action,
|
||||||
price=price,
|
price=price,
|
||||||
|
|
@ -394,7 +378,7 @@ class OrderMode:
|
||||||
'oid': oid,
|
'oid': oid,
|
||||||
})
|
})
|
||||||
|
|
||||||
if float(order.price) <= 0:
|
if order.price <= 0:
|
||||||
log.error(
|
log.error(
|
||||||
'*!? Invalid `Order.price <= 0` ?!*\n'
|
'*!? Invalid `Order.price <= 0` ?!*\n'
|
||||||
# TODO: make this present multi-line in object form
|
# TODO: make this present multi-line in object form
|
||||||
|
|
@ -531,15 +515,14 @@ class OrderMode:
|
||||||
# if an order msg is provided update the line
|
# if an order msg is provided update the line
|
||||||
# **from** that msg.
|
# **from** that msg.
|
||||||
if order:
|
if order:
|
||||||
price: float = float(order.price)
|
if order.price <= 0:
|
||||||
if price <= 0:
|
|
||||||
log.error(f'Order has 0 price, cancelling..\n{order}')
|
log.error(f'Order has 0 price, cancelling..\n{order}')
|
||||||
self.cancel_orders([order.oid])
|
self.cancel_orders([order.oid])
|
||||||
return None
|
return None
|
||||||
|
|
||||||
line.set_level(price)
|
line.set_level(order.price)
|
||||||
self.on_level_change_update_next_order_info(
|
self.on_level_change_update_next_order_info(
|
||||||
level=price,
|
level=order.price,
|
||||||
line=line,
|
line=line,
|
||||||
order=order,
|
order=order,
|
||||||
# use the corresponding position tracker for the
|
# use the corresponding position tracker for the
|
||||||
|
|
@ -698,9 +681,9 @@ class OrderMode:
|
||||||
) -> Dialog | None:
|
) -> Dialog | None:
|
||||||
# NOTE: the `.order` attr **must** be set with the
|
# NOTE: the `.order` attr **must** be set with the
|
||||||
# equivalent order msg in order to be loaded.
|
# equivalent order msg in order to be loaded.
|
||||||
order: Order = msg.req
|
order = msg.req
|
||||||
oid = str(msg.oid)
|
oid = str(msg.oid)
|
||||||
symbol: str = order.symbol
|
symbol = order.symbol
|
||||||
|
|
||||||
# TODO: MEGA UGGG ZONEEEE!
|
# TODO: MEGA UGGG ZONEEEE!
|
||||||
src = msg.src
|
src = msg.src
|
||||||
|
|
@ -719,22 +702,13 @@ class OrderMode:
|
||||||
order.oid = str(order.oid)
|
order.oid = str(order.oid)
|
||||||
order.brokers = [brokername]
|
order.brokers = [brokername]
|
||||||
|
|
||||||
# ?TODO? change this over to `MktPair`, but it's gonna be
|
# TODO: change this over to `MktPair`, but it's
|
||||||
# tough since we don't have any such data really in our
|
# gonna be tough since we don't have any such data
|
||||||
# clearing msg schema..
|
# really in our clearing msg schema..
|
||||||
# BUT WAIT! WHY do we even want/need this!?
|
order.symbol = Symbol.from_fqme(
|
||||||
#
|
fqsn=fqme,
|
||||||
# order.symbol = self.curr_mkt
|
info={},
|
||||||
#
|
)
|
||||||
# XXX, the old approach.. which i don't quire member why..
|
|
||||||
# -[ ] verify we for sure don't require this any more!
|
|
||||||
# |_https://github.com/pikers/piker/issues/517
|
|
||||||
#
|
|
||||||
# order.symbol = Symbol.from_fqme(
|
|
||||||
# fqsn=fqme,
|
|
||||||
# info={},
|
|
||||||
# )
|
|
||||||
|
|
||||||
maybe_dialog: Dialog | None = self.submit_order(
|
maybe_dialog: Dialog | None = self.submit_order(
|
||||||
send_msg=False,
|
send_msg=False,
|
||||||
order=order,
|
order=order,
|
||||||
|
|
@ -792,7 +766,6 @@ async def open_order_mode(
|
||||||
brokerd_accounts,
|
brokerd_accounts,
|
||||||
ems_dialog_msgs,
|
ems_dialog_msgs,
|
||||||
),
|
),
|
||||||
tractor.trionics.collapse_eg(),
|
|
||||||
trio.open_nursery() as tn,
|
trio.open_nursery() as tn,
|
||||||
|
|
||||||
):
|
):
|
||||||
|
|
@ -1128,7 +1101,7 @@ async def process_trade_msg(
|
||||||
)
|
)
|
||||||
)
|
)
|
||||||
):
|
):
|
||||||
msg.req: Order = order
|
msg.req = order
|
||||||
dialog: (
|
dialog: (
|
||||||
Dialog
|
Dialog
|
||||||
# NOTE: on an invalid order submission (eg.
|
# NOTE: on an invalid order submission (eg.
|
||||||
|
|
@ -1193,7 +1166,7 @@ async def process_trade_msg(
|
||||||
tm = time.time()
|
tm = time.time()
|
||||||
mode.on_fill(
|
mode.on_fill(
|
||||||
oid,
|
oid,
|
||||||
price=float(req.price),
|
price=req.price,
|
||||||
time_s=tm,
|
time_s=tm,
|
||||||
)
|
)
|
||||||
mode.lines.remove_line(uuid=oid)
|
mode.lines.remove_line(uuid=oid)
|
||||||
|
|
@ -1248,7 +1221,7 @@ async def process_trade_msg(
|
||||||
tm = details['broker_time']
|
tm = details['broker_time']
|
||||||
mode.on_fill(
|
mode.on_fill(
|
||||||
oid,
|
oid,
|
||||||
price=float(details['price']),
|
price=details['price'],
|
||||||
time_s=tm,
|
time_s=tm,
|
||||||
pointing='up' if action == 'buy' else 'down',
|
pointing='up' if action == 'buy' else 'down',
|
||||||
)
|
)
|
||||||
|
|
|
||||||
|
|
@ -23,7 +23,7 @@ name = "piker"
|
||||||
version = "0.1.0a0dev0"
|
version = "0.1.0a0dev0"
|
||||||
description = "trading gear for hackers"
|
description = "trading gear for hackers"
|
||||||
authors = [{ name = "Tyler Goodlet", email = "goodboy_foss@protonmail.com" }]
|
authors = [{ name = "Tyler Goodlet", email = "goodboy_foss@protonmail.com" }]
|
||||||
requires-python = ">=3.12"
|
requires-python = ">=3.12, <3.13"
|
||||||
license = "AGPL-3.0-or-later"
|
license = "AGPL-3.0-or-later"
|
||||||
readme = "README.rst"
|
readme = "README.rst"
|
||||||
keywords = [
|
keywords = [
|
||||||
|
|
@ -39,8 +39,8 @@ classifiers = [
|
||||||
"Operating System :: POSIX :: Linux",
|
"Operating System :: POSIX :: Linux",
|
||||||
"Programming Language :: Python :: Implementation :: CPython",
|
"Programming Language :: Python :: Implementation :: CPython",
|
||||||
"Programming Language :: Python :: 3 :: Only",
|
"Programming Language :: Python :: 3 :: Only",
|
||||||
|
"Programming Language :: Python :: 3.11",
|
||||||
"Programming Language :: Python :: 3.12",
|
"Programming Language :: Python :: 3.12",
|
||||||
"Programming Language :: Python :: 3.13",
|
|
||||||
"Intended Audience :: Financial and Insurance Industry",
|
"Intended Audience :: Financial and Insurance Industry",
|
||||||
"Intended Audience :: Science/Research",
|
"Intended Audience :: Science/Research",
|
||||||
"Intended Audience :: Developers",
|
"Intended Audience :: Developers",
|
||||||
|
|
@ -49,13 +49,13 @@ classifiers = [
|
||||||
dependencies = [
|
dependencies = [
|
||||||
"async-generator >=1.10, <2.0.0",
|
"async-generator >=1.10, <2.0.0",
|
||||||
"attrs >=23.1.0, <24.0.0",
|
"attrs >=23.1.0, <24.0.0",
|
||||||
"bidict >=0.23.1",
|
"bidict >=0.22.1, <0.23.0",
|
||||||
"colorama >=0.4.6, <0.5.0",
|
"colorama >=0.4.6, <0.5.0",
|
||||||
"colorlog >=6.7.0, <7.0.0",
|
"colorlog >=6.7.0, <7.0.0",
|
||||||
"ib-insync >=0.9.86, <0.10.0",
|
"ib-insync >=0.9.86, <0.10.0",
|
||||||
"numpy>=2.0",
|
"numba >=0.59.0, <0.60.0",
|
||||||
"polars >=0.20.6",
|
"numpy >=1.25, <2.0",
|
||||||
"polars-fuzzy-match>=0.1.5",
|
"polars >=0.18.13, <0.19.0",
|
||||||
"pygments >=2.16.1, <3.0.0",
|
"pygments >=2.16.1, <3.0.0",
|
||||||
"rich >=13.5.2, <14.0.0",
|
"rich >=13.5.2, <14.0.0",
|
||||||
"tomli >=2.0.1, <3.0.0",
|
"tomli >=2.0.1, <3.0.0",
|
||||||
|
|
@ -65,18 +65,16 @@ dependencies = [
|
||||||
"typer >=0.9.0, <1.0.0",
|
"typer >=0.9.0, <1.0.0",
|
||||||
"rapidfuzz >=3.5.2, <4.0.0",
|
"rapidfuzz >=3.5.2, <4.0.0",
|
||||||
"pdbp >=1.5.0, <2.0.0",
|
"pdbp >=1.5.0, <2.0.0",
|
||||||
"trio >=0.27",
|
"trio >=0.24, <0.25",
|
||||||
"pendulum >=3.0.0, <4.0.0",
|
"pendulum >=3.0.0, <4.0.0",
|
||||||
"httpx >=0.27.0, <0.28.0",
|
"httpx >=0.27.0, <0.28.0",
|
||||||
"cryptofeed >=2.4.0, <3.0.0",
|
"cryptofeed >=2.4.0, <3.0.0",
|
||||||
"pyarrow>=18.0.0",
|
"pyarrow >=17.0.0, <18.0.0",
|
||||||
"websockets ==12.0",
|
"websockets ==12.0",
|
||||||
"msgspec>=0.19.0,<0.20",
|
"msgspec",
|
||||||
"tractor",
|
"tractor",
|
||||||
"asyncvnc",
|
"asyncvnc",
|
||||||
"tomlkit",
|
"tomlkit",
|
||||||
"trio-typing>=0.10.0",
|
|
||||||
"numba>=0.61.0",
|
|
||||||
]
|
]
|
||||||
|
|
||||||
[project.optional-dependencies]
|
[project.optional-dependencies]
|
||||||
|
|
@ -114,7 +112,6 @@ dev = [
|
||||||
"cython >=3.0.0, <4.0.0",
|
"cython >=3.0.0, <4.0.0",
|
||||||
"greenback >=1.1.1, <2.0.0",
|
"greenback >=1.1.1, <2.0.0",
|
||||||
"ruff>=0.9.6",
|
"ruff>=0.9.6",
|
||||||
"pyperclip>=1.9.0",
|
|
||||||
]
|
]
|
||||||
|
|
||||||
[project.scripts]
|
[project.scripts]
|
||||||
|
|
@ -128,21 +125,9 @@ include = ["piker"]
|
||||||
[tool.hatch.build.targets.wheel]
|
[tool.hatch.build.targets.wheel]
|
||||||
include = ["piker"]
|
include = ["piker"]
|
||||||
|
|
||||||
|
|
||||||
# TODO? move to a `uv.toml`?
|
|
||||||
[tool.uv]
|
|
||||||
python-preference = 'system'
|
|
||||||
python-downloads = 'manual'
|
|
||||||
|
|
||||||
|
|
||||||
[tool.uv.sources]
|
[tool.uv.sources]
|
||||||
pyqtgraph = { git = "https://github.com/pikers/pyqtgraph.git" }
|
pyqtgraph = { git = "https://github.com/pikers/pyqtgraph.git" }
|
||||||
asyncvnc = { git = "https://github.com/pikers/asyncvnc.git", branch = "main" }
|
asyncvnc = { git = "https://github.com/pikers/asyncvnc.git", branch = "main" }
|
||||||
tomlkit = { git = "https://github.com/pikers/tomlkit.git", branch ="piker_pin" }
|
tomlkit = { git = "https://github.com/pikers/tomlkit.git", branch ="piker_pin" }
|
||||||
|
msgspec = { git = "https://github.com/jcrist/msgspec.git" }
|
||||||
# tractor = { git = "https://pikers.dev/goodboy/tractor", branch = "main" }
|
|
||||||
# tractor = { git = "https://pikers.dev/goodboy/tractor", branch = "moar_eg_smoothing" }
|
|
||||||
|
|
||||||
# XXX for @goodboy's hackin, usually there's something new in the
|
|
||||||
# runtime being seriously tested here Bp
|
|
||||||
tractor = { path = "../tractor", editable = true }
|
tractor = { path = "../tractor", editable = true }
|
||||||
|
|
|
||||||
|
|
@ -62,9 +62,8 @@ ignore-init-module-imports = false
|
||||||
fixable = ["ALL"]
|
fixable = ["ALL"]
|
||||||
unfixable = []
|
unfixable = []
|
||||||
|
|
||||||
# TODO? uhh why no work!?
|
|
||||||
# Allow unused variables when underscore-prefixed.
|
# Allow unused variables when underscore-prefixed.
|
||||||
# dummy-variable-rgx = "^(_+|(_+[a-zA-Z0-9_]*[a-zA-Z0-9]+?))$"
|
dummy-variable-rgx = "^(_+|(_+[a-zA-Z0-9_]*[a-zA-Z0-9]+?))$"
|
||||||
|
|
||||||
[format]
|
[format]
|
||||||
# Use single quotes in `ruff format`.
|
# Use single quotes in `ruff format`.
|
||||||
|
|
|
||||||
|
|
@ -179,7 +179,7 @@ def test_ems_err_on_bad_broker(
|
||||||
# NOTE: emsd should error on the actor's enabled modules
|
# NOTE: emsd should error on the actor's enabled modules
|
||||||
# import phase, when looking for a backend named `doggy`.
|
# import phase, when looking for a backend named `doggy`.
|
||||||
except tractor.RemoteActorError as re:
|
except tractor.RemoteActorError as re:
|
||||||
assert re.type is ModuleNotFoundError
|
assert re.type == ModuleNotFoundError
|
||||||
|
|
||||||
run_and_tollerate_cancels(load_bad_fqme)
|
run_and_tollerate_cancels(load_bad_fqme)
|
||||||
|
|
||||||
|
|
|
||||||
Loading…
Reference in New Issue