Added cryptofeed and pyarrow necessary for the feed, enable deribit

in the brokers init file, at this point the feed is working, to check
the tables use vd tool.

piker/brokers/deribit/api.py

@@ -118,10 +118,12 @@ class Trade(Struct):
     instrument_name: str
     index_price: float
     direction: str
-    amount: float
     contracts: float
+    amount: float
     combo_trade_id: Optional[int] = 0,
     combo_id: Optional[str] = '',
+    block_trade_leg_count: Optional[int] = 0,
+    block_trade_id: Optional[str] = '',
 
 class LastTradesResult(Struct):
     trades: list[Trade]
@@ -145,9 +147,7 @@ def str_to_cb_sym(name: str) -> Symbol:
     else:
         raise Exception("Couldn\'t parse option type")
 
-    year, month, day = get_values_from_cb_normalized_date(expiry_date)
+    new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
-
-    exp = f'{day}{month}{year}'
 
     return Symbol(
         base=base,
@@ -155,7 +155,7 @@ def str_to_cb_sym(name: str) -> Symbol:
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=exp)
+        expiry_date=new_expiry_date)
 
 
 def piker_sym_to_cb_sym(name: str) -> Symbol:
@@ -181,14 +181,13 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
 
 
 def cb_sym_to_deribit_inst(sym: Symbol):
-    year, month, day = get_values_from_cb_normalized_date(sym.expiry_date)
+    new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
-    exp = f'{day}{month}{year}'
     otype = 'C' if sym.option_type == CALL else 'P'
 
-    return f'{sym.base}-{exp}-{sym.strike_price}-{otype}'
+    return f'{sym.base}-{new_expiry_date}-{sym.strike_price}-{otype}'
 
 
-def get_values_from_cb_normalized_date(expiry_date: str):
+def get_values_from_cb_normalized_date(expiry_date: str) -> str:
     # deribit specific
     cb_norm = [
         'F', 'G', 'H', 'J',
@@ -202,11 +201,12 @@ def get_values_from_cb_normalized_date(expiry_date: str):
     ]
     # YYMDD
     # 01234
-    return (
+    day, month, year = (
-        expiry_date[:2],
+        expiry_date[3:],
         months[cb_norm.index(expiry_date[2:3])],
-        expiry_date[3:]
+        expiry_date[:2]
     )
+    return f'{day}{month}{year}'
 
 
 def get_config() -> dict[str, Any]:
@@ -221,7 +221,6 @@ def get_config() -> dict[str, Any]:
     section: dict = {}
     section['deribit'] = conf.get('deribit')
 
-    # TODO: document why we send this, basically because logging params for cryptofeed
     section['log'] = {}
     section['log']['disabled'] = True
 
@@ -234,7 +233,12 @@ def get_config() -> dict[str, Any]:
 
 class Client:
 
-    def __init__(self, json_rpc: Callable) -> None:
+    def __init__(
+        self,
+
+        json_rpc: Callable
+
+    ) -> None:
         self._pairs: dict[str, Any] = None
 
         config = get_config().get('deribit', {})
@@ -248,7 +252,10 @@ class Client:
     def currencies(self):
         return ['btc', 'eth', 'sol', 'usd']
 
-    async def get_balances(self, kind: str = 'option') -> dict[str, float]:
+    async def get_balances(
+        self,
+        kind: str = 'option'
+    ) -> dict[str, float]:
         """Return the set of positions for this account
         by symbol.
         """
@@ -455,7 +462,8 @@ async def get_client(
     async with (
         trio.open_nursery() as n,
         open_jsonrpc_session(
-            _ws_url, response_type=JSONRPCResult) as json_rpc
+            _ws_url, response_type=JSONRPCResult
+        ) as json_rpc
     ):
         client = Client(json_rpc)
 
@@ -549,9 +557,9 @@ async def aio_price_feed_relay(
     to_trio: trio.abc.SendChannel,
 ) -> None:
     async def _trade(data: dict, receipt_timestamp):
-        piker_symbol = cb_sym_to_deribit_inst(str_to_cb_sym(data.symbol)).lower()
         to_trio.send_nowait(('trade', {
-            'symbol': piker_symbol,
+            'symbol': cb_sym_to_deribit_inst(
+                str_to_cb_sym(data.symbol)).lower(),
             'last': data,
             'broker_ts': time.time(),
             'data': data.to_dict(),
@@ -559,9 +567,9 @@ async def aio_price_feed_relay(
         }))
 
     async def _l1(data: dict, receipt_timestamp):
-        piker_symbol = cb_sym_to_deribit_inst(str_to_cb_sym(data.symbol)).lower()
         to_trio.send_nowait(('l1', {
-            'symbol': piker_symbol,
+            'symbol': cb_sym_to_deribit_inst(
+                str_to_cb_sym(data.symbol)).lower(),
             'ticks': [
                 {'type': 'bid',
                     'price': float(data.bid_price), 'size': float(data.bid_size)},

piker/brokers/deribit/feed.py

@@ -148,7 +148,10 @@ async def stream_quotes(
                     'asset_type': 'option',
                     'price_tick_size': 0.0005
                 },
-                'shm_write_opts': {'sum_tick_vml': False},
+                'shm_write_opts': {
+                    'sum_tick_vml': True,
+                    'has_vlm': True
+                },
                 'fqsn': sym,
             },
         }