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@ -0,0 +1,82 @@
|
|||
with (import <nixpkgs> {});
|
||||
with python312Packages;
|
||||
let
|
||||
glibStorePath = lib.getLib glib;
|
||||
qtpyStorePath = lib.getLib qtpy;
|
||||
pyqt6StorePath = lib.getLib pyqt6;
|
||||
pyqt6SipStorePath = lib.getLib pyqt6-sip;
|
||||
qt6baseStorePath = lib.getLib qt6.qtbase;
|
||||
rapidfuzzStorePath = lib.getLib rapidfuzz;
|
||||
qdarkstyleStorePath = lib.getLib qdarkstyle;
|
||||
in
|
||||
stdenv.mkDerivation {
|
||||
name = "piker-qt6-poetry-shell";
|
||||
buildInputs = [
|
||||
# System requirements.
|
||||
glib
|
||||
qt6.qtbase
|
||||
libgcc.lib
|
||||
|
||||
# Python requirements.
|
||||
python312Full
|
||||
poetry-core
|
||||
qdarkstyle
|
||||
rapidfuzz
|
||||
pyqt6
|
||||
qtpy
|
||||
];
|
||||
src = null;
|
||||
shellHook = ''
|
||||
set -e
|
||||
|
||||
export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:${libgcc.lib}/lib:${glibStorePath}/lib
|
||||
|
||||
# Set the Qt plugin path
|
||||
# export QT_DEBUG_PLUGINS=1
|
||||
|
||||
QTBASE_PATH="${qt6baseStorePath}"
|
||||
echo "qtbase path: $QTBASE_PATH"
|
||||
echo ""
|
||||
export QT_PLUGIN_PATH="$QTBASE_PATH/lib/qt-6/plugins"
|
||||
export QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
|
||||
echo "qt plugin path: $QT_PLUGIN_PATH"
|
||||
echo ""
|
||||
|
||||
# Maybe create venv & install deps
|
||||
poetry install --with uis
|
||||
|
||||
# Use pyqt6 from System, patch activate script
|
||||
ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate"
|
||||
|
||||
export RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
|
||||
export QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
|
||||
export QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
|
||||
export PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
|
||||
export PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
|
||||
echo "rapidfuzz at: $RPDFUZZ_PATH"
|
||||
echo "qdarkstyle at: $QDRKSTYLE_PATH"
|
||||
echo "qtpy at: $QTPY_PATH"
|
||||
echo "pyqt6 at: $PYQT6_PATH"
|
||||
echo "pyqt6-sip at: $PYQT6_SIP_PATH"
|
||||
echo ""
|
||||
|
||||
PATCH="export PYTHONPATH=\""
|
||||
|
||||
PATCH="$PATCH\$RPDFUZZ_PATH"
|
||||
PATCH="$PATCH:\$QDRKSTYLE_PATH"
|
||||
PATCH="$PATCH:\$QTPY_PATH"
|
||||
PATCH="$PATCH:\$PYQT6_PATH"
|
||||
PATCH="$PATCH:\$PYQT6_SIP_PATH"
|
||||
|
||||
PATCH="$PATCH\""
|
||||
|
||||
if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then
|
||||
echo "venv is already patched."
|
||||
else
|
||||
echo "patching $ACTIVATE_SCRIPT_PATH to use pyqt6 from nixos..."
|
||||
sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH
|
||||
fi
|
||||
|
||||
poetry shell
|
||||
'';
|
||||
}
|
|
@ -30,7 +30,8 @@ from types import ModuleType
|
|||
from typing import (
|
||||
Any,
|
||||
Iterator,
|
||||
Generator
|
||||
Generator,
|
||||
TYPE_CHECKING,
|
||||
)
|
||||
|
||||
import pendulum
|
||||
|
@ -59,8 +60,10 @@ from ..clearing._messages import (
|
|||
BrokerdPosition,
|
||||
)
|
||||
from piker.types import Struct
|
||||
from piker.data._symcache import SymbologyCache
|
||||
from ..log import get_logger
|
||||
from piker.log import get_logger
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from piker.data._symcache import SymbologyCache
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
@ -493,6 +496,17 @@ class Account(Struct):
|
|||
|
||||
_mktmap_table: dict[str, MktPair] | None = None,
|
||||
|
||||
only_require: list[str]|True = True,
|
||||
# ^list of fqmes that are "required" to be processed from
|
||||
# this ledger pass; we often don't care about others and
|
||||
# definitely shouldn't always error in such cases.
|
||||
# (eg. broker backend loaded that doesn't yet supsport the
|
||||
# symcache but also, inside the paper engine we don't ad-hoc
|
||||
# request `get_mkt_info()` for every symbol in the ledger,
|
||||
# only the one for which we're simulating against).
|
||||
# TODO, not sure if there's a better soln for this, ideally
|
||||
# all backends get symcache support afap i guess..
|
||||
|
||||
) -> dict[str, Position]:
|
||||
'''
|
||||
Update the internal `.pps[str, Position]` table from input
|
||||
|
@ -535,11 +549,32 @@ class Account(Struct):
|
|||
if _mktmap_table is None:
|
||||
raise
|
||||
|
||||
required: bool = (
|
||||
only_require is True
|
||||
or (
|
||||
only_require is not True
|
||||
and
|
||||
fqme in only_require
|
||||
)
|
||||
)
|
||||
# XXX: caller is allowed to provide a fallback
|
||||
# mktmap table for the case where a new position is
|
||||
# being added and the preloaded symcache didn't
|
||||
# have this entry prior (eg. with frickin IB..)
|
||||
mkt = _mktmap_table[fqme]
|
||||
if (
|
||||
not (mkt := _mktmap_table.get(fqme))
|
||||
and
|
||||
required
|
||||
):
|
||||
raise
|
||||
|
||||
elif not required:
|
||||
continue
|
||||
|
||||
else:
|
||||
# should be an entry retreived somewhere
|
||||
assert mkt
|
||||
|
||||
|
||||
if not (pos := pps.get(bs_mktid)):
|
||||
|
||||
|
@ -656,7 +691,7 @@ class Account(Struct):
|
|||
def write_config(self) -> None:
|
||||
'''
|
||||
Write the current account state to the user's account TOML file, normally
|
||||
something like ``pps.toml``.
|
||||
something like `pps.toml`.
|
||||
|
||||
'''
|
||||
# TODO: show diff output?
|
||||
|
|
|
@ -51,6 +51,7 @@ __brokers__: list[str] = [
|
|||
'ib',
|
||||
'kraken',
|
||||
'kucoin',
|
||||
'deribit',
|
||||
|
||||
# broken but used to work
|
||||
# 'questrade',
|
||||
|
@ -61,7 +62,6 @@ __brokers__: list[str] = [
|
|||
# wstrade
|
||||
# iex
|
||||
|
||||
# deribit
|
||||
# bitso
|
||||
]
|
||||
|
||||
|
|
|
@ -181,7 +181,6 @@ class FutesPair(Pair):
|
|||
quoteAsset: str # 'USDT',
|
||||
quotePrecision: int # 8,
|
||||
requiredMarginPercent: float # '5.0000',
|
||||
settlePlan: int # 0,
|
||||
timeInForce: list[str] # ['GTC', 'IOC', 'FOK', 'GTX'],
|
||||
triggerProtect: float # '0.0500',
|
||||
underlyingSubType: list[str] # ['PoW'],
|
||||
|
|
|
@ -25,6 +25,7 @@ from .api import (
|
|||
get_client,
|
||||
)
|
||||
from .feed import (
|
||||
get_mkt_info,
|
||||
open_history_client,
|
||||
open_symbol_search,
|
||||
stream_quotes,
|
||||
|
@ -34,15 +35,20 @@ from .feed import (
|
|||
# open_trade_dialog,
|
||||
# norm_trade_records,
|
||||
# )
|
||||
from .venues import (
|
||||
OptionPair,
|
||||
)
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
__all__ = [
|
||||
'get_client',
|
||||
# 'trades_dialogue',
|
||||
'get_mkt_info',
|
||||
'open_history_client',
|
||||
'open_symbol_search',
|
||||
'stream_quotes',
|
||||
'OptionPair',
|
||||
# 'norm_trade_records',
|
||||
]
|
||||
|
||||
|
|
File diff suppressed because it is too large
Load Diff
|
@ -18,38 +18,59 @@
|
|||
Deribit backend.
|
||||
|
||||
'''
|
||||
from __future__ import annotations
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
from typing import Any, Optional, Callable
|
||||
from typing import (
|
||||
# Any,
|
||||
# Optional,
|
||||
Callable,
|
||||
)
|
||||
# from pprint import pformat
|
||||
import time
|
||||
|
||||
import cryptofeed
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
import pendulum
|
||||
from rapidfuzz import process as fuzzy
|
||||
from pendulum import (
|
||||
from_timestamp,
|
||||
)
|
||||
import numpy as np
|
||||
import tractor
|
||||
|
||||
from piker.brokers import open_cached_client
|
||||
from piker.log import get_logger, get_console_log
|
||||
from piker.data import ShmArray
|
||||
from piker.brokers._util import (
|
||||
BrokerError,
|
||||
from piker.accounting import (
|
||||
Asset,
|
||||
MktPair,
|
||||
unpack_fqme,
|
||||
)
|
||||
from piker.brokers import (
|
||||
open_cached_client,
|
||||
NoData,
|
||||
DataUnavailable,
|
||||
)
|
||||
|
||||
from cryptofeed import FeedHandler
|
||||
from cryptofeed.defines import (
|
||||
DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
|
||||
from piker._cacheables import (
|
||||
async_lifo_cache,
|
||||
)
|
||||
from cryptofeed.symbols import Symbol
|
||||
from piker.log import (
|
||||
get_logger,
|
||||
mk_repr,
|
||||
)
|
||||
from piker.data.validate import FeedInit
|
||||
|
||||
|
||||
from .api import (
|
||||
Client, Trade,
|
||||
get_config,
|
||||
str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
|
||||
Client,
|
||||
# get_config,
|
||||
piker_sym_to_cb_sym,
|
||||
cb_sym_to_deribit_inst,
|
||||
str_to_cb_sym,
|
||||
maybe_open_price_feed
|
||||
)
|
||||
from .venues import (
|
||||
Pair,
|
||||
OptionPair,
|
||||
Trade,
|
||||
)
|
||||
|
||||
_spawn_kwargs = {
|
||||
'infect_asyncio': True,
|
||||
|
@ -64,90 +85,215 @@ async def open_history_client(
|
|||
mkt: MktPair,
|
||||
) -> tuple[Callable, int]:
|
||||
|
||||
fnstrument: str = mkt.bs_fqme
|
||||
# TODO implement history getter for the new storage layer.
|
||||
async with open_cached_client('deribit') as client:
|
||||
|
||||
pair: OptionPair = client._pairs[mkt.dst.name]
|
||||
# XXX NOTE, the cuckers use ms !!!
|
||||
creation_time_s: int = pair.creation_timestamp/1000
|
||||
|
||||
async def get_ohlc(
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_dt: Optional[datetime] = None,
|
||||
timeframe: float,
|
||||
end_dt: datetime | None = None,
|
||||
start_dt: datetime | None = None,
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray,
|
||||
datetime, # start
|
||||
datetime, # end
|
||||
]:
|
||||
if timeframe != 60:
|
||||
raise DataUnavailable('Only 1m bars are supported')
|
||||
|
||||
array = await client.bars(
|
||||
instrument,
|
||||
array: np.ndarray = await client.bars(
|
||||
mkt,
|
||||
start_dt=start_dt,
|
||||
end_dt=end_dt,
|
||||
)
|
||||
if len(array) == 0:
|
||||
raise DataUnavailable
|
||||
if (
|
||||
end_dt is None
|
||||
):
|
||||
raise DataUnavailable(
|
||||
'No history seems to exist yet?\n\n'
|
||||
f'{mkt}'
|
||||
)
|
||||
elif (
|
||||
end_dt
|
||||
and
|
||||
end_dt.timestamp() < creation_time_s
|
||||
):
|
||||
# the contract can't have history
|
||||
# before it was created.
|
||||
pair_type_str: str = type(pair).__name__
|
||||
create_dt: datetime = from_timestamp(creation_time_s)
|
||||
raise DataUnavailable(
|
||||
f'No history prior to\n'
|
||||
f'`{pair_type_str}.creation_timestamp: int = '
|
||||
f'{pair.creation_timestamp}\n\n'
|
||||
f'------ deribit sux ------\n'
|
||||
f'WHICH IN "NORMAL PEOPLE WHO USE EPOCH TIME" form is,\n'
|
||||
f'creation_time_s: {creation_time_s}\n'
|
||||
f'create_dt: {create_dt}\n'
|
||||
)
|
||||
raise NoData(
|
||||
f'No frame for {start_dt} -> {end_dt}\n'
|
||||
)
|
||||
|
||||
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||
start_dt = from_timestamp(array[0]['time'])
|
||||
end_dt = 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
|
||||
|
||||
yield get_ohlc, {'erlangs': 3, 'rate': 3}
|
||||
yield (
|
||||
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(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
'''
|
||||
Open a live quote stream for the market set defined by `symbols`.
|
||||
|
||||
sym = symbols[0]
|
||||
Internally this starts a `cryptofeed.FeedHandler` inside an `asyncio`-side
|
||||
task and relays through L1 and `Trade` msgs here to our `trio.Task`.
|
||||
|
||||
'''
|
||||
sym = symbols[0].split('.')[0]
|
||||
init_msgs: list[FeedInit] = []
|
||||
|
||||
# multiline nested `dict` formatter (since rn quote-msgs are
|
||||
# just that).
|
||||
pfmt: Callable[[str], str] = mk_repr(
|
||||
# so we can see `deribit`'s delightfully mega-long bs fields..
|
||||
maxstring=100,
|
||||
)
|
||||
|
||||
async with (
|
||||
open_cached_client('deribit') as client,
|
||||
send_chan as send_chan
|
||||
):
|
||||
mkt: MktPair
|
||||
pair: Pair
|
||||
mkt, pair = await get_mkt_info(sym)
|
||||
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': {
|
||||
'asset_type': 'option',
|
||||
'price_tick_size': 0.0005
|
||||
},
|
||||
'shm_write_opts': {'sum_tick_vml': False},
|
||||
'fqsn': sym,
|
||||
},
|
||||
}
|
||||
# build out init msgs according to latest spec
|
||||
init_msgs.append(
|
||||
FeedInit(
|
||||
mkt_info=mkt,
|
||||
)
|
||||
)
|
||||
# build `cryptofeed` feed-handle
|
||||
cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym)
|
||||
|
||||
nsym = piker_sym_to_cb_sym(sym)
|
||||
from_cf: tractor.to_asyncio.LinkedTaskChannel
|
||||
async with maybe_open_price_feed(sym) as from_cf:
|
||||
|
||||
async with maybe_open_price_feed(sym) as stream:
|
||||
# load the "last trades" summary
|
||||
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
|
||||
|
||||
cache = await client.cache_symbols()
|
||||
# TODO, do we even need this or will the above always
|
||||
# work?
|
||||
# if not last_trades:
|
||||
# await tractor.pause()
|
||||
# async for typ, quote in from_cf:
|
||||
# if typ == 'trade':
|
||||
# last_trade = Trade(**(quote['data']))
|
||||
# break
|
||||
|
||||
last_trades = (await client.last_trades(
|
||||
cb_sym_to_deribit_inst(nsym), count=1)).trades
|
||||
# else:
|
||||
last_trade = Trade(
|
||||
**(last_trades[0])
|
||||
)
|
||||
|
||||
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 = {
|
||||
first_quote: dict = {
|
||||
'symbol': sym,
|
||||
'last': last_trade.price,
|
||||
'brokerd_ts': last_trade.timestamp,
|
||||
|
@ -158,13 +304,84 @@ async def stream_quotes(
|
|||
'broker_ts': last_trade.timestamp
|
||||
}]
|
||||
}
|
||||
task_status.started((init_msgs, first_quote))
|
||||
task_status.started((
|
||||
init_msgs,
|
||||
first_quote,
|
||||
))
|
||||
|
||||
feed_is_live.set()
|
||||
|
||||
async for typ, quote in stream:
|
||||
topic = quote['symbol']
|
||||
await send_chan.send({topic: quote})
|
||||
# NOTE XXX, static for now!
|
||||
# => since this only handles ONE mkt feed at a time we
|
||||
# don't need a lookup table to map interleaved quotes
|
||||
# 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
|
||||
|
@ -174,12 +391,21 @@ async def open_symbol_search(
|
|||
async with open_cached_client('deribit') as client:
|
||||
|
||||
# load all symbols locally for fast search
|
||||
cache = await client.cache_symbols()
|
||||
# cache = client._pairs
|
||||
await ctx.started()
|
||||
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
pattern: str
|
||||
async for pattern in stream:
|
||||
# repack in dict form
|
||||
await stream.send(
|
||||
await client.search_symbols(pattern))
|
||||
|
||||
# NOTE: pattern fuzzy-matching is done within
|
||||
# the methd impl.
|
||||
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)
|
||||
|
|
|
@ -0,0 +1,196 @@
|
|||
# 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
|
|
@ -111,6 +111,10 @@ class KucoinMktPair(Struct, frozen=True):
|
|||
quoteMaxSize: float
|
||||
quoteMinSize: float
|
||||
symbol: str # our bs_mktid, kucoin's internal id
|
||||
feeCategory: int
|
||||
makerFeeCoefficient: float
|
||||
takerFeeCoefficient: float
|
||||
st: bool
|
||||
|
||||
|
||||
class AccountTrade(Struct, frozen=True):
|
||||
|
@ -593,7 +597,7 @@ async def get_client() -> AsyncGenerator[Client, None]:
|
|||
'''
|
||||
async with (
|
||||
httpx.AsyncClient(
|
||||
base_url=f'https://api.kucoin.com/api',
|
||||
base_url='https://api.kucoin.com/api',
|
||||
) as trio_client,
|
||||
):
|
||||
client = Client(httpx_client=trio_client)
|
||||
|
@ -637,7 +641,7 @@ async def open_ping_task(
|
|||
await trio.sleep((ping_interval - 1000) / 1000)
|
||||
await ws.send_msg({'id': connect_id, 'type': 'ping'})
|
||||
|
||||
log.info('Starting ping task for kucoin ws connection')
|
||||
log.warning('Starting ping task for kucoin ws connection')
|
||||
n.start_soon(ping_server)
|
||||
|
||||
yield
|
||||
|
@ -649,9 +653,14 @@ async def open_ping_task(
|
|||
async def get_mkt_info(
|
||||
fqme: str,
|
||||
|
||||
) -> tuple[MktPair, KucoinMktPair]:
|
||||
) -> tuple[
|
||||
MktPair,
|
||||
KucoinMktPair,
|
||||
]:
|
||||
'''
|
||||
Query for and return a `MktPair` and `KucoinMktPair`.
|
||||
Query for and return both a `piker.accounting.MktPair` and
|
||||
`KucoinMktPair` from provided `fqme: str`
|
||||
(fully-qualified-market-endpoint).
|
||||
|
||||
'''
|
||||
async with open_cached_client('kucoin') as client:
|
||||
|
@ -726,6 +735,8 @@ async def stream_quotes(
|
|||
|
||||
log.info(f'Starting up quote stream(s) for {symbols}')
|
||||
for sym_str in symbols:
|
||||
mkt: MktPair
|
||||
pair: KucoinMktPair
|
||||
mkt, pair = await get_mkt_info(sym_str)
|
||||
init_msgs.append(
|
||||
FeedInit(mkt_info=mkt)
|
||||
|
@ -733,7 +744,11 @@ async def stream_quotes(
|
|||
|
||||
ws: NoBsWs
|
||||
token, ping_interval = await client._get_ws_token()
|
||||
connect_id = str(uuid4())
|
||||
log.info('API reported ping_interval: {ping_interval}\n')
|
||||
|
||||
connect_id: str = str(uuid4())
|
||||
typ: str
|
||||
quote: dict
|
||||
async with (
|
||||
open_autorecon_ws(
|
||||
(
|
||||
|
@ -747,20 +762,37 @@ async def stream_quotes(
|
|||
),
|
||||
) as ws,
|
||||
open_ping_task(ws, ping_interval, connect_id),
|
||||
aclosing(stream_messages(ws, sym_str)) as msg_gen,
|
||||
aclosing(
|
||||
iter_normed_quotes(
|
||||
ws, sym_str
|
||||
)
|
||||
) as iter_quotes,
|
||||
):
|
||||
typ, quote = await anext(msg_gen)
|
||||
typ, quote = await anext(iter_quotes)
|
||||
|
||||
while typ != 'trade':
|
||||
# take care to not unblock here until we get a real
|
||||
# trade quote
|
||||
typ, quote = await anext(msg_gen)
|
||||
# take care to not unblock here until we get a real
|
||||
# trade quote?
|
||||
# ^TODO, remove this right?
|
||||
# -[ ] what often blocks chart boot/new-feed switching
|
||||
# since we'ere waiting for a live quote instead of just
|
||||
# loading history afap..
|
||||
# |_ XXX, not sure if we require a bit of rework to core
|
||||
# feed init logic or if backends justg gotta be
|
||||
# changed up.. feel like there was some causality
|
||||
# dilema prolly only seen with IB too..
|
||||
# while typ != 'trade':
|
||||
# typ, quote = await anext(iter_quotes)
|
||||
|
||||
task_status.started((init_msgs, quote))
|
||||
feed_is_live.set()
|
||||
|
||||
async for typ, msg in msg_gen:
|
||||
await send_chan.send({sym_str: msg})
|
||||
# XXX NOTE, DO NOT include the `.<backend>` suffix!
|
||||
# OW the sampling loop will not broadcast correctly..
|
||||
# since `bus._subscribers.setdefault(bs_fqme, set())`
|
||||
# is used inside `.data.open_feed_bus()` !!!
|
||||
topic: str = mkt.bs_fqme
|
||||
async for typ, quote in iter_quotes:
|
||||
await send_chan.send({topic: quote})
|
||||
|
||||
|
||||
@acm
|
||||
|
@ -815,7 +847,7 @@ async def subscribe(
|
|||
)
|
||||
|
||||
|
||||
async def stream_messages(
|
||||
async def iter_normed_quotes(
|
||||
ws: NoBsWs,
|
||||
sym: str,
|
||||
|
||||
|
@ -846,6 +878,9 @@ async def stream_messages(
|
|||
|
||||
yield 'trade', {
|
||||
'symbol': sym,
|
||||
# TODO, is 'last' even used elsewhere/a-good
|
||||
# semantic? can't we just read the ticks with our
|
||||
# .data.ticktools.frame_ticks()`/
|
||||
'last': trade_data.price,
|
||||
'brokerd_ts': last_trade_ts,
|
||||
'ticks': [
|
||||
|
@ -938,7 +973,7 @@ async def open_history_client(
|
|||
if end_dt is None:
|
||||
inow = round(time.time())
|
||||
|
||||
print(
|
||||
log.debug(
|
||||
f'difference in time between load and processing'
|
||||
f'{inow - times[-1]}'
|
||||
)
|
||||
|
|
|
@ -653,7 +653,11 @@ class Router(Struct):
|
|||
flume = feed.flumes[fqme]
|
||||
first_quote: dict = flume.first_quote
|
||||
book: DarkBook = self.get_dark_book(broker)
|
||||
book.lasts[fqme]: float = float(first_quote['last'])
|
||||
|
||||
if not (last := first_quote.get('last')):
|
||||
last: float = flume.rt_shm.array[-1]['close']
|
||||
|
||||
book.lasts[fqme]: float = float(last)
|
||||
|
||||
async with self.maybe_open_brokerd_dialog(
|
||||
brokermod=brokermod,
|
||||
|
@ -716,7 +720,7 @@ class Router(Struct):
|
|||
subs = self.subscribers[sub_key]
|
||||
|
||||
sent_some: bool = False
|
||||
for client_stream in subs:
|
||||
for client_stream in subs.copy():
|
||||
try:
|
||||
await client_stream.send(msg)
|
||||
sent_some = True
|
||||
|
@ -1010,10 +1014,14 @@ async def translate_and_relay_brokerd_events(
|
|||
status_msg.brokerd_msg = msg
|
||||
status_msg.src = msg.broker_details['name']
|
||||
|
||||
await router.client_broadcast(
|
||||
status_msg.req.symbol,
|
||||
status_msg,
|
||||
)
|
||||
if not status_msg.req:
|
||||
# likely some order change state?
|
||||
await tractor.pause()
|
||||
else:
|
||||
await router.client_broadcast(
|
||||
status_msg.req.symbol,
|
||||
status_msg,
|
||||
)
|
||||
|
||||
if status == 'closed':
|
||||
log.info(f'Execution for {oid} is complete!')
|
||||
|
|
|
@ -653,6 +653,7 @@ async def open_trade_dialog(
|
|||
# in) use manually constructed table from calling
|
||||
# the `.get_mkt_info()` provider EP above.
|
||||
_mktmap_table=mkt_by_fqme,
|
||||
only_require=list(mkt_by_fqme),
|
||||
)
|
||||
|
||||
pp_msgs: list[BrokerdPosition] = []
|
||||
|
|
|
@ -30,6 +30,7 @@ import time
|
|||
from typing import (
|
||||
Any,
|
||||
AsyncIterator,
|
||||
Callable,
|
||||
TYPE_CHECKING,
|
||||
)
|
||||
|
||||
|
@ -54,6 +55,9 @@ from ._util import (
|
|||
get_console_log,
|
||||
)
|
||||
from ..service import maybe_spawn_daemon
|
||||
from piker.log import (
|
||||
mk_repr,
|
||||
)
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ._sharedmem import (
|
||||
|
@ -575,7 +579,6 @@ async def open_sample_stream(
|
|||
|
||||
|
||||
async def sample_and_broadcast(
|
||||
|
||||
bus: _FeedsBus, # noqa
|
||||
rt_shm: ShmArray,
|
||||
hist_shm: ShmArray,
|
||||
|
@ -596,11 +599,22 @@ async def sample_and_broadcast(
|
|||
|
||||
overruns = Counter()
|
||||
|
||||
# multiline nested `dict` formatter (since rn quote-msgs are
|
||||
# just that).
|
||||
pfmt: Callable[[str], str] = mk_repr()
|
||||
|
||||
# iterate stream delivered by broker
|
||||
async for quotes in quote_stream:
|
||||
# print(quotes)
|
||||
|
||||
# TODO: ``numba`` this!
|
||||
# XXX WARNING XXX only enable for debugging bc ow can cost
|
||||
# ALOT of perf with HF-feedz!!!
|
||||
#
|
||||
# log.info(
|
||||
# 'Rx live quotes:\n'
|
||||
# f'{pfmt(quotes)}'
|
||||
# )
|
||||
|
||||
# TODO: `numba` this!
|
||||
for broker_symbol, quote in quotes.items():
|
||||
# TODO: in theory you can send the IPC msg *before* writing
|
||||
# to the sharedmem array to decrease latency, however, that
|
||||
|
@ -673,6 +687,18 @@ async def sample_and_broadcast(
|
|||
sub_key: str = broker_symbol.lower()
|
||||
subs: set[Sub] = bus.get_subs(sub_key)
|
||||
|
||||
if not subs:
|
||||
all_bs_fqmes: list[str] = list(
|
||||
bus._subscribers.keys()
|
||||
)
|
||||
log.warning(
|
||||
f'No subscribers for {brokername!r} live-quote ??\n'
|
||||
f'broker_symbol: {broker_symbol}\n\n'
|
||||
|
||||
f'Maybe the backend-sys symbol does not match one of,\n'
|
||||
f'{pfmt(all_bs_fqmes)}\n'
|
||||
)
|
||||
|
||||
# NOTE: by default the broker backend doesn't append
|
||||
# it's own "name" into the fqme schema (but maybe it
|
||||
# should?) so we have to manually generate the correct
|
||||
|
|
|
@ -273,7 +273,7 @@ async def _reconnect_forever(
|
|||
nobsws._connected.set()
|
||||
await trio.sleep_forever()
|
||||
except HandshakeError:
|
||||
log.exception(f'Retrying connection')
|
||||
log.exception('Retrying connection')
|
||||
|
||||
# ws & nursery block ends
|
||||
|
||||
|
@ -359,8 +359,8 @@ async def open_autorecon_ws(
|
|||
|
||||
|
||||
'''
|
||||
JSONRPC response-request style machinery for transparent multiplexing of msgs
|
||||
over a NoBsWs.
|
||||
JSONRPC response-request style machinery for transparent multiplexing
|
||||
of msgs over a `NoBsWs`.
|
||||
|
||||
'''
|
||||
|
||||
|
@ -377,43 +377,77 @@ async def open_jsonrpc_session(
|
|||
url: str,
|
||||
start_id: int = 0,
|
||||
response_type: type = JSONRPCResult,
|
||||
request_type: Optional[type] = None,
|
||||
request_hook: Optional[Callable] = None,
|
||||
error_hook: Optional[Callable] = None,
|
||||
msg_recv_timeout: float = float('inf'),
|
||||
# ^NOTE, since only `deribit` is using this jsonrpc stuff atm
|
||||
# and options mkts are generally "slow moving"..
|
||||
#
|
||||
# FURTHER if we break the underlying ws connection then since we
|
||||
# don't pass a `fixture` to the task that manages `NoBsWs`, i.e.
|
||||
# `_reconnect_forever()`, the jsonrpc "transport pipe" get's
|
||||
# broken and never restored with wtv init sequence is required to
|
||||
# re-establish a working req-resp session.
|
||||
|
||||
# request_type: Optional[type] = None,
|
||||
# request_hook: Optional[Callable] = None,
|
||||
# error_hook: Optional[Callable] = None,
|
||||
) -> Callable[[str, dict], dict]:
|
||||
|
||||
# NOTE, store all request msgs so we can raise errors on the
|
||||
# caller side!
|
||||
req_msgs: dict[int, dict] = {}
|
||||
|
||||
async with (
|
||||
trio.open_nursery() as n,
|
||||
open_autorecon_ws(url) as ws
|
||||
open_autorecon_ws(
|
||||
url=url,
|
||||
msg_recv_timeout=msg_recv_timeout,
|
||||
) as ws
|
||||
):
|
||||
rpc_id: Iterable = count(start_id)
|
||||
rpc_id: Iterable[int] = count(start_id)
|
||||
rpc_results: dict[int, dict] = {}
|
||||
|
||||
async def json_rpc(method: str, params: dict) -> dict:
|
||||
async def json_rpc(
|
||||
method: str,
|
||||
params: dict,
|
||||
) -> dict:
|
||||
'''
|
||||
perform a json rpc call and wait for the result, raise exception in
|
||||
case of error field present on response
|
||||
'''
|
||||
nonlocal req_msgs
|
||||
|
||||
req_id: int = next(rpc_id)
|
||||
msg = {
|
||||
'jsonrpc': '2.0',
|
||||
'id': next(rpc_id),
|
||||
'id': req_id,
|
||||
'method': method,
|
||||
'params': params
|
||||
}
|
||||
_id = msg['id']
|
||||
|
||||
rpc_results[_id] = {
|
||||
result = rpc_results[_id] = {
|
||||
'result': None,
|
||||
'event': trio.Event()
|
||||
'error': None,
|
||||
'event': trio.Event(), # signal caller resp arrived
|
||||
}
|
||||
req_msgs[_id] = msg
|
||||
|
||||
await ws.send_msg(msg)
|
||||
|
||||
# wait for reponse before unblocking requester code
|
||||
await rpc_results[_id]['event'].wait()
|
||||
|
||||
ret = rpc_results[_id]['result']
|
||||
if (maybe_result := result['result']):
|
||||
ret = maybe_result
|
||||
del rpc_results[_id]
|
||||
|
||||
del rpc_results[_id]
|
||||
else:
|
||||
err = result['error']
|
||||
raise Exception(
|
||||
f'JSONRPC request failed\n'
|
||||
f'req: {msg}\n'
|
||||
f'resp: {err}\n'
|
||||
)
|
||||
|
||||
if ret.error is not None:
|
||||
raise Exception(json.dumps(ret.error, indent=4))
|
||||
|
@ -428,6 +462,7 @@ async def open_jsonrpc_session(
|
|||
the server side.
|
||||
|
||||
'''
|
||||
nonlocal req_msgs
|
||||
async for msg in ws:
|
||||
match msg:
|
||||
case {
|
||||
|
@ -451,15 +486,29 @@ async def open_jsonrpc_session(
|
|||
'params': _,
|
||||
}:
|
||||
log.debug(f'Recieved\n{msg}')
|
||||
if request_hook:
|
||||
await request_hook(request_type(**msg))
|
||||
# if request_hook:
|
||||
# await request_hook(request_type(**msg))
|
||||
|
||||
case {
|
||||
'error': error
|
||||
}:
|
||||
log.warning(f'Recieved\n{error}')
|
||||
if error_hook:
|
||||
await error_hook(response_type(**msg))
|
||||
# if error_hook:
|
||||
# await error_hook(response_type(**msg))
|
||||
|
||||
# retreive orig request msg, set error
|
||||
# response in original "result" msg,
|
||||
# THEN FINALLY set the event to signal caller
|
||||
# to raise the error in the parent task.
|
||||
req_id: int = msg['id']
|
||||
req_msg: dict = req_msgs[req_id]
|
||||
result: dict = rpc_results[req_id]
|
||||
result['error'] = error
|
||||
result['event'].set()
|
||||
log.error(
|
||||
f'JSONRPC request failed\n'
|
||||
f'req: {req_msg}\n'
|
||||
f'resp: {error}\n'
|
||||
)
|
||||
|
||||
case _:
|
||||
log.warning(f'Unhandled JSON-RPC msg!?\n{msg}')
|
||||
|
|
|
@ -540,7 +540,10 @@ async def open_feed_bus(
|
|||
# subscription since the backend isn't (yet) expected to
|
||||
# append it's own name to the fqme, so we filter on keys
|
||||
# which *do not* include that name (e.g .ib) .
|
||||
bus._subscribers.setdefault(bs_fqme, set())
|
||||
bus._subscribers.setdefault(
|
||||
bs_fqme,
|
||||
set(),
|
||||
)
|
||||
|
||||
# sync feed subscribers with flume handles
|
||||
await ctx.started(
|
||||
|
|
28
piker/log.py
28
piker/log.py
|
@ -18,7 +18,11 @@
|
|||
Log like a forester!
|
||||
"""
|
||||
import logging
|
||||
import reprlib
|
||||
import json
|
||||
from typing import (
|
||||
Callable,
|
||||
)
|
||||
|
||||
import tractor
|
||||
from pygments import (
|
||||
|
@ -84,3 +88,27 @@ def colorize_json(
|
|||
# likeable styles: algol_nu, tango, monokai
|
||||
formatters.TerminalTrueColorFormatter(style=style)
|
||||
)
|
||||
|
||||
|
||||
def mk_repr(
|
||||
**repr_kws,
|
||||
) -> Callable[[str], str]:
|
||||
'''
|
||||
Allocate and deliver a `repr.Repr` instance with provided input
|
||||
settings using the std-lib's `reprlib` mod,
|
||||
* https://docs.python.org/3/library/reprlib.html
|
||||
|
||||
------ Ex. ------
|
||||
An up to 6-layer-nested `dict` as multi-line:
|
||||
- https://stackoverflow.com/a/79102479
|
||||
- https://docs.python.org/3/library/reprlib.html#reprlib.Repr.maxlevel
|
||||
|
||||
'''
|
||||
def_kws: dict[str, int] = dict(
|
||||
indent=2,
|
||||
maxlevel=6, # recursion levels
|
||||
maxstring=66, # match editor line-len limit
|
||||
)
|
||||
def_kws |= repr_kws
|
||||
reprr = reprlib.Repr(**def_kws)
|
||||
return reprr.repr
|
||||
|
|
|
@ -161,7 +161,12 @@ class NativeStorageClient:
|
|||
|
||||
def index_files(self):
|
||||
for path in self._datadir.iterdir():
|
||||
if path.name in {'borked', 'expired',}:
|
||||
if (
|
||||
path.name in {'borked', 'expired',}
|
||||
or
|
||||
'.parquet' not in str(path)
|
||||
):
|
||||
# ignore all non-apache files (for now)
|
||||
continue
|
||||
|
||||
key: str = path.name.rstrip('.parquet')
|
||||
|
|
|
@ -44,8 +44,10 @@ import trio
|
|||
from trio_typing import TaskStatus
|
||||
import tractor
|
||||
from pendulum import (
|
||||
Interval,
|
||||
DateTime,
|
||||
Duration,
|
||||
duration as mk_duration,
|
||||
from_timestamp,
|
||||
)
|
||||
import numpy as np
|
||||
|
@ -214,7 +216,8 @@ async def maybe_fill_null_segments(
|
|||
# pair, immediately stop backfilling?
|
||||
if (
|
||||
start_dt
|
||||
and end_dt < start_dt
|
||||
and
|
||||
end_dt < start_dt
|
||||
):
|
||||
await tractor.pause()
|
||||
break
|
||||
|
@ -262,6 +265,7 @@ async def maybe_fill_null_segments(
|
|||
except tractor.ContextCancelled:
|
||||
# log.exception
|
||||
await tractor.pause()
|
||||
raise
|
||||
|
||||
null_segs_detected.set()
|
||||
# RECHECK for more null-gaps
|
||||
|
@ -349,7 +353,7 @@ async def maybe_fill_null_segments(
|
|||
|
||||
async def start_backfill(
|
||||
get_hist,
|
||||
frame_types: dict[str, Duration] | None,
|
||||
def_frame_duration: Duration,
|
||||
mod: ModuleType,
|
||||
mkt: MktPair,
|
||||
shm: ShmArray,
|
||||
|
@ -379,22 +383,23 @@ async def start_backfill(
|
|||
update_start_on_prepend: bool = False
|
||||
if backfill_until_dt is None:
|
||||
|
||||
# TODO: drop this right and just expose the backfill
|
||||
# limits inside a [storage] section in conf.toml?
|
||||
# when no tsdb "last datum" is provided, we just load
|
||||
# some near-term history.
|
||||
# periods = {
|
||||
# 1: {'days': 1},
|
||||
# 60: {'days': 14},
|
||||
# }
|
||||
|
||||
# do a decently sized backfill and load it into storage.
|
||||
# TODO: per-provider default history-durations?
|
||||
# -[ ] inside the `open_history_client()` config allow
|
||||
# declaring the history duration limits instead of
|
||||
# guessing and/or applying the same limits to all?
|
||||
#
|
||||
# -[ ] allow declaring (default) per-provider backfill
|
||||
# limits inside a [storage] sub-section in conf.toml?
|
||||
#
|
||||
# NOTE, when no tsdb "last datum" is provided, we just
|
||||
# load some near-term history by presuming a "decently
|
||||
# large" 60s duration limit and a much shorter 1s range.
|
||||
periods = {
|
||||
1: {'days': 2},
|
||||
60: {'years': 6},
|
||||
}
|
||||
period_duration: int = periods[timeframe]
|
||||
update_start_on_prepend = True
|
||||
update_start_on_prepend: bool = True
|
||||
|
||||
# NOTE: manually set the "latest" datetime which we intend to
|
||||
# backfill history "until" so as to adhere to the history
|
||||
|
@ -416,7 +421,6 @@ async def start_backfill(
|
|||
f'backfill_until_dt: {backfill_until_dt}\n'
|
||||
f'last_start_dt: {last_start_dt}\n'
|
||||
)
|
||||
|
||||
try:
|
||||
(
|
||||
array,
|
||||
|
@ -426,37 +430,58 @@ async def start_backfill(
|
|||
timeframe,
|
||||
end_dt=last_start_dt,
|
||||
)
|
||||
|
||||
except NoData as _daterr:
|
||||
# 3 cases:
|
||||
# - frame in the middle of a legit venue gap
|
||||
# - history actually began at the `last_start_dt`
|
||||
# - some other unknown error (ib blocking the
|
||||
# history bc they don't want you seeing how they
|
||||
# cucked all the tinas..)
|
||||
if dur := frame_types.get(timeframe):
|
||||
# decrement by a frame's worth of duration and
|
||||
# retry a few times.
|
||||
last_start_dt.subtract(
|
||||
seconds=dur.total_seconds()
|
||||
orig_last_start_dt: datetime = last_start_dt
|
||||
gap_report: str = (
|
||||
f'EMPTY FRAME for `end_dt: {last_start_dt}`?\n'
|
||||
f'{mod.name} -> tf@fqme: {timeframe}@{mkt.fqme}\n'
|
||||
f'last_start_dt: {orig_last_start_dt}\n\n'
|
||||
f'bf_until: {backfill_until_dt}\n'
|
||||
)
|
||||
# EMPTY FRAME signal with 3 (likely) causes:
|
||||
#
|
||||
# 1. range contains legit gap in venue history
|
||||
# 2. history actually (edge case) **began** at the
|
||||
# value `last_start_dt`
|
||||
# 3. some other unknown error (ib blocking the
|
||||
# history-query bc they don't want you seeing how
|
||||
# they cucked all the tinas.. like with options
|
||||
# hist)
|
||||
#
|
||||
if def_frame_duration:
|
||||
# decrement by a duration's (frame) worth of time
|
||||
# as maybe indicated by the backend to see if we
|
||||
# can get older data before this possible
|
||||
# "history gap".
|
||||
last_start_dt: datetime = last_start_dt.subtract(
|
||||
seconds=def_frame_duration.total_seconds()
|
||||
)
|
||||
log.warning(
|
||||
f'{mod.name} -> EMPTY FRAME for end_dt?\n'
|
||||
f'tf@fqme: {timeframe}@{mkt.fqme}\n'
|
||||
'bf_until <- last_start_dt:\n'
|
||||
f'{backfill_until_dt} <- {last_start_dt}\n'
|
||||
f'Decrementing `end_dt` by {dur} and retry..\n'
|
||||
gap_report += (
|
||||
f'Decrementing `end_dt` and retrying with,\n'
|
||||
f'def_frame_duration: {def_frame_duration}\n'
|
||||
f'(new) last_start_dt: {last_start_dt}\n'
|
||||
)
|
||||
log.warning(gap_report)
|
||||
# skip writing to shm/tsdb and try the next
|
||||
# duration's worth of prior history.
|
||||
continue
|
||||
|
||||
else:
|
||||
# await tractor.pause()
|
||||
raise DataUnavailable(gap_report)
|
||||
|
||||
# broker says there never was or is no more history to pull
|
||||
except DataUnavailable:
|
||||
except DataUnavailable as due:
|
||||
message: str = due.args[0]
|
||||
log.warning(
|
||||
f'NO-MORE-DATA in range?\n'
|
||||
f'`{mod.name}` halted history:\n'
|
||||
f'tf@fqme: {timeframe}@{mkt.fqme}\n'
|
||||
'bf_until <- last_start_dt:\n'
|
||||
f'{backfill_until_dt} <- {last_start_dt}\n'
|
||||
f'Provider {mod.name!r} halted backfill due to,\n\n'
|
||||
|
||||
f'{message}\n'
|
||||
|
||||
f'fqme: {mkt.fqme}\n'
|
||||
f'timeframe: {timeframe}\n'
|
||||
f'last_start_dt: {last_start_dt}\n'
|
||||
f'bf_until: {backfill_until_dt}\n'
|
||||
)
|
||||
# UGH: what's a better way?
|
||||
# TODO: backends are responsible for being correct on
|
||||
|
@ -465,34 +490,54 @@ async def start_backfill(
|
|||
# to halt the request loop until the condition is
|
||||
# resolved or should the backend be entirely in
|
||||
# charge of solving such faults? yes, right?
|
||||
# if timeframe > 1:
|
||||
# await tractor.pause()
|
||||
return
|
||||
|
||||
time: np.ndarray = array['time']
|
||||
assert (
|
||||
array['time'][0]
|
||||
time[0]
|
||||
==
|
||||
next_start_dt.timestamp()
|
||||
)
|
||||
|
||||
diff = last_start_dt - next_start_dt
|
||||
frame_time_diff_s = diff.seconds
|
||||
assert time[-1] == next_end_dt.timestamp()
|
||||
|
||||
expected_dur: Interval = last_start_dt - next_start_dt
|
||||
|
||||
# frame's worth of sample-period-steps, in seconds
|
||||
frame_size_s: float = len(array) * timeframe
|
||||
expected_frame_size_s: float = frame_size_s + timeframe
|
||||
if frame_time_diff_s > expected_frame_size_s:
|
||||
|
||||
recv_frame_dur: Duration = (
|
||||
from_timestamp(array[-1]['time'])
|
||||
-
|
||||
from_timestamp(array[0]['time'])
|
||||
)
|
||||
if (
|
||||
(lt_frame := (recv_frame_dur < expected_dur))
|
||||
or
|
||||
(null_frame := (frame_size_s == 0))
|
||||
# ^XXX, should NEVER hit now!
|
||||
):
|
||||
# XXX: query result includes a start point prior to our
|
||||
# expected "frame size" and thus is likely some kind of
|
||||
# history gap (eg. market closed period, outage, etc.)
|
||||
# so just report it to console for now.
|
||||
if lt_frame:
|
||||
reason = 'Possible GAP (or first-datum)'
|
||||
else:
|
||||
assert null_frame
|
||||
reason = 'NULL-FRAME'
|
||||
|
||||
missing_dur: Interval = expected_dur.end - recv_frame_dur.end
|
||||
log.warning(
|
||||
'GAP DETECTED:\n'
|
||||
f'last_start_dt: {last_start_dt}\n'
|
||||
f'diff: {diff}\n'
|
||||
f'frame_time_diff_s: {frame_time_diff_s}\n'
|
||||
f'{timeframe}s-series {reason} detected!\n'
|
||||
f'fqme: {mkt.fqme}\n'
|
||||
f'last_start_dt: {last_start_dt}\n\n'
|
||||
f'recv interval: {recv_frame_dur}\n'
|
||||
f'expected interval: {expected_dur}\n\n'
|
||||
|
||||
f'Missing duration of history of {missing_dur.in_words()!r}\n'
|
||||
f'{missing_dur}\n'
|
||||
)
|
||||
# await tractor.pause()
|
||||
|
||||
to_push = diff_history(
|
||||
array,
|
||||
|
@ -567,7 +612,8 @@ async def start_backfill(
|
|||
# long-term storage.
|
||||
if (
|
||||
storage is not None
|
||||
and write_tsdb
|
||||
and
|
||||
write_tsdb
|
||||
):
|
||||
log.info(
|
||||
f'Writing {ln} frame to storage:\n'
|
||||
|
@ -688,7 +734,7 @@ async def back_load_from_tsdb(
|
|||
last_tsdb_dt
|
||||
and latest_start_dt
|
||||
):
|
||||
backfilled_size_s = (
|
||||
backfilled_size_s: Duration = (
|
||||
latest_start_dt - last_tsdb_dt
|
||||
).seconds
|
||||
# if the shm buffer len is not large enough to contain
|
||||
|
@ -911,6 +957,8 @@ async def tsdb_backfill(
|
|||
f'{pformat(config)}\n'
|
||||
)
|
||||
|
||||
# concurrently load the provider's most-recent-frame AND any
|
||||
# pre-existing tsdb history already saved in `piker` storage.
|
||||
dt_eps: list[DateTime, DateTime] = []
|
||||
async with trio.open_nursery() as tn:
|
||||
tn.start_soon(
|
||||
|
@ -921,7 +969,6 @@ async def tsdb_backfill(
|
|||
timeframe,
|
||||
config,
|
||||
)
|
||||
|
||||
tsdb_entry: tuple = await load_tsdb_hist(
|
||||
storage,
|
||||
mkt,
|
||||
|
@ -950,6 +997,25 @@ async def tsdb_backfill(
|
|||
mr_end_dt,
|
||||
) = dt_eps
|
||||
|
||||
first_frame_dur_s: Duration = (mr_end_dt - mr_start_dt).seconds
|
||||
calced_frame_size: Duration = mk_duration(
|
||||
seconds=first_frame_dur_s,
|
||||
)
|
||||
# NOTE, attempt to use the backend declared default frame
|
||||
# sizing (as allowed by their time-series query APIs) and
|
||||
# if not provided try to construct a default from the
|
||||
# first frame received above.
|
||||
def_frame_durs: dict[
|
||||
int,
|
||||
Duration,
|
||||
]|None = config.get('frame_types', None)
|
||||
if def_frame_durs:
|
||||
def_frame_size: Duration = def_frame_durs[timeframe]
|
||||
assert def_frame_size == calced_frame_size
|
||||
else:
|
||||
# use what we calced from first frame above.
|
||||
def_frame_size = calced_frame_size
|
||||
|
||||
# NOTE: when there's no offline data, there's 2 cases:
|
||||
# - data backend doesn't support timeframe/sample
|
||||
# period (in which case `dt_eps` should be `None` and
|
||||
|
@ -980,7 +1046,7 @@ async def tsdb_backfill(
|
|||
partial(
|
||||
start_backfill,
|
||||
get_hist=get_hist,
|
||||
frame_types=config.get('frame_types', None),
|
||||
def_frame_duration=def_frame_size,
|
||||
mod=mod,
|
||||
mkt=mkt,
|
||||
shm=shm,
|
||||
|
|
File diff suppressed because it is too large
Load Diff
|
@ -25,11 +25,11 @@ build-backend = "poetry.core.masonry.api"
|
|||
ignore = []
|
||||
|
||||
# https://docs.astral.sh/ruff/settings/#lint_per-file-ignores
|
||||
"piker/ui/qt.py" = [
|
||||
"E402",
|
||||
'F401', # unused imports (without __all__ or blah as blah)
|
||||
# "F841", # unused variable rules
|
||||
]
|
||||
# "piker/ui/qt.py" = [
|
||||
# "E402",
|
||||
# 'F401', # unused imports (without __all__ or blah as blah)
|
||||
# # "F841", # unused variable rules
|
||||
# ]
|
||||
# ignore-init-module-imports = false
|
||||
|
||||
# ------ - ------
|
||||
|
@ -50,10 +50,8 @@ attrs = "^23.1.0"
|
|||
bidict = "^0.22.1"
|
||||
colorama = "^0.4.6"
|
||||
colorlog = "^6.7.0"
|
||||
cython = "^3.0.0"
|
||||
greenback = "^1.1.1"
|
||||
ib-insync = "^0.9.86"
|
||||
msgspec = "^0.18.0"
|
||||
msgspec = "^0.18.6"
|
||||
numba = "^0.59.0"
|
||||
numpy = "^1.25"
|
||||
polars = "^0.18.13"
|
||||
|
@ -71,13 +69,11 @@ pdbp = "^1.5.0"
|
|||
trio = "^0.24"
|
||||
pendulum = "^3.0.0"
|
||||
httpx = "^0.27.0"
|
||||
cryptofeed = "^2.4.0"
|
||||
pyarrow = "^17.0.0"
|
||||
|
||||
[tool.poetry.dependencies.tractor]
|
||||
develop = true
|
||||
git = 'https://github.com/goodboy/tractor.git'
|
||||
branch = 'asyncio_debugger_support'
|
||||
# path = "../tractor"
|
||||
|
||||
tractor = {path = "../tractor", develop = true}
|
||||
websockets = "12.0"
|
||||
[tool.poetry.dependencies.asyncvnc]
|
||||
git = 'https://github.com/pikers/asyncvnc.git'
|
||||
branch = 'main'
|
||||
|
@ -109,6 +105,8 @@ pytest = "^6.0.0"
|
|||
elasticsearch = "^8.9.0"
|
||||
xonsh = "^0.14.2"
|
||||
prompt-toolkit = "3.0.40"
|
||||
cython = "^3.0.0"
|
||||
greenback = "^1.1.1"
|
||||
|
||||
# console ehancements and eventually remote debugging
|
||||
# extras/helpers.
|
||||
|
|
Loading…
Reference in New Issue