`deribit.feed`: fix "trade" event streaming

The main change needed to make `piker.data.feed._FeedsBus` work was
to correctly format the `'trade'` msgs with the (new schema) expected
`'ticks': list[dict]` field which,
- we compute the `piker` quote-msg-`dict` from the (now directly proxied through)
  `cryptofeed.types.Trade`'s fields inside the body of `stream_quotes()`.
- similarly, move the `'l1'` msg processing, **out of** the `asyncio`-side
  `_l1()` callback (defined as a closure in `.api.aio_price_feed_relay()`
  and passed to the `cryptofeed.FeedHandler`) and instead mod the
  callback to simply pass through the `.types.L1Book` ref directly to
  the `piker`/`trio` side task for conversion.

In support of all that,
- mask-to-drop the alt-branch to wait on a first rt event when the
  `cryptofeed.LastTradesResult.trades: list[Trade]` is empty; doesn't
  seem like this ever even happens?
- add a buncha typing, comments and doc-strs to the routines in
  `.deribit.api` including notes on where we can choose to mod the
  `.bs_fqme` for our eventually preferred `piker` style format.
- simplify some nested `@acm` enters to the new single `async with
  <tuple>)` style.
- be particularly pedantic about typing
  `tractor.to_asyncio.LinkedTaskChannel`
- bit of pep8 line-spacing fixes in `.venues`.

default.nix

@@ -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
+  '';
+}

piker/accounting/_pos.py

@@ -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 piker.log import get_logger
-from ..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?

piker/brokers/__init__.py

@@ -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
 ]
 

piker/brokers/binance/venues.py

@@ -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'],

piker/brokers/deribit/__init__.py

@@ -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',
 ]
 

piker/brokers/deribit/feed.py

@@ -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 pendulum import (
-from rapidfuzz import process as fuzzy
+    from_timestamp,
+)
 import numpy as np
 import tractor
 
-from piker.brokers import open_cached_client
+from piker.accounting import (
-from piker.log import get_logger, get_console_log
+    Asset,
-from piker.data import ShmArray
+    MktPair,
-from piker.brokers._util import (
+    unpack_fqme,
-    BrokerError,
+)
+from piker.brokers import (
+    open_cached_client,
+    NoData,
     DataUnavailable,
 )
-
+from piker._cacheables import (
-from cryptofeed import FeedHandler
+    async_lifo_cache,
-from cryptofeed.defines import (
-    DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
 )
-from cryptofeed.symbols import Symbol
+from piker.log import (
+    get_logger,
+    mk_repr,
+)
+from piker.data.validate import FeedInit
+
 
 from .api import (
-    Client, Trade,
+    Client,
-    get_config,
+    # get_config,
-    str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
+    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,
+            timeframe: float,
-            start_dt: Optional[datetime] = None,
+            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(
+            array: np.ndarray = await client.bars(
-                instrument,
+                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'])
+            start_dt = from_timestamp(array[0]['time'])
-            end_dt = pendulum.from_timestamp(array[-1]['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 = {
+        # build out init msgs according to latest spec
-            # pass back token, and bool, signalling if we're the writer
+        init_msgs.append(
-            # and that history has been written
+            FeedInit(
-            sym: {
+                mkt_info=mkt,
-                'symbol_info': {
+            )
-                    'asset_type': 'option',
+        )
-                    'price_tick_size': 0.0005
+        # build `cryptofeed` feed-handle
-                },
+        cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym)
-                'shm_write_opts': {'sum_tick_vml': False},
-                'fqsn': 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(
+            # else:
-                cb_sym_to_deribit_inst(nsym), count=1)).trades
+            last_trade = Trade(
+                **(last_trades[0])
+            )
 
-            if len(last_trades) == 0:
+            first_quote: dict = {
-                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,
                 '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:
+            # NOTE XXX, static for now!
-                topic = quote['symbol']
+            # => since this only handles ONE mkt feed at a time we
-                await send_chan.send({topic: quote})
+            # 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(
+                # NOTE: pattern fuzzy-matching is done within
-                    await client.search_symbols(pattern))
+                # 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)

piker/brokers/deribit/venues.py

@@ -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

piker/brokers/kucoin.py

@@ -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
+            # trade quote?
-                typ, quote = await anext(msg_gen)
+            # ^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:
+            # XXX NOTE, DO NOT include the `.<backend>` suffix!
-                await send_chan.send({sym_str: msg})
+            # 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]}'
                 )

piker/clearing/_ems.py

@@ -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
@@ -1010,6 +1014,10 @@ async def translate_and_relay_brokerd_events(
                 status_msg.brokerd_msg = msg
                 status_msg.src = msg.broker_details['name']
 
+                if not status_msg.req:
+                    # likely some order change state?
+                    await tractor.pause()
+                else:
                     await router.client_broadcast(
                         status_msg.req.symbol,
                         status_msg,

piker/clearing/_paper_engine.py

@@ -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] = []

piker/data/_sampling.py

@@ -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

piker/data/_web_bs.py

@@ -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
+JSONRPC response-request style machinery for transparent multiplexing
-over a NoBsWs.
+of msgs over a `NoBsWs`.
 
 '''
 
@@ -377,44 +377,78 @@ async def open_jsonrpc_session(
     url: str,
     start_id: int = 0,
     response_type: type = JSONRPCResult,
-    request_type: Optional[type] = None,
+    msg_recv_timeout: float = float('inf'),
-    request_hook: Optional[Callable] = None,
+    # ^NOTE, since only `deribit` is using this jsonrpc stuff atm
-    error_hook: Optional[Callable] = None,
+    # 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]
 
+            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:
+                        # if request_hook:
-                            await request_hook(request_type(**msg))
+                        #     await request_hook(request_type(**msg))
 
                     case {
                         'error': error
                     }:
-                        log.warning(f'Recieved\n{error}')
+                        # if error_hook:
-                        if error_hook:
+                        #     await error_hook(response_type(**msg))
-                            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}')

piker/data/feed.py

@@ -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(

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

piker/storage/nativedb.py

@@ -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')

piker/tsp/__init__.py

@@ -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
+            # TODO: per-provider default history-durations?
-            # limits inside a [storage] section in conf.toml?
+            # -[ ] inside the `open_history_client()` config allow
-            # when no tsdb "last datum" is provided, we just load
+            #    declaring the history duration limits instead of
-            # some near-term history.
+            #    guessing and/or applying the same limits to all?
-            # periods = {
+            #
-            #     1: {'days': 1},
+            # -[ ] allow declaring (default) per-provider backfill
-            #     60: {'days': 14},
+            #     limits inside a [storage] sub-section in conf.toml?
-            # }
+            #
-
+            # NOTE, when no tsdb "last datum" is provided, we just
-            # do a decently sized backfill and load it into storage.
+            # 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:
+                orig_last_start_dt: datetime = last_start_dt
-                # - frame in the middle of a legit venue gap
+                gap_report: str = (
-                # - history actually began at the `last_start_dt`
+                    f'EMPTY FRAME for `end_dt: {last_start_dt}`?\n'
-                # - some other unknown error (ib blocking the
+                    f'{mod.name} -> tf@fqme: {timeframe}@{mkt.fqme}\n'
-                #   history bc they don't want you seeing how they
+                    f'last_start_dt: {orig_last_start_dt}\n\n'
-                #   cucked all the tinas..)
+                    f'bf_until: {backfill_until_dt}\n'
-                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()
                 )
-                    log.warning(
+                # EMPTY FRAME signal with 3 (likely) causes:
-                        f'{mod.name} -> EMPTY FRAME for end_dt?\n'
+                #
-                        f'tf@fqme: {timeframe}@{mkt.fqme}\n'
+                # 1. range contains legit gap in venue history
-                        'bf_until <- last_start_dt:\n'
+                # 2. history actually (edge case) **began** at the
-                        f'{backfill_until_dt} <- {last_start_dt}\n'
+                #    value `last_start_dt`
-                        f'Decrementing `end_dt` by {dur} and retry..\n'
+                # 3. some other unknown error (ib blocking the
+                #    history-query bc they don't want you seeing how
+                #    they cucked all the tinas.. like with options
+                #    hist)
+                #
+                if def_frame_duration:
+                    # decrement by a duration's (frame) worth of time
+                    # as maybe indicated by the backend to see if we
+                    # can get older data before this possible
+                    # "history gap".
+                    last_start_dt: datetime = last_start_dt.subtract(
+                        seconds=def_frame_duration.total_seconds()
                     )
+                    gap_report += (
+                        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'Provider {mod.name!r} halted backfill due to,\n\n'
-                    f'`{mod.name}` halted history:\n'
+
-                    f'tf@fqme: {timeframe}@{mkt.fqme}\n'
+                    f'{message}\n'
-                    'bf_until <- last_start_dt:\n'
+
-                    f'{backfill_until_dt} <- {last_start_dt}\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
+            assert time[-1] == next_end_dt.timestamp()
-            frame_time_diff_s = diff.seconds
+
+            expected_dur: Interval = last_start_dt - next_start_dt
 
             # frame's worth of sample-period-steps, in seconds
             frame_size_s: float = len(array) * timeframe
-            expected_frame_size_s: float = frame_size_s + timeframe
+            recv_frame_dur: Duration = (
-            if frame_time_diff_s > expected_frame_size_s:
+                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'{timeframe}s-series {reason} detected!\n'
-                    f'last_start_dt: {last_start_dt}\n'
+                    f'fqme: {mkt.fqme}\n'
-                    f'diff: {diff}\n'
+                    f'last_start_dt: {last_start_dt}\n\n'
-                    f'frame_time_diff_s: {frame_time_diff_s}\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,

pyproject.toml

@@ -25,11 +25,11 @@ build-backend = "poetry.core.masonry.api"
 ignore = []
 
 # https://docs.astral.sh/ruff/settings/#lint_per-file-ignores
-"piker/ui/qt.py" = [
+# "piker/ui/qt.py" = [
-  "E402",
+#   "E402",
-  'F401',  # unused imports (without __all__ or blah as blah)
+#   'F401',  # unused imports (without __all__ or blah as blah)
-  # "F841", # unused variable rules
+#   # "F841", # unused variable rules
-]
+# ]
 # ignore-init-module-imports = false
 
 # ------ - ------
@@ -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]
+tractor = {path = "../tractor", develop = true}
-develop = true
+websockets = "12.0"
-git = 'https://github.com/goodboy/tractor.git'
-branch = 'asyncio_debugger_support'
-# path = "../tractor"
-
 [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.