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2ef20761a0
Author | SHA1 | Date |
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2ef20761a0 | |
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5cefe8bcdb |
144
default.nix
144
default.nix
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@ -1,46 +1,127 @@
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with (import <nixpkgs> {});
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with python312Packages;
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let
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glibStorePath = lib.getLib glib;
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qtpyStorePath = lib.getLib qtpy;
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pyqt6StorePath = lib.getLib pyqt6;
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pyqt6SipStorePath = lib.getLib pyqt6-sip;
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zstdStorePath = lib.getLib zstd;
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dbusStorePath = lib.getLib dbus;
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libGLStorePath = lib.getLib libGL;
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freetypeStorePath = lib.getLib freetype;
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qt6baseStorePath = lib.getLib qt6.qtbase;
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rapidfuzzStorePath = lib.getLib rapidfuzz;
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qdarkstyleStorePath = lib.getLib qdarkstyle;
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fontconfigStorePath = lib.getLib fontconfig;
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libxkbcommonStorePath = lib.getLib libxkbcommon;
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xcbutilcursorStorePath = lib.getLib xcb-util-cursor;
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qtpyStorePath = lib.getLib python312Packages.qtpy;
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pyqt6StorePath = lib.getLib python312Packages.pyqt6;
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pyqt6SipStorePath = lib.getLib python312Packages.pyqt6-sip;
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rapidfuzzStorePath = lib.getLib python312Packages.rapidfuzz;
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qdarkstyleStorePath = lib.getLib python312Packages.qdarkstyle;
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xorgLibX11StorePath = lib.getLib xorg.libX11;
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xorgLibxcbStorePath = lib.getLib xorg.libxcb;
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xorgxcbutilwmStorePath = lib.getLib xorg.xcbutilwm;
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xorgxcbutilimageStorePath = lib.getLib xorg.xcbutilimage;
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xorgxcbutilerrorsStorePath = lib.getLib xorg.xcbutilerrors;
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xorgxcbutilkeysymsStorePath = lib.getLib xorg.xcbutilkeysyms;
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xorgxcbutilrenderutilStorePath = lib.getLib xorg.xcbutilrenderutil;
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in
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stdenv.mkDerivation {
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name = "piker-qt6-poetry-shell";
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buildInputs = [
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# System requirements.
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glib
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dbus
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zstd
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libGL
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freetype
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qt6.qtbase
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libgcc.lib
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fontconfig
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libxkbcommon
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# Xorg requirements
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xcb-util-cursor
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xorg.libxcb
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xorg.libX11
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xorg.xcbutilwm
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xorg.xcbutilimage
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xorg.xcbutilerrors
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xorg.xcbutilkeysyms
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xorg.xcbutilrenderutil
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# Python requirements.
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python312Full
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poetry-core
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qdarkstyle
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rapidfuzz
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pyqt6
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qtpy
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python312Packages.poetry-core
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python312Packages.qdarkstyle
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python312Packages.rapidfuzz
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python312Packages.pyqt6
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python312Packages.qtpy
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];
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src = null;
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shellHook = ''
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set -e
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export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:${libgcc.lib}/lib:${glibStorePath}/lib
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# Set the Qt plugin path
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# export QT_DEBUG_PLUGINS=1
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QTBASE_PATH="${qt6baseStorePath}/lib"
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QT_PLUGIN_PATH="$QTBASE_PATH/qt-6/plugins"
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QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
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QTBASE_PATH="${qt6baseStorePath}"
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echo "qtbase path: $QTBASE_PATH"
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echo ""
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export QT_PLUGIN_PATH="$QTBASE_PATH/lib/qt-6/plugins"
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export QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
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echo "qt plugin path: $QT_PLUGIN_PATH"
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echo ""
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LIB_GCC_PATH="${libgcc.lib}/lib"
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GLIB_PATH="${glibStorePath}/lib"
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ZSTD_PATH="${zstdStorePath}/lib"
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DBUS_PATH="${dbusStorePath}/lib"
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LIBGL_PATH="${libGLStorePath}/lib"
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FREETYPE_PATH="${freetypeStorePath}/lib"
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FONTCONFIG_PATH="${fontconfigStorePath}/lib"
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LIB_XKB_COMMON_PATH="${libxkbcommonStorePath}/lib"
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XCB_UTIL_CURSOR_PATH="${xcbutilcursorStorePath}/lib"
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XORG_LIB_X11_PATH="${xorgLibX11StorePath}/lib"
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XORG_LIB_XCB_PATH="${xorgLibxcbStorePath}/lib"
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XORG_XCB_UTIL_IMAGE_PATH="${xorgxcbutilimageStorePath}/lib"
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XORG_XCB_UTIL_WM_PATH="${xorgxcbutilwmStorePath}/lib"
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XORG_XCB_UTIL_RENDER_UTIL_PATH="${xorgxcbutilrenderutilStorePath}/lib"
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XORG_XCB_UTIL_KEYSYMS_PATH="${xorgxcbutilkeysymsStorePath}/lib"
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XORG_XCB_UTIL_ERRORS_PATH="${xorgxcbutilerrorsStorePath}/lib"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QTBASE_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_PLUGIN_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_QPA_PLATFORM_PLUGIN_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_GCC_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$DBUS_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$GLIB_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$ZSTD_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIBGL_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FONTCONFIG_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FREETYPE_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_XKB_COMMON_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XCB_UTIL_CURSOR_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_X11_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_XCB_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_IMAGE_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_WM_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_RENDER_UTIL_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_KEYSYMS_PATH"
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LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_ERRORS_PATH"
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export LD_LIBRARY_PATH
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RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
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QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
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QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
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PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
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PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
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PATCH="$PATCH:$RPDFUZZ_PATH"
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PATCH="$PATCH:$QDRKSTYLE_PATH"
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PATCH="$PATCH:$QTPY_PATH"
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PATCH="$PATCH:$PYQT6_PATH"
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PATCH="$PATCH:$PYQT6_SIP_PATH"
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export PATCH
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# Maybe create venv & install deps
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poetry install --with uis
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@ -48,28 +129,6 @@ stdenv.mkDerivation {
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# Use pyqt6 from System, patch activate script
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ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate"
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export RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
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export QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
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export QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
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export PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
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export PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
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echo "rapidfuzz at: $RPDFUZZ_PATH"
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echo "qdarkstyle at: $QDRKSTYLE_PATH"
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echo "qtpy at: $QTPY_PATH"
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echo "pyqt6 at: $PYQT6_PATH"
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echo "pyqt6-sip at: $PYQT6_SIP_PATH"
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echo ""
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PATCH="export PYTHONPATH=\""
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PATCH="$PATCH\$RPDFUZZ_PATH"
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PATCH="$PATCH:\$QDRKSTYLE_PATH"
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PATCH="$PATCH:\$QTPY_PATH"
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PATCH="$PATCH:\$PYQT6_PATH"
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PATCH="$PATCH:\$PYQT6_SIP_PATH"
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PATCH="$PATCH\""
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if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then
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echo "venv is already patched."
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else
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|
@ -77,6 +136,5 @@ stdenv.mkDerivation {
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sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH
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fi
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poetry shell
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'';
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}
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|
|
|
@ -55,9 +55,10 @@ from cryptofeed.defines import (
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OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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# types for managing the cb callbacks.
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# from cryptofeed.types import L1Book
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from cryptofeed.types import (
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L1Book,
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Trade,
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)
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from piker.brokers import SymbolNotFound
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from .venues import (
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_ws_url,
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|
@ -66,9 +67,7 @@ from .venues import (
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Pair,
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OptionPair,
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JSONRPCResult,
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# JSONRPCChannel,
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KLinesResult,
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# Trade,
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LastTradesResult,
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)
|
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from piker.accounting import (
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|
@ -98,9 +97,17 @@ _spawn_kwargs = {
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}
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# convert datetime obj timestamp to unixtime in milliseconds
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def deribit_timestamp(when) -> int:
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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def deribit_timestamp(when: datetime) -> int:
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'''
|
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Convert conventional epoch timestamp, in secs, to unixtime in
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milliseconds.
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|
||||
'''
|
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return int(
|
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(when.timestamp() * 1000)
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+
|
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(when.microsecond / 1000)
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)
|
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|
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|
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def str_to_cb_sym(name: str) -> Symbol:
|
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|
@ -155,11 +162,28 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
|
|||
)
|
||||
|
||||
|
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def cb_sym_to_deribit_inst(sym: Symbol):
|
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new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
|
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otype = 'C' if sym.option_type == CALL else 'P'
|
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# TODO, instead can't we just lookup the `MktPair` directly
|
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# and pass it upward to `stream_quotes()`??
|
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def cb_sym_to_deribit_inst(sym: Symbol) -> str:
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'''
|
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Generate our own internal `str`-repr for a `cryptofeed.Symbol`
|
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uniquely from its fields.
|
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|
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return f'{sym.base}-{new_expiry_date}-{sym.strike_price}-{otype}'
|
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This is the equiv of generating a `Pair.fmqe` from `cryptofeed`
|
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for now i suppose..?
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|
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'''
|
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new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
|
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otype = (
|
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'C' if sym.option_type == CALL
|
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else 'P'
|
||||
)
|
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return (
|
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f'{sym.base}-'
|
||||
f'{new_expiry_date}-'
|
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f'{sym.strike_price}-'
|
||||
f'{otype}'
|
||||
)
|
||||
|
||||
|
||||
def get_values_from_cb_normalized_date(expiry_date: str) -> str:
|
||||
|
@ -598,7 +622,7 @@ async def get_client(
|
|||
|
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|
||||
@acm
|
||||
async def open_feed_handler():
|
||||
async def open_feed_handler() -> FeedHandler:
|
||||
fh = FeedHandler(config=get_config())
|
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yield fh
|
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await to_asyncio.run_task(fh.stop_async)
|
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|
@ -619,59 +643,37 @@ async def aio_price_feed_relay(
|
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from_trio: asyncio.Queue,
|
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to_trio: trio.abc.SendChannel,
|
||||
) -> None:
|
||||
'''
|
||||
Relay price feed quotes from the `cryptofeed.FeedHandler` to
|
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the `piker`-side `trio.task` consumers for delivery to consumer
|
||||
sub-actors for various subsystems.
|
||||
|
||||
'''
|
||||
async def _trade(
|
||||
data: dict,
|
||||
trade: Trade, # cryptofeed, NOT ours from `.venues`!
|
||||
receipt_timestamp: int,
|
||||
) -> None:
|
||||
'''
|
||||
Send `cryptofeed.FeedHandler` quotes to `piker`-side
|
||||
`trio.Task`.
|
||||
Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side.
|
||||
|
||||
'''
|
||||
to_trio.send_nowait((
|
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'trade', {
|
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'symbol': cb_sym_to_deribit_inst(
|
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str_to_cb_sym(data.symbol)).lower(),
|
||||
'last': data,
|
||||
'broker_ts': time.time(),
|
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'data': data.to_dict(),
|
||||
'receipt': receipt_timestamp,
|
||||
},
|
||||
))
|
||||
to_trio.send_nowait(('trade', trade))
|
||||
|
||||
async def _l1(
|
||||
data: dict,
|
||||
book: L1Book,
|
||||
receipt_timestamp: int,
|
||||
) -> None:
|
||||
to_trio.send_nowait((
|
||||
'l1', {
|
||||
'symbol': cb_sym_to_deribit_inst(
|
||||
str_to_cb_sym(data.symbol)).lower(),
|
||||
'ticks': [
|
||||
{
|
||||
'type': 'bid',
|
||||
'price': float(data.bid_price),
|
||||
'size': float(data.bid_size)
|
||||
},
|
||||
{
|
||||
'type': 'bsize',
|
||||
'price': float(data.bid_price),
|
||||
'size': float(data.bid_size)
|
||||
},
|
||||
{
|
||||
'type': 'ask',
|
||||
'price': float(data.ask_price),
|
||||
'size': float(data.ask_size)
|
||||
},
|
||||
{
|
||||
'type': 'asize',
|
||||
'price': float(data.ask_price),
|
||||
'size': float(data.ask_size)
|
||||
}
|
||||
]
|
||||
},
|
||||
))
|
||||
'''
|
||||
Relay-thru "l1 book" updates.
|
||||
|
||||
'''
|
||||
|
||||
to_trio.send_nowait(('l1', book))
|
||||
|
||||
# TODO, make this work!
|
||||
# -[ ] why isn't this working in `tractor.pause_from_sync()`??
|
||||
# breakpoint()
|
||||
|
||||
sym: Symbol = piker_sym_to_cb_sym(instrument)
|
||||
fh.add_feed(
|
||||
DERIBIT,
|
||||
|
@ -685,27 +687,35 @@ async def aio_price_feed_relay(
|
|||
if not fh.running:
|
||||
fh.run(
|
||||
start_loop=False,
|
||||
install_signal_handlers=False)
|
||||
install_signal_handlers=False
|
||||
)
|
||||
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
# run until cancelled
|
||||
await asyncio.sleep(float('inf'))
|
||||
|
||||
|
||||
@acm
|
||||
async def open_price_feed(
|
||||
instrument: str
|
||||
) -> trio.abc.ReceiveStream:
|
||||
async with maybe_open_feed_handler() as fh:
|
||||
async with to_asyncio.open_channel_from(
|
||||
) -> to_asyncio.LinkedTaskChannel:
|
||||
|
||||
fh: FeedHandler
|
||||
first: None
|
||||
chan: to_asyncio.LinkedTaskChannel
|
||||
async with (
|
||||
maybe_open_feed_handler() as fh,
|
||||
to_asyncio.open_channel_from(
|
||||
partial(
|
||||
aio_price_feed_relay,
|
||||
fh,
|
||||
instrument
|
||||
)
|
||||
) as (first, chan):
|
||||
yield chan
|
||||
) as (first, chan)
|
||||
):
|
||||
yield chan
|
||||
|
||||
|
||||
@acm
|
||||
|
@ -714,6 +724,7 @@ async def maybe_open_price_feed(
|
|||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
# TODO: add a predicate to maybe_open_context
|
||||
feed: to_asyncio.LinkedTaskChannel
|
||||
async with maybe_open_context(
|
||||
acm_func=open_price_feed,
|
||||
kwargs={
|
||||
|
|
|
@ -63,6 +63,7 @@ from .api import (
|
|||
# get_config,
|
||||
piker_sym_to_cb_sym,
|
||||
cb_sym_to_deribit_inst,
|
||||
str_to_cb_sym,
|
||||
maybe_open_price_feed
|
||||
)
|
||||
from .venues import (
|
||||
|
@ -237,13 +238,19 @@ async def stream_quotes(
|
|||
'''
|
||||
Open a live quote stream for the market set defined by `symbols`.
|
||||
|
||||
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()
|
||||
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,
|
||||
|
@ -262,25 +269,31 @@ async def stream_quotes(
|
|||
# build `cryptofeed` feed-handle
|
||||
cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym)
|
||||
|
||||
async with maybe_open_price_feed(sym) as stream:
|
||||
last_trades = (
|
||||
await client.last_trades(
|
||||
cb_sym_to_deribit_inst(cf_sym),
|
||||
count=1,
|
||||
)
|
||||
).trades
|
||||
from_cf: tractor.to_asyncio.LinkedTaskChannel
|
||||
async with maybe_open_price_feed(sym) as from_cf:
|
||||
|
||||
if len(last_trades) == 0:
|
||||
last_trade = None
|
||||
async for typ, quote in stream:
|
||||
if typ == 'trade':
|
||||
last_trade = Trade(**(quote['data']))
|
||||
break
|
||||
# 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
|
||||
|
||||
else:
|
||||
last_trade = Trade(**(last_trades[0]))
|
||||
# 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
|
||||
|
||||
first_quote = {
|
||||
# else:
|
||||
last_trade = Trade(
|
||||
**(last_trades[0])
|
||||
)
|
||||
|
||||
first_quote: dict = {
|
||||
'symbol': sym,
|
||||
'last': last_trade.price,
|
||||
'brokerd_ts': last_trade.timestamp,
|
||||
|
@ -305,14 +318,69 @@ async def stream_quotes(
|
|||
topic: str = mkt.bs_fqme
|
||||
|
||||
# deliver until cancelled
|
||||
async for typ, quote in stream:
|
||||
sym: str = quote['symbol']
|
||||
log.info(
|
||||
f'deribit {typ!r} quote for {sym!r}\n\n'
|
||||
f'{pfmt(quote)}\n'
|
||||
)
|
||||
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: quote,
|
||||
topic: piker_quote,
|
||||
})
|
||||
|
||||
|
||||
|
@ -327,7 +395,6 @@ async def open_symbol_search(
|
|||
await ctx.started()
|
||||
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
pattern: str
|
||||
async for pattern in stream:
|
||||
|
||||
|
|
|
@ -154,6 +154,7 @@ class JSONRPCResult(Struct):
|
|||
error: Optional[dict] = None
|
||||
result: Optional[list[dict]] = None
|
||||
|
||||
|
||||
class JSONRPCChannel(Struct):
|
||||
method: str
|
||||
params: dict
|
||||
|
@ -170,6 +171,7 @@ class KLinesResult(Struct):
|
|||
status: str
|
||||
volume: list[float]
|
||||
|
||||
|
||||
class Trade(Struct):
|
||||
iv: float
|
||||
price: float
|
||||
|
@ -188,6 +190,7 @@ class Trade(Struct):
|
|||
block_trade_id: Optional[str] = '',
|
||||
block_trade_leg_count: Optional[int] = 0,
|
||||
|
||||
|
||||
class LastTradesResult(Struct):
|
||||
trades: list[Trade]
|
||||
has_more: bool
|
||||
|
|
|
@ -130,6 +130,7 @@ ledger = 'piker.accounting.cli:ledger'
|
|||
|
||||
|
||||
[project]
|
||||
name="piker"
|
||||
keywords=[
|
||||
"async",
|
||||
"trading",
|
||||
|
|
Loading…
Reference in New Issue