Max pain docs.

expiration date.

default.nix

@@ -1,82 +1,130 @@
 with (import <nixpkgs> {});
-with python312Packages;
 let
   glibStorePath = lib.getLib glib;
-  qtpyStorePath = lib.getLib qtpy;
+  zstdStorePath = lib.getLib zstd;
-  pyqt6StorePath = lib.getLib pyqt6;
+  dbusStorePath = lib.getLib dbus;
-  pyqt6SipStorePath = lib.getLib pyqt6-sip;
+  libGLStorePath = lib.getLib libGL;
+  freetypeStorePath = lib.getLib freetype;
   qt6baseStorePath = lib.getLib qt6.qtbase;
-  rapidfuzzStorePath = lib.getLib rapidfuzz;
+  fontconfigStorePath = lib.getLib fontconfig;
-  qdarkstyleStorePath = lib.getLib qdarkstyle;
+  libxkbcommonStorePath = lib.getLib libxkbcommon;
+  xcbutilcursorStorePath = lib.getLib xcb-util-cursor;
+
+  qtpyStorePath = lib.getLib python312Packages.qtpy;
+  pyqt6StorePath = lib.getLib python312Packages.pyqt6;
+  pyqt6SipStorePath = lib.getLib python312Packages.pyqt6-sip;
+  rapidfuzzStorePath = lib.getLib python312Packages.rapidfuzz;
+  qdarkstyleStorePath = lib.getLib python312Packages.qdarkstyle;
+
+  xorgLibX11StorePath = lib.getLib xorg.libX11;
+  xorgLibxcbStorePath = lib.getLib xorg.libxcb;
+  xorgxcbutilwmStorePath = lib.getLib xorg.xcbutilwm;
+  xorgxcbutilimageStorePath = lib.getLib xorg.xcbutilimage;
+  xorgxcbutilerrorsStorePath = lib.getLib xorg.xcbutilerrors;
+  xorgxcbutilkeysymsStorePath = lib.getLib xorg.xcbutilkeysyms;
+  xorgxcbutilrenderutilStorePath = lib.getLib xorg.xcbutilrenderutil;
 in
 stdenv.mkDerivation {
-  name = "piker-qt6-poetry-shell";
+  name = "piker-qt6-uv";
   buildInputs = [
     # System requirements.
     glib
+    dbus
+    zstd
+    libGL
+    freetype
     qt6.qtbase
     libgcc.lib
+    fontconfig
+    libxkbcommon
+
+    # Xorg requirements
+    xcb-util-cursor
+    xorg.libxcb
+    xorg.libX11
+    xorg.xcbutilwm
+    xorg.xcbutilimage
+    xorg.xcbutilerrors
+    xorg.xcbutilkeysyms
+    xorg.xcbutilrenderutil
 
     # Python requirements.
     python312Full
-    poetry-core
+    python312Packages.uv
-    qdarkstyle
+    python312Packages.qdarkstyle
-    rapidfuzz
+    python312Packages.rapidfuzz
-    pyqt6
+    python312Packages.pyqt6
-    qtpy
+    python312Packages.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}/lib"
+    QT_PLUGIN_PATH="$QTBASE_PATH/qt-6/plugins"
+    QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
 
-    QTBASE_PATH="${qt6baseStorePath}"
+    LIB_GCC_PATH="${libgcc.lib}/lib"
-    echo "qtbase path:    $QTBASE_PATH"
+    GLIB_PATH="${glibStorePath}/lib"
-    echo ""
+    ZSTD_PATH="${zstdStorePath}/lib"
-    export QT_PLUGIN_PATH="$QTBASE_PATH/lib/qt-6/plugins"
+    DBUS_PATH="${dbusStorePath}/lib"
-    export QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
+    LIBGL_PATH="${libGLStorePath}/lib"
-    echo "qt plugin path: $QT_PLUGIN_PATH"
+    FREETYPE_PATH="${freetypeStorePath}/lib"
-    echo ""
+    FONTCONFIG_PATH="${fontconfigStorePath}/lib"
+    LIB_XKB_COMMON_PATH="${libxkbcommonStorePath}/lib"
 
-    # Maybe create venv & install deps
+    XCB_UTIL_CURSOR_PATH="${xcbutilcursorStorePath}/lib"
-    poetry install --with uis
+    XORG_LIB_X11_PATH="${xorgLibX11StorePath}/lib"
+    XORG_LIB_XCB_PATH="${xorgLibxcbStorePath}/lib"
+    XORG_XCB_UTIL_IMAGE_PATH="${xorgxcbutilimageStorePath}/lib"
+    XORG_XCB_UTIL_WM_PATH="${xorgxcbutilwmStorePath}/lib"
+    XORG_XCB_UTIL_RENDER_UTIL_PATH="${xorgxcbutilrenderutilStorePath}/lib"
+    XORG_XCB_UTIL_KEYSYMS_PATH="${xorgxcbutilkeysymsStorePath}/lib"
+    XORG_XCB_UTIL_ERRORS_PATH="${xorgxcbutilerrorsStorePath}/lib"
 
-    # Use pyqt6 from System, patch activate script
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QTBASE_PATH"
-    ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_PLUGIN_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_QPA_PLATFORM_PLUGIN_PATH"
 
-    export RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_GCC_PATH"
-    export QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$DBUS_PATH"
-    export QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$GLIB_PATH"
-    export PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$ZSTD_PATH"
-    export PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIBGL_PATH"
-    echo "rapidfuzz at:   $RPDFUZZ_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FONTCONFIG_PATH"
-    echo "qdarkstyle at:  $QDRKSTYLE_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FREETYPE_PATH"
-    echo "qtpy at:        $QTPY_PATH" 
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_XKB_COMMON_PATH"
-    echo "pyqt6 at:       $PYQT6_PATH"
-    echo "pyqt6-sip at:   $PYQT6_SIP_PATH"
-    echo ""
 
-    PATCH="export PYTHONPATH=\""
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XCB_UTIL_CURSOR_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_X11_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_XCB_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_IMAGE_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_WM_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_RENDER_UTIL_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_KEYSYMS_PATH"
+    LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_ERRORS_PATH"
 
-    PATCH="$PATCH\$RPDFUZZ_PATH"
+    export LD_LIBRARY_PATH
-    PATCH="$PATCH:\$QDRKSTYLE_PATH"
-    PATCH="$PATCH:\$QTPY_PATH"
-    PATCH="$PATCH:\$PYQT6_PATH"
-    PATCH="$PATCH:\$PYQT6_SIP_PATH"
 
-    PATCH="$PATCH\""
+    RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
+    QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
+    QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
+    PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
+    PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
 
-    if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then
+    PATCH="$PATCH:$RPDFUZZ_PATH"
-        echo "venv is already patched."
+    PATCH="$PATCH:$QDRKSTYLE_PATH"
-    else
+    PATCH="$PATCH:$QTPY_PATH"
-        echo "patching $ACTIVATE_SCRIPT_PATH to use pyqt6 from nixos..."
+    PATCH="$PATCH:$PYQT6_PATH"
-        sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH
+    PATCH="$PATCH:$PYQT6_SIP_PATH"
-    fi
+
+    export PATCH
+
+    # Install deps
+    uv lock
 
-    poetry shell
   '';
 }

examples/max_pain.py

@@ -0,0 +1,139 @@
+#!/usr/bin/env python
+from decimal import (
+    Decimal,
+)
+import trio
+import tractor
+from datetime import datetime
+from pprint import pformat
+from piker.brokers.deribit.api import (
+    get_client,
+    maybe_open_oi_feed,
+)
+
+def check_if_complete(
+        oi: dict[str, dict[str, Decimal | None]]
+    ) -> bool:
+    return all(
+        oi[strike]['C'] is not None 
+        and
+        oi[strike]['P'] is not None for strike in oi
+    )
+
+
+async def max_pain_daemon(
+) -> None:
+    oi_by_strikes: dict[str, dict[str, Decimal | None]]
+    expiry_dates: list[str]
+    currency: str = 'btc'
+    kind: str = 'option'
+
+    async with get_client(
+    ) as client:
+        expiry_dates: list[str] = await client.get_expiration_dates(
+            currency=currency,
+            kind=kind
+        )
+
+    print(f'Available expiration dates for {currency}-{kind}:')
+    print(f'{expiry_dates}')
+    expiry_date: str = input('Please enter a valid expiration date: ').upper()
+    print('Starting little daemon...')
+    instruments: list[Symbol] = []
+    oi_by_strikes: dict[str, dict[str, Decimal]]
+
+    def update_oi_by_strikes(msg: tuple):
+        nonlocal oi_by_strikes
+        if 'oi' == msg[0]:
+            strike_price = msg[1]['strike_price']
+            option_type = msg[1]['option_type']
+            open_interest = msg[1]['open_interest']
+            oi_by_strikes.setdefault(
+                strike_price, {}
+            ).update(
+                {option_type: open_interest}
+            )
+
+    def get_max_pain(
+        oi_by_strikes: dict[str, dict[str, Decimal]]
+    ) -> dict[str, str | Decimal]:
+        '''
+        This method requires only the strike_prices and oi for call
+        and puts, the closes list are the same as the strike_prices
+        the idea is to sum all the calls and puts cash for each strike
+        and the ITM strikes from that strike, the lowest value is what we 
+        are looking for the intrinsic value.
+
+        '''
+
+        nonlocal timestamp
+        # We meed to find the lowest value, so we start at 
+        # infinity to ensure that, and the max_pain must be 
+        # an amount greater than zero.
+        total_intrinsic_value: Decimal = Decimal('Infinity')
+        max_pain: Decimal = Decimal(0)
+        call_cash: Decimal = Decimal(0)
+        put_cash: Decimal = Decimal(0)
+        intrinsic_values: dict[str, dict[str, Decimal]] = {}
+        closes: list = sorted(Decimal(close) for close in oi_by_strikes)
+
+        for strike, oi in oi_by_strikes.items():
+            s = Decimal(strike)
+            call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
+            put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c in closes)
+
+            intrinsic_values[strike] = {
+                'C': call_cash,
+                'P': put_cash,
+                'total': call_cash + put_cash,
+            }
+
+            if intrinsic_values[strike]['total'] < total_intrinsic_value:
+                total_intrinsic_value = intrinsic_values[strike]['total']
+                max_pain = s
+
+        return {
+            'timestamp': timestamp,
+            'expiry_date': expiry_date,
+            'total_intrinsic_value': total_intrinsic_value,
+            'max_pain': max_pain,
+        }
+
+    async with get_client(
+    ) as client:
+        instruments = await client.get_instruments(
+            expiry_date=expiry_date,
+        )
+        oi_by_strikes = client.get_strikes_dict(instruments)
+
+    async with maybe_open_oi_feed(
+        instruments,
+    ) as oi_feed:
+        async for msg in oi_feed:
+
+            update_oi_by_strikes(msg)
+            if check_if_complete(oi_by_strikes):
+                if 'oi' == msg[0]:
+                    timestamp = msg[1]['timestamp']
+                    max_pain = get_max_pain(oi_by_strikes)
+                    print('-----------------------------------------------')
+                    print(f'timestamp:             {datetime.fromtimestamp(max_pain['timestamp'])}')
+                    print(f'expiry_date:           {max_pain['expiry_date']}')
+                    print(f'max_pain:              {max_pain['max_pain']}')
+                    print(f'total intrinsic value: {max_pain['total_intrinsic_value']}')
+                    print('-----------------------------------------------')
+
+
+async def main():
+
+    async with tractor.open_nursery() as n:
+        
+        p: tractor.Portal = await n.start_actor(
+            'max_pain_daemon',
+            enable_modules=[__name__],
+            infect_asyncio=True,
+        )
+        await p.run(max_pain_daemon)
+
+if __name__ == '__main__':
+    trio.run(main)

examples/max_pain_readme.rst

@@ -0,0 +1,19 @@
+## Max Pain Calculation for Deribit Options
+
+This feature, which calculates the max pain point for options traded on the Deribit exchange using cryptofeed library.
+
+- Functions in the api module for fetching options data from Deribit. [commit](https://pikers.dev/pikers/piker/commit/da55856dd2876291f55a06eb0561438a912d8241)
+
+- Compute the max pain point based on open interest data using deribit's api. [commit](https://pikers.dev/pikers/piker/commit/0d9d6e15ba0edeb662ec97f7599dd66af3046b94)
+
+### How to test it?
+
+**Before start:** in order to get this working with `uv`,  you **must** use my `tractor` [fork](https://pikers.dev/ntorres/tractor/src/branch/aio_abandons) and this branch: `aio_abandons`, the reason is that I cherry-pick the `uv_migration` that guille made, for some reason that a didn't dive into, in my system y need tractor using `uv` too. quite hacky I guess.
+
+1. `uv lock`
+
+2. `uv run --no-dev python examples/max_pain.py`
+
+3. A message should be display, enter one of the expiration date available.
+
+4. The script should be up and running.

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/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/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`.
 
 '''
 
@@ -377,43 +377,77 @@ 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]
 
-            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
+                # EMPTY FRAME signal with 3 (likely) causes:
-                    # retry a few times.
+                #
-                    last_start_dt.subtract(
+                # 1. range contains legit gap in venue history
-                        seconds=dur.total_seconds()
+                # 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(
+                    gap_report += (
-                        f'{mod.name} -> EMPTY FRAME for end_dt?\n'
+                        f'Decrementing `end_dt` and retrying with,\n'
-                        f'tf@fqme: {timeframe}@{mkt.fqme}\n'
+                        f'def_frame_duration: {def_frame_duration}\n'
-                        'bf_until <- last_start_dt:\n'
+                        f'(new) last_start_dt: {last_start_dt}\n'
-                        f'{backfill_until_dt} <- {last_start_dt}\n'
-                        f'Decrementing `end_dt` by {dur} and retry..\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

@@ -15,8 +15,8 @@
 # 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/>.
 [build-system]
-requires = ["poetry-core"]
+requires = ["hatchling"]
-build-backend = "poetry.core.masonry.api"
+build-backend = "hatchling.build"
 
 # ------ - ------
 
@@ -25,130 +25,123 @@ 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
 
 # ------ - ------
 
-[tool.poetry]
-name = "piker"
-version = "0.1.0.alpha0.dev0"
-description = "trading gear for hackers"
-authors = ["Tyler Goodlet <goodboy_foss@protonmail.com>"]
-license = "AGPLv3"
-readme = "README.rst"
-
-# ------ - ------
-
-[tool.poetry.dependencies]
-async-generator = "^1.10"
-attrs = "^23.1.0"
-bidict = "^0.22.1"
-colorama = "^0.4.6"
-colorlog = "^6.7.0"
-ib-insync = "^0.9.86"
-msgspec = "^0.18.6"
-numba = "^0.59.0"
-numpy = "^1.25"
-polars = "^0.18.13"
-pygments = "^2.16.1"
-python = ">=3.11, <3.13"
-rich = "^13.5.2"
-# setuptools = "^68.0.0"
-tomli = "^2.0.1"
-tomli-w = "^1.0.0"
-trio-util = "^0.7.0"
-trio-websocket = "^0.10.3"
-typer = "^0.9.0"
-rapidfuzz = "^3.5.2"
-pdbp = "^1.5.0"
-trio = "^0.24"
-pendulum = "^3.0.0"
-httpx = "^0.27.0"
-
-[tool.poetry.dependencies.tractor]
-develop = true
-git = 'https://pikers.dev/goodboy/tractor.git'
-branch = 'aio_abandons'
-# path = "../tractor"
-
-[tool.poetry.dependencies.asyncvnc]
-git = 'https://github.com/pikers/asyncvnc.git'
-branch = 'main'
-
-[tool.poetry.dependencies.tomlkit]
-develop = true
-git = 'https://github.com/pikers/tomlkit.git'
-branch = 'piker_pin'
-# path = "../tomlkit/"
-
-[tool.poetry.group.uis]
-optional = true
-[tool.poetry.group.uis.dependencies]
-# https://python-poetry.org/docs/managing-dependencies/#dependency-groups
-# TODO: make sure the levenshtein shit compiles on nix..
-# rapidfuzz = {extras = ["speedup"], version = "^0.18.0"}
-rapidfuzz = "^3.2.0"
-qdarkstyle = ">=3.0.2"
-pyqtgraph = { git = 'https://github.com/pikers/pyqtgraph.git' }
-
-# ------ - ------
-pyqt6 = "^6.7.0"
-
-[tool.poetry.group.dev]
-optional = true
-[tool.poetry.group.dev.dependencies]
-# testing / CI
-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.
-# TODO: add a toolset that makes debugging a `pikerd` service
-# (tree) easy to hack on directly using more or less the local env:
-# - xonsh + xxh
-# - rsyscall + pdbp
-# - actor runtime control console like BEAM/OTP
-
-# ------ - ------
-
-# TODO: add an `--only daemon` group for running non-ui / pikerd
-# service tree in distributed mode B)
-# https://python-poetry.org/docs/managing-dependencies/#installing-group-dependencies
-# [tool.poetry.group.daemon.dependencies]
-
-[tool.poetry.scripts]
-piker = 'piker.cli:cli'
-pikerd = 'piker.cli:pikerd'
-ledger = 'piker.accounting.cli:ledger'
-
-
 [project]
-keywords=[
+name = "piker"
-  "async",
+version = "0.1.0a0dev0"
-  "trading",
+description = "trading gear for hackers"
-  "finance",
+authors = [{ name = "Tyler Goodlet", email = "goodboy_foss@protonmail.com" }]
-  "quant",
+requires-python = ">=3.12, <3.13"
-  "charting",
+license = "AGPL-3.0-or-later"
+readme = "README.rst"
+keywords = [
+    "async",
+    "trading",
+    "finance",
+    "quant",
+    "charting",
 ]
-classifiers=[
+classifiers = [
-  'Development Status :: 3 - Alpha',
+    "Development Status :: 3 - Alpha",
-  "License :: OSI Approved :: GNU Affero General Public License v3 or later (AGPLv3+)",
+    "License :: OSI Approved :: GNU Affero General Public License v3 or later (AGPLv3+)",
-  'Operating System :: POSIX :: Linux',
+    "Operating System :: POSIX :: Linux",
-  "Programming Language :: Python :: Implementation :: CPython",
+    "Programming Language :: Python :: Implementation :: CPython",
-  "Programming Language :: Python :: 3 :: Only",
+    "Programming Language :: Python :: 3 :: Only",
-  "Programming Language :: Python :: 3.11",
+    "Programming Language :: Python :: 3.11",
-  "Programming Language :: Python :: 3.12",
+    "Programming Language :: Python :: 3.12",
-  'Intended Audience :: Financial and Insurance Industry',
+    "Intended Audience :: Financial and Insurance Industry",
-  'Intended Audience :: Science/Research',
+    "Intended Audience :: Science/Research",
-  'Intended Audience :: Developers',
+    "Intended Audience :: Developers",
-  'Intended Audience :: Education',
+    "Intended Audience :: Education",
 ]
+dependencies = [
+    "async-generator >=1.10, <2.0.0",
+    "attrs >=23.1.0, <24.0.0",
+    "bidict >=0.22.1, <0.23.0",
+    "colorama >=0.4.6, <0.5.0",
+    "colorlog >=6.7.0, <7.0.0",
+    "ib-insync >=0.9.86, <0.10.0",
+    "numba >=0.59.0, <0.60.0",
+    "numpy >=1.25, <2.0",
+    "polars >=0.18.13, <0.19.0",
+    "pygments >=2.16.1, <3.0.0",
+    "rich >=13.5.2, <14.0.0",
+    "tomli >=2.0.1, <3.0.0",
+    "tomli-w >=1.0.0, <2.0.0",
+    "trio-util >=0.7.0, <0.8.0",
+    "trio-websocket >=0.10.3, <0.11.0",
+    "typer >=0.9.0, <1.0.0",
+    "rapidfuzz >=3.5.2, <4.0.0",
+    "pdbp >=1.5.0, <2.0.0",
+    "trio >=0.24, <0.25",
+    "pendulum >=3.0.0, <4.0.0",
+    "httpx >=0.27.0, <0.28.0",
+    "cryptofeed >=2.4.0, <3.0.0",
+    "pyarrow >=17.0.0, <18.0.0",
+    "websockets ==12.0",
+    "msgspec",
+    "tractor",
+    "asyncvnc",
+    "tomlkit",
+]
+
+[project.optional-dependencies]
+uis = [
+    # https://docs.astral.sh/uv/concepts/projects/dependencies/#optional-dependencies
+    # TODO: make sure the levenshtein shit compiles on nix..
+    # rapidfuzz = {extras = ["speedup"], version = "^0.18.0"}
+    "rapidfuzz >=3.2.0, <4.0.0",
+    "qdarkstyle >=3.0.2, <4.0.0",
+    "pyqt6 >=6.7.0, <7.0.0",
+    "pyqtgraph",
+    
+    # ------ - ------
+    
+    # TODO: add an `--only daemon` group for running non-ui / pikerd
+    # service tree in distributed mode B)
+    # https://docs.astral.sh/uv/concepts/projects/dependencies/#optional-dependencies
+    # [project.optional-dependencies]
+]
+
+[dependency-groups]
+dev = [
+    "pytest >=6.0.0, <7.0.0",
+    "elasticsearch >=8.9.0, <9.0.0",
+    "xonsh >=0.14.2, <0.15.0",
+    "prompt-toolkit ==3.0.40",
+    "cython >=3.0.0, <4.0.0",
+    "greenback >=1.1.1, <2.0.0",
+    # console ehancements and eventually remote debugging
+    # extras/helpers.
+    # TODO: add a toolset that makes debugging a `pikerd` service
+    # (tree) easy to hack on directly using more or less the local env:
+    # - xonsh + xxh
+    # - rsyscall + pdbp
+    # - actor runtime control console like BEAM/OTP
+]
+
+[project.scripts]
+piker = "piker.cli:cli"
+pikerd = "piker.cli:pikerd"
+ledger = "piker.accounting.cli:ledger"
+
+[tool.hatch.build.targets.sdist]
+include = ["piker"]
+
+[tool.hatch.build.targets.wheel]
+include = ["piker"]
+
+[tool.uv.sources]
+pyqtgraph = { git = "https://github.com/pikers/pyqtgraph.git" }
+asyncvnc = { git = "https://github.com/pikers/asyncvnc.git", branch = "main" }
+tomlkit = { git = "https://github.com/pikers/tomlkit.git", branch ="piker_pin" }
+msgspec = { git = "https://github.com/jcrist/msgspec.git" }
+tractor = { path = "../tractor" }