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fix_deribit_hist_queries #10

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goodboy wants to merge 77 commits from fix_deribit_hist_queries into deribit_fix
pull from: fix_deribit_hist_queries
merge into: pikers:deribit_fix
Conversation 2 Commits 77 Files Changed 41
41 changed files with 4767 additions and 1590 deletions
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82
default.nix 100644
View File

@ -0,0 +1,82 @@
with (import <nixpkgs> {});
with python312Packages;
let
glibStorePath = lib.getLib glib;
qtpyStorePath = lib.getLib qtpy;
pyqt6StorePath = lib.getLib pyqt6;
pyqt6SipStorePath = lib.getLib pyqt6-sip;
qt6baseStorePath = lib.getLib qt6.qtbase;
rapidfuzzStorePath = lib.getLib rapidfuzz;
qdarkstyleStorePath = lib.getLib qdarkstyle;
in
stdenv.mkDerivation {
name = "piker-qt6-poetry-shell";
buildInputs = [
# System requirements.
glib
qt6.qtbase
libgcc.lib
# Python requirements.
python312Full
poetry-core
qdarkstyle
rapidfuzz
pyqt6
qtpy
];
src = null;
shellHook = ''
set -e
export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:${libgcc.lib}/lib:${glibStorePath}/lib
# Set the Qt plugin path
# export QT_DEBUG_PLUGINS=1
QTBASE_PATH="${qt6baseStorePath}"
echo "qtbase path: $QTBASE_PATH"
echo ""
export QT_PLUGIN_PATH="$QTBASE_PATH/lib/qt-6/plugins"
export QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms"
echo "qt plugin path: $QT_PLUGIN_PATH"
echo ""
# Maybe create venv & install deps
poetry install --with uis
# Use pyqt6 from System, patch activate script
ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate"
export RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages"
export QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages"
export QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages"
export PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages"
export PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages"
echo "rapidfuzz at: $RPDFUZZ_PATH"
echo "qdarkstyle at: $QDRKSTYLE_PATH"
echo "qtpy at: $QTPY_PATH"
echo "pyqt6 at: $PYQT6_PATH"
echo "pyqt6-sip at: $PYQT6_SIP_PATH"
echo ""
PATCH="export PYTHONPATH=\""
PATCH="$PATCH\$RPDFUZZ_PATH"
PATCH="$PATCH:\$QDRKSTYLE_PATH"
PATCH="$PATCH:\$QTPY_PATH"
PATCH="$PATCH:\$PYQT6_PATH"
PATCH="$PATCH:\$PYQT6_SIP_PATH"
PATCH="$PATCH\""
if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then
echo "venv is already patched."
else
echo "patching $ACTIVATE_SCRIPT_PATH to use pyqt6 from nixos..."
sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH
fi
poetry shell
'';
}

6
piker/brokers/__init__.py
View File

@ -50,7 +50,8 @@ __brokers__: list[str] = [
'binance', 'binance',
'ib', 'ib',
'kraken', 'kraken',
'kucoin' 'kucoin',
'deribit',
# broken but used to work # broken but used to work
# 'questrade', # 'questrade',
@ -61,7 +62,6 @@ __brokers__: list[str] = [
# wstrade # wstrade
# iex # iex
# deribit
# bitso # bitso
] ]
@ -71,7 +71,7 @@ def get_brokermod(brokername: str) -> ModuleType:
Return the imported broker module by name. Return the imported broker module by name.
''' '''
module = import_module('.' + brokername, 'piker.brokers') module: ModuleType = import_module('.' + brokername, 'piker.brokers')
# we only allow monkeying because it's for internal keying # we only allow monkeying because it's for internal keying
module.name = module.__name__.split('.')[-1] module.name = module.__name__.split('.')[-1]
return module return module

102
piker/brokers/_daemon.py
View File

@ -23,6 +23,7 @@ from __future__ import annotations
from contextlib import ( from contextlib import (
asynccontextmanager as acm, asynccontextmanager as acm,
) )
from functools import partial
from types import ModuleType from types import ModuleType
from typing import ( from typing import (
TYPE_CHECKING, TYPE_CHECKING,
@ -60,12 +61,13 @@ async def _setup_persistent_brokerd(
ctx: tractor.Context, ctx: tractor.Context,
brokername: str, brokername: str,
loglevel: str | None = None, loglevel: str | None = None,
debug_mode: bool = False,
) -> None: ) -> None:
''' '''
Allocate a actor-wide service nursery in ``brokerd`` Allocate a actor-wide service nursery in `brokerd` such that
such that feeds can be run in the background persistently by feeds can be run in the background persistently by the broker
the broker backend as needed. backend as needed.
''' '''
# NOTE: we only need to setup logging once (and only) here # NOTE: we only need to setup logging once (and only) here
@ -86,6 +88,18 @@ async def _setup_persistent_brokerd(
from piker.data import feed from piker.data import feed
assert not feed._bus assert not feed._bus
if (
debug_mode
and
tractor.current_actor().is_infected_aio()
):
# NOTE, whenever running `asyncio` in provider's actor
# runtime be sure we enabled `breakpoint()` support
# for non-`trio.Task` usage.
from tractor.devx._debug import maybe_init_greenback
await maybe_init_greenback()
# breakpoint() # XXX, SHOULD WORK from `trio.Task`!
# allocate a nursery to the bus for spawning background # allocate a nursery to the bus for spawning background
# tasks to service client IPC requests, normally # tasks to service client IPC requests, normally
# `tractor.Context` connections to explicitly required # `tractor.Context` connections to explicitly required
@ -145,18 +159,21 @@ def broker_init(
above. above.
''' '''
from ..brokers import get_brokermod brokermod: ModuleType = get_brokermod(brokername)
brokermod = get_brokermod(brokername)
modpath: str = brokermod.__name__ modpath: str = brokermod.__name__
spawn_kws: dict = getattr(
start_actor_kwargs['name'] = f'brokerd.{brokername}'
start_actor_kwargs.update(
getattr(
brokermod, brokermod,
'_spawn_kwargs', '_spawn_kwargs',
{}, {},
) )
) # ^^ NOTE, here we pull any runtime parameters specific
# to spawning the sub-actor for the backend. For ex.
# both `ib` and `deribit` rely on,
# `'infect_asyncio': True,` since they both
# use `tractor`'s "infected `asyncio` mode"
# for their libs but you could also do something like
# `'debug_mode: True` which would be like passing
# `--pdb` for just that provider backend.
# XXX TODO: make this not so hacky/monkeypatched.. # XXX TODO: make this not so hacky/monkeypatched..
# -> we need a sane way to configure the logging level for all # -> we need a sane way to configure the logging level for all
@ -166,8 +183,7 @@ def broker_init(
# lookup actor-enabled modules declared by the backend offering the # lookup actor-enabled modules declared by the backend offering the
# `brokerd` endpoint(s). # `brokerd` endpoint(s).
enabled: list[str] enabled: list[str] = [
enabled = start_actor_kwargs['enable_modules'] = [
__name__, # so that eps from THIS mod can be invoked __name__, # so that eps from THIS mod can be invoked
modpath, modpath,
] ]
@ -179,9 +195,13 @@ def broker_init(
subpath: str = f'{modpath}.{submodname}' subpath: str = f'{modpath}.{submodname}'
enabled.append(subpath) enabled.append(subpath)
datad_kwargs: dict = {
'name': f'brokerd.{brokername}',
'enable_modules': enabled,
}
return ( return (
brokermod, brokermod,
start_actor_kwargs, # to `ActorNursery.start_actor()` start_actor_kwargs | datad_kwargs | spawn_kws, # to `ActorNursery.start_actor()`
# XXX see impl above; contains all (actor global) # XXX see impl above; contains all (actor global)
# setup/teardown expected in all `brokerd` actor instances. # setup/teardown expected in all `brokerd` actor instances.
@ -190,14 +210,17 @@ def broker_init(
async def spawn_brokerd( async def spawn_brokerd(
brokername: str, brokername: str,
loglevel: str | None = None, loglevel: str | None = None,
**tractor_kwargs, **tractor_kwargs,
) -> bool: ) -> bool:
'''
Spawn a `brokerd.<backendname>` subactor service daemon
using `pikerd`'s service mngr.
'''
from piker.service._util import log # use service mngr log from piker.service._util import log # use service mngr log
log.info(f'Spawning {brokername} broker daemon') log.info(f'Spawning {brokername} broker daemon')
@ -211,33 +234,41 @@ async def spawn_brokerd(
**tractor_kwargs, **tractor_kwargs,
) )
brokermod = get_brokermod(brokername)
extra_tractor_kwargs = getattr(brokermod, '_spawn_kwargs', {})
tractor_kwargs.update(extra_tractor_kwargs)
# ask `pikerd` to spawn a new sub-actor and manage it under its # ask `pikerd` to spawn a new sub-actor and manage it under its
# actor nursery # actor nursery
from piker.service import Services from piker.service import (
get_service_mngr,
dname: str = tractor_kwargs.pop('name') # f'brokerd.{brokername}' ServiceMngr,
portal = await Services.actor_n.start_actor(
dname,
enable_modules=_data_mods + tractor_kwargs.pop('enable_modules'),
debug_mode=Services.debug_mode,
**tractor_kwargs
) )
dname: str = tractor_kwargs.pop('name') # f'brokerd.{brokername}'
# NOTE: the service mngr expects an already spawned actor + its mngr: ServiceMngr = get_service_mngr()
# portal ref in order to do non-blocking setup of brokerd ctx: tractor.Context = await mngr.start_service(
# service nursery. daemon_name=dname,
await Services.start_service_task( ctx_ep=partial(
dname,
portal,
# signature of target root-task endpoint # signature of target root-task endpoint
daemon_fixture_ep, daemon_fixture_ep,
# passed to daemon_fixture_ep(**kwargs)
brokername=brokername, brokername=brokername,
loglevel=loglevel, loglevel=loglevel,
debug_mode=mngr.debug_mode,
),
debug_mode=mngr.debug_mode,
# ^TODO, allow overriding this per-daemon from client side?
# |_ it's already supported in `tractor` so..
loglevel=loglevel,
enable_modules=(
_data_mods
+
tractor_kwargs.pop('enable_modules')
),
**tractor_kwargs
)
assert (
not ctx.cancel_called
and ctx.portal # parent side
and dname in ctx.chan.uid # subactor is named as desired
) )
return True return True
@ -262,8 +293,7 @@ async def maybe_spawn_brokerd(
from piker.service import maybe_spawn_daemon from piker.service import maybe_spawn_daemon
async with maybe_spawn_daemon( async with maybe_spawn_daemon(
service_name=f'brokerd.{brokername}',
f'brokerd.{brokername}',
service_task_target=spawn_brokerd, service_task_target=spawn_brokerd,
spawn_args={ spawn_args={
'brokername': brokername, 'brokername': brokername,

17
piker/brokers/_util.py
View File

@ -18,10 +18,11 @@
Handy cross-broker utils. Handy cross-broker utils.
""" """
from __future__ import annotations
from functools import partial from functools import partial
import json import json
import asks import httpx
import logging import logging
from ..log import ( from ..log import (
@ -60,11 +61,11 @@ class NoData(BrokerError):
def __init__( def __init__(
self, self,
*args, *args,
info: dict, info: dict|None = None,
) -> None: ) -> None:
super().__init__(*args) super().__init__(*args)
self.info: dict = info self.info: dict|None = info
# when raised, machinery can check if the backend # when raised, machinery can check if the backend
# set a "frame size" for doing datetime calcs. # set a "frame size" for doing datetime calcs.
@ -90,16 +91,18 @@ class DataThrottle(BrokerError):
def resproc( def resproc(
resp: asks.response_objects.Response, resp: httpx.Response,
log: logging.Logger, log: logging.Logger,
return_json: bool = True, return_json: bool = True,
log_resp: bool = False, log_resp: bool = False,
) -> asks.response_objects.Response: ) -> httpx.Response:
"""Process response and return its json content. '''
Process response and return its json content.
Raise the appropriate error on non-200 OK responses. Raise the appropriate error on non-200 OK responses.
"""
'''
if not resp.status_code == 200: if not resp.status_code == 200:
raise BrokerError(resp.body) raise BrokerError(resp.body)
try: try:

307
piker/brokers/binance/api.py
View File

@ -25,14 +25,13 @@ from __future__ import annotations
from collections import ChainMap from collections import ChainMap
from contextlib import ( from contextlib import (
asynccontextmanager as acm, asynccontextmanager as acm,
AsyncExitStack,
) )
from datetime import datetime from datetime import datetime
from pprint import pformat from pprint import pformat
from typing import ( from typing import (
Any, Any,
Callable, Callable,
Hashable,
Sequence,
Type, Type,
) )
import hmac import hmac
@ -43,8 +42,7 @@ import trio
from pendulum import ( from pendulum import (
now, now,
) )
import asks import httpx
from rapidfuzz import process as fuzzy
import numpy as np import numpy as np
from piker import config from piker import config
@ -54,6 +52,7 @@ from piker.clearing._messages import (
from piker.accounting import ( from piker.accounting import (
Asset, Asset,
digits_to_dec, digits_to_dec,
MktPair,
) )
from piker.types import Struct from piker.types import Struct
from piker.data import ( from piker.data import (
@ -69,7 +68,6 @@ from .venues import (
PAIRTYPES, PAIRTYPES,
Pair, Pair,
MarketType, MarketType,
_spot_url, _spot_url,
_futes_url, _futes_url,
_testnet_futes_url, _testnet_futes_url,
@ -79,19 +77,18 @@ from .venues import (
log = get_logger('piker.brokers.binance') log = get_logger('piker.brokers.binance')
def get_config() -> dict: def get_config() -> dict[str, Any]:
conf: dict conf: dict
path: Path path: Path
conf, path = config.load( conf, path = config.load(
conf_name='brokers', conf_name='brokers',
touch_if_dne=True, touch_if_dne=True,
) )
section: dict = conf.get('binance')
section = conf.get('binance')
if not section: if not section:
log.warning(f'No config section found for binance in {path}') log.warning(
f'No config section found for binance in {path}'
)
return {} return {}
return section return section
@ -147,7 +144,7 @@ def binance_timestamp(
class Client: class Client:
''' '''
Async ReST API client using ``trio`` + ``asks`` B) Async ReST API client using `trio` + `httpx` B)
Supports all of the spot, margin and futures endpoints depending Supports all of the spot, margin and futures endpoints depending
on method. on method.
@ -156,10 +153,17 @@ class Client:
def __init__( def __init__(
self, self,
venue_sessions: dict[
str, # venue key
tuple[httpx.AsyncClient, str] # session, eps path
],
conf: dict[str, Any],
# TODO: change this to `Client.[mkt_]venue: MarketType`? # TODO: change this to `Client.[mkt_]venue: MarketType`?
mkt_mode: MarketType = 'spot', mkt_mode: MarketType = 'spot',
) -> None: ) -> None:
self.conf = conf
# build out pair info tables for each market type # build out pair info tables for each market type
# and wrap in a chain-map view for search / query. # and wrap in a chain-map view for search / query.
self._spot_pairs: dict[str, Pair] = {} # spot info table self._spot_pairs: dict[str, Pair] = {} # spot info table
@ -186,44 +190,13 @@ class Client:
# market symbols for use by search. See `.exch_info()`. # market symbols for use by search. See `.exch_info()`.
self._pairs: ChainMap[str, Pair] = ChainMap() self._pairs: ChainMap[str, Pair] = ChainMap()
# spot EPs sesh
self._sesh = asks.Session(connections=4)
self._sesh.base_location: str = _spot_url
# spot testnet
self._test_sesh: asks.Session = asks.Session(connections=4)
self._test_sesh.base_location: str = _testnet_spot_url
# margin and extended spot endpoints session.
self._sapi_sesh = asks.Session(connections=4)
self._sapi_sesh.base_location: str = _spot_url
# futes EPs sesh
self._fapi_sesh = asks.Session(connections=4)
self._fapi_sesh.base_location: str = _futes_url
# futes testnet
self._test_fapi_sesh: asks.Session = asks.Session(connections=4)
self._test_fapi_sesh.base_location: str = _testnet_futes_url
# global client "venue selection" mode. # global client "venue selection" mode.
# set this when you want to switch venues and not have to # set this when you want to switch venues and not have to
# specify the venue for the next request. # specify the venue for the next request.
self.mkt_mode: MarketType = mkt_mode self.mkt_mode: MarketType = mkt_mode
# per 8 # per-mkt-venue API client table
self.venue_sesh: dict[ self.venue_sesh = venue_sessions
str, # venue key
tuple[asks.Session, str] # session, eps path
] = {
'spot': (self._sesh, '/api/v3/'),
'spot_testnet': (self._test_sesh, '/fapi/v1/'),
'margin': (self._sapi_sesh, '/sapi/v1/'),
'usdtm_futes': (self._fapi_sesh, '/fapi/v1/'),
'usdtm_futes_testnet': (self._test_fapi_sesh, '/fapi/v1/'),
# 'futes_coin': self._dapi, # TODO
}
# lookup for going from `.mkt_mode: str` to the config # lookup for going from `.mkt_mode: str` to the config
# subsection `key: str` # subsection `key: str`
@ -238,40 +211,6 @@ class Client:
'futes': ['usdtm_futes'], 'futes': ['usdtm_futes'],
} }
# for creating API keys see,
# https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
self.conf: dict = get_config()
for key, subconf in self.conf.items():
if api_key := subconf.get('api_key', ''):
venue_keys: list[str] = self.confkey2venuekeys[key]
venue_key: str
sesh: asks.Session
for venue_key in venue_keys:
sesh, _ = self.venue_sesh[venue_key]
api_key_header: dict = {
# taken from official:
# https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
"Content-Type": "application/json;charset=utf-8",
# TODO: prolly should just always query and copy
# in the real latest ver?
"User-Agent": "binance-connector/6.1.6smbz6",
"X-MBX-APIKEY": api_key,
}
sesh.headers.update(api_key_header)
# if `.use_tesnet = true` in the config then
# also add headers for the testnet session which
# will be used for all order control
if subconf.get('use_testnet', False):
testnet_sesh, _ = self.venue_sesh[
venue_key + '_testnet'
]
testnet_sesh.headers.update(api_key_header)
def _mk_sig( def _mk_sig(
self, self,
data: dict, data: dict,
@ -290,7 +229,6 @@ class Client:
'to define the creds for auth-ed endpoints!?' 'to define the creds for auth-ed endpoints!?'
) )
# XXX: Info on security and authentification # XXX: Info on security and authentification
# https://binance-docs.github.io/apidocs/#endpoint-security-type # https://binance-docs.github.io/apidocs/#endpoint-security-type
if not (api_secret := subconf.get('api_secret')): if not (api_secret := subconf.get('api_secret')):
@ -319,7 +257,7 @@ class Client:
params: dict, params: dict,
method: str = 'get', method: str = 'get',
venue: str | None = None, # if None use `.mkt_mode` state venue: str|None = None, # if None use `.mkt_mode` state
signed: bool = False, signed: bool = False,
allow_testnet: bool = False, allow_testnet: bool = False,
@ -330,8 +268,9 @@ class Client:
- /fapi/v3/ USD-M FUTURES, or - /fapi/v3/ USD-M FUTURES, or
- /api/v3/ SPOT/MARGIN - /api/v3/ SPOT/MARGIN
account/market endpoint request depending on either passed in `venue: str` account/market endpoint request depending on either passed in
or the current setting `.mkt_mode: str` setting, default `'spot'`. `venue: str` or the current setting `.mkt_mode: str` setting,
default `'spot'`.
Docs per venue API: Docs per venue API:
@ -360,9 +299,6 @@ class Client:
venue=venue_key, venue=venue_key,
) )
sesh: asks.Session
path: str
# Check if we're configured to route order requests to the # Check if we're configured to route order requests to the
# venue equivalent's testnet. # venue equivalent's testnet.
use_testnet: bool = False use_testnet: bool = False
@ -387,11 +323,12 @@ class Client:
# ctl machinery B) # ctl machinery B)
venue_key += '_testnet' venue_key += '_testnet'
sesh, path = self.venue_sesh[venue_key] client: httpx.AsyncClient
path: str
meth: Callable = getattr(sesh, method) client, path = self.venue_sesh[venue_key]
meth: Callable = getattr(client, method)
resp = await meth( resp = await meth(
path=path + endpoint, url=path + endpoint,
params=params, params=params,
timeout=float('inf'), timeout=float('inf'),
) )
@ -433,7 +370,15 @@ class Client:
item['filters'] = filters item['filters'] = filters
pair_type: Type = PAIRTYPES[venue] pair_type: Type = PAIRTYPES[venue]
try:
pair: Pair = pair_type(**item) pair: Pair = pair_type(**item)
except Exception as e:
e.add_note(
"\nDon't panic, prolly stupid binance changed their symbology schema again..\n"
'Check out their API docs here:\n\n'
'https://binance-docs.github.io/apidocs/spot/en/#exchange-information'
)
raise
pair_table[pair.symbol.upper()] = pair pair_table[pair.symbol.upper()] = pair
# update an additional top-level-cross-venue-table # update an additional top-level-cross-venue-table
@ -528,7 +473,9 @@ class Client:
''' '''
pair_table: dict[str, Pair] = self._venue2pairs[ pair_table: dict[str, Pair] = self._venue2pairs[
venue or self.mkt_mode venue
or
self.mkt_mode
] ]
if ( if (
expiry expiry
@ -547,9 +494,9 @@ class Client:
venues: list[str] = [venue] venues: list[str] = [venue]
# batch per-venue download of all exchange infos # batch per-venue download of all exchange infos
async with trio.open_nursery() as rn: async with trio.open_nursery() as tn:
for ven in venues: for ven in venues:
rn.start_soon( tn.start_soon(
self._cache_pairs, self._cache_pairs,
ven, ven,
) )
@ -602,11 +549,11 @@ class Client:
) -> dict[str, Any]: ) -> dict[str, Any]:
fq_pairs: dict = await self.exch_info() fq_pairs: dict[str, Pair] = await self.exch_info()
# TODO: cache this list like we were in # TODO: cache this list like we were in
# `open_symbol_search()`? # `open_symbol_search()`?
keys: list[str] = list(fq_pairs) # keys: list[str] = list(fq_pairs)
return match_from_pairs( return match_from_pairs(
pairs=fq_pairs, pairs=fq_pairs,
@ -614,9 +561,20 @@ class Client:
score_cutoff=50, score_cutoff=50,
) )
def pair2venuekey(
self,
pair: Pair,
) -> str:
return {
'USDTM': 'usdtm_futes',
'SPOT': 'spot',
# 'COINM': 'coin_futes',
# ^-TODO-^ bc someone might want it..?
}[pair.venue]
async def bars( async def bars(
self, self,
symbol: str, mkt: MktPair,
start_dt: datetime | None = None, start_dt: datetime | None = None,
end_dt: datetime | None = None, end_dt: datetime | None = None,
@ -646,16 +604,20 @@ class Client:
start_time = binance_timestamp(start_dt) start_time = binance_timestamp(start_dt)
end_time = binance_timestamp(end_dt) end_time = binance_timestamp(end_dt)
bs_pair: Pair = self._pairs[mkt.bs_fqme.upper()]
# https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data # https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
bars = await self._api( bars = await self._api(
'klines', 'klines',
params={ params={
'symbol': symbol.upper(), # NOTE: always query using their native symbology!
'symbol': mkt.bs_mktid.upper(),
'interval': '1m', 'interval': '1m',
'startTime': start_time, 'startTime': start_time,
'endTime': end_time, 'endTime': end_time,
'limit': limit 'limit': limit
}, },
venue=self.pair2venuekey(bs_pair),
allow_testnet=False, allow_testnet=False,
) )
new_bars: list[tuple] = [] new_bars: list[tuple] = []
@ -972,17 +934,148 @@ class Client:
await self.close_listen_key(key) await self.close_listen_key(key)
@acm _venue_urls: dict[str, str] = {
async def get_client() -> Client: 'spot': (
_spot_url,
'/api/v3/',
),
'spot_testnet': (
_testnet_spot_url,
'/fapi/v1/'
),
# margin and extended spot endpoints session.
# TODO: did this ever get implemented fully?
# 'margin': (
# _spot_url,
# '/sapi/v1/'
# ),
client = Client() 'usdtm_futes': (
await client.exch_info() _futes_url,
log.info( '/fapi/v1/',
f'{client} in {client.mkt_mode} mode: caching exchange infos..\n' ),
'Cached multi-market pairs:\n'
f'spot: {len(client._spot_pairs)}\n' 'usdtm_futes_testnet': (
f'usdtm_futes: {len(client._ufutes_pairs)}\n' _testnet_futes_url,
f'Total: {len(client._pairs)}\n' '/fapi/v1/',
),
# TODO: for anyone who actually needs it ;P
# 'coin_futes': ()
}
def init_api_keys(
client: Client,
conf: dict[str, Any],
) -> None:
'''
Set up per-venue API keys each http client according to the user's
`brokers.conf`.
For ex, to use spot-testnet and live usdt futures APIs:
```toml
[binance]
# spot test net
spot.use_testnet = true
spot.api_key = '<spot_api_key_from_binance_account>'
spot.api_secret = '<spot_api_key_password>'
# futes live
futes.use_testnet = false
accounts.usdtm = 'futes'
futes.api_key = '<futes_api_key_from_binance>'
futes.api_secret = '<futes_api_key_password>''
# if uncommented will use the built-in paper engine and not
# connect to `binance` API servers for order ctl.
# accounts.paper = 'paper'
```
'''
for key, subconf in conf.items():
if api_key := subconf.get('api_key', ''):
venue_keys: list[str] = client.confkey2venuekeys[key]
venue_key: str
client: httpx.AsyncClient
for venue_key in venue_keys:
client, _ = client.venue_sesh[venue_key]
api_key_header: dict = {
# taken from official:
# https://github.com/binance/binance-futures-connector-python/blob/main/binance/api.py#L47
"Content-Type": "application/json;charset=utf-8",
# TODO: prolly should just always query and copy
# in the real latest ver?
"User-Agent": "binance-connector/6.1.6smbz6",
"X-MBX-APIKEY": api_key,
}
client.headers.update(api_key_header)
# if `.use_tesnet = true` in the config then
# also add headers for the testnet session which
# will be used for all order control
if subconf.get('use_testnet', False):
testnet_sesh, _ = client.venue_sesh[
venue_key + '_testnet'
]
testnet_sesh.headers.update(api_key_header)
@acm
async def get_client(
mkt_mode: MarketType = 'spot',
) -> Client:
'''
Construct an single `piker` client which composes multiple underlying venue
specific API clients both for live and test networks.
'''
venue_sessions: dict[
str, # venue key
tuple[httpx.AsyncClient, str] # session, eps path
] = {}
async with AsyncExitStack() as client_stack:
for name, (base_url, path) in _venue_urls.items():
api: httpx.AsyncClient = await client_stack.enter_async_context(
httpx.AsyncClient(
base_url=base_url,
# headers={},
# TODO: is there a way to numerate this?
# https://www.python-httpx.org/advanced/clients/#why-use-a-client
# connections=4
)
)
venue_sessions[name] = (
api,
path,
) )
conf: dict[str, Any] = get_config()
# for creating API keys see,
# https://www.binance.com/en/support/faq/how-to-create-api-keys-on-binance-360002502072
client = Client(
venue_sessions=venue_sessions,
conf=conf,
mkt_mode=mkt_mode,
)
init_api_keys(
client=client,
conf=conf,
)
fq_pairs: dict[str, Pair] = await client.exch_info()
assert fq_pairs
log.info(
f'Loaded multi-venue `Client` in mkt_mode={client.mkt_mode!r}\n\n'
f'Symbology Summary:\n'
f'------ - ------\n'
f'spot: {len(client._spot_pairs)}\n'
f'usdtm_futes: {len(client._ufutes_pairs)}\n'
'------ - ------\n'
f'total: {len(client._pairs)}\n'
)
yield client yield client

11
piker/brokers/binance/broker.py
View File

@ -264,15 +264,20 @@ async def open_trade_dialog(
# do a open_symcache() call.. though maybe we can hide # do a open_symcache() call.. though maybe we can hide
# this in a new async version of open_account()? # this in a new async version of open_account()?
async with open_cached_client('binance') as client: async with open_cached_client('binance') as client:
subconf: dict = client.conf[venue_name] subconf: dict|None = client.conf.get(venue_name)
use_testnet = subconf.get('use_testnet', False)
# XXX: if no futes.api_key or spot.api_key has been set we # XXX: if no futes.api_key or spot.api_key has been set we
# always fall back to the paper engine! # always fall back to the paper engine!
if not subconf.get('api_key'): if (
not subconf
or
not subconf.get('api_key')
):
await ctx.started('paper') await ctx.started('paper')
return return
use_testnet: bool = subconf.get('use_testnet', False)
async with ( async with (
open_cached_client('binance') as client, open_cached_client('binance') as client,
): ):

28
piker/brokers/binance/feed.py
View File

@ -42,12 +42,12 @@ from trio_typing import TaskStatus
from pendulum import ( from pendulum import (
from_timestamp, from_timestamp,
) )
from rapidfuzz import process as fuzzy
import numpy as np import numpy as np
import tractor import tractor
from piker.brokers import ( from piker.brokers import (
open_cached_client, open_cached_client,
NoData,
) )
from piker._cacheables import ( from piker._cacheables import (
async_lifo_cache, async_lifo_cache,
@ -252,24 +252,30 @@ async def open_history_client(
else: else:
client.mkt_mode = 'spot' client.mkt_mode = 'spot'
# NOTE: always query using their native symbology! array: np.ndarray = await client.bars(
mktid: str = mkt.bs_mktid mkt=mkt,
array = await client.bars(
mktid,
start_dt=start_dt, start_dt=start_dt,
end_dt=end_dt, end_dt=end_dt,
) )
if array.size == 0:
raise NoData(
f'No frame for {start_dt} -> {end_dt}\n'
)
times = array['time'] times = array['time']
if ( if not times.any():
end_dt is None raise ValueError(
): 'Bad frame with null-times?\n\n'
inow = round(time.time()) f'{times}'
)
if end_dt is None:
inow: int = round(time.time())
if (inow - times[-1]) > 60: if (inow - times[-1]) > 60:
await tractor.pause() await tractor.pause()
start_dt = from_timestamp(times[0]) start_dt = from_timestamp(times[0])
end_dt = from_timestamp(times[-1]) end_dt = from_timestamp(times[-1])
return array, start_dt, end_dt return array, start_dt, end_dt
yield get_ohlc, {'erlangs': 3, 'rate': 3} yield get_ohlc, {'erlangs': 3, 'rate': 3}
@ -540,7 +546,7 @@ async def open_symbol_search(
) )
# repack in fqme-keyed table # repack in fqme-keyed table
byfqme: dict[start, Pair] = {} byfqme: dict[str, Pair] = {}
for pair in pairs.values(): for pair in pairs.values():
byfqme[pair.bs_fqme] = pair byfqme[pair.bs_fqme] = pair

3
piker/brokers/binance/venues.py
View File

@ -137,10 +137,12 @@ class SpotPair(Pair, frozen=True):
quoteOrderQtyMarketAllowed: bool quoteOrderQtyMarketAllowed: bool
isSpotTradingAllowed: bool isSpotTradingAllowed: bool
isMarginTradingAllowed: bool isMarginTradingAllowed: bool
otoAllowed: bool
defaultSelfTradePreventionMode: str defaultSelfTradePreventionMode: str
allowedSelfTradePreventionModes: list[str] allowedSelfTradePreventionModes: list[str]
permissions: list[str] permissions: list[str]
permissionSets: list[list[str]]
# NOTE: see `.data._symcache.SymbologyCache.load()` for why # NOTE: see `.data._symcache.SymbologyCache.load()` for why
ns_path: str = 'piker.brokers.binance:SpotPair' ns_path: str = 'piker.brokers.binance:SpotPair'
@ -179,7 +181,6 @@ class FutesPair(Pair):
quoteAsset: str # 'USDT', quoteAsset: str # 'USDT',
quotePrecision: int # 8, quotePrecision: int # 8,
requiredMarginPercent: float # '5.0000', requiredMarginPercent: float # '5.0000',
settlePlan: int # 0,
timeInForce: list[str] # ['GTC', 'IOC', 'FOK', 'GTX'], timeInForce: list[str] # ['GTC', 'IOC', 'FOK', 'GTX'],
triggerProtect: float # '0.0500', triggerProtect: float # '0.0500',
underlyingSubType: list[str] # ['PoW'], underlyingSubType: list[str] # ['PoW'],

6
piker/brokers/deribit/__init__.py
View File

@ -25,6 +25,7 @@ from .api import (
get_client, get_client,
) )
from .feed import ( from .feed import (
get_mkt_info,
open_history_client, open_history_client,
open_symbol_search, open_symbol_search,
stream_quotes, stream_quotes,
@ -34,15 +35,20 @@ from .feed import (
# open_trade_dialog, # open_trade_dialog,
# norm_trade_records, # norm_trade_records,
# ) # )
from .venues import (
OptionPair,
)
log = get_logger(__name__) log = get_logger(__name__)
__all__ = [ __all__ = [
'get_client', 'get_client',
# 'trades_dialogue', # 'trades_dialogue',
'get_mkt_info',
'open_history_client', 'open_history_client',
'open_symbol_search', 'open_symbol_search',
'stream_quotes', 'stream_quotes',
'OptionPair',
# 'norm_trade_records', # 'norm_trade_records',
] ]

752
piker/brokers/deribit/api.py
View File

File diff suppressed because it is too large Load Diff

360
piker/brokers/deribit/feed.py
View File

@ -18,38 +18,59 @@
Deribit backend. Deribit backend.
''' '''
from __future__ import annotations
from contextlib import asynccontextmanager as acm from contextlib import asynccontextmanager as acm
from datetime import datetime from datetime import datetime
from typing import Any, Optional, Callable from typing import (
# Any,
# Optional,
Callable,
)
# from pprint import pformat
import time import time
import cryptofeed
import trio import trio
from trio_typing import TaskStatus from trio_typing import TaskStatus
import pendulum from pendulum import (
from rapidfuzz import process as fuzzy from_timestamp,
)
import numpy as np import numpy as np
import tractor 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, 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 ( 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 maybe_open_price_feed
) )
from .venues import (
Pair,
OptionPair,
Trade,
)
_spawn_kwargs = { _spawn_kwargs = {
'infect_asyncio': True, 'infect_asyncio': True,
@ -64,90 +85,215 @@ async def open_history_client(
mkt: MktPair, mkt: MktPair,
) -> tuple[Callable, int]: ) -> tuple[Callable, int]:
fnstrument: str = mkt.bs_fqme
# TODO implement history getter for the new storage layer. # TODO implement history getter for the new storage layer.
async with open_cached_client('deribit') as client: 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( 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[ ) -> tuple[
np.ndarray, np.ndarray,
datetime, # start datetime, # start
datetime, # end 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, start_dt=start_dt,
end_dt=end_dt, end_dt=end_dt,
) )
if len(array) == 0: 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 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( async def stream_quotes(
send_chan: trio.abc.SendChannel, send_chan: trio.abc.SendChannel,
symbols: list[str], symbols: list[str],
feed_is_live: trio.Event, feed_is_live: trio.Event,
loglevel: str = None,
# startup sync # startup sync
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED, task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
) -> None: ) -> 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 ( async with (
open_cached_client('deribit') as client, open_cached_client('deribit') as client,
send_chan as send_chan 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, 'symbol': sym,
'last': last_trade.price, 'last': last_trade.price,
'brokerd_ts': last_trade.timestamp, 'brokerd_ts': last_trade.timestamp,
@ -158,13 +304,84 @@ async def stream_quotes(
'broker_ts': last_trade.timestamp 'broker_ts': last_trade.timestamp
}] }]
} }
task_status.started((init_msgs, first_quote)) task_status.started((
init_msgs,
first_quote,
))
feed_is_live.set() 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 @tractor.context
@ -174,12 +391,21 @@ async def open_symbol_search(
async with open_cached_client('deribit') as client: async with open_cached_client('deribit') as client:
# load all symbols locally for fast search # load all symbols locally for fast search
cache = await client.cache_symbols() # cache = client._pairs
await ctx.started() await ctx.started()
async with ctx.open_stream() as stream: async with ctx.open_stream() as stream:
pattern: str
async for pattern in stream: 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)

196
piker/brokers/deribit/venues.py 100644
View File

@ -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

2
piker/brokers/ib/_util.py
View File

@ -100,7 +100,7 @@ async def data_reset_hack(
log.warning( log.warning(
no_setup_msg no_setup_msg
+ +
f'REQUIRES A `vnc_addrs: array` ENTRY' 'REQUIRES A `vnc_addrs: array` ENTRY'
) )
vnc_host, vnc_port = vnc_sockaddr.get( vnc_host, vnc_port = vnc_sockaddr.get(

155
piker/brokers/ib/api.py
View File

@ -287,9 +287,31 @@ class Client:
self.conf = config self.conf = config
# NOTE: the ib.client here is "throttled" to 45 rps by default # NOTE: the ib.client here is "throttled" to 45 rps by default
self.ib = ib self.ib: IB = ib
self.ib.RaiseRequestErrors: bool = True self.ib.RaiseRequestErrors: bool = True
# self._acnt_names: set[str] = {}
self._acnt_names: list[str] = []
@property
def acnts(self) -> list[str]:
# return list(self._acnt_names)
return self._acnt_names
def __repr__(self) -> str:
return (
f'<{type(self).__name__}('
f'ib={self.ib} '
f'acnts={self.acnts}'
# TODO: we need to mask out acnt-#s and other private
# infos if we're going to console this!
# f' |_.conf:\n'
# f' {pformat(self.conf)}\n'
')>'
)
async def get_fills(self) -> list[Fill]: async def get_fills(self) -> list[Fill]:
''' '''
Return list of rents `Fills` from trading session. Return list of rents `Fills` from trading session.
@ -376,19 +398,21 @@ class Client:
# whatToShow='MIDPOINT', # whatToShow='MIDPOINT',
# whatToShow='TRADES', # whatToShow='TRADES',
) )
log.info(
f'REQUESTING {ib_duration_str} worth {bar_size} BARS\n'
f'fqme: {fqme}\n'
f'global _enters: {_enters}\n'
f'kwargs: {pformat(kwargs)}\n'
)
bars = await self.ib.reqHistoricalDataAsync( bars = await self.ib.reqHistoricalDataAsync(
**kwargs, **kwargs,
) )
query_info: str = (
f'REQUESTING IB history BARS\n'
f' ------ - ------\n'
f'dt_duration: {dt_duration}\n'
f'ib_duration_str: {ib_duration_str}\n'
f'bar_size: {bar_size}\n'
f'fqme: {fqme}\n'
f'actor-global _enters: {_enters}\n'
f'kwargs: {pformat(kwargs)}\n'
)
# tail case if no history for range or none prior. # tail case if no history for range or none prior.
if not bars:
# NOTE: there's actually 3 cases here to handle (and # NOTE: there's actually 3 cases here to handle (and
# this should be read alongside the implementation of # this should be read alongside the implementation of
# `.reqHistoricalDataAsync()`): # `.reqHistoricalDataAsync()`):
@ -398,33 +422,39 @@ class Client:
# a weekend, holiday or other non-trading period prior to # a weekend, holiday or other non-trading period prior to
# ``end_dt`` which exceeds the ``duration``, # ``end_dt`` which exceeds the ``duration``,
# - LITERALLY this is the start of the mkt's history! # - LITERALLY this is the start of the mkt's history!
if not bars:
# TODO: figure out wut's going on here.
# TODO: is this handy, a sync requester for tinkering
# with empty frame cases?
# def get_hist():
# return self.ib.reqHistoricalData(**kwargs)
# import pdbp
# pdbp.set_trace()
# sync requester for debugging empty frame cases log.critical(
def get_hist(): 'STUPID IB SAYS NO HISTORY\n\n'
return self.ib.reqHistoricalData(**kwargs) + query_info
)
assert get_hist
import pdbp
pdbp.set_trace()
return [], np.empty(0), dt_duration
# TODO: we could maybe raise ``NoData`` instead if we # TODO: we could maybe raise ``NoData`` instead if we
# rewrite the method in the first case? right now there's no # rewrite the method in the first case?
# way to detect a timeout. # right now there's no way to detect a timeout..
return [], np.empty(0), dt_duration
# NOTE XXX: ensure minimum duration in bars B) log.info(query_info)
# => we recursively call this method until we get at least # NOTE XXX: ensure minimum duration in bars?
# as many bars such that they sum in aggregate to the the # => recursively call this method until we get at least as
# many bars such that they sum in aggregate to the the
# desired total time (duration) at most. # desired total time (duration) at most.
# XXX XXX XXX
# WHY DID WE EVEN NEED THIS ORIGINALLY!?
# XXX XXX XXX
# - if you query over a gap and get no data # - if you query over a gap and get no data
# that may short circuit the history # that may short circuit the history
if ( if (
end_dt # XXX XXX XXX
and False # => WHY DID WE EVEN NEED THIS ORIGINALLY!? <=
# XXX XXX XXX
False
and end_dt
): ):
nparr: np.ndarray = bars_to_np(bars) nparr: np.ndarray = bars_to_np(bars)
times: np.ndarray = nparr['time'] times: np.ndarray = nparr['time']
@ -927,7 +957,10 @@ class Client:
warnset = True warnset = True
else: else:
log.info(f'Got first quote for {contract}') log.info(
'Got first quote for contract\n'
f'{contract}\n'
)
break break
else: else:
if timeouterr and raise_on_timeout: if timeouterr and raise_on_timeout:
@ -991,8 +1024,12 @@ class Client:
outsideRth=True, outsideRth=True,
optOutSmartRouting=True, optOutSmartRouting=True,
# TODO: need to understand this setting better as
# it pertains to shit ass mms..
routeMarketableToBbo=True, routeMarketableToBbo=True,
designatedLocation='SMART', designatedLocation='SMART',
# TODO: make all orders GTC? # TODO: make all orders GTC?
# https://interactivebrokers.github.io/tws-api/classIBApi_1_1Order.html#a95539081751afb9980f4c6bd1655a6ba # https://interactivebrokers.github.io/tws-api/classIBApi_1_1Order.html#a95539081751afb9980f4c6bd1655a6ba
# goodTillDate=f"yyyyMMdd-HH:mm:ss", # goodTillDate=f"yyyyMMdd-HH:mm:ss",
@ -1120,8 +1157,8 @@ def get_config() -> dict[str, Any]:
names = list(accounts.keys()) names = list(accounts.keys())
accts = section['accounts'] = bidict(accounts) accts = section['accounts'] = bidict(accounts)
log.info( log.info(
f'brokers.toml defines {len(accts)} accounts: ' f'{path} defines {len(accts)} account aliases:\n'
f'{pformat(names)}' f'{pformat(names)}\n'
) )
if section is None: if section is None:
@ -1188,7 +1225,7 @@ async def load_aio_clients(
try_ports = list(try_ports.values()) try_ports = list(try_ports.values())
_err = None _err = None
accounts_def = config.load_accounts(['ib']) accounts_def: dict[str, str] = config.load_accounts(['ib'])
ports = try_ports if port is None else [port] ports = try_ports if port is None else [port]
combos = list(itertools.product(hosts, ports)) combos = list(itertools.product(hosts, ports))
accounts_found: dict[str, Client] = {} accounts_found: dict[str, Client] = {}
@ -1227,7 +1264,9 @@ async def load_aio_clients(
client = Client(ib=ib, config=conf) client = Client(ib=ib, config=conf)
# update all actor-global caches # update all actor-global caches
log.info(f"Caching client for {sockaddr}") log.runtime(
f'Connected and caching `Client` @ {sockaddr!r}'
)
_client_cache[sockaddr] = client _client_cache[sockaddr] = client
break break
@ -1242,32 +1281,54 @@ async def load_aio_clients(
OSError, OSError,
) as ce: ) as ce:
_err = ce _err = ce
log.warning( message: str = (
f'Failed to connect on {host}:{port} for {i} time with,\n' f'Failed to connect on {host}:{port} after {i} tries with\n'
f'{ib.client.apiError.value()}\n' f'{ib.client.apiError.value()!r}\n\n'
'retrying with a new client id..') 'Retrying with a new client id..\n'
)
log.runtime(message)
else:
# XXX report loudly if we never established after all
# re-tries
log.warning(message)
# Pre-collect all accounts available for this # Pre-collect all accounts available for this
# connection and map account names to this client # connection and map account names to this client
# instance. # instance.
for value in ib.accountValues(): for value in ib.accountValues():
acct_number = value.account acct_number: str = value.account
entry = accounts_def.inverse.get(acct_number) acnt_alias: str = accounts_def.inverse.get(acct_number)
if not entry: if not acnt_alias:
# TODO: should we constuct the below reco-ex from
# the existing config content?
_, path = config.load(
conf_name='brokers',
)
raise ValueError( raise ValueError(
'No section in brokers.toml for account:' 'No alias in account section for account!\n'
f' {acct_number}\n' f'Please add an acnt alias entry to your {path}\n'
f'Please add entry to continue using this API client' 'For example,\n\n'
'[ib.accounts]\n'
'margin = {accnt_number!r}\n'
'^^^^^^ <- you need this part!\n\n'
'This ensures `piker` will not leak private acnt info '
'to console output by default!\n'
) )
# surjection of account names to operating clients. # surjection of account names to operating clients.
if acct_number not in accounts_found: if acnt_alias not in accounts_found:
accounts_found[entry] = client accounts_found[acnt_alias] = client
# client._acnt_names.add(acnt_alias)
client._acnt_names.append(acnt_alias)
if accounts_found:
log.info( log.info(
f'Loaded accounts for client @ {host}:{port}\n' f'Loaded accounts for api client\n\n'
f'{pformat(accounts_found)}' f'{pformat(accounts_found)}\n'
) )
# XXX: why aren't we just updating this directy above # XXX: why aren't we just updating this directy above
@ -1472,7 +1533,7 @@ async def open_aio_client_method_relay(
msg: tuple[str, dict] | dict | None = await from_trio.get() msg: tuple[str, dict] | dict | None = await from_trio.get()
match msg: match msg:
case None: # termination sentinel case None: # termination sentinel
print('asyncio PROXY-RELAY SHUTDOWN') log.info('asyncio `Client` method-proxy SHUTDOWN!')
break break
case (meth_name, kwargs): case (meth_name, kwargs):

9
piker/brokers/ib/broker.py
View File

@ -1183,7 +1183,14 @@ async def deliver_trade_events(
pos pos
and fill and fill
): ):
assert fill.commissionReport == cr now_cr: CommissionReport = fill.commissionReport
if (now_cr != cr):
log.warning(
'UhhHh ib updated the commission report mid-fill..?\n'
f'was: {pformat(cr)}\n'
f'now: {pformat(now_cr)}\n'
)
await emit_pp_update( await emit_pp_update(
ems_stream, ems_stream,
accounts_def, accounts_def,

20
piker/brokers/ib/feed.py
View File

@ -671,8 +671,8 @@ async def _setup_quote_stream(
# making them mostly useless and explains why the scanner # making them mostly useless and explains why the scanner
# is always slow XD # is always slow XD
# '293', # Trade count for day # '293', # Trade count for day
'294', # Trade rate / minute # '294', # Trade rate / minute
'295', # Vlm rate / minute # '295', # Vlm rate / minute
), ),
contract: Contract | None = None, contract: Contract | None = None,
@ -915,9 +915,13 @@ async def stream_quotes(
if first_ticker: if first_ticker:
first_quote: dict = normalize(first_ticker) first_quote: dict = normalize(first_ticker)
log.info(
'Rxed init quote:\n' # TODO: we need a stack-oriented log levels filters for
f'{pformat(first_quote)}' # this!
# log.info(message, filter={'stack': 'live_feed'}) ?
log.runtime(
'Rxed init quote:\n\n'
f'{pformat(first_quote)}\n'
) )
# NOTE: it might be outside regular trading hours for # NOTE: it might be outside regular trading hours for
@ -969,7 +973,11 @@ async def stream_quotes(
raise_on_timeout=True, raise_on_timeout=True,
) )
first_quote: dict = normalize(first_ticker) first_quote: dict = normalize(first_ticker)
log.info(
# TODO: we need a stack-oriented log levels filters for
# this!
# log.info(message, filter={'stack': 'live_feed'}) ?
log.runtime(
'Rxed init quote:\n' 'Rxed init quote:\n'
f'{pformat(first_quote)}' f'{pformat(first_quote)}'
) )

74
piker/brokers/ib/ledger.py
View File

@ -31,7 +31,11 @@ from typing import (
) )
from bidict import bidict from bidict import bidict
import pendulum from pendulum import (
DateTime,
parse,
from_timestamp,
)
from ib_insync import ( from ib_insync import (
Contract, Contract,
Commodity, Commodity,
@ -66,10 +70,11 @@ tx_sort: Callable = partial(
iter_by_dt, iter_by_dt,
parsers={ parsers={
'dateTime': parse_flex_dt, 'dateTime': parse_flex_dt,
'datetime': pendulum.parse, 'datetime': parse,
# for some some fucking 2022 and
# back options records...fuck me. # XXX: for some some fucking 2022 and
'date': pendulum.parse, # back options records.. f@#$ me..
'date': parse,
} }
) )
@ -89,15 +94,38 @@ def norm_trade(
conid: int = str(record.get('conId') or record['conid']) conid: int = str(record.get('conId') or record['conid'])
bs_mktid: str = str(conid) bs_mktid: str = str(conid)
comms = record.get('commission')
if comms is None:
comms = -1*record['ibCommission']
price = record.get('price') or record['tradePrice'] # NOTE: sometimes weird records (like BTTX?)
# have no field for this?
comms: float = -1 * (
record.get('commission')
or record.get('ibCommission')
or 0
)
if not comms:
log.warning(
'No commissions found for record?\n'
f'{pformat(record)}\n'
)
price: float = (
record.get('price')
or record.get('tradePrice')
)
if price is None:
log.warning(
'No `price` field found in record?\n'
'Skipping normalization..\n'
f'{pformat(record)}\n'
)
return None
# the api doesn't do the -/+ on the quantity for you but flex # the api doesn't do the -/+ on the quantity for you but flex
# records do.. are you fucking serious ib...!? # records do.. are you fucking serious ib...!?
size = record.get('quantity') or record['shares'] * { size: float|int = (
record.get('quantity')
or record['shares']
) * {
'BOT': 1, 'BOT': 1,
'SLD': -1, 'SLD': -1,
}[record['side']] }[record['side']]
@ -128,26 +156,31 @@ def norm_trade(
# otype = tail[6] # otype = tail[6]
# strike = tail[7:] # strike = tail[7:]
print(f'skipping opts contract {symbol}') log.warning(
f'Skipping option contract -> NO SUPPORT YET!\n'
f'{symbol}\n'
)
return None return None
# timestamping is way different in API records # timestamping is way different in API records
dtstr = record.get('datetime') dtstr: str = record.get('datetime')
date = record.get('date') date: str = record.get('date')
flex_dtstr = record.get('dateTime') flex_dtstr: str = record.get('dateTime')
if dtstr or date: if dtstr or date:
dt = pendulum.parse(dtstr or date) dt: DateTime = parse(dtstr or date)
elif flex_dtstr: elif flex_dtstr:
# probably a flex record with a wonky non-std timestamp.. # probably a flex record with a wonky non-std timestamp..
dt = parse_flex_dt(record['dateTime']) dt: DateTime = parse_flex_dt(record['dateTime'])
# special handling of symbol extraction from # special handling of symbol extraction from
# flex records using some ad-hoc schema parsing. # flex records using some ad-hoc schema parsing.
asset_type: str = record.get( asset_type: str = (
'assetCategory' record.get('assetCategory')
) or record.get('secType', 'STK') or record.get('secType')
or 'STK'
)
if (expiry := ( if (expiry := (
record.get('lastTradeDateOrContractMonth') record.get('lastTradeDateOrContractMonth')
@ -357,6 +390,7 @@ def norm_trade_records(
if txn is None: if txn is None:
continue continue
# inject txns sorted by datetime
insort( insort(
records, records,
txn, txn,
@ -405,7 +439,7 @@ def api_trades_to_ledger_entries(
txn_dict[attr_name] = val txn_dict[attr_name] = val
tid = str(txn_dict['execId']) tid = str(txn_dict['execId'])
dt = pendulum.from_timestamp(txn_dict['time']) dt = from_timestamp(txn_dict['time'])
txn_dict['datetime'] = str(dt) txn_dict['datetime'] = str(dt)
acctid = accounts[txn_dict['acctNumber']] acctid = accounts[txn_dict['acctNumber']]

23
piker/brokers/ib/symbols.py
View File

@ -209,7 +209,10 @@ async def open_symbol_search(ctx: tractor.Context) -> None:
break break
ib_client = proxy._aio_ns.ib ib_client = proxy._aio_ns.ib
log.info(f'Using {ib_client} for symbol search') log.info(
f'Using API client for symbol-search\n'
f'{ib_client}\n'
)
last = time.time() last = time.time()
async for pattern in stream: async for pattern in stream:
@ -294,7 +297,7 @@ async def open_symbol_search(ctx: tractor.Context) -> None:
elif stock_results: elif stock_results:
break break
# else: # else:
await tractor.pause() # await tractor.pause()
# # match against our ad-hoc set immediately # # match against our ad-hoc set immediately
# adhoc_matches = fuzzy.extract( # adhoc_matches = fuzzy.extract(
@ -522,7 +525,21 @@ async def get_mkt_info(
venue = con.primaryExchange or con.exchange venue = con.primaryExchange or con.exchange
price_tick: Decimal = Decimal(str(details.minTick)) price_tick: Decimal = Decimal(str(details.minTick))
# price_tick: Decimal = Decimal('0.01') ib_min_tick_gt_2: Decimal = Decimal('0.01')
if (
price_tick < ib_min_tick_gt_2
):
# TODO: we need to add some kinda dynamic rounding sys
# to our MktPair i guess?
# not sure where the logic should sit, but likely inside
# the `.clearing._ems` i suppose...
log.warning(
'IB seems to disallow a min price tick < 0.01 '
'when the price is > 2.0..?\n'
f'Decreasing min tick precision for {fqme} to 0.01'
)
# price_tick = ib_min_tick
# await tractor.pause()
if atype == 'stock': if atype == 'stock':
# XXX: GRRRR they don't support fractional share sizes for # XXX: GRRRR they don't support fractional share sizes for

57
piker/brokers/kraken/api.py
View File

@ -27,8 +27,8 @@ from typing import (
) )
import time import time
import httpx
import pendulum import pendulum
import asks
import numpy as np import numpy as np
import urllib.parse import urllib.parse
import hashlib import hashlib
@ -60,6 +60,11 @@ log = get_logger('piker.brokers.kraken')
# <uri>/<version>/ # <uri>/<version>/
_url = 'https://api.kraken.com/0' _url = 'https://api.kraken.com/0'
_headers: dict[str, str] = {
'User-Agent': 'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
}
# TODO: this is the only backend providing this right? # TODO: this is the only backend providing this right?
# in which case we should drop it from the defaults and # in which case we should drop it from the defaults and
# instead make a custom fields descr in this module! # instead make a custom fields descr in this module!
@ -135,16 +140,15 @@ class Client:
def __init__( def __init__(
self, self,
config: dict[str, str], config: dict[str, str],
httpx_client: httpx.AsyncClient,
name: str = '', name: str = '',
api_key: str = '', api_key: str = '',
secret: str = '' secret: str = ''
) -> None: ) -> None:
self._sesh = asks.Session(connections=4)
self._sesh.base_location = _url self._sesh: httpx.AsyncClient = httpx_client
self._sesh.headers.update({
'User-Agent':
'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
})
self._name = name self._name = name
self._api_key = api_key self._api_key = api_key
self._secret = secret self._secret = secret
@ -166,10 +170,9 @@ class Client:
method: str, method: str,
data: dict, data: dict,
) -> dict[str, Any]: ) -> dict[str, Any]:
resp = await self._sesh.post( resp: httpx.Response = await self._sesh.post(
path=f'/public/{method}', url=f'/public/{method}',
json=data, json=data,
timeout=float('inf')
) )
return resproc(resp, log) return resproc(resp, log)
@ -180,18 +183,18 @@ class Client:
uri_path: str uri_path: str
) -> dict[str, Any]: ) -> dict[str, Any]:
headers = { headers = {
'Content-Type': 'Content-Type': 'application/x-www-form-urlencoded',
'application/x-www-form-urlencoded', 'API-Key': self._api_key,
'API-Key': 'API-Sign': get_kraken_signature(
self._api_key, uri_path,
'API-Sign': data,
get_kraken_signature(uri_path, data, self._secret) self._secret,
),
} }
resp = await self._sesh.post( resp: httpx.Response = await self._sesh.post(
path=f'/private/{method}', url=f'/private/{method}',
data=data, data=data,
headers=headers, headers=headers,
timeout=float('inf')
) )
return resproc(resp, log) return resproc(resp, log)
@ -665,10 +668,19 @@ class Client:
@acm @acm
async def get_client() -> Client: async def get_client() -> Client:
conf = get_config() conf: dict[str, Any] = get_config()
async with httpx.AsyncClient(
base_url=_url,
headers=_headers,
# TODO: is there a way to numerate this?
# https://www.python-httpx.org/advanced/clients/#why-use-a-client
# connections=4
) as trio_client:
if conf: if conf:
client = Client( client = Client(
conf, conf,
httpx_client=trio_client,
# TODO: don't break these up and just do internal # TODO: don't break these up and just do internal
# conf lookups instead.. # conf lookups instead..
@ -677,7 +689,10 @@ async def get_client() -> Client:
secret=conf['secret'] secret=conf['secret']
) )
else: else:
client = Client({}) client = Client(
conf={},
httpx_client=trio_client,
)
# at startup, load all symbols, and asset info in # at startup, load all symbols, and asset info in
# batch requests. # batch requests.

44
piker/brokers/kraken/broker.py
View File

@ -612,18 +612,18 @@ async def open_trade_dialog(
# enter relay loop # enter relay loop
await handle_order_updates( await handle_order_updates(
client, client=client,
ws, ws=ws,
stream, ws_stream=stream,
ems_stream, ems_stream=ems_stream,
apiflows, apiflows=apiflows,
ids, ids=ids,
reqids2txids, reqids2txids=reqids2txids,
acnt, acnt=acnt,
api_trans, ledger=ledger,
acctid, acctid=acctid,
acc_name, acc_name=acc_name,
token, token=token,
) )
@ -639,7 +639,8 @@ async def handle_order_updates(
# transaction records which will be updated # transaction records which will be updated
# on new trade clearing events (aka order "fills") # on new trade clearing events (aka order "fills")
ledger_trans: dict[str, Transaction], ledger: TransactionLedger,
# ledger_trans: dict[str, Transaction],
acctid: str, acctid: str,
acc_name: str, acc_name: str,
token: str, token: str,
@ -699,7 +700,8 @@ async def handle_order_updates(
# if tid not in ledger_trans # if tid not in ledger_trans
} }
for tid, trade in trades.items(): for tid, trade in trades.items():
assert tid not in ledger_trans # assert tid not in ledger_trans
assert tid not in ledger
txid = trade['ordertxid'] txid = trade['ordertxid']
reqid = trade.get('userref') reqid = trade.get('userref')
@ -747,11 +749,17 @@ async def handle_order_updates(
client, client,
api_name_set='wsname', api_name_set='wsname',
) )
ppmsgs = trades2pps( ppmsgs: list[BrokerdPosition] = trades2pps(
acnt, acnt=acnt,
acctid, ledger=ledger,
new_trans, acctid=acctid,
new_trans=new_trans,
) )
# ppmsgs = trades2pps(
# acnt,
# acctid,
# new_trans,
# )
for pp_msg in ppmsgs: for pp_msg in ppmsgs:
await ems_stream.send(pp_msg) await ems_stream.send(pp_msg)

133
piker/brokers/kucoin.py
View File

@ -16,10 +16,9 @@
# along with this program. If not, see <https://www.gnu.org/licenses/>. # along with this program. If not, see <https://www.gnu.org/licenses/>.
''' '''
Kucoin broker backend Kucoin cex API backend.
''' '''
from contextlib import ( from contextlib import (
asynccontextmanager as acm, asynccontextmanager as acm,
aclosing, aclosing,
@ -42,7 +41,7 @@ import wsproto
from uuid import uuid4 from uuid import uuid4
from trio_typing import TaskStatus from trio_typing import TaskStatus
import asks import httpx
from bidict import bidict from bidict import bidict
import numpy as np import numpy as np
import pendulum import pendulum
@ -112,6 +111,10 @@ class KucoinMktPair(Struct, frozen=True):
quoteMaxSize: float quoteMaxSize: float
quoteMinSize: float quoteMinSize: float
symbol: str # our bs_mktid, kucoin's internal id symbol: str # our bs_mktid, kucoin's internal id
feeCategory: int
makerFeeCoefficient: float
takerFeeCoefficient: float
st: bool
class AccountTrade(Struct, frozen=True): class AccountTrade(Struct, frozen=True):
@ -212,8 +215,12 @@ def get_config() -> BrokerConfig | None:
class Client: class Client:
def __init__(self) -> None: def __init__(
self._config: BrokerConfig | None = get_config() self,
httpx_client: httpx.AsyncClient,
) -> None:
self._http: httpx.AsyncClient = httpx_client
self._config: BrokerConfig|None = get_config()
self._pairs: dict[str, KucoinMktPair] = {} self._pairs: dict[str, KucoinMktPair] = {}
self._fqmes2mktids: bidict[str, str] = bidict() self._fqmes2mktids: bidict[str, str] = bidict()
self._bars: list[list[float]] = [] self._bars: list[list[float]] = []
@ -227,18 +234,24 @@ class Client:
) -> dict[str, str | bytes]: ) -> dict[str, str | bytes]:
''' '''
Generate authenticated request headers Generate authenticated request headers:
https://docs.kucoin.com/#authentication https://docs.kucoin.com/#authentication
https://www.kucoin.com/docs/basic-info/connection-method/authentication/creating-a-request
https://www.kucoin.com/docs/basic-info/connection-method/authentication/signing-a-message
''' '''
if not self._config: if not self._config:
raise ValueError( raise ValueError(
'No config found when trying to send authenticated request') 'No config found when trying to send authenticated request'
)
str_to_sign = ( str_to_sign = (
str(int(time.time() * 1000)) str(int(time.time() * 1000))
+ action + f'/api/{api}/{endpoint.lstrip("/")}' +
action
+
f'/api/{api}/{endpoint.lstrip("/")}'
) )
signature = base64.b64encode( signature = base64.b64encode(
@ -249,6 +262,7 @@ class Client:
).digest() ).digest()
) )
# TODO: can we cache this between calls?
passphrase = base64.b64encode( passphrase = base64.b64encode(
hmac.new( hmac.new(
self._config.key_secret.encode('utf-8'), self._config.key_secret.encode('utf-8'),
@ -270,8 +284,10 @@ class Client:
self, self,
action: Literal['POST', 'GET'], action: Literal['POST', 'GET'],
endpoint: str, endpoint: str,
api: str = 'v2', api: str = 'v2',
headers: dict = {}, headers: dict = {},
) -> Any: ) -> Any:
''' '''
Generic request wrapper for Kucoin API Generic request wrapper for Kucoin API
@ -284,14 +300,19 @@ class Client:
api, api,
) )
api_url = f'https://api.kucoin.com/api/{api}/{endpoint}' req_meth: Callable = getattr(
self._http,
res = await asks.request(action, api_url, headers=headers) action.lower(),
)
json = res.json() res = await req_meth(
if 'data' in json: url=f'/{api}/{endpoint}',
return json['data'] headers=headers,
)
json: dict = res.json()
if (data := json.get('data')) is not None:
return data
else: else:
api_url: str = self._http.base_url
log.error( log.error(
f'Error making request to {api_url} ->\n' f'Error making request to {api_url} ->\n'
f'{pformat(res)}' f'{pformat(res)}'
@ -311,7 +332,7 @@ class Client:
''' '''
token_type = 'private' if private else 'public' token_type = 'private' if private else 'public'
try: try:
data: dict[str, Any] | None = await self._request( data: dict[str, Any]|None = await self._request(
'POST', 'POST',
endpoint=f'bullet-{token_type}', endpoint=f'bullet-{token_type}',
api='v1' api='v1'
@ -349,8 +370,8 @@ class Client:
currencies: dict[str, Currency] = {} currencies: dict[str, Currency] = {}
entries: list[dict] = await self._request( entries: list[dict] = await self._request(
'GET', 'GET',
api='v1',
endpoint='currencies', endpoint='currencies',
api='v1',
) )
for entry in entries: for entry in entries:
curr = Currency(**entry).copy() curr = Currency(**entry).copy()
@ -366,7 +387,10 @@ class Client:
dict[str, KucoinMktPair], dict[str, KucoinMktPair],
bidict[str, KucoinMktPair], bidict[str, KucoinMktPair],
]: ]:
entries = await self._request('GET', 'symbols') entries = await self._request(
'GET',
endpoint='symbols',
)
log.info(f' {len(entries)} Kucoin market pairs fetched') log.info(f' {len(entries)} Kucoin market pairs fetched')
pairs: dict[str, KucoinMktPair] = {} pairs: dict[str, KucoinMktPair] = {}
@ -567,10 +591,18 @@ def fqme_to_kucoin_sym(
@acm @acm
async def get_client() -> AsyncGenerator[Client, None]: async def get_client() -> AsyncGenerator[Client, None]:
client = Client() '''
Load an API `Client` preconfigured from user settings
async with trio.open_nursery() as n: '''
n.start_soon(client.get_mkt_pairs) async with (
httpx.AsyncClient(
base_url='https://api.kucoin.com/api',
) as trio_client,
):
client = Client(httpx_client=trio_client)
async with trio.open_nursery() as tn:
tn.start_soon(client.get_mkt_pairs)
await client.get_currencies() await client.get_currencies()
yield client yield client
@ -609,7 +641,7 @@ async def open_ping_task(
await trio.sleep((ping_interval - 1000) / 1000) await trio.sleep((ping_interval - 1000) / 1000)
await ws.send_msg({'id': connect_id, 'type': 'ping'}) await ws.send_msg({'id': connect_id, 'type': 'ping'})
log.info('Starting ping task for kucoin ws connection') log.warning('Starting ping task for kucoin ws connection')
n.start_soon(ping_server) n.start_soon(ping_server)
yield yield
@ -621,9 +653,14 @@ async def open_ping_task(
async def get_mkt_info( async def get_mkt_info(
fqme: str, fqme: str,
) -> tuple[MktPair, KucoinMktPair]: ) -> tuple[
MktPair,
KucoinMktPair,
]:
''' '''
Query for and return a `MktPair` and `KucoinMktPair`. Query for and return both a `piker.accounting.MktPair` and
`KucoinMktPair` from provided `fqme: str`
(fully-qualified-market-endpoint).
''' '''
async with open_cached_client('kucoin') as client: async with open_cached_client('kucoin') as client:
@ -698,6 +735,8 @@ async def stream_quotes(
log.info(f'Starting up quote stream(s) for {symbols}') log.info(f'Starting up quote stream(s) for {symbols}')
for sym_str in symbols: for sym_str in symbols:
mkt: MktPair
pair: KucoinMktPair
mkt, pair = await get_mkt_info(sym_str) mkt, pair = await get_mkt_info(sym_str)
init_msgs.append( init_msgs.append(
FeedInit(mkt_info=mkt) FeedInit(mkt_info=mkt)
@ -705,7 +744,11 @@ async def stream_quotes(
ws: NoBsWs ws: NoBsWs
token, ping_interval = await client._get_ws_token() token, ping_interval = await client._get_ws_token()
connect_id = str(uuid4()) log.info('API reported ping_interval: {ping_interval}\n')
connect_id: str = str(uuid4())
typ: str
quote: dict
async with ( async with (
open_autorecon_ws( open_autorecon_ws(
( (
@ -719,20 +762,37 @@ async def stream_quotes(
), ),
) as ws, ) as ws,
open_ping_task(ws, ping_interval, connect_id), open_ping_task(ws, ping_interval, connect_id),
aclosing(stream_messages(ws, sym_str)) as msg_gen, aclosing(
iter_normed_quotes(
ws, sym_str
)
) as iter_quotes,
): ):
typ, quote = await anext(msg_gen) typ, quote = await anext(iter_quotes)
while typ != 'trade':
# take care to not unblock here until we get a real # take care to not unblock here until we get a real
# trade quote # trade quote?
typ, quote = await anext(msg_gen) # ^TODO, remove this right?
# -[ ] what often blocks chart boot/new-feed switching
# since we'ere waiting for a live quote instead of just
# loading history afap..
# |_ XXX, not sure if we require a bit of rework to core
# feed init logic or if backends justg gotta be
# changed up.. feel like there was some causality
# dilema prolly only seen with IB too..
# while typ != 'trade':
# typ, quote = await anext(iter_quotes)
task_status.started((init_msgs, quote)) task_status.started((init_msgs, quote))
feed_is_live.set() feed_is_live.set()
async for typ, msg in msg_gen: # XXX NOTE, DO NOT include the `.<backend>` suffix!
await send_chan.send({sym_str: msg}) # OW the sampling loop will not broadcast correctly..
# since `bus._subscribers.setdefault(bs_fqme, set())`
# is used inside `.data.open_feed_bus()` !!!
topic: str = mkt.bs_fqme
async for typ, quote in iter_quotes:
await send_chan.send({topic: quote})
@acm @acm
@ -787,7 +847,7 @@ async def subscribe(
) )
async def stream_messages( async def iter_normed_quotes(
ws: NoBsWs, ws: NoBsWs,
sym: str, sym: str,
@ -818,6 +878,9 @@ async def stream_messages(
yield 'trade', { yield 'trade', {
'symbol': sym, 'symbol': sym,
# TODO, is 'last' even used elsewhere/a-good
# semantic? can't we just read the ticks with our
# .data.ticktools.frame_ticks()`/
'last': trade_data.price, 'last': trade_data.price,
'brokerd_ts': last_trade_ts, 'brokerd_ts': last_trade_ts,
'ticks': [ 'ticks': [
@ -910,7 +973,7 @@ async def open_history_client(
if end_dt is None: if end_dt is None:
inow = round(time.time()) inow = round(time.time())
print( log.debug(
f'difference in time between load and processing' f'difference in time between load and processing'
f'{inow - times[-1]}' f'{inow - times[-1]}'
) )

12
piker/clearing/_ems.py
View File

@ -653,7 +653,11 @@ class Router(Struct):
flume = feed.flumes[fqme] flume = feed.flumes[fqme]
first_quote: dict = flume.first_quote first_quote: dict = flume.first_quote
book: DarkBook = self.get_dark_book(broker) book: DarkBook = self.get_dark_book(broker)
book.lasts[fqme]: float = float(first_quote['last'])
if not (last := first_quote.get('last')):
last: float = flume.rt_shm.array[-1]['close']
book.lasts[fqme]: float = float(last)
async with self.maybe_open_brokerd_dialog( async with self.maybe_open_brokerd_dialog(
brokermod=brokermod, brokermod=brokermod,
@ -716,7 +720,7 @@ class Router(Struct):
subs = self.subscribers[sub_key] subs = self.subscribers[sub_key]
sent_some: bool = False sent_some: bool = False
for client_stream in subs: for client_stream in subs.copy():
try: try:
await client_stream.send(msg) await client_stream.send(msg)
sent_some = True sent_some = True
@ -1010,6 +1014,10 @@ async def translate_and_relay_brokerd_events(
status_msg.brokerd_msg = msg status_msg.brokerd_msg = msg
status_msg.src = msg.broker_details['name'] status_msg.src = msg.broker_details['name']
if not status_msg.req:
# likely some order change state?
await tractor.pause()
else:
await router.client_broadcast( await router.client_broadcast(
status_msg.req.symbol, status_msg.req.symbol,
status_msg, status_msg,

2
piker/cli/__init__.py
View File

@ -335,7 +335,7 @@ def services(config, tl, ports):
name='service_query', name='service_query',
loglevel=config['loglevel'] if tl else None, loglevel=config['loglevel'] if tl else None,
), ),
tractor.get_arbiter( tractor.get_registry(
host=host, host=host,
port=ports[0] port=ports[0]
) as portal ) as portal

130
piker/data/_sampling.py
View File

@ -25,6 +25,7 @@ from collections import (
defaultdict, defaultdict,
) )
from contextlib import asynccontextmanager as acm from contextlib import asynccontextmanager as acm
from functools import partial
import time import time
from typing import ( from typing import (
Any, Any,
@ -42,7 +43,7 @@ from tractor.trionics import (
maybe_open_nursery, maybe_open_nursery,
) )
import trio import trio
from trio_typing import TaskStatus from trio import TaskStatus
from .ticktools import ( from .ticktools import (
frame_ticks, frame_ticks,
@ -53,6 +54,9 @@ from ._util import (
get_console_log, get_console_log,
) )
from ..service import maybe_spawn_daemon from ..service import maybe_spawn_daemon
from piker.log import (
mk_repr,
)
if TYPE_CHECKING: if TYPE_CHECKING:
from ._sharedmem import ( from ._sharedmem import (
@ -70,6 +74,7 @@ if TYPE_CHECKING:
_default_delay_s: float = 1.0 _default_delay_s: float = 1.0
# TODO: use new `tractor.singleton_acm` API for this!
class Sampler: class Sampler:
''' '''
Global sampling engine registry. Global sampling engine registry.
@ -79,9 +84,9 @@ class Sampler:
This non-instantiated type is meant to be a singleton within This non-instantiated type is meant to be a singleton within
a `samplerd` actor-service spawned once by the user wishing to a `samplerd` actor-service spawned once by the user wishing to
time-step-sample (real-time) quote feeds, see time-step-sample a (real-time) quote feeds, see
``.service.maybe_open_samplerd()`` and the below `.service.maybe_open_samplerd()` and the below
``register_with_sampler()``. `register_with_sampler()`.
''' '''
service_nursery: None | trio.Nursery = None service_nursery: None | trio.Nursery = None
@ -95,6 +100,12 @@ class Sampler:
# history loading. # history loading.
incr_task_cs: trio.CancelScope | None = None incr_task_cs: trio.CancelScope | None = None
bcast_errors: tuple[Exception] = (
trio.BrokenResourceError,
trio.ClosedResourceError,
trio.EndOfChannel,
)
# holds all the ``tractor.Context`` remote subscriptions for # holds all the ``tractor.Context`` remote subscriptions for
# a particular sample period increment event: all subscribers are # a particular sample period increment event: all subscribers are
# notified on a step. # notified on a step.
@ -258,14 +269,15 @@ class Sampler:
subs: set subs: set
last_ts, subs = pair last_ts, subs = pair
task = trio.lowlevel.current_task() # NOTE, for debugging pub-sub issues
log.debug( # task = trio.lowlevel.current_task()
f'SUBS {self.subscribers}\n' # log.debug(
f'PAIR {pair}\n' # f'AlL-SUBS@{period_s!r}: {self.subscribers}\n'
f'TASK: {task}: {id(task)}\n' # f'PAIR: {pair}\n'
f'broadcasting {period_s} -> {last_ts}\n' # f'TASK: {task}: {id(task)}\n'
# f'broadcasting {period_s} -> {last_ts}\n'
# f'consumers: {subs}' # f'consumers: {subs}'
) # )
borked: set[MsgStream] = set() borked: set[MsgStream] = set()
sent: set[MsgStream] = set() sent: set[MsgStream] = set()
while True: while True:
@ -282,12 +294,11 @@ class Sampler:
await stream.send(msg) await stream.send(msg)
sent.add(stream) sent.add(stream)
except ( except self.bcast_errors as err:
trio.BrokenResourceError,
trio.ClosedResourceError
):
log.error( log.error(
f'{stream._ctx.chan.uid} dropped connection' f'Connection dropped for IPC ctx\n'
f'{stream._ctx}\n\n'
f'Due to {type(err)}'
) )
borked.add(stream) borked.add(stream)
else: else:
@ -375,7 +386,10 @@ async def register_with_sampler(
assert Sampler.ohlcv_shms assert Sampler.ohlcv_shms
# unblock caller # unblock caller
await ctx.started(set(Sampler.ohlcv_shms.keys())) await ctx.started(
# XXX bc msgpack only allows one array type!
list(Sampler.ohlcv_shms.keys())
)
if open_index_stream: if open_index_stream:
try: try:
@ -419,7 +433,6 @@ async def register_with_sampler(
async def spawn_samplerd( async def spawn_samplerd(
loglevel: str | None = None, loglevel: str | None = None,
**extra_tractor_kwargs **extra_tractor_kwargs
@ -429,7 +442,10 @@ async def spawn_samplerd(
update and increment count write and stream broadcasting. update and increment count write and stream broadcasting.
''' '''
from piker.service import Services from piker.service import (
get_service_mngr,
ServiceMngr,
)
dname = 'samplerd' dname = 'samplerd'
log.info(f'Spawning `{dname}`') log.info(f'Spawning `{dname}`')
@ -437,26 +453,33 @@ async def spawn_samplerd(
# singleton lock creation of ``samplerd`` since we only ever want # singleton lock creation of ``samplerd`` since we only ever want
# one daemon per ``pikerd`` proc tree. # one daemon per ``pikerd`` proc tree.
# TODO: make this built-into the service api? # TODO: make this built-into the service api?
async with Services.locks[dname + '_singleton']: mngr: ServiceMngr = get_service_mngr()
already_started: bool = dname in mngr.service_tasks
if dname not in Services.service_tasks: async with mngr._locks[dname + '_singleton']:
ctx: Context = await mngr.start_service(
daemon_name=dname,
ctx_ep=partial(
register_with_sampler,
period_s=1,
sub_for_broadcasts=False,
),
debug_mode=mngr.debug_mode, # set by pikerd flag
portal = await Services.actor_n.start_actor( # proxy-through to tractor
dname,
enable_modules=[ enable_modules=[
'piker.data._sampling', 'piker.data._sampling',
], ],
loglevel=loglevel, loglevel=loglevel,
debug_mode=Services.debug_mode, # set by pikerd flag
**extra_tractor_kwargs **extra_tractor_kwargs
) )
if not already_started:
await Services.start_service_task( assert (
dname, ctx
portal, and
register_with_sampler, ctx.portal
period_s=1, and
sub_for_broadcasts=False, not ctx.cancel_called
) )
return True return True
@ -561,8 +584,7 @@ async def open_sample_stream(
async def sample_and_broadcast( async def sample_and_broadcast(
bus: _FeedsBus,
bus: _FeedsBus, # noqa
rt_shm: ShmArray, rt_shm: ShmArray,
hist_shm: ShmArray, hist_shm: ShmArray,
quote_stream: trio.abc.ReceiveChannel, quote_stream: trio.abc.ReceiveChannel,
@ -582,11 +604,32 @@ async def sample_and_broadcast(
overruns = Counter() overruns = Counter()
# NOTE, only used for debugging live-data-feed issues, though
# this should be resolved more correctly in the future using the
# new typed-msgspec feats of `tractor`!
#
# XXX, a multiline nested `dict` formatter (since rn quote-msgs
# are just that).
# pfmt: Callable[[str], str] = mk_repr()
# iterate stream delivered by broker # iterate stream delivered by broker
async for quotes in quote_stream: 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` or `cython`-nize this loop possibly?
# |_alternatively could we do it in rust somehow by upacking
# arrow msgs instead of using `msgspec`?
# -[ ] use `msgspec.Struct` support in new typed-msging from
# `tractor` to ensure only allowed msgs are transmitted?
#
for broker_symbol, quote in quotes.items(): for broker_symbol, quote in quotes.items():
# TODO: in theory you can send the IPC msg *before* writing # TODO: in theory you can send the IPC msg *before* writing
# to the sharedmem array to decrease latency, however, that # to the sharedmem array to decrease latency, however, that
@ -659,6 +702,21 @@ async def sample_and_broadcast(
sub_key: str = broker_symbol.lower() sub_key: str = broker_symbol.lower()
subs: set[Sub] = bus.get_subs(sub_key) subs: set[Sub] = bus.get_subs(sub_key)
# TODO, figure out how to make this useful whilst
# incoporating feed "pausing" ..
#
# 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 # NOTE: by default the broker backend doesn't append
# it's own "name" into the fqme schema (but maybe it # it's own "name" into the fqme schema (but maybe it
# should?) so we have to manually generate the correct # should?) so we have to manually generate the correct
@ -756,7 +814,6 @@ async def sample_and_broadcast(
async def uniform_rate_send( async def uniform_rate_send(
rate: float, rate: float,
quote_stream: trio.abc.ReceiveChannel, quote_stream: trio.abc.ReceiveChannel,
stream: MsgStream, stream: MsgStream,
@ -889,6 +946,7 @@ async def uniform_rate_send(
# to consumers which crash or lose network connection. # to consumers which crash or lose network connection.
# I.e. we **DO NOT** want to crash and propagate up to # I.e. we **DO NOT** want to crash and propagate up to
# ``pikerd`` these kinds of errors! # ``pikerd`` these kinds of errors!
trio.EndOfChannel,
trio.ClosedResourceError, trio.ClosedResourceError,
trio.BrokenResourceError, trio.BrokenResourceError,
ConnectionResetError, ConnectionResetError,

87
piker/data/_web_bs.py
View File

@ -273,7 +273,7 @@ async def _reconnect_forever(
nobsws._connected.set() nobsws._connected.set()
await trio.sleep_forever() await trio.sleep_forever()
except HandshakeError: except HandshakeError:
log.exception(f'Retrying connection') log.exception('Retrying connection')
# ws & nursery block ends # ws & nursery block ends
@ -359,8 +359,8 @@ async def open_autorecon_ws(
''' '''
JSONRPC response-request style machinery for transparent multiplexing of msgs JSONRPC response-request style machinery for transparent multiplexing
over a NoBsWs. of msgs over a `NoBsWs`.
''' '''
@ -377,44 +377,78 @@ async def open_jsonrpc_session(
url: str, url: str,
start_id: int = 0, start_id: int = 0,
response_type: type = JSONRPCResult, 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]: ) -> 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 ( async with (
trio.open_nursery() as n, 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] = {} 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 perform a json rpc call and wait for the result, raise exception in
case of error field present on response case of error field present on response
''' '''
nonlocal req_msgs
req_id: int = next(rpc_id)
msg = { msg = {
'jsonrpc': '2.0', 'jsonrpc': '2.0',
'id': next(rpc_id), 'id': req_id,
'method': method, 'method': method,
'params': params 'params': params
} }
_id = msg['id'] _id = msg['id']
rpc_results[_id] = { result = rpc_results[_id] = {
'result': None, 'result': None,
'event': trio.Event() 'error': None,
'event': trio.Event(), # signal caller resp arrived
} }
req_msgs[_id] = msg
await ws.send_msg(msg) await ws.send_msg(msg)
# wait for reponse before unblocking requester code
await rpc_results[_id]['event'].wait() 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: if ret.error is not None:
raise Exception(json.dumps(ret.error, indent=4)) raise Exception(json.dumps(ret.error, indent=4))
@ -428,6 +462,7 @@ async def open_jsonrpc_session(
the server side. the server side.
''' '''
nonlocal req_msgs
async for msg in ws: async for msg in ws:
match msg: match msg:
case { case {
@ -451,15 +486,29 @@ async def open_jsonrpc_session(
'params': _, 'params': _,
}: }:
log.debug(f'Recieved\n{msg}') 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 { case {
'error': error '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 _: case _:
log.warning(f'Unhandled JSON-RPC msg!?\n{msg}') log.warning(f'Unhandled JSON-RPC msg!?\n{msg}')

5
piker/data/feed.py
View File

@ -540,7 +540,10 @@ async def open_feed_bus(
# subscription since the backend isn't (yet) expected to # subscription since the backend isn't (yet) expected to
# append it's own name to the fqme, so we filter on keys # append it's own name to the fqme, so we filter on keys
# which *do not* include that name (e.g .ib) . # 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 # sync feed subscribers with flume handles
await ctx.started( await ctx.started(

30
piker/log.py
View File

@ -18,7 +18,11 @@
Log like a forester! Log like a forester!
""" """
import logging import logging
import reprlib
import json import json
from typing import (
Callable,
)
import tractor import tractor
from pygments import ( from pygments import (
@ -84,3 +88,29 @@ def colorize_json(
# likeable styles: algol_nu, tango, monokai # likeable styles: algol_nu, tango, monokai
formatters.TerminalTrueColorFormatter(style=style) formatters.TerminalTrueColorFormatter(style=style)
) )
# TODO, eventually defer to the version in `modden` once
# it becomes a dep!
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

6
piker/service/__init__.py
View File

@ -30,7 +30,11 @@ Actor runtime primtives and (distributed) service APIs for,
=> TODO: maybe to (re)move elsewhere? => TODO: maybe to (re)move elsewhere?
''' '''
from ._mngr import Services as Services from ._mngr import (
get_service_mngr as get_service_mngr,
open_service_mngr as open_service_mngr,
ServiceMngr as ServiceMngr,
)
from ._registry import ( from ._registry import (
_tractor_kwargs as _tractor_kwargs, _tractor_kwargs as _tractor_kwargs,
_default_reg_addr as _default_reg_addr, _default_reg_addr as _default_reg_addr,

46
piker/service/_actor_runtime.py
View File

@ -21,7 +21,6 @@
from __future__ import annotations from __future__ import annotations
import os import os
from typing import ( from typing import (
Optional,
Any, Any,
ClassVar, ClassVar,
) )
@ -30,13 +29,13 @@ from contextlib import (
) )
import tractor import tractor
import trio
from ._util import ( from ._util import (
get_console_log, get_console_log,
) )
from ._mngr import ( from ._mngr import (
Services, open_service_mngr,
ServiceMngr,
) )
from ._registry import ( # noqa from ._registry import ( # noqa
_tractor_kwargs, _tractor_kwargs,
@ -59,7 +58,7 @@ async def open_piker_runtime(
registry_addrs: list[tuple[str, int]] = [], registry_addrs: list[tuple[str, int]] = [],
enable_modules: list[str] = [], enable_modules: list[str] = [],
loglevel: Optional[str] = None, loglevel: str|None = None,
# XXX NOTE XXX: you should pretty much never want debug mode # XXX NOTE XXX: you should pretty much never want debug mode
# for data daemons when running in production. # for data daemons when running in production.
@ -69,7 +68,7 @@ async def open_piker_runtime(
# and spawn the service tree distributed per that. # and spawn the service tree distributed per that.
start_method: str = 'trio', start_method: str = 'trio',
tractor_runtime_overrides: dict | None = None, tractor_runtime_overrides: dict|None = None,
**tractor_kwargs, **tractor_kwargs,
) -> tuple[ ) -> tuple[
@ -119,6 +118,10 @@ async def open_piker_runtime(
# spawn other specialized daemons I think? # spawn other specialized daemons I think?
enable_modules=enable_modules, enable_modules=enable_modules,
# TODO: how to configure this?
# keep it on by default if debug mode is set?
# maybe_enable_greenback=debug_mode,
**tractor_kwargs, **tractor_kwargs,
) as actor, ) as actor,
@ -167,12 +170,13 @@ async def open_pikerd(
**kwargs, **kwargs,
) -> Services: ) -> ServiceMngr:
''' '''
Start a root piker daemon with an indefinite lifetime. Start a root piker daemon actor (aka `pikerd`) with an indefinite
lifetime.
A root actor nursery is created which can be used to create and keep A root actor-nursery is created which can be used to spawn and
alive underling services (see below). supervise underling service sub-actors (see below).
''' '''
# NOTE: for the root daemon we always enable the root # NOTE: for the root daemon we always enable the root
@ -199,8 +203,6 @@ async def open_pikerd(
root_actor, root_actor,
reg_addrs, reg_addrs,
), ),
tractor.open_nursery() as actor_nursery,
trio.open_nursery() as service_nursery,
): ):
for addr in reg_addrs: for addr in reg_addrs:
if addr not in root_actor.accept_addrs: if addr not in root_actor.accept_addrs:
@ -209,25 +211,17 @@ async def open_pikerd(
'Maybe you have another daemon already running?' 'Maybe you have another daemon already running?'
) )
# assign globally for future daemon/task creation mngr: ServiceMngr
Services.actor_n = actor_nursery async with open_service_mngr(
Services.service_n = service_nursery debug_mode=debug_mode,
Services.debug_mode = debug_mode ) as mngr:
yield mngr
try:
yield Services
finally:
# TODO: is this more clever/efficient?
# if 'samplerd' in Services.service_tasks:
# await Services.cancel_service('samplerd')
service_nursery.cancel_scope.cancel()
# TODO: do we even need this? # TODO: do we even need this?
# @acm # @acm
# async def maybe_open_runtime( # async def maybe_open_runtime(
# loglevel: Optional[str] = None, # loglevel: str|None = None,
# **kwargs, # **kwargs,
# ) -> None: # ) -> None:
@ -256,7 +250,7 @@ async def maybe_open_pikerd(
loglevel: str | None = None, loglevel: str | None = None,
**kwargs, **kwargs,
) -> tractor._portal.Portal | ClassVar[Services]: ) -> tractor._portal.Portal | ClassVar[ServiceMngr]:
''' '''
If no ``pikerd`` daemon-root-actor can be found start it and If no ``pikerd`` daemon-root-actor can be found start it and
yield up (we should probably figure out returning a portal to self yield up (we should probably figure out returning a portal to self

7
piker/service/_ahab.py
View File

@ -49,7 +49,7 @@ from requests.exceptions import (
ReadTimeout, ReadTimeout,
) )
from ._mngr import Services from ._mngr import ServiceMngr
from ._util import ( from ._util import (
log, # sub-sys logger log, # sub-sys logger
get_console_log, get_console_log,
@ -453,7 +453,7 @@ async def open_ahabd(
@acm @acm
async def start_ahab_service( async def start_ahab_service(
services: Services, services: ServiceMngr,
service_name: str, service_name: str,
# endpoint config passed as **kwargs # endpoint config passed as **kwargs
@ -549,7 +549,8 @@ async def start_ahab_service(
log.warning('Failed to cancel root permsed container') log.warning('Failed to cancel root permsed container')
except ( except (
trio.MultiError, # trio.MultiError,
ExceptionGroup,
) as err: ) as err:
for subexc in err.exceptions: for subexc in err.exceptions:
if isinstance(subexc, PermissionError): if isinstance(subexc, PermissionError):

77
piker/service/_daemon.py
View File

@ -26,14 +26,17 @@ from typing import (
from contextlib import ( from contextlib import (
asynccontextmanager as acm, asynccontextmanager as acm,
) )
from collections import defaultdict
import tractor import tractor
import trio
from ._util import ( from ._util import (
log, # sub-sys logger log, # sub-sys logger
) )
from ._mngr import ( from ._mngr import (
Services, get_service_mngr,
ServiceMngr,
) )
from ._actor_runtime import maybe_open_pikerd from ._actor_runtime import maybe_open_pikerd
from ._registry import find_service from ._registry import find_service
@ -41,15 +44,14 @@ from ._registry import find_service
@acm @acm
async def maybe_spawn_daemon( async def maybe_spawn_daemon(
service_name: str, service_name: str,
service_task_target: Callable, service_task_target: Callable,
spawn_args: dict[str, Any], spawn_args: dict[str, Any],
loglevel: str | None = None, loglevel: str | None = None,
singleton: bool = False, singleton: bool = False,
_locks = defaultdict(trio.Lock),
**pikerd_kwargs, **pikerd_kwargs,
) -> tractor.Portal: ) -> tractor.Portal:
@ -67,7 +69,7 @@ async def maybe_spawn_daemon(
''' '''
# serialize access to this section to avoid # serialize access to this section to avoid
# 2 or more tasks racing to create a daemon # 2 or more tasks racing to create a daemon
lock = Services.locks[service_name] lock = _locks[service_name]
await lock.acquire() await lock.acquire()
async with find_service( async with find_service(
@ -132,7 +134,65 @@ async def maybe_spawn_daemon(
async with tractor.wait_for_actor(service_name) as portal: async with tractor.wait_for_actor(service_name) as portal:
lock.release() lock.release()
yield portal yield portal
await portal.cancel_actor() # --- ---- ---
# XXX NOTE XXX
# --- ---- ---
# DO NOT PUT A `portal.cancel_actor()` here (as was prior)!
#
# Doing so will cause an "out-of-band" ctxc
# (`tractor.ContextCancelled`) to be raised inside the
# `ServiceMngr.open_context_in_task()`'s call to
# `ctx.wait_for_result()` AND the internal self-ctxc
# "graceful capture" WILL NOT CATCH IT!
#
# This can cause certain types of operations to raise
# that ctxc BEFORE THEY `return`, resulting in
# a "false-negative" ctxc being raised when really
# nothing actually failed, other then our semantic
# "failure" to suppress an expected, graceful,
# self-cancel scenario..
#
# bUt wHy duZ It WorK lIKe dis..
# ------------------------------
# from the perspective of the `tractor.Context` this
# cancel request was conducted "out of band" since
# `Context.cancel()` was never called and thus the
# `._cancel_called: bool` was never set. Despite the
# remote `.canceller` being set to `pikerd` (i.e. the
# same `Actor.uid` of the raising service-mngr task) the
# service-task's ctx itself was never marked as having
# requested cancellation and thus still raises the ctxc
# bc it was unaware of any such request.
#
# How to make grokin these cases easier tho?
# ------------------------------------------
# Because `Portal.cancel_actor()` was called it requests
# "full-`Actor`-runtime-cancellation" of it's peer
# process which IS NOT THE SAME as a single inter-actor
# RPC task cancelling its local context with a remote
# peer `Task` in that same peer process.
#
# ?TODO? It might be better if we do one (or all) of the
# following:
#
# -[ ] at least set a special message for the
# `ContextCancelled` when raised locally by the
# unaware ctx task such that we check for the
# `.canceller` being *our `Actor`* and in the case
# where `Context._cancel_called == False` we specially
# note that this is likely an "out-of-band"
# runtime-cancel request triggered by some call to
# `Portal.cancel_actor()`, possibly even reporting the
# exact LOC of that caller by tracking it inside our
# portal-type?
# -[ ] possibly add another field `ContextCancelled` like
# maybe a,
# `.request_type: Literal['os', 'proc', 'actor',
# 'ctx']` type thing which would allow immediately
# being able to tell what kind of cancellation caused
# the unexpected ctxc?
# -[ ] REMOVE THIS COMMENT, once we've settled on how to
# better augment `tractor` to be more explicit on this!
async def spawn_emsd( async def spawn_emsd(
@ -147,21 +207,22 @@ async def spawn_emsd(
""" """
log.info('Spawning emsd') log.info('Spawning emsd')
portal = await Services.actor_n.start_actor( smngr: ServiceMngr = get_service_mngr()
portal = await smngr.actor_n.start_actor(
'emsd', 'emsd',
enable_modules=[ enable_modules=[
'piker.clearing._ems', 'piker.clearing._ems',
'piker.clearing._client', 'piker.clearing._client',
], ],
loglevel=loglevel, loglevel=loglevel,
debug_mode=Services.debug_mode, # set by pikerd flag debug_mode=smngr.debug_mode, # set by pikerd flag
**extra_tractor_kwargs **extra_tractor_kwargs
) )
# non-blocking setup of clearing service # non-blocking setup of clearing service
from ..clearing._ems import _setup_persistent_emsd from ..clearing._ems import _setup_persistent_emsd
await Services.start_service_task( await smngr.start_service_task(
'emsd', 'emsd',
portal, portal,

308
piker/service/_mngr.py
View File

@ -18,16 +18,29 @@
daemon-service management API. daemon-service management API.
""" """
from __future__ import annotations
from contextlib import (
asynccontextmanager as acm,
# contextmanager as cm,
)
from collections import defaultdict from collections import defaultdict
from dataclasses import (
dataclass,
field,
)
import functools
import inspect
from typing import ( from typing import (
Callable, Callable,
Any, Any,
) )
import trio import msgspec
from trio_typing import TaskStatus
import tractor import tractor
import trio
from trio import TaskStatus
from tractor import ( from tractor import (
ActorNursery,
current_actor, current_actor,
ContextCancelled, ContextCancelled,
Context, Context,
@ -39,6 +52,130 @@ from ._util import (
) )
# TODO: implement a singleton deco-API for wrapping the below
# factory's impl for general actor-singleton use?
#
# @singleton
# async def open_service_mngr(
# **init_kwargs,
# ) -> ServiceMngr:
# '''
# Note this function body is invoke IFF no existing singleton instance already
# exists in this proc's memory.
# '''
# # setup
# yield ServiceMngr(**init_kwargs)
# # teardown
# TODO: singleton factory API instead of a class API
@acm
async def open_service_mngr(
*,
debug_mode: bool = False,
# impl deat which ensures a single global instance
_singleton: list[ServiceMngr|None] = [None],
**init_kwargs,
) -> ServiceMngr:
'''
Open a multi-subactor-as-service-daemon tree supervisor.
The delivered `ServiceMngr` is a singleton instance for each
actor-process and is allocated on first open and never
de-allocated unless explicitly deleted by al call to
`del_service_mngr()`.
'''
# TODO: factor this an allocation into
# a `._mngr.open_service_mngr()` and put in the
# once-n-only-once setup/`.__aenter__()` part!
# -[ ] how to make this only happen on the `mngr == None` case?
# |_ use `.trionics.maybe_open_context()` (for generic
# async-with-style-only-once of the factory impl, though
# what do we do for the allocation case?
# / `.maybe_open_nursery()` (since for this specific case
# it's simpler?) to activate
async with (
tractor.open_nursery() as an,
trio.open_nursery() as tn,
):
# impl specific obvi..
init_kwargs.update({
'actor_n': an,
'service_n': tn,
})
mngr: ServiceMngr|None
if (mngr := _singleton[0]) is None:
log.info('Allocating a new service mngr!')
mngr = _singleton[0] = ServiceMngr(**init_kwargs)
# TODO: put into `.__aenter__()` section of
# eventual `@singleton_acm` API wrapper.
#
# assign globally for future daemon/task creation
mngr.actor_n = an
mngr.service_n = tn
else:
assert (
mngr.actor_n
and
mngr.service_tn
)
log.info(
'Using extant service mngr!\n\n'
f'{mngr!r}\n' # it has a nice `.__repr__()` of services state
)
try:
# NOTE: this is a singleton factory impl specific detail
# which should be supported in the condensed
# `@singleton_acm` API?
mngr.debug_mode = debug_mode
yield mngr
finally:
# TODO: is this more clever/efficient?
# if 'samplerd' in mngr.service_tasks:
# await mngr.cancel_service('samplerd')
tn.cancel_scope.cancel()
def get_service_mngr() -> ServiceMngr:
'''
Try to get the singleton service-mngr for this actor presuming it
has already been allocated using,
.. code:: python
async with open_<@singleton_acm(func)>() as mngr`
... this block kept open ...
If not yet allocated raise a `ServiceError`.
'''
# https://stackoverflow.com/a/12627202
# https://docs.python.org/3/library/inspect.html#inspect.Signature
maybe_mngr: ServiceMngr|None = inspect.signature(
open_service_mngr
).parameters['_singleton'].default[0]
if maybe_mngr is None:
raise RuntimeError(
'Someone must allocate a `ServiceMngr` using\n\n'
'`async with open_service_mngr()` beforehand!!\n'
)
return maybe_mngr
# TODO: we need remote wrapping and a general soln: # TODO: we need remote wrapping and a general soln:
# - factor this into a ``tractor.highlevel`` extension # pack for the # - factor this into a ``tractor.highlevel`` extension # pack for the
# library. # library.
@ -46,31 +183,46 @@ from ._util import (
# to the pikerd actor for starting services remotely! # to the pikerd actor for starting services remotely!
# - prolly rename this to ActorServicesNursery since it spawns # - prolly rename this to ActorServicesNursery since it spawns
# new actors and supervises them to completion? # new actors and supervises them to completion?
class Services: @dataclass
class ServiceMngr:
# class ServiceMngr(msgspec.Struct):
'''
A multi-subactor-as-service manager.
actor_n: tractor._supervise.ActorNursery Spawn, supervise and monitor service/daemon subactors in a SC
process tree.
'''
actor_n: ActorNursery
service_n: trio.Nursery service_n: trio.Nursery
debug_mode: bool # tractor sub-actor debug mode flag debug_mode: bool = False # tractor sub-actor debug mode flag
service_tasks: dict[ service_tasks: dict[
str, str,
tuple[ tuple[
trio.CancelScope, trio.CancelScope,
Context,
Portal, Portal,
trio.Event, trio.Event,
] ]
] = {} ] = field(default_factory=dict)
locks = defaultdict(trio.Lock)
# internal per-service task mutexs
_locks = defaultdict(trio.Lock)
@classmethod
async def start_service_task( async def start_service_task(
self, self,
name: str, name: str,
portal: Portal, portal: Portal,
# TODO: typevar for the return type of the target and then
# use it below for `ctx_res`?
target: Callable, target: Callable,
allow_overruns: bool = False, allow_overruns: bool = False,
**ctx_kwargs, **ctx_kwargs,
) -> (trio.CancelScope, Context): ) -> (trio.CancelScope, Context, Any):
''' '''
Open a context in a service sub-actor, add to a stack Open a context in a service sub-actor, add to a stack
that gets unwound at ``pikerd`` teardown. that gets unwound at ``pikerd`` teardown.
@ -83,6 +235,7 @@ class Services:
task_status: TaskStatus[ task_status: TaskStatus[
tuple[ tuple[
trio.CancelScope, trio.CancelScope,
Context,
trio.Event, trio.Event,
Any, Any,
] ]
@ -90,64 +243,87 @@ class Services:
) -> Any: ) -> Any:
# TODO: use the ctx._scope directly here instead?
# -[ ] actually what semantics do we expect for this
# usage!?
with trio.CancelScope() as cs: with trio.CancelScope() as cs:
try:
async with portal.open_context( async with portal.open_context(
target, target,
allow_overruns=allow_overruns, allow_overruns=allow_overruns,
**ctx_kwargs, **ctx_kwargs,
) as (ctx, first): ) as (ctx, started):
# unblock once the remote context has started # unblock once the remote context has started
complete = trio.Event() complete = trio.Event()
task_status.started((cs, complete, first)) task_status.started((
cs,
ctx,
complete,
started,
))
log.info( log.info(
f'`pikerd` service {name} started with value {first}' f'`pikerd` service {name} started with value {started}'
) )
try:
# wait on any context's return value # wait on any context's return value
# and any final portal result from the # and any final portal result from the
# sub-actor. # sub-actor.
ctx_res: Any = await ctx.result() ctx_res: Any = await ctx.wait_for_result()
# NOTE: blocks indefinitely until cancelled # NOTE: blocks indefinitely until cancelled
# either by error from the target context # either by error from the target context
# function or by being cancelled here by the # function or by being cancelled here by the
# surrounding cancel scope. # surrounding cancel scope.
return (await portal.result(), ctx_res) return (
await portal.wait_for_result(),
ctx_res,
)
except ContextCancelled as ctxe: except ContextCancelled as ctxe:
canceller: tuple[str, str] = ctxe.canceller canceller: tuple[str, str] = ctxe.canceller
our_uid: tuple[str, str] = current_actor().uid our_uid: tuple[str, str] = current_actor().uid
if ( if (
canceller != portal.channel.uid canceller != portal.chan.uid
and and
canceller != our_uid canceller != our_uid
): ):
log.cancel( log.cancel(
f'Actor-service {name} was remotely cancelled?\n' f'Actor-service `{name}` was remotely cancelled by a peer?\n'
f'remote canceller: {canceller}\n'
f'Keeping {our_uid} alive, ignoring sub-actor cancel..\n' # TODO: this would be a good spot to use
# a respawn feature Bo
f'-> Keeping `pikerd` service manager alive despite this inter-peer cancel\n\n'
f'cancellee: {portal.chan.uid}\n'
f'canceller: {canceller}\n'
) )
else: else:
raise raise
finally: finally:
# NOTE: the ctx MUST be cancelled first if we
# don't want the above `ctx.wait_for_result()` to
# raise a self-ctxc. WHY, well since from the ctx's
# perspective the cancel request will have
# arrived out-out-of-band at the `Actor.cancel()`
# level, thus `Context.cancel_called == False`,
# meaning `ctx._is_self_cancelled() == False`.
# with trio.CancelScope(shield=True):
# await ctx.cancel()
await portal.cancel_actor() await portal.cancel_actor()
complete.set() complete.set()
self.service_tasks.pop(name) self.service_tasks.pop(name)
cs, complete, first = await self.service_n.start(open_context_in_task) cs, sub_ctx, complete, started = await self.service_n.start(
open_context_in_task
)
# store the cancel scope and portal for later cancellation or # store the cancel scope and portal for later cancellation or
# retstart if needed. # retstart if needed.
self.service_tasks[name] = (cs, portal, complete) self.service_tasks[name] = (cs, sub_ctx, portal, complete)
return cs, sub_ctx, started
return cs, first
@classmethod
async def cancel_service( async def cancel_service(
self, self,
name: str, name: str,
@ -158,8 +334,80 @@ class Services:
''' '''
log.info(f'Cancelling `pikerd` service {name}') log.info(f'Cancelling `pikerd` service {name}')
cs, portal, complete = self.service_tasks[name] cs, sub_ctx, portal, complete = self.service_tasks[name]
cs.cancel()
# cs.cancel()
await sub_ctx.cancel()
await complete.wait() await complete.wait()
assert name not in self.service_tasks, \
if name in self.service_tasks:
# TODO: custom err?
# raise ServiceError(
raise RuntimeError(
f'Serice task for {name} not terminated?' f'Serice task for {name} not terminated?'
)
# assert name not in self.service_tasks, \
# f'Serice task for {name} not terminated?'
async def start_service(
self,
daemon_name: str,
ctx_ep: Callable, # kwargs must `partial`-ed in!
debug_mode: bool = False,
**tractor_actor_kwargs,
) -> Context:
'''
Start a "service" task in a new sub-actor (daemon) and manage it's lifetime
indefinitely.
Services can be cancelled/shutdown using `.cancel_service()`.
'''
entry: tuple|None = self.service_tasks.get(daemon_name)
if entry:
(cs, sub_ctx, portal, complete) = entry
return sub_ctx
if daemon_name not in self.service_tasks:
portal = await self.actor_n.start_actor(
daemon_name,
debug_mode=( # maybe set globally during allocate
debug_mode
or
self.debug_mode
),
**tractor_actor_kwargs,
)
ctx_kwargs: dict[str, Any] = {}
if isinstance(ctx_ep, functools.partial):
ctx_kwargs: dict[str, Any] = ctx_ep.keywords
ctx_ep: Callable = ctx_ep.func
(cs, sub_ctx, started) = await self.start_service_task(
daemon_name,
portal,
ctx_ep,
**ctx_kwargs,
)
return sub_ctx
# TODO:
# -[ ] factor all the common shit from `.data._sampling`
# and `.brokers._daemon` into here / `ServiceMngr`
# in terms of allocating the `Portal` as part of the
# "service-in-subactor" starting!
# -[ ] move to `tractor.hilevel._service`, import and use here!
# NOTE: purposely leaks the ref to the mod-scope Bo
# import tractor
# from tractor.hilevel import (
# open_service_mngr,
# ServiceMngr,
# )
# mngr: ServiceMngr|None = None
# with tractor.hilevel.open_service_mngr() as mngr:
# Services = proxy(mngr)

4
piker/service/elastic.py
View File

@ -21,11 +21,13 @@ from typing import (
TYPE_CHECKING, TYPE_CHECKING,
) )
# TODO: oof, needs to be changed to `httpx`!
import asks import asks
if TYPE_CHECKING: if TYPE_CHECKING:
import docker import docker
from ._ahab import DockerContainer from ._ahab import DockerContainer
from . import ServiceMngr
from ._util import log # sub-sys logger from ._util import log # sub-sys logger
from ._util import ( from ._util import (
@ -127,7 +129,7 @@ def start_elasticsearch(
@acm @acm
async def start_ahab_daemon( async def start_ahab_daemon(
service_mngr: Services, service_mngr: ServiceMngr,
user_config: dict | None = None, user_config: dict | None = None,
loglevel: str | None = None, loglevel: str | None = None,

4
piker/service/marketstore.py
View File

@ -53,7 +53,7 @@ import pendulum
# import purerpc # import purerpc
from ..data.feed import maybe_open_feed from ..data.feed import maybe_open_feed
from . import Services from . import ServiceMngr
from ._util import ( from ._util import (
log, # sub-sys logger log, # sub-sys logger
get_console_log, get_console_log,
@ -233,7 +233,7 @@ def start_marketstore(
@acm @acm
async def start_ahab_daemon( async def start_ahab_daemon(
service_mngr: Services, service_mngr: ServiceMngr,
user_config: dict | None = None, user_config: dict | None = None,
loglevel: str | None = None, loglevel: str | None = None,

7
piker/storage/nativedb.py
View File

@ -161,7 +161,12 @@ class NativeStorageClient:
def index_files(self): def index_files(self):
for path in self._datadir.iterdir(): 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 continue
key: str = path.name.rstrip('.parquet') key: str = path.name.rstrip('.parquet')

191
piker/tsp/__init__.py
View File

@ -44,8 +44,10 @@ import trio
from trio_typing import TaskStatus from trio_typing import TaskStatus
import tractor import tractor
from pendulum import ( from pendulum import (
Interval,
DateTime, DateTime,
Duration, Duration,
duration as mk_duration,
from_timestamp, from_timestamp,
) )
import numpy as np import numpy as np
@ -214,7 +216,8 @@ async def maybe_fill_null_segments(
# pair, immediately stop backfilling? # pair, immediately stop backfilling?
if ( if (
start_dt start_dt
and end_dt < start_dt and
end_dt < start_dt
): ):
await tractor.pause() await tractor.pause()
break break
@ -262,6 +265,7 @@ async def maybe_fill_null_segments(
except tractor.ContextCancelled: except tractor.ContextCancelled:
# log.exception # log.exception
await tractor.pause() await tractor.pause()
raise
null_segs_detected.set() null_segs_detected.set()
# RECHECK for more null-gaps # RECHECK for more null-gaps
@ -349,7 +353,7 @@ async def maybe_fill_null_segments(
async def start_backfill( async def start_backfill(
get_hist, get_hist,
frame_types: dict[str, Duration] | None, def_frame_duration: Duration,
mod: ModuleType, mod: ModuleType,
mkt: MktPair, mkt: MktPair,
shm: ShmArray, shm: ShmArray,
@ -379,22 +383,23 @@ async def start_backfill(
update_start_on_prepend: bool = False update_start_on_prepend: bool = False
if backfill_until_dt is None: 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 = { periods = {
1: {'days': 2}, 1: {'days': 2},
60: {'years': 6}, 60: {'years': 6},
} }
period_duration: int = periods[timeframe] 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 # NOTE: manually set the "latest" datetime which we intend to
# backfill history "until" so as to adhere to the history # 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'backfill_until_dt: {backfill_until_dt}\n'
f'last_start_dt: {last_start_dt}\n' f'last_start_dt: {last_start_dt}\n'
) )
try: try:
( (
array, array,
@ -426,71 +430,114 @@ async def start_backfill(
timeframe, timeframe,
end_dt=last_start_dt, end_dt=last_start_dt,
) )
except NoData as _daterr: except NoData as _daterr:
# 3 cases: orig_last_start_dt: datetime = last_start_dt
# - frame in the middle of a legit venue gap gap_report: str = (
# - history actually began at the `last_start_dt` f'EMPTY FRAME for `end_dt: {last_start_dt}`?\n'
# - some other unknown error (ib blocking the f'{mod.name} -> tf@fqme: {timeframe}@{mkt.fqme}\n'
# history bc they don't want you seeing how they f'last_start_dt: {orig_last_start_dt}\n\n'
# cucked all the tinas..) f'bf_until: {backfill_until_dt}\n'
if dur := frame_types.get(timeframe):
# decrement by a frame's worth of duration and
# retry a few times.
last_start_dt.subtract(
seconds=dur.total_seconds()
) )
log.warning( # EMPTY FRAME signal with 3 (likely) causes:
f'{mod.name} -> EMPTY FRAME for end_dt?\n' #
f'tf@fqme: {timeframe}@{mkt.fqme}\n' # 1. range contains legit gap in venue history
'bf_until <- last_start_dt:\n' # 2. history actually (edge case) **began** at the
f'{backfill_until_dt} <- {last_start_dt}\n' # value `last_start_dt`
f'Decrementing `end_dt` by {dur} and retry..\n' # 3. some other unknown error (ib blocking the
# history-query bc they don't want you seeing how
# they cucked all the tinas.. like with options
# hist)
#
if def_frame_duration:
# decrement by a duration's (frame) worth of time
# as maybe indicated by the backend to see if we
# can get older data before this possible
# "history gap".
last_start_dt: datetime = last_start_dt.subtract(
seconds=def_frame_duration.total_seconds()
) )
gap_report += (
f'Decrementing `end_dt` and retrying with,\n'
f'def_frame_duration: {def_frame_duration}\n'
f'(new) last_start_dt: {last_start_dt}\n'
)
log.warning(gap_report)
# skip writing to shm/tsdb and try the next
# duration's worth of prior history.
continue continue
# broker says there never was or is no more history to pull else:
except DataUnavailable: # await tractor.pause()
log.warning( raise DataUnavailable(gap_report)
f'NO-MORE-DATA in range?\n'
f'`{mod.name}` halted history:\n'
f'tf@fqme: {timeframe}@{mkt.fqme}\n'
'bf_until <- last_start_dt:\n'
f'{backfill_until_dt} <- {last_start_dt}\n'
)
# ugh, what's a better way? # broker says there never was or is no more history to pull
# TODO: fwiw, we probably want a way to signal a throttle except DataUnavailable as due:
# condition (eg. with ib) so that we can halt the message: str = due.args[0]
# request loop until the condition is resolved? log.warning(
if timeframe > 1: f'Provider {mod.name!r} halted backfill due to,\n\n'
await tractor.pause()
f'{message}\n'
f'fqme: {mkt.fqme}\n'
f'timeframe: {timeframe}\n'
f'last_start_dt: {last_start_dt}\n'
f'bf_until: {backfill_until_dt}\n'
)
# UGH: what's a better way?
# TODO: backends are responsible for being correct on
# this right!?
# -[ ] in the `ib` case we could maybe offer some way
# to halt the request loop until the condition is
# resolved or should the backend be entirely in
# charge of solving such faults? yes, right?
return return
time: np.ndarray = array['time']
assert ( assert (
array['time'][0] time[0]
== ==
next_start_dt.timestamp() 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's worth of sample-period-steps, in seconds
frame_size_s: float = len(array) * timeframe 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 # XXX: query result includes a start point prior to our
# expected "frame size" and thus is likely some kind of # expected "frame size" and thus is likely some kind of
# history gap (eg. market closed period, outage, etc.) # history gap (eg. market closed period, outage, etc.)
# so just report it to console for now. # 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( 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( to_push = diff_history(
array, array,
@ -565,7 +612,8 @@ async def start_backfill(
# long-term storage. # long-term storage.
if ( if (
storage is not None storage is not None
and write_tsdb and
write_tsdb
): ):
log.info( log.info(
f'Writing {ln} frame to storage:\n' f'Writing {ln} frame to storage:\n'
@ -578,6 +626,7 @@ async def start_backfill(
'crypto', 'crypto',
'crypto_currency', 'crypto_currency',
'fiat', # a "forex pair" 'fiat', # a "forex pair"
'perpetual_future', # stupid "perps" from cex land
}: }:
# for now, our table key schema is not including # for now, our table key schema is not including
# the dst[/src] source asset token. # the dst[/src] source asset token.
@ -685,7 +734,7 @@ async def back_load_from_tsdb(
last_tsdb_dt last_tsdb_dt
and latest_start_dt and latest_start_dt
): ):
backfilled_size_s = ( backfilled_size_s: Duration = (
latest_start_dt - last_tsdb_dt latest_start_dt - last_tsdb_dt
).seconds ).seconds
# if the shm buffer len is not large enough to contain # if the shm buffer len is not large enough to contain
@ -908,6 +957,8 @@ async def tsdb_backfill(
f'{pformat(config)}\n' 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] = [] dt_eps: list[DateTime, DateTime] = []
async with trio.open_nursery() as tn: async with trio.open_nursery() as tn:
tn.start_soon( tn.start_soon(
@ -918,7 +969,6 @@ async def tsdb_backfill(
timeframe, timeframe,
config, config,
) )
tsdb_entry: tuple = await load_tsdb_hist( tsdb_entry: tuple = await load_tsdb_hist(
storage, storage,
mkt, mkt,
@ -947,6 +997,25 @@ async def tsdb_backfill(
mr_end_dt, mr_end_dt,
) = dt_eps ) = 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: # NOTE: when there's no offline data, there's 2 cases:
# - data backend doesn't support timeframe/sample # - data backend doesn't support timeframe/sample
# period (in which case `dt_eps` should be `None` and # period (in which case `dt_eps` should be `None` and
@ -977,7 +1046,7 @@ async def tsdb_backfill(
partial( partial(
start_backfill, start_backfill,
get_hist=get_hist, get_hist=get_hist,
frame_types=config.get('frame_types', None), def_frame_duration=def_frame_size,
mod=mod, mod=mod,
mkt=mkt, mkt=mkt,
shm=shm, shm=shm,

2860
poetry.lock generated
View File

File diff suppressed because it is too large Load Diff

26
pyproject.toml
View File

@ -25,11 +25,11 @@ build-backend = "poetry.core.masonry.api"
ignore = [] ignore = []
# https://docs.astral.sh/ruff/settings/#lint_per-file-ignores # 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 # ignore-init-module-imports = false
# ------ - ------ # ------ - ------
@ -50,10 +50,8 @@ attrs = "^23.1.0"
bidict = "^0.22.1" bidict = "^0.22.1"
colorama = "^0.4.6" colorama = "^0.4.6"
colorlog = "^6.7.0" colorlog = "^6.7.0"
cython = "^3.0.0"
greenback = "^1.1.1"
ib-insync = "^0.9.86" ib-insync = "^0.9.86"
msgspec = "^0.18.0" msgspec = "^0.18.6"
numba = "^0.59.0" numba = "^0.59.0"
numpy = "^1.25" numpy = "^1.25"
polars = "^0.18.13" polars = "^0.18.13"
@ -71,13 +69,11 @@ pdbp = "^1.5.0"
trio = "^0.24" trio = "^0.24"
pendulum = "^3.0.0" pendulum = "^3.0.0"
httpx = "^0.27.0" httpx = "^0.27.0"
cryptofeed = "^2.4.0"
pyarrow = "^17.0.0"
[tool.poetry.dependencies.tractor] tractor = {path = "../tractor", develop = true}
develop = true websockets = "12.0"
git = 'https://github.com/goodboy/tractor.git'
branch = 'asyncio_debugger_support'
# path = "../tractor"
[tool.poetry.dependencies.asyncvnc] [tool.poetry.dependencies.asyncvnc]
git = 'https://github.com/pikers/asyncvnc.git' git = 'https://github.com/pikers/asyncvnc.git'
branch = 'main' branch = 'main'
@ -109,6 +105,8 @@ pytest = "^6.0.0"
elasticsearch = "^8.9.0" elasticsearch = "^8.9.0"
xonsh = "^0.14.2" xonsh = "^0.14.2"
prompt-toolkit = "3.0.40" prompt-toolkit = "3.0.40"
cython = "^3.0.0"
greenback = "^1.1.1"
# console ehancements and eventually remote debugging # console ehancements and eventually remote debugging
# extras/helpers. # extras/helpers.

4
tests/conftest.py
View File

@ -10,7 +10,7 @@ from piker import (
config, config,
) )
from piker.service import ( from piker.service import (
Services, get_service_mngr,
) )
from piker.log import get_console_log from piker.log import get_console_log
@ -129,7 +129,7 @@ async def _open_test_pikerd(
) as service_manager, ) as service_manager,
): ):
# this proc/actor is the pikerd # this proc/actor is the pikerd
assert service_manager is Services assert service_manager is get_service_mngr()
async with tractor.wait_for_actor( async with tractor.wait_for_actor(
'pikerd', 'pikerd',

4
tests/test_ems.py
View File

@ -26,7 +26,7 @@ import pytest
import tractor import tractor
from uuid import uuid4 from uuid import uuid4
from piker.service import Services from piker.service import ServiceMngr
from piker.log import get_logger from piker.log import get_logger
from piker.clearing._messages import ( from piker.clearing._messages import (
Order, Order,
@ -158,7 +158,7 @@ def load_and_check_pos(
def test_ems_err_on_bad_broker( def test_ems_err_on_bad_broker(
open_test_pikerd: Services, open_test_pikerd: ServiceMngr,
loglevel: str, loglevel: str,
): ):
async def load_bad_fqme(): async def load_bad_fqme():

4
tests/test_services.py
View File

@ -15,7 +15,7 @@ import tractor
from piker.service import ( from piker.service import (
find_service, find_service,
Services, ServiceMngr,
) )
from piker.data import ( from piker.data import (
open_feed, open_feed,
@ -44,7 +44,7 @@ def test_runtime_boot(
async def main(): async def main():
port = 6666 port = 6666
daemon_addr = ('127.0.0.1', port) daemon_addr = ('127.0.0.1', port)
services: Services services: ServiceMngr
async with ( async with (
open_test_pikerd( open_test_pikerd(