fix_deribit_hist_queries #10
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@ -28,6 +28,8 @@ from decimal import (
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Decimal,
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)
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from functools import partial
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from pathlib import Path
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from pprint import pformat
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import time
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from typing import (
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Any,
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@ -37,8 +39,6 @@ from typing import (
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from pendulum import now
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import trio
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from trio_typing import TaskStatus
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from rapidfuzz import process as fuzzy
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import numpy as np
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from tractor.trionics import (
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broadcast_receiver,
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@ -55,8 +55,10 @@ from cryptofeed.defines import (
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OPTION, CALL, PUT
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)
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from cryptofeed.symbols import Symbol
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# types for managing the cb callbacks.
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# from cryptofeed.types import L1Book
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from piker.brokers import SymbolNotFound
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from .venues import (
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_ws_url,
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MarketType,
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@ -64,9 +66,9 @@ from .venues import (
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Pair,
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OptionPair,
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JSONRPCResult,
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JSONRPCChannel,
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# JSONRPCChannel,
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KLinesResult,
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Trade,
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# Trade,
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LastTradesResult,
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)
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from piker.accounting import (
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@ -77,7 +79,7 @@ from piker.accounting import (
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from piker.data import (
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def_iohlcv_fields,
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match_from_pairs,
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Struct,
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# Struct,
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)
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from piker.data._web_bs import (
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open_jsonrpc_session
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@ -97,7 +99,7 @@ _spawn_kwargs = {
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# convert datetime obj timestamp to unixtime in milliseconds
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def deribit_timestamp(when):
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def deribit_timestamp(when) -> int:
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return int((when.timestamp() * 1000) + (when.microsecond / 1000))
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@ -121,14 +123,20 @@ def str_to_cb_sym(name: str) -> Symbol:
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type=OPTION,
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strike_price=strike_price,
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option_type=option_type,
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expiry_date=new_expiry_date)
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expiry_date=new_expiry_date
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)
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def piker_sym_to_cb_sym(name: str) -> Symbol:
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base, expiry_date, strike_price, option_type = tuple(
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(
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base,
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expiry_date,
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strike_price,
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option_type,
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)= tuple(
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name.upper().split('-'))
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quote = base
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quote: str = base
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if option_type == 'P':
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option_type = PUT
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@ -143,7 +151,8 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
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type=OPTION,
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strike_price=strike_price,
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option_type=option_type,
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expiry_date=expiry_date)
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expiry_date=expiry_date
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)
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def cb_sym_to_deribit_inst(sym: Symbol):
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@ -179,16 +188,18 @@ def get_config() -> dict[str, Any]:
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conf: dict
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path: Path
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conf, path = config.load(
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conf_name='brokers',
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touch_if_dne=True,
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)
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section: dict = {}
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section = conf.get('deribit')
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section: dict|None = conf.get('deribit')
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if section is None:
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log.warning(f'No config section found for deribit in {path}')
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return {}
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raise ValueError(
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f'No `[deribit]` section found in\n'
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f'{path!r}\n\n'
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f'See the template config from the core repo for samples..\n'
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# f'<TODO put repo link here??>'
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)
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conf_option = section.get('option', {})
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section.clear # clear the dict to reuse it
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@ -204,7 +215,10 @@ def get_config() -> dict[str, Any]:
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class Client:
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'''
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Hi-level interface for the jsron-RPC over websocket API.
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'''
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def __init__(
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self,
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@ -223,7 +237,11 @@ class Client:
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self._auth_ts = None
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self._auth_renew_ts = 5 # seconds to renew auth
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async def _json_rpc_auth_wrapper(self, *args, **kwargs) -> JSONRPCResult:
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async def _json_rpc_auth_wrapper(
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self,
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*args,
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**kwargs,
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) -> JSONRPCResult:
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"""Background task that adquires a first access token and then will
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refresh the access token.
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@ -250,9 +268,6 @@ class Client:
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return await self.json_rpc(*args, **kwargs)
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async def get_balances(
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self,
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kind: str = 'option'
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@ -277,23 +292,29 @@ class Client:
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venue: str | None = None,
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) -> dict[str, Asset]:
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"""Return the set of asset balances for this account
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by symbol.
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"""
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'''
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Return the set of asset balances for this account
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by (deribit's) symbol.
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'''
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assets = {}
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resp = await self._json_rpc_auth_wrapper(
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'public/get_currencies',
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params={}
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)
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currencies = resp.result
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currencies: list[dict] = resp.result
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for currency in currencies:
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name = currency['currency']
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tx_tick = digits_to_dec(currency['fee_precision'])
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atype='crypto_currency'
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name: str = currency['currency']
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tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
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# TODO, handling of options, futures, perps etc. more
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# specifically with diff `.atype`s?
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assets[name] = Asset(
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name=name,
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atype=atype,
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tx_tick=tx_tick)
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atype='crypto_currency',
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tx_tick=tx_tick,
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)
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instruments = await self.symbol_info(currency=name)
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for instrument in instruments:
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@ -301,7 +322,8 @@ class Client:
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assets[pair.symbol] = Asset(
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name=pair.symbol,
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atype=pair.venue,
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tx_tick=pair.size_tick)
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tx_tick=pair.size_tick,
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)
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return assets
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@ -358,6 +380,19 @@ class Client:
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return cached_pair
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if sym:
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opt: OptionPair|None = pair_table.get(sym)
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if not opt:
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closest_matches: dict[str, Pair] = match_from_pairs(
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pairs=pair_table,
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query=sym,
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score_cutoff=40,
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)
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closest_syms: list[str] = list(closest_matches.keys())
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raise ValueError(
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f'No contract found for {sym!r}\n\n'
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f'Closest {len(closest_syms)} available contracts:\n\n'
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f'{pformat(closest_syms)}\n'
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)
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return pair_table[sym]
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else:
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return self._pairs
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@ -381,7 +416,7 @@ class Client:
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params: dict[str, str] = {
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'currency': currency.upper(),
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'kind': kind,
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'expired': str(expired).lower()
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'expired': expired,
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}
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resp: JSONRPCResult = await self._json_rpc_auth_wrapper(
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@ -389,7 +424,7 @@ class Client:
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params,
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)
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# convert to symbol-keyed table
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pair_type: Type = PAIRTYPES[kind]
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pair_type: Pair = PAIRTYPES[kind]
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results: list[dict] | None = resp.result
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instruments: dict[str, Pair] = {}
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@ -427,12 +462,15 @@ class Client:
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mkt_pairs = await self.symbol_info()
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if not mkt_pairs:
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raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
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raise SymbolNotFound(
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f'No market pairs found!?:\n'
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f'{mkt_pairs}'
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)
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pairs_view_subtable: dict[str, Pair] = {}
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for instrument in mkt_pairs:
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pair_type: Type = PAIRTYPES[venue]
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pair_type: Pair|OptionPair = PAIRTYPES[venue]
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pair: Pair = pair_type(**mkt_pairs[instrument].to_dict())
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@ -480,12 +518,14 @@ class Client:
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if end_dt is None:
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end_dt = now('UTC')
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_orig_start_dt = start_dt
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if start_dt is None:
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start_dt = end_dt.start_of(
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'minute').subtract(minutes=limit)
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'minute'
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).subtract(minutes=limit)
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start_time = deribit_timestamp(start_dt)
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end_time = deribit_timestamp(end_dt)
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start_time: int = deribit_timestamp(start_dt)
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end_time: int = deribit_timestamp(end_dt)
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# https://docs.deribit.com/#public-get_tradingview_chart_data
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resp = await self._json_rpc_auth_wrapper(
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@ -499,8 +539,12 @@ class Client:
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result = KLinesResult(**resp.result)
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new_bars: list[tuple] = []
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for i in range(len(result.close)):
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# if _orig_start_dt is None:
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# if not new_bars:
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# import tractor
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# await tractor.pause()
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for i in range(len(result.close)):
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row = [
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(start_time + (i * (60 * 1000))) / 1000.0, # time
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result.open[i],
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@ -575,43 +619,59 @@ async def aio_price_feed_relay(
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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) -> None:
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async def _trade(data: dict, receipt_timestamp):
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to_trio.send_nowait(('trade', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'last': data,
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'broker_ts': time.time(),
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'data': data.to_dict(),
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'receipt': receipt_timestamp
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}))
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async def _l1(data: dict, receipt_timestamp):
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to_trio.send_nowait(('l1', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'ticks': [
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{
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'type': 'bid',
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'price': float(data.bid_price),
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'size': float(data.bid_size)
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},
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{
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'type': 'bsize',
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'price': float(data.bid_price),
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'size': float(data.bid_size)
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},
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{
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'type': 'ask',
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'price': float(data.ask_price),
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'size': float(data.ask_size)
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},
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{
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'type': 'asize',
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'price': float(data.ask_price),
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'size': float(data.ask_size)
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}
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]
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}))
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async def _trade(
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data: dict,
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receipt_timestamp: int,
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) -> None:
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'''
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Send `cryptofeed.FeedHandler` quotes to `piker`-side
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`trio.Task`.
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'''
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to_trio.send_nowait((
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'trade', {
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'symbol': cb_sym_to_deribit_inst(
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str_to_cb_sym(data.symbol)).lower(),
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'last': data,
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'broker_ts': time.time(),
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||||
'data': data.to_dict(),
|
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'receipt': receipt_timestamp,
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},
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))
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async def _l1(
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data: dict,
|
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receipt_timestamp: int,
|
||||
) -> None:
|
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to_trio.send_nowait((
|
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'l1', {
|
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'symbol': cb_sym_to_deribit_inst(
|
||||
str_to_cb_sym(data.symbol)).lower(),
|
||||
'ticks': [
|
||||
{
|
||||
'type': 'bid',
|
||||
'price': float(data.bid_price),
|
||||
'size': float(data.bid_size)
|
||||
},
|
||||
{
|
||||
'type': 'bsize',
|
||||
'price': float(data.bid_price),
|
||||
'size': float(data.bid_size)
|
||||
},
|
||||
{
|
||||
'type': 'ask',
|
||||
'price': float(data.ask_price),
|
||||
'size': float(data.ask_size)
|
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},
|
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{
|
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'type': 'asize',
|
||||
'price': float(data.ask_price),
|
||||
'size': float(data.ask_size)
|
||||
}
|
||||
]
|
||||
},
|
||||
))
|
||||
sym: Symbol = piker_sym_to_cb_sym(instrument)
|
||||
fh.add_feed(
|
||||
DERIBIT,
|
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|
|
@ -668,68 +728,69 @@ async def maybe_open_price_feed(
|
|||
|
||||
|
||||
|
||||
async def aio_order_feed_relay(
|
||||
fh: FeedHandler,
|
||||
instrument: Symbol,
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
) -> None:
|
||||
async def _fill(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
# TODO, move all to `.broker` submod!
|
||||
# async def aio_order_feed_relay(
|
||||
# fh: FeedHandler,
|
||||
# instrument: Symbol,
|
||||
# from_trio: asyncio.Queue,
|
||||
# to_trio: trio.abc.SendChannel,
|
||||
# ) -> None:
|
||||
# async def _fill(data: dict, receipt_timestamp):
|
||||
# breakpoint()
|
||||
|
||||
async def _order_info(data: dict, receipt_timestamp):
|
||||
breakpoint()
|
||||
# async def _order_info(data: dict, receipt_timestamp):
|
||||
# breakpoint()
|
||||
|
||||
fh.add_feed(
|
||||
DERIBIT,
|
||||
channels=[FILLS, ORDER_INFO],
|
||||
symbols=[instrument.upper()],
|
||||
callbacks={
|
||||
FILLS: _fill,
|
||||
ORDER_INFO: _order_info,
|
||||
})
|
||||
# fh.add_feed(
|
||||
# DERIBIT,
|
||||
# channels=[FILLS, ORDER_INFO],
|
||||
# symbols=[instrument.upper()],
|
||||
# callbacks={
|
||||
# FILLS: _fill,
|
||||
# ORDER_INFO: _order_info,
|
||||
# })
|
||||
|
||||
if not fh.running:
|
||||
fh.run(
|
||||
start_loop=False,
|
||||
install_signal_handlers=False)
|
||||
# if not fh.running:
|
||||
# fh.run(
|
||||
# start_loop=False,
|
||||
# install_signal_handlers=False)
|
||||
|
||||
# sync with trio
|
||||
to_trio.send_nowait(None)
|
||||
# # sync with trio
|
||||
# to_trio.send_nowait(None)
|
||||
|
||||
await asyncio.sleep(float('inf'))
|
||||
# await asyncio.sleep(float('inf'))
|
||||
|
||||
|
||||
@acm
|
||||
async def open_order_feed(
|
||||
instrument: list[str]
|
||||
) -> trio.abc.ReceiveStream:
|
||||
async with maybe_open_feed_handler() as fh:
|
||||
async with to_asyncio.open_channel_from(
|
||||
partial(
|
||||
aio_order_feed_relay,
|
||||
fh,
|
||||
instrument
|
||||
)
|
||||
) as (first, chan):
|
||||
yield chan
|
||||
# @acm
|
||||
# async def open_order_feed(
|
||||
# instrument: list[str]
|
||||
# ) -> trio.abc.ReceiveStream:
|
||||
# async with maybe_open_feed_handler() as fh:
|
||||
# async with to_asyncio.open_channel_from(
|
||||
# partial(
|
||||
# aio_order_feed_relay,
|
||||
# fh,
|
||||
# instrument
|
||||
# )
|
||||
# ) as (first, chan):
|
||||
# yield chan
|
||||
|
||||
|
||||
@acm
|
||||
async def maybe_open_order_feed(
|
||||
instrument: str
|
||||
) -> trio.abc.ReceiveStream:
|
||||
# @acm
|
||||
# async def maybe_open_order_feed(
|
||||
# instrument: str
|
||||
# ) -> trio.abc.ReceiveStream:
|
||||
|
||||
# TODO: add a predicate to maybe_open_context
|
||||
async with maybe_open_context(
|
||||
acm_func=open_order_feed,
|
||||
kwargs={
|
||||
'instrument': instrument.split('.')[0],
|
||||
'fh': fh
|
||||
},
|
||||
key=f'{instrument.split('.')[0]}-order',
|
||||
) as (cache_hit, feed):
|
||||
if cache_hit:
|
||||
yield broadcast_receiver(feed, 10)
|
||||
else:
|
||||
yield feed
|
||||
# # TODO: add a predicate to maybe_open_context
|
||||
# async with maybe_open_context(
|
||||
# acm_func=open_order_feed,
|
||||
# kwargs={
|
||||
# 'instrument': instrument.split('.')[0],
|
||||
# 'fh': fh
|
||||
# },
|
||||
# key=f'{instrument.split('.')[0]}-order',
|
||||
# ) as (cache_hit, feed):
|
||||
# if cache_hit:
|
||||
# yield broadcast_receiver(feed, 10)
|
||||
# else:
|
||||
# yield feed
|
||||
|
|
|
|||
|
|
@ -18,56 +18,57 @@
|
|||
Deribit backend.
|
||||
|
||||
'''
|
||||
from __future__ import annotations
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
from typing import Any, Optional, Callable
|
||||
from pprint import pformat
|
||||
from typing import (
|
||||
# Any,
|
||||
# Optional,
|
||||
Callable,
|
||||
)
|
||||
# from pprint import pformat
|
||||
import time
|
||||
|
||||
import cryptofeed
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
from pendulum import (
|
||||
from_timestamp,
|
||||
now,
|
||||
)
|
||||
from rapidfuzz import process as fuzzy
|
||||
import numpy as np
|
||||
import tractor
|
||||
|
||||
from piker.accounting import (
|
||||
Asset,
|
||||
MktPair,
|
||||
unpack_fqme,
|
||||
)
|
||||
from piker.brokers import (
|
||||
open_cached_client,
|
||||
NoData,
|
||||
DataUnavailable,
|
||||
)
|
||||
from piker._cacheables import (
|
||||
async_lifo_cache,
|
||||
)
|
||||
from piker.log import get_logger, get_console_log
|
||||
from piker.data import ShmArray
|
||||
from piker.log import (
|
||||
get_logger,
|
||||
mk_repr,
|
||||
)
|
||||
from piker.data.validate import FeedInit
|
||||
from piker.brokers._util import (
|
||||
BrokerError,
|
||||
DataUnavailable,
|
||||
)
|
||||
|
||||
from cryptofeed import FeedHandler
|
||||
from cryptofeed.defines import (
|
||||
DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT
|
||||
)
|
||||
from cryptofeed.symbols import Symbol
|
||||
|
||||
from .api import (
|
||||
Client, Trade,
|
||||
get_config,
|
||||
piker_sym_to_cb_sym, cb_sym_to_deribit_inst,
|
||||
Client,
|
||||
# get_config,
|
||||
piker_sym_to_cb_sym,
|
||||
cb_sym_to_deribit_inst,
|
||||
maybe_open_price_feed
|
||||
)
|
||||
from .venues import (
|
||||
Pair,
|
||||
OptionPair,
|
||||
Trade,
|
||||
)
|
||||
|
||||
_spawn_kwargs = {
|
||||
|
|
@ -86,6 +87,10 @@ async def open_history_client(
|
|||
# TODO implement history getter for the new storage layer.
|
||||
async with open_cached_client('deribit') as client:
|
||||
|
||||
pair: OptionPair = client._pairs[mkt.dst.name]
|
||||
# XXX NOTE, the cuckers use ms !!!
|
||||
creation_time_s: int = pair.creation_timestamp/1000
|
||||
|
||||
async def get_ohlc(
|
||||
timeframe: float,
|
||||
end_dt: datetime | None = None,
|
||||
|
|
@ -105,6 +110,31 @@ async def open_history_client(
|
|||
end_dt=end_dt,
|
||||
)
|
||||
if len(array) == 0:
|
||||
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'
|
||||
)
|
||||
|
|
@ -126,14 +156,20 @@ async def open_history_client(
|
|||
|
||||
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] | None:
|
||||
) -> tuple[MktPair, Pair|OptionPair] | None:
|
||||
|
||||
# uppercase since kraken bs_mktid is always upper
|
||||
if 'deribit' not in fqme.lower():
|
||||
|
|
@ -149,7 +185,7 @@ async def get_mkt_info(
|
|||
# returns, always!
|
||||
expiry: str = expiry.upper()
|
||||
venue: str = venue.upper()
|
||||
venue_lower: str = venue.lower()
|
||||
# venue_lower: str = venue.lower()
|
||||
|
||||
mkt_mode: str = 'option'
|
||||
|
||||
|
|
@ -175,52 +211,64 @@ async def get_mkt_info(
|
|||
price_tick=pair.price_tick,
|
||||
size_tick=pair.size_tick,
|
||||
bs_mktid=pair.symbol,
|
||||
expiry=pair.expiry,
|
||||
venue=mkt_mode,
|
||||
broker='deribit',
|
||||
_atype=mkt_mode,
|
||||
_fqme_without_src=True,
|
||||
|
||||
# expiry=pair.expiry,
|
||||
# XXX TODO, currently we don't use it since it's
|
||||
# already "described" in the `OptionPair.symbol: str`
|
||||
# and if we slap in the ISO repr it's kinda hideous..
|
||||
# -[ ] figure out the best either std
|
||||
)
|
||||
return mkt, pair
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
'''
|
||||
Open a live quote stream for the market set defined by `symbols`.
|
||||
|
||||
'''
|
||||
sym = symbols[0].split('.')[0]
|
||||
|
||||
init_msgs: list[FeedInit] = []
|
||||
|
||||
# multiline nested `dict` formatter (since rn quote-msgs are
|
||||
# just that).
|
||||
pfmt: Callable[[str], str] = mk_repr()
|
||||
|
||||
async with (
|
||||
open_cached_client('deribit') as client,
|
||||
send_chan as send_chan
|
||||
):
|
||||
|
||||
mkt: MktPair
|
||||
pair: Pair
|
||||
mkt, pair = await get_mkt_info(sym)
|
||||
|
||||
# build out init msgs according to latest spec
|
||||
init_msgs.append(
|
||||
FeedInit(mkt_info=mkt)
|
||||
FeedInit(
|
||||
mkt_info=mkt,
|
||||
)
|
||||
)
|
||||
nsym = piker_sym_to_cb_sym(sym)
|
||||
# build `cryptofeed` feed-handle
|
||||
cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym)
|
||||
|
||||
async with maybe_open_price_feed(sym) as stream:
|
||||
|
||||
cache = client._pairs
|
||||
|
||||
last_trades = (await client.last_trades(
|
||||
cb_sym_to_deribit_inst(nsym), count=1)).trades
|
||||
last_trades = (
|
||||
await client.last_trades(
|
||||
cb_sym_to_deribit_inst(cf_sym),
|
||||
count=1,
|
||||
)
|
||||
).trades
|
||||
|
||||
if len(last_trades) == 0:
|
||||
last_trade = None
|
||||
|
|
@ -243,13 +291,29 @@ async def stream_quotes(
|
|||
'broker_ts': last_trade.timestamp
|
||||
}]
|
||||
}
|
||||
task_status.started((init_msgs, first_quote))
|
||||
task_status.started((
|
||||
init_msgs,
|
||||
first_quote,
|
||||
))
|
||||
|
||||
feed_is_live.set()
|
||||
|
||||
# NOTE XXX, static for now!
|
||||
# => since this only handles ONE mkt feed at a time we
|
||||
# don't need a lookup table to map interleaved quotes
|
||||
# from multiple possible mkt-pairs
|
||||
topic: str = mkt.bs_fqme
|
||||
|
||||
# deliver until cancelled
|
||||
async for typ, quote in stream:
|
||||
topic = quote['symbol']
|
||||
await send_chan.send({topic: quote})
|
||||
sym: str = quote['symbol']
|
||||
log.info(
|
||||
f'deribit {typ!r} quote for {sym!r}\n\n'
|
||||
f'{pfmt(quote)}\n'
|
||||
)
|
||||
await send_chan.send({
|
||||
topic: quote,
|
||||
})
|
||||
|
||||
|
||||
@tractor.context
|
||||
|
|
@ -259,13 +323,14 @@ async def open_symbol_search(
|
|||
async with open_cached_client('deribit') as client:
|
||||
|
||||
# load all symbols locally for fast search
|
||||
cache = client._pairs
|
||||
# cache = client._pairs
|
||||
await ctx.started()
|
||||
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
pattern: str
|
||||
async for pattern in stream:
|
||||
|
||||
# NOTE: pattern fuzzy-matching is done within
|
||||
# the methd impl.
|
||||
pairs: dict[str, Pair] = await client.search_symbols(
|
||||
|
|
|
|||
|
|
@ -22,11 +22,10 @@ from __future__ import annotations
|
|||
import pendulum
|
||||
from typing import (
|
||||
Literal,
|
||||
Optional,
|
||||
)
|
||||
from decimal import Decimal
|
||||
|
||||
from msgspec import field
|
||||
|
||||
from piker.types import Struct
|
||||
|
||||
|
||||
|
|
@ -111,18 +110,21 @@ class OptionPair(Pair, frozen=True):
|
|||
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()
|
||||
iso_date = pendulum.from_timestamp(
|
||||
self.expiration_timestamp / 1000
|
||||
).isoformat()
|
||||
return iso_date
|
||||
|
||||
@property
|
||||
def venue(self) -> str:
|
||||
return 'option'
|
||||
return f'{self.instrument_type}_option'
|
||||
|
||||
@property
|
||||
def bs_fqme(self) -> str:
|
||||
|
|
|
|||
|
|
@ -30,6 +30,7 @@ import time
|
|||
from typing import (
|
||||
Any,
|
||||
AsyncIterator,
|
||||
Callable,
|
||||
TYPE_CHECKING,
|
||||
)
|
||||
|
||||
|
|
@ -54,6 +55,9 @@ from ._util import (
|
|||
get_console_log,
|
||||
)
|
||||
from ..service import maybe_spawn_daemon
|
||||
from piker.log import (
|
||||
mk_repr,
|
||||
)
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ._sharedmem import (
|
||||
|
|
@ -575,7 +579,6 @@ async def open_sample_stream(
|
|||
|
||||
|
||||
async def sample_and_broadcast(
|
||||
|
||||
bus: _FeedsBus, # noqa
|
||||
rt_shm: ShmArray,
|
||||
hist_shm: ShmArray,
|
||||
|
|
@ -596,11 +599,22 @@ async def sample_and_broadcast(
|
|||
|
||||
overruns = Counter()
|
||||
|
||||
# multiline nested `dict` formatter (since rn quote-msgs are
|
||||
# just that).
|
||||
pfmt: Callable[[str], str] = mk_repr()
|
||||
|
||||
# iterate stream delivered by broker
|
||||
async for quotes in quote_stream:
|
||||
# print(quotes)
|
||||
|
||||
# TODO: ``numba`` this!
|
||||
# XXX WARNING XXX only enable for debugging bc ow can cost
|
||||
# ALOT of perf with HF-feedz!!!
|
||||
#
|
||||
# log.info(
|
||||
# 'Rx live quotes:\n'
|
||||
# f'{pfmt(quotes)}'
|
||||
# )
|
||||
|
||||
# TODO: `numba` this!
|
||||
for broker_symbol, quote in quotes.items():
|
||||
# TODO: in theory you can send the IPC msg *before* writing
|
||||
# to the sharedmem array to decrease latency, however, that
|
||||
|
|
@ -673,6 +687,18 @@ async def sample_and_broadcast(
|
|||
sub_key: str = broker_symbol.lower()
|
||||
subs: set[Sub] = bus.get_subs(sub_key)
|
||||
|
||||
if not subs:
|
||||
all_bs_fqmes: list[str] = list(
|
||||
bus._subscribers.keys()
|
||||
)
|
||||
log.warning(
|
||||
f'No subscribers for {brokername!r} live-quote ??\n'
|
||||
f'broker_symbol: {broker_symbol}\n\n'
|
||||
|
||||
f'Maybe the backend-sys symbol does not match one of,\n'
|
||||
f'{pfmt(all_bs_fqmes)}\n'
|
||||
)
|
||||
|
||||
# NOTE: by default the broker backend doesn't append
|
||||
# it's own "name" into the fqme schema (but maybe it
|
||||
# should?) so we have to manually generate the correct
|
||||
|
|
|
|||
|
|
@ -360,7 +360,7 @@ async def open_autorecon_ws(
|
|||
|
||||
'''
|
||||
JSONRPC response-request style machinery for transparent multiplexing
|
||||
of msgs over a NoBsWs.
|
||||
of msgs over a `NoBsWs`.
|
||||
|
||||
'''
|
||||
|
||||
|
|
@ -377,6 +377,16 @@ async def open_jsonrpc_session(
|
|||
url: str,
|
||||
start_id: int = 0,
|
||||
response_type: type = JSONRPCResult,
|
||||
msg_recv_timeout: float = float('inf'),
|
||||
# ^NOTE, since only `deribit` is using this jsonrpc stuff atm
|
||||
# and options mkts are generally "slow moving"..
|
||||
#
|
||||
# FURTHER if we break the underlying ws connection then since we
|
||||
# don't pass a `fixture` to the task that manages `NoBsWs`, i.e.
|
||||
# `_reconnect_forever()`, the jsonrpc "transport pipe" get's
|
||||
# broken and never restored with wtv init sequence is required to
|
||||
# re-establish a working req-resp session.
|
||||
|
||||
# request_type: Optional[type] = None,
|
||||
# request_hook: Optional[Callable] = None,
|
||||
# error_hook: Optional[Callable] = None,
|
||||
|
|
@ -388,12 +398,18 @@ async def open_jsonrpc_session(
|
|||
|
||||
async with (
|
||||
trio.open_nursery() as n,
|
||||
open_autorecon_ws(url) as ws
|
||||
open_autorecon_ws(
|
||||
url=url,
|
||||
msg_recv_timeout=msg_recv_timeout,
|
||||
) as ws
|
||||
):
|
||||
rpc_id: Iterable[int] = count(start_id)
|
||||
rpc_results: dict[int, dict] = {}
|
||||
|
||||
async def json_rpc(method: str, params: dict) -> dict:
|
||||
async def json_rpc(
|
||||
method: str,
|
||||
params: dict,
|
||||
) -> dict:
|
||||
'''
|
||||
perform a json rpc call and wait for the result, raise exception in
|
||||
case of error field present on response
|
||||
|
|
|
|||
|
|
@ -540,7 +540,10 @@ async def open_feed_bus(
|
|||
# subscription since the backend isn't (yet) expected to
|
||||
# append it's own name to the fqme, so we filter on keys
|
||||
# which *do not* include that name (e.g .ib) .
|
||||
bus._subscribers.setdefault(bs_fqme, set())
|
||||
bus._subscribers.setdefault(
|
||||
bs_fqme,
|
||||
set(),
|
||||
)
|
||||
|
||||
# sync feed subscribers with flume handles
|
||||
await ctx.started(
|
||||
|
|
|
|||
28
piker/log.py
28
piker/log.py
|
|
@ -18,7 +18,11 @@
|
|||
Log like a forester!
|
||||
"""
|
||||
import logging
|
||||
import reprlib
|
||||
import json
|
||||
from typing import (
|
||||
Callable,
|
||||
)
|
||||
|
||||
import tractor
|
||||
from pygments import (
|
||||
|
|
@ -84,3 +88,27 @@ def colorize_json(
|
|||
# likeable styles: algol_nu, tango, monokai
|
||||
formatters.TerminalTrueColorFormatter(style=style)
|
||||
)
|
||||
|
||||
|
||||
def mk_repr(
|
||||
**repr_kws,
|
||||
) -> Callable[[str], str]:
|
||||
'''
|
||||
Allocate and deliver a `repr.Repr` instance with provided input
|
||||
settings using the std-lib's `reprlib` mod,
|
||||
* https://docs.python.org/3/library/reprlib.html
|
||||
|
||||
------ Ex. ------
|
||||
An up to 6-layer-nested `dict` as multi-line:
|
||||
- https://stackoverflow.com/a/79102479
|
||||
- https://docs.python.org/3/library/reprlib.html#reprlib.Repr.maxlevel
|
||||
|
||||
'''
|
||||
def_kws: dict[str, int] = dict(
|
||||
indent=2,
|
||||
maxlevel=6, # recursion levels
|
||||
maxstring=66, # match editor line-len limit
|
||||
)
|
||||
def_kws |= repr_kws
|
||||
reprr = reprlib.Repr(**def_kws)
|
||||
return reprr.repr
|
||||
|
|
|
|||
|
|
@ -161,7 +161,12 @@ class NativeStorageClient:
|
|||
|
||||
def index_files(self):
|
||||
for path in self._datadir.iterdir():
|
||||
if path.name in {'borked', 'expired',}:
|
||||
if (
|
||||
path.name in {'borked', 'expired',}
|
||||
or
|
||||
'.parquet' not in str(path)
|
||||
):
|
||||
# ignore all non-apache files (for now)
|
||||
continue
|
||||
|
||||
key: str = path.name.rstrip('.parquet')
|
||||
|
|
|
|||
|
|
@ -44,8 +44,10 @@ import trio
|
|||
from trio_typing import TaskStatus
|
||||
import tractor
|
||||
from pendulum import (
|
||||
Interval,
|
||||
DateTime,
|
||||
Duration,
|
||||
duration as mk_duration,
|
||||
from_timestamp,
|
||||
)
|
||||
import numpy as np
|
||||
|
|
@ -214,7 +216,8 @@ async def maybe_fill_null_segments(
|
|||
# pair, immediately stop backfilling?
|
||||
if (
|
||||
start_dt
|
||||
and end_dt < start_dt
|
||||
and
|
||||
end_dt < start_dt
|
||||
):
|
||||
await tractor.pause()
|
||||
break
|
||||
|
|
@ -262,6 +265,7 @@ async def maybe_fill_null_segments(
|
|||
except tractor.ContextCancelled:
|
||||
# log.exception
|
||||
await tractor.pause()
|
||||
raise
|
||||
|
||||
null_segs_detected.set()
|
||||
# RECHECK for more null-gaps
|
||||
|
|
@ -349,7 +353,7 @@ async def maybe_fill_null_segments(
|
|||
|
||||
async def start_backfill(
|
||||
get_hist,
|
||||
frame_types: dict[str, Duration] | None,
|
||||
def_frame_duration: Duration,
|
||||
mod: ModuleType,
|
||||
mkt: MktPair,
|
||||
shm: ShmArray,
|
||||
|
|
@ -379,22 +383,23 @@ async def start_backfill(
|
|||
update_start_on_prepend: bool = False
|
||||
if backfill_until_dt is None:
|
||||
|
||||
# TODO: drop this right and just expose the backfill
|
||||
# limits inside a [storage] section in conf.toml?
|
||||
# when no tsdb "last datum" is provided, we just load
|
||||
# some near-term history.
|
||||
# periods = {
|
||||
# 1: {'days': 1},
|
||||
# 60: {'days': 14},
|
||||
# }
|
||||
|
||||
# do a decently sized backfill and load it into storage.
|
||||
# TODO: per-provider default history-durations?
|
||||
# -[ ] inside the `open_history_client()` config allow
|
||||
# declaring the history duration limits instead of
|
||||
# guessing and/or applying the same limits to all?
|
||||
#
|
||||
# -[ ] allow declaring (default) per-provider backfill
|
||||
# limits inside a [storage] sub-section in conf.toml?
|
||||
#
|
||||
# NOTE, when no tsdb "last datum" is provided, we just
|
||||
# load some near-term history by presuming a "decently
|
||||
# large" 60s duration limit and a much shorter 1s range.
|
||||
periods = {
|
||||
1: {'days': 2},
|
||||
60: {'years': 6},
|
||||
}
|
||||
period_duration: int = periods[timeframe]
|
||||
update_start_on_prepend = True
|
||||
update_start_on_prepend: bool = True
|
||||
|
||||
# NOTE: manually set the "latest" datetime which we intend to
|
||||
# backfill history "until" so as to adhere to the history
|
||||
|
|
@ -416,7 +421,6 @@ async def start_backfill(
|
|||
f'backfill_until_dt: {backfill_until_dt}\n'
|
||||
f'last_start_dt: {last_start_dt}\n'
|
||||
)
|
||||
|
||||
try:
|
||||
(
|
||||
array,
|
||||
|
|
@ -426,37 +430,58 @@ async def start_backfill(
|
|||
timeframe,
|
||||
end_dt=last_start_dt,
|
||||
)
|
||||
|
||||
except NoData as _daterr:
|
||||
# 3 cases:
|
||||
# - frame in the middle of a legit venue gap
|
||||
# - history actually began at the `last_start_dt`
|
||||
# - some other unknown error (ib blocking the
|
||||
# history bc they don't want you seeing how they
|
||||
# cucked all the tinas..)
|
||||
if dur := frame_types.get(timeframe):
|
||||
# decrement by a frame's worth of duration and
|
||||
# retry a few times.
|
||||
last_start_dt.subtract(
|
||||
seconds=dur.total_seconds()
|
||||
orig_last_start_dt: datetime = last_start_dt
|
||||
gap_report: str = (
|
||||
f'EMPTY FRAME for `end_dt: {last_start_dt}`?\n'
|
||||
f'{mod.name} -> tf@fqme: {timeframe}@{mkt.fqme}\n'
|
||||
f'last_start_dt: {orig_last_start_dt}\n\n'
|
||||
f'bf_until: {backfill_until_dt}\n'
|
||||
)
|
||||
# EMPTY FRAME signal with 3 (likely) causes:
|
||||
#
|
||||
# 1. range contains legit gap in venue history
|
||||
# 2. history actually (edge case) **began** at the
|
||||
# value `last_start_dt`
|
||||
# 3. some other unknown error (ib blocking the
|
||||
# history-query bc they don't want you seeing how
|
||||
# they cucked all the tinas.. like with options
|
||||
# hist)
|
||||
#
|
||||
if def_frame_duration:
|
||||
# decrement by a duration's (frame) worth of time
|
||||
# as maybe indicated by the backend to see if we
|
||||
# can get older data before this possible
|
||||
# "history gap".
|
||||
last_start_dt: datetime = last_start_dt.subtract(
|
||||
seconds=def_frame_duration.total_seconds()
|
||||
)
|
||||
log.warning(
|
||||
f'{mod.name} -> EMPTY FRAME for end_dt?\n'
|
||||
f'tf@fqme: {timeframe}@{mkt.fqme}\n'
|
||||
'bf_until <- last_start_dt:\n'
|
||||
f'{backfill_until_dt} <- {last_start_dt}\n'
|
||||
f'Decrementing `end_dt` by {dur} and retry..\n'
|
||||
gap_report += (
|
||||
f'Decrementing `end_dt` and retrying with,\n'
|
||||
f'def_frame_duration: {def_frame_duration}\n'
|
||||
f'(new) last_start_dt: {last_start_dt}\n'
|
||||
)
|
||||
log.warning(gap_report)
|
||||
# skip writing to shm/tsdb and try the next
|
||||
# duration's worth of prior history.
|
||||
continue
|
||||
|
||||
else:
|
||||
# await tractor.pause()
|
||||
raise DataUnavailable(gap_report)
|
||||
|
||||
# broker says there never was or is no more history to pull
|
||||
except DataUnavailable:
|
||||
except DataUnavailable as due:
|
||||
message: str = due.args[0]
|
||||
log.warning(
|
||||
f'NO-MORE-DATA in range?\n'
|
||||
f'`{mod.name}` halted history:\n'
|
||||
f'tf@fqme: {timeframe}@{mkt.fqme}\n'
|
||||
'bf_until <- last_start_dt:\n'
|
||||
f'{backfill_until_dt} <- {last_start_dt}\n'
|
||||
f'Provider {mod.name!r} halted backfill due to,\n\n'
|
||||
|
||||
f'{message}\n'
|
||||
|
||||
f'fqme: {mkt.fqme}\n'
|
||||
f'timeframe: {timeframe}\n'
|
||||
f'last_start_dt: {last_start_dt}\n'
|
||||
f'bf_until: {backfill_until_dt}\n'
|
||||
)
|
||||
# UGH: what's a better way?
|
||||
# TODO: backends are responsible for being correct on
|
||||
|
|
@ -465,34 +490,54 @@ async def start_backfill(
|
|||
# to halt the request loop until the condition is
|
||||
# resolved or should the backend be entirely in
|
||||
# charge of solving such faults? yes, right?
|
||||
# if timeframe > 1:
|
||||
# await tractor.pause()
|
||||
return
|
||||
|
||||
time: np.ndarray = array['time']
|
||||
assert (
|
||||
array['time'][0]
|
||||
time[0]
|
||||
==
|
||||
next_start_dt.timestamp()
|
||||
)
|
||||
|
||||
diff = last_start_dt - next_start_dt
|
||||
frame_time_diff_s = diff.seconds
|
||||
assert time[-1] == next_end_dt.timestamp()
|
||||
|
||||
expected_dur: Interval = last_start_dt - next_start_dt
|
||||
|
||||
# frame's worth of sample-period-steps, in seconds
|
||||
frame_size_s: float = len(array) * timeframe
|
||||
expected_frame_size_s: float = frame_size_s + timeframe
|
||||
if frame_time_diff_s > expected_frame_size_s:
|
||||
|
||||
recv_frame_dur: Duration = (
|
||||
from_timestamp(array[-1]['time'])
|
||||
-
|
||||
from_timestamp(array[0]['time'])
|
||||
)
|
||||
if (
|
||||
(lt_frame := (recv_frame_dur < expected_dur))
|
||||
or
|
||||
(null_frame := (frame_size_s == 0))
|
||||
# ^XXX, should NEVER hit now!
|
||||
):
|
||||
# XXX: query result includes a start point prior to our
|
||||
# expected "frame size" and thus is likely some kind of
|
||||
# history gap (eg. market closed period, outage, etc.)
|
||||
# so just report it to console for now.
|
||||
if lt_frame:
|
||||
reason = 'Possible GAP (or first-datum)'
|
||||
else:
|
||||
assert null_frame
|
||||
reason = 'NULL-FRAME'
|
||||
|
||||
missing_dur: Interval = expected_dur.end - recv_frame_dur.end
|
||||
log.warning(
|
||||
'GAP DETECTED:\n'
|
||||
f'last_start_dt: {last_start_dt}\n'
|
||||
f'diff: {diff}\n'
|
||||
f'frame_time_diff_s: {frame_time_diff_s}\n'
|
||||
f'{timeframe}s-series {reason} detected!\n'
|
||||
f'fqme: {mkt.fqme}\n'
|
||||
f'last_start_dt: {last_start_dt}\n\n'
|
||||
f'recv interval: {recv_frame_dur}\n'
|
||||
f'expected interval: {expected_dur}\n\n'
|
||||
|
||||
f'Missing duration of history of {missing_dur.in_words()!r}\n'
|
||||
f'{missing_dur}\n'
|
||||
)
|
||||
# await tractor.pause()
|
||||
|
||||
to_push = diff_history(
|
||||
array,
|
||||
|
|
@ -567,7 +612,8 @@ async def start_backfill(
|
|||
# long-term storage.
|
||||
if (
|
||||
storage is not None
|
||||
and write_tsdb
|
||||
and
|
||||
write_tsdb
|
||||
):
|
||||
log.info(
|
||||
f'Writing {ln} frame to storage:\n'
|
||||
|
|
@ -688,7 +734,7 @@ async def back_load_from_tsdb(
|
|||
last_tsdb_dt
|
||||
and latest_start_dt
|
||||
):
|
||||
backfilled_size_s = (
|
||||
backfilled_size_s: Duration = (
|
||||
latest_start_dt - last_tsdb_dt
|
||||
).seconds
|
||||
# if the shm buffer len is not large enough to contain
|
||||
|
|
@ -911,6 +957,8 @@ async def tsdb_backfill(
|
|||
f'{pformat(config)}\n'
|
||||
)
|
||||
|
||||
# concurrently load the provider's most-recent-frame AND any
|
||||
# pre-existing tsdb history already saved in `piker` storage.
|
||||
dt_eps: list[DateTime, DateTime] = []
|
||||
async with trio.open_nursery() as tn:
|
||||
tn.start_soon(
|
||||
|
|
@ -921,7 +969,6 @@ async def tsdb_backfill(
|
|||
timeframe,
|
||||
config,
|
||||
)
|
||||
|
||||
tsdb_entry: tuple = await load_tsdb_hist(
|
||||
storage,
|
||||
mkt,
|
||||
|
|
@ -950,6 +997,25 @@ async def tsdb_backfill(
|
|||
mr_end_dt,
|
||||
) = dt_eps
|
||||
|
||||
first_frame_dur_s: Duration = (mr_end_dt - mr_start_dt).seconds
|
||||
calced_frame_size: Duration = mk_duration(
|
||||
seconds=first_frame_dur_s,
|
||||
)
|
||||
# NOTE, attempt to use the backend declared default frame
|
||||
# sizing (as allowed by their time-series query APIs) and
|
||||
# if not provided try to construct a default from the
|
||||
# first frame received above.
|
||||
def_frame_durs: dict[
|
||||
int,
|
||||
Duration,
|
||||
]|None = config.get('frame_types', None)
|
||||
if def_frame_durs:
|
||||
def_frame_size: Duration = def_frame_durs[timeframe]
|
||||
assert def_frame_size == calced_frame_size
|
||||
else:
|
||||
# use what we calced from first frame above.
|
||||
def_frame_size = calced_frame_size
|
||||
|
||||
# NOTE: when there's no offline data, there's 2 cases:
|
||||
# - data backend doesn't support timeframe/sample
|
||||
# period (in which case `dt_eps` should be `None` and
|
||||
|
|
@ -980,7 +1046,7 @@ async def tsdb_backfill(
|
|||
partial(
|
||||
start_backfill,
|
||||
get_hist=get_hist,
|
||||
frame_types=config.get('frame_types', None),
|
||||
def_frame_duration=def_frame_size,
|
||||
mod=mod,
|
||||
mkt=mkt,
|
||||
shm=shm,
|
||||
|
|
|
|||
File diff suppressed because it is too large
Load Diff
|
|
@ -25,11 +25,11 @@ build-backend = "poetry.core.masonry.api"
|
|||
ignore = []
|
||||
|
||||
# https://docs.astral.sh/ruff/settings/#lint_per-file-ignores
|
||||
"piker/ui/qt.py" = [
|
||||
"E402",
|
||||
'F401', # unused imports (without __all__ or blah as blah)
|
||||
# "F841", # unused variable rules
|
||||
]
|
||||
# "piker/ui/qt.py" = [
|
||||
# "E402",
|
||||
# 'F401', # unused imports (without __all__ or blah as blah)
|
||||
# # "F841", # unused variable rules
|
||||
# ]
|
||||
# ignore-init-module-imports = false
|
||||
|
||||
# ------ - ------
|
||||
|
|
@ -72,12 +72,8 @@ httpx = "^0.27.0"
|
|||
cryptofeed = "^2.4.0"
|
||||
pyarrow = "^17.0.0"
|
||||
|
||||
[tool.poetry.dependencies.tractor]
|
||||
develop = true
|
||||
git = 'https://pikers.dev/goodboy/tractor.git'
|
||||
branch = 'aio_abandons'
|
||||
# path = "../tractor"
|
||||
|
||||
tractor = {path = "../tractor", develop = true}
|
||||
websockets = "12.0"
|
||||
[tool.poetry.dependencies.asyncvnc]
|
||||
git = 'https://github.com/pikers/asyncvnc.git'
|
||||
branch = 'main'
|
||||
|
|
|
|||
Loading…
Reference in New Issue