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fix_deribit_hist_queries_NEW #25

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ntorres wants to merge 44 commits from fix_deribit_hist_queries_NEW into deribit_fix
pull from: fix_deribit_hist_queries_NEW
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ntorres commented 2025-02-11 19:17:42 +00:00
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Fixes for some issues discussed in #8 (comment)

Please test and merge if satisfied B)

Fixes for some issues discussed in https://pikers.dev/pikers/piker/pulls/8#issuecomment-156 Please test and merge if satisfied B)
ntorres added 14 commits 2025-02-11 19:17:43 +00:00
d30cfeab2c Only use `frame_types` if delivered during enter 
The `open_history_client()` provider endpoint can *optionally*
deliver a `frame_types: dict[int, pendulum.Duration]` subsection in its
`config: dict[str, dict]` (as was implemented with the `ib` backend).
This allows the `tsp` backfilling machinery to use this "recommended
frame duration" to subtract from the `last_start_dt` any time a `NoData`
gap is signalled by the `get_hist()` call allowing gaps to be ignored
safely without missing history by knowing the next earliest dt we can
query from using the `end_dt`. However, currently all crypto$ providers
haven't implemented this feat yet..

As such only try to use the `frame_types` feature if provided when
handling `NoData` conditions inside `tsp.start_backfill()` and otherwise
raise as normal.
4f4cb29a4c Refine history gap/termination signalling 
Namely handling backends which do not provide a default "frame
size-duration" in their init-config by making the backfiller guess the
value based on the first frame received.

Deats,
- adjust `start_backfill()` to take a more explicit
  `def_frame_duration: Duration` expected to be unpacked from any
  backend hist init-config by the `tsdb_backfill()` caller which now
  also computes a value from the first received frame when the config
  section isn't provided.
- in `start_backfill()` we now always expect the `def_frame_duration`
  input and always decrement the query range by this value whenever
  a `NoData` is raised by the provider-backend paired with an explicit
  `log.warning()` about the handling.
- also relay any `DataUnavailable.args[0]` message from the provider
  in the handler.
- repair "gap reporting" which checks for expected frame duration vs.
  that received with much better humanized logging on the missing
  segment using `pendulum.Interval/Duration.in_words()` output.
d2f6a31883 Mk jsronrpc's underlying ws timeout `float('inf')` 
Since currently we're only using this IPC subsys for `deribit`, and
generally speaking we're primarly supporting options markets (which are
fairly "slow moving"), flip to a default of NOT resetting the `NoBsWs`
on timeout since doing so normally breaks the jsron-rpc IPC session.
Without a proper `fixture` passed to `open_autorecon_ws()` (which we
should eventually implement!!) relying on a timeout-to-reset more or
less will just cause breakage issues - a proper reconnect sequence must
be implemented before using that feature.

Deats,
- expose and proxy through the `msg_recv_timeout` from
  `open_jsonrpc_session()` into the underlying `open_autorecon_ws()`
  call.
fc40612ca6 `.deribit.api` bit of tidying/typing 
There were some imports missing or unused as well as a variety of spots
that had grokability issues due to missing type hints.

Other tweaks as part some more thorough manual testing:
- always raise when not `brokers.toml` section since the API can never
  work (no free data without keys).
- inline the `Asset.atype='crypto_currency` field despite it maybe not
  being the best value for `OptionPair` instruments..
- tossed in a now-masked pause block for debugging history queries in
  `Client.bars()`.
- commented out all the live order ctl (internal) endpoints for now
  since they're unused.
4d92d925b6 Signal hist start using `OptionPair.creation_timestamp` 
Such that the `get_hist()` query func raises `DataUnavailable` with an
explicit message regarding the start of the (option) contract's
lifetime.

Other,
- mask some unused imports (for now?)
- drop a duplicate `tractor.get_console_log()` call which was causing
  duplicate console emits (it's already setup by brokerd init now).
- comment various unused code bits i found.
- add a info log around live quotes so we can see for the moment when
  they actually occur.. XD
8ecfbd77ac `.data._sampling`: warn about subscriber-less msgs 
Since it usually means the data-provider backend is keying the msgs
incorrectly (not using the equivalent `MktPair.bs_fqme` which as
would be rendered from the delivered `FeedInit.mkt` instance..) and
reporting the subs list should make it clear how the fqme matching is
off.

Deats,
- use the new `.log.mk_repr()` for a formatter.
- add a commented info emission that can be unmasked to help debug any
  such cases as mentioned in the summary ^^.
5aad43378c `.deribit.feed`: get live quotes workin (again) 
The quote-msg `'topic'` field was being set and sent as the
`OptionPair.symbol: str` value instead of as the `MktPair.bs_fqme: str`
as is required for matching on the `piker.data.feed` side. So change to
that and simplify the actual `.bs_fqme: str` value to NOT include the
ISO-format time (for now) since it's a big ugly and longer term we need
a `piker`-fqme friendly-on-ze-eyes format/style anyway..
8d00151aee `deribit.feed`: fix "trade" event streaming 
The main change needed to make `piker.data.feed._FeedsBus` work was
to correctly format the `'trade'` msgs with the (new schema) expected
`'ticks': list[dict]` field which,
- we compute the `piker` quote-msg-`dict` from the (now directly proxied through)
  `cryptofeed.types.Trade`'s fields inside the body of `stream_quotes()`.
- similarly, move the `'l1'` msg processing, **out of** the `asyncio`-side
  `_l1()` callback (defined as a closure in `.api.aio_price_feed_relay()`
  and passed to the `cryptofeed.FeedHandler`) and instead mod the
  callback to simply pass through the `.types.L1Book` ref directly to
  the `piker`/`trio` side task for conversion.

In support of all that,
- mask-to-drop the alt-branch to wait on a first rt event when the
  `cryptofeed.LastTradesResult.trades: list[Trade]` is empty; doesn't
  seem like this ever even happens?
- add a buncha typing, comments and doc-strs to the routines in
  `.deribit.api` including notes on where we can choose to mod the
  `.bs_fqme` for our eventually preferred `piker` style format.
- simplify some nested `@acm` enters to the new single `async with
  <tuple>)` style.
- be particularly pedantic about typing
  `tractor.to_asyncio.LinkedTaskChannel`
- bit of pep8 line-spacing fixes in `.venues`.
ntorres added 1 commit 2025-02-11 19:19:47 +00:00
2256cdf190 Mask `ruff` config and pin `websockets=0.12` 
- the `ruff` section in the `pyproject.toml` is somehow borked? (even
  though it def was working a while back..)
- `websockets` is completely broken in latest version since it's using
  old-ass `asyncio` APIs of some sort i think??
ntorres closed this pull request 2025-02-17 14:24:11 +00:00

Pull request closed

Please reopen this pull request to perform a merge.
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