piker/brokers/__init__.py

@@ -51,6 +51,7 @@ __brokers__: list[str] = [
     'ib',
     'kraken',
     'kucoin',
+    'deribit',
 
     # broken but used to work
     # 'questrade',
@@ -61,7 +62,6 @@ __brokers__: list[str] = [
     # wstrade
     # iex
 
-    # deribit
     # bitso
 ]
 

piker/brokers/deribit/__init__.py

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

piker/brokers/deribit/api.py

@@ -19,10 +19,14 @@ Deribit backend.
 
 '''
 import asyncio
+from collections import ChainMap
 from contextlib import (
     asynccontextmanager as acm,
 )
 from datetime import datetime
+from decimal import (
+    Decimal,
+)
 from functools import partial
 import time
 from typing import (
@@ -31,7 +35,7 @@ from typing import (
     Callable,
 )
 
-import pendulum
+from pendulum import now
 import trio
 from trio_typing import TaskStatus
 from rapidfuzz import process as fuzzy
@@ -51,7 +55,18 @@ from cryptofeed.defines import (
     OPTION, CALL, PUT
 )
 from cryptofeed.symbols import Symbol
-
+# types for managing the cb callbacks.
+# from cryptofeed.types import L1Book
+from .venues import (
+    MarketType,
+    PAIRTYPES,
+    Pair,
+    OptionPair,
+)
+from piker.accounting import (
+    Asset,
+    MktPair,
+)
 from piker.data import (
     def_iohlcv_fields,
     match_from_pairs,
@@ -80,19 +95,19 @@ _testnet_ws_url = 'wss://test.deribit.com/ws/api/v2'
 
 
 class JSONRPCResult(Struct):
-    jsonrpc: str = '2.0'
     id: int
-    result: Optional[list[dict]] = None
-    error: Optional[dict] = None
     usIn: int
     usOut: int
     usDiff: int
     testnet: bool
+    jsonrpc: str = '2.0'
+    result: Optional[list[dict]] = None
+    error: Optional[dict] = None
 
 class JSONRPCChannel(Struct):
-    jsonrpc: str = '2.0'
     method: str
     params: dict
+    jsonrpc: str = '2.0'
 
 
 class KLinesResult(Struct):
@@ -116,9 +131,12 @@ class Trade(Struct):
     instrument_name: str
     index_price: float
     direction: str
+    contracts: float
+    amount: float
     combo_trade_id: Optional[int] = 0,
     combo_id: Optional[str] = '',
-    amount: float
+    block_trade_leg_count: Optional[int] = 0,
+    block_trade_id: Optional[str] = '',
 
 class LastTradesResult(Struct):
     trades: list[Trade]
@@ -142,13 +160,15 @@ def str_to_cb_sym(name: str) -> Symbol:
     else:
         raise Exception("Couldn\'t parse option type")
 
+    new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
+
     return Symbol(
-        base, quote,
+        base=base,
+        quote=quote,
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=expiry_date,
+        expiry_date=new_expiry_date)
-        expiry_normalize=False)
 
 
 def piker_sym_to_cb_sym(name: str) -> Symbol:
@@ -165,62 +185,97 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
         raise Exception("Couldn\'t parse option type")
 
     return Symbol(
-        base, quote,
+        base=base,
+        quote=quote,
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=expiry_date.upper())
+        expiry_date=expiry_date)
 
 
 def cb_sym_to_deribit_inst(sym: Symbol):
-    # cryptofeed normalized
+    new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date)
-    cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z']
-
-    # deribit specific 
-    months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC']
-
-    exp = sym.expiry_date
-
-    # YYMDD
-    # 01234
-    year, month, day = (
-        exp[:2], months[cb_norm.index(exp[2:3])], exp[3:])
-
     otype = 'C' if sym.option_type == CALL else 'P'
 
-    return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}'
+    return f'{sym.base}-{new_expiry_date}-{sym.strike_price}-{otype}'
+
+
+def get_values_from_cb_normalized_date(expiry_date: str) -> str:
+    # deribit specific
+    cb_norm = [
+        'F', 'G', 'H', 'J',
+        'K', 'M', 'N', 'Q',
+        'U', 'V', 'X', 'Z'
+    ]
+    months = [
+        'JAN', 'FEB', 'MAR', 'APR',
+        'MAY', 'JUN', 'JUL', 'AUG',
+        'SEP', 'OCT', 'NOV', 'DEC'
+    ]
+    # YYMDD
+    # 01234
+    day, month, year = (
+        expiry_date[3:],
+        months[cb_norm.index(expiry_date[2:3])],
+        expiry_date[:2]
+    )
+    return f'{day}{month}{year}'
 
 
 def get_config() -> dict[str, Any]:
 
-    conf, path = config.load()
+    conf: dict
+    path: Path
 
+    conf, path = config.load(
+        conf_name='brokers',
+        touch_if_dne=True,
+    )
+    section: dict = {}
     section = conf.get('deribit')
 
-    # TODO: document why we send this, basically because logging params for cryptofeed
+    section['log'] = {}
-    conf['log'] = {}
+    section['log']['filename'] = 'feedhandler.log'
-    conf['log']['disabled'] = True
+    section['log']['level'] = 'DEBUG'
+    section['log']['disabled'] = True
 
     if section is None:
         log.warning(f'No config section found for deribit in {path}')
+        return {}
 
-    return conf 
+    return section
+
+def get_fh_config() -> dict[str, Any]:
+    conf_option = get_config().get('option', {})
+    conf_log = get_config().get('log', {})
+
+    return {
+        'log': {
+            'filename': conf_log.get('filename'),
+            'level': conf_log.get('level'),
+            'disabled': conf_log.get('disabled')
+        },
+        'deribit': {
+            'key_id': conf_option.get('api_key'),
+            'key_secret': conf_option.get('api_secret')
+        }
+    }
 
 
 class Client:
 
-    def __init__(self, json_rpc: Callable) -> None:
+    def __init__(
-        self._pairs: dict[str, Any] = None
+        self,
 
-        config = get_config().get('deribit', {})
+        json_rpc: Callable
 
-        if ('key_id' in config) and ('key_secret' in config):
+    ) -> None:
-            self._key_id = config['key_id']
+        self._pairs: ChainMap[str, Pair] = ChainMap()
-            self._key_secret = config['key_secret']
 
-        else:
+        config = get_config().get('option', {})
-            self._key_id = None
+
-            self._key_secret = None
+        self._key_id = config.get('api_key')
+        self._key_secret = config.get('api_secret')
 
         self.json_rpc = json_rpc
 
@@ -228,7 +283,10 @@ class Client:
     def currencies(self):
         return ['btc', 'eth', 'sol', 'usd']
 
-    async def get_balances(self, kind: str = 'option') -> dict[str, float]:
+    async def get_balances(
+        self,
+        kind: str = 'option'
+    ) -> dict[str, float]:
         """Return the set of positions for this account
         by symbol.
         """
@@ -244,20 +302,39 @@ class Client:
 
         return balances
 
-    async def get_assets(self) -> dict[str, float]:
+    async def get_assets(
+        self,
+        venue: str | None = None,
+
+    ) -> dict[str, Asset]:
         """Return the set of asset balances for this account
         by symbol.
         """
-        balances = {}
+        assets = {}
-
-        for currency in self.currencies:
         resp = await self.json_rpc(
-                'private/get_account_summary', params={
+            'private/get_account_summaries',
-                    'currency': currency.upper()})
+            params={
+                'extended' : True
+            }
+        )
+        summaries = resp.result['summaries']
+        for summary in summaries:
+            currency = summary['currency']
+            tx_tick = Decimal('1e-08')
+            atype='crypto_currency'
+            assets[currency] = Asset(
+                name=currency,
+                atype=atype,
+                tx_tick=tx_tick)
+        return assets 
 
-            balances[currency] = resp.result['balance']
+    async def get_mkt_pairs(self) -> dict[str, Pair]:
+        flat: dict[str, Pair] = {}
+        for key in self._pairs:
+            item = self._pairs.get(key)
+            flat[item.bs_fqme] = item
 
-        return balances
+        return flat
 
     async def submit_limit(
         self,
@@ -286,6 +363,28 @@ class Client:
             'private/cancel', {'order_id': oid})
         return resp.result
 
+    async def exch_info(
+        self,
+        sym: str | None = None,
+
+        venue: MarketType | None = None,
+        expiry: str | None = None,
+
+    ) -> dict[str, Pair] | Pair:
+
+        pair_table: dict[str, Pair] = self._pairs
+
+        if (
+            sym
+            and (cached_pair := pair_table.get(sym))
+        ):
+            return cached_pair
+
+        if sym:
+            return pair_table[sym.lower()]
+        else:
+            return self._pairs
+
     async def symbol_info(
         self,
         instrument: Optional[str] = None,
@@ -293,7 +392,7 @@ class Client:
         kind: str = 'option',
         expired: bool = False
 
-    ) -> dict[str, dict]:
+    ) -> dict[str, Pair] | Pair:
         '''
         Get symbol infos.
 
@@ -313,14 +412,29 @@ class Client:
             params,
         )
         # convert to symbol-keyed table
+        pair_type: Type = PAIRTYPES[kind]
         results: list[dict] | None = resp.result
-        instruments: dict[str, dict] = {
+        
-            item['instrument_name'].lower(): item
+        instruments: dict[str, Pair] = {}
-            for item in results
+        for item in results:
-        }
+            symbol=item['instrument_name'].lower()
+            try:
+                pair: Pair = pair_type(
+                    symbol=symbol,
+                    **item
+                )
+            except Exception as e:
+                e.add_note(
+                    "\nDon't panic, prolly stupid deribit changed their symbology schema again..\n"
+                    'Check out their API docs here:\n\n'
+                    'https://docs.deribit.com/?python#deribit-api-v2-1-1'
+                )
+                raise
+
+            instruments[symbol] = pair
 
         if instrument is not None:
-            return instruments[instrument]
+            return instruments[instrument.lower()]
         else:
             return instruments
 
@@ -337,12 +451,12 @@ class Client:
         self,
         pattern: str,
         limit: int = 30,
-    ) -> dict[str, Any]:
+    ) -> dict[str, Pair]:
         '''
         Fuzzy search symbology set for pairs matching `pattern`.
 
         '''
-        pairs: dict[str, Any] = await self.symbol_info()
+        pairs: dict[str, Pair] = await self.symbol_info()
         matches: dict[str, Pair] = match_from_pairs(
             pairs=pairs,
             query=pattern.upper(),
@@ -358,16 +472,19 @@ class Client:
 
     async def bars(
         self,
-        symbol: str,
+        mkt: MktPair,
+
         start_dt: Optional[datetime] = None,
         end_dt: Optional[datetime] = None,
+
         limit: int = 1000,
         as_np: bool = True,
-    ) -> dict:
+
-        instrument = symbol
+    ) -> list[tuple] | np.ndarray:
+        instrument: str = mkt.bs_fqme
 
         if end_dt is None:
-            end_dt = pendulum.now('UTC')
+            end_dt = now('UTC')
 
         if start_dt is None:
             start_dt = end_dt.start_of(
@@ -387,29 +504,27 @@ class Client:
             })
 
         result = KLinesResult(**resp.result)
-        new_bars = []
+        new_bars: list[tuple] = []
         for i in range(len(result.close)):
 
-            _open = result.open[i]
-            high = result.high[i]
-            low = result.low[i]
-            close = result.close[i]
-            volume = result.volume[i]
-
             row = [ 
                 (start_time + (i * (60 * 1000))) / 1000.0,  # time
                 result.open[i],
                 result.high[i],
                 result.low[i],
                 result.close[i],
-                result.volume[i],
+                result.volume[i]
-                0
             ]
 
             new_bars.append((i,) + tuple(row))
 
-        array = np.array(new_bars, dtype=def_iohlcv_fields) if as_np else klines
+        if not as_np:
-        return array
+            return result
+
+        return np.array(
+            new_bars,
+            dtype=def_iohlcv_fields
+        )
 
     async def last_trades(
         self,
@@ -434,10 +549,10 @@ async def get_client(
     async with (
         trio.open_nursery() as n,
         open_jsonrpc_session(
-            _testnet_ws_url, dtype=JSONRPCResult) as json_rpc
+            _ws_url, response_type=JSONRPCResult
+        ) as json_rpc
     ):
         client = Client(json_rpc)
-
         _refresh_token: Optional[str] = None
         _access_token: Optional[str] = None
 
@@ -507,7 +622,7 @@ async def get_client(
 
 @acm
 async def open_feed_handler():
-    fh = FeedHandler(config=get_config())
+    fh = FeedHandler(config=get_fh_config())
     yield fh
     await to_asyncio.run_task(fh.stop_async)
 
@@ -523,7 +638,7 @@ async def maybe_open_feed_handler() -> trio.abc.ReceiveStream:
 
 async def aio_price_feed_relay(
     fh: FeedHandler,
-    instrument: Symbol,
+    instrument: str,
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
@@ -542,21 +657,33 @@ async def aio_price_feed_relay(
             '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': 'bid',
-                {'type': 'bsize',
+                    'price': float(data.bid_price),
-                    'price': float(data.bid_price), 'size': float(data.bid_size)},
+                    'size': float(data.bid_size)
-                {'type': 'ask',
+                },
-                    'price': float(data.ask_price), 'size': float(data.ask_size)},
+                {
-                {'type': 'asize',
+                    'type': 'bsize',
-                    'price': float(data.ask_price), 'size': float(data.ask_size)}
+                    'price': float(data.bid_price),
+                    'size': float(data.bid_size)
+                },
+                {
+                    'type': 'ask',
+                    'price': float(data.ask_price),
+                    'size': float(data.ask_size)
+                },
+                {
+                    'type': 'asize',
+                    'price': float(data.ask_price),
+                    'size': float(data.ask_size)
+                }
             ]
         }))
-
+    sym: Symbol = piker_sym_to_cb_sym(instrument)
     fh.add_feed(
         DERIBIT,
         channels=[TRADES, L1_BOOK],
-        symbols=[piker_sym_to_cb_sym(instrument)],
+        symbols=[sym],
         callbacks={
             TRADES: _trade,
             L1_BOOK: _l1
@@ -597,9 +724,9 @@ async def maybe_open_price_feed(
     async with maybe_open_context(
         acm_func=open_price_feed,
         kwargs={
-            'instrument': instrument
+            'instrument': instrument.split('.')[0]
         },
-        key=f'{instrument}-price',
+        key=f'{instrument.split('.')[0]}-price',
     ) as (cache_hit, feed):
         if cache_hit:
             yield broadcast_receiver(feed, 10)
@@ -664,10 +791,10 @@ async def maybe_open_order_feed(
     async with maybe_open_context(
         acm_func=open_order_feed,
         kwargs={
-            'instrument': instrument,
+            'instrument': instrument.split('.')[0],
             'fh': fh
         },
-        key=f'{instrument}-order',
+        key=f'{instrument.split('.')[0]}-order',
     ) as (cache_hit, feed):
         if cache_hit:
             yield broadcast_receiver(feed, 10)

piker/brokers/deribit/feed.py

@@ -21,18 +21,33 @@ Deribit backend.
 from contextlib import asynccontextmanager as acm
 from datetime import datetime
 from typing import Any, Optional, Callable
+from pprint import pformat
 import time
 
 import trio
 from trio_typing import TaskStatus
-import pendulum
+from pendulum import (
+    from_timestamp,
+    now,
+)
 from rapidfuzz import process as fuzzy
 import numpy as np
 import tractor
 
-from piker.brokers import open_cached_client
+from piker.accounting import (
+    MktPair,
+    unpack_fqme,
+)
+from piker.brokers import (
+    open_cached_client,
+    NoData,
+)
+from piker._cacheables import (
+    async_lifo_cache,
+)
 from piker.log import get_logger, get_console_log
 from piker.data import ShmArray
+from piker.data.validate import FeedInit
 from piker.brokers._util import (
     BrokerError,
     DataUnavailable,
@@ -47,9 +62,13 @@ from cryptofeed.symbols import Symbol
 from .api import (
     Client, Trade,
     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,
     maybe_open_price_feed
 )
+from .venues import (
+    Pair,
+    OptionPair,
+)
 
 _spawn_kwargs = {
     'infect_asyncio': True,
@@ -64,36 +83,119 @@ async def open_history_client(
     mkt: MktPair,
 ) -> tuple[Callable, int]:
 
-    fnstrument: str = mkt.bs_fqme
     # TODO implement history getter for the new storage layer.
     async with open_cached_client('deribit') as client:
 
         async def get_ohlc(
-            end_dt: Optional[datetime] = None,
+            timeframe: float,
-            start_dt: Optional[datetime] = None,
+            end_dt: datetime | None = None,
+            start_dt: datetime | None = None,
 
         ) -> tuple[
             np.ndarray,
             datetime,  # start
             datetime,  # end
         ]:
+            if timeframe != 60:
+                raise DataUnavailable('Only 1m bars are supported')
 
-            array = await client.bars(
+            array: np.ndarray = await client.bars(
-                instrument,
+                mkt,
                 start_dt=start_dt,
                 end_dt=end_dt,
             )
             if len(array) == 0:
-                raise DataUnavailable
+                raise NoData(
+                    f'No frame for {start_dt} -> {end_dt}\n'
+                )
 
-            start_dt = pendulum.from_timestamp(array[0]['time'])
+            start_dt = from_timestamp(array[0]['time'])
-            end_dt = pendulum.from_timestamp(array[-1]['time'])
+            end_dt = from_timestamp(array[-1]['time'])
+
+            times = array['time']
+            if not times.any():
+                raise ValueError(
+                    'Bad frame with null-times?\n\n'
+                    f'{times}'
+                )
+
+            if end_dt is None:
+                inow: int = round(time.time())
+                if (inow - times[-1]) > 60:
+                    await tractor.pause()
 
             return array, start_dt, end_dt
 
         yield get_ohlc, {'erlangs': 3, 'rate': 3}
 
 
+@async_lifo_cache()
+async def get_mkt_info(
+    fqme: str,
+
+) -> tuple[MktPair, Pair] | 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()
+
+        # switch venue-mode depending on input pattern parsing
+        # since we want to use a particular endpoint (set) for
+        # pair info lookup!
+        client.mkt_mode = mkt_mode
+
+        pair: Pair = await client.exch_info(
+            sym=pair_str,
+        )
+        dst: Asset | None = assets.get(pair.bs_dst_asset)
+        if (
+            not dst
+            # TODO: a known asset DNE list?
+            # and pair.baseAsset == 'DEFI'
+        ):
+            log.warning(
+                f'UNKNOWN {venue} asset {pair.base_currency} from,\n'
+                f'{pformat(pair.to_dict())}'
+            )
+
+            # XXX UNKNOWN missing "asset", though no idea why?
+            # maybe it's only avail in the margin venue(s): /dapi/ ?
+            return None
+
+        mkt = MktPair(
+            dst=dst,
+            src=assets.get(pair.bs_src_asset),
+            price_tick=pair.price_tick,
+            size_tick=pair.size_tick,
+            bs_mktid=pair.symbol,
+            expiry=expiry,
+            venue=venue,
+            broker='deribit',
+        )
+        return mkt, pair
+
+
 async def stream_quotes(
 
     send_chan: trio.abc.SendChannel,
@@ -110,25 +212,20 @@ async def stream_quotes(
 
     sym = symbols[0]
 
+    init_msgs: list[FeedInit] = []
+
     async with (
         open_cached_client('deribit') as client,
         send_chan as send_chan
     ):
 
-        init_msgs = {
+        mkt, pair = await get_mkt_info(sym)
-            # pass back token, and bool, signalling if we're the writer
-            # and that history has been written
-            sym: {
-                'symbol_info': {
-                    'asset_type': 'option',
-                    'price_tick_size': 0.0005
-                },
-                'shm_write_opts': {'sum_tick_vml': False},
-                'fqsn': sym,
-            },
-        }
 
-        nsym = piker_sym_to_cb_sym(sym)
+        # build out init msgs according to latest spec
+        init_msgs.append(
+            FeedInit(mkt_info=mkt)
+        )
+        nsym = piker_sym_to_cb_sym(sym.split('.')[0])
 
         async with maybe_open_price_feed(sym) as stream:
 
@@ -179,7 +276,16 @@ async def open_symbol_search(
 
         async with ctx.open_stream() as stream:
 
+            pattern: str
             async for pattern in stream:
-                # repack in dict form
+                # NOTE: pattern fuzzy-matching is done within
-                await stream.send(
+                # the methd impl.
-                    await client.search_symbols(pattern))
+                pairs: dict[str, Pair] = await client.search_symbols(
+                    pattern,
+                )
+                # repack in fqme-keyed table
+                byfqme: dict[str, Pair] = {}
+                for pair in pairs.values():
+                    byfqme[pair.bs_fqme] = pair
+
+                await stream.send(byfqme)

piker/brokers/deribit/venues.py

@@ -0,0 +1,142 @@
+# 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
+from typing import (
+    Literal,
+)
+from decimal import Decimal
+
+from msgspec import field
+
+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
+    tick_size_steps: list[dict[str, str | int | float]] # [{'above_price': 0.005, 'tick_size': 0.0005}]
+
+    @property
+    def price_tick(self) -> Decimal:
+        step_size: float = self.tick_size_steps[0].get('above_price')
+        return Decimal(step_size)
+
+    @property
+    def size_tick(self) -> Decimal:
+        step_size: float = self.tick_size_steps[0].get('tick_size')
+        return Decimal(step_size)
+
+    @property
+    def bs_fqme(self) -> str:
+        return self.symbol
+
+    @property
+    def bs_mktid(self) -> str:
+        return f'{self.symbol}.{self.venue}'
+
+
+class OptionPair(Pair, frozen=True, kw_only=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'
+
+    @property
+    def venue(self) -> str:
+        return 'OPTION'
+
+    @property
+    def bs_fqme(self) -> str:
+        return f'{self.symbol}.OPTION'
+
+    @property
+    def bs_src_asset(self) -> str:
+        return f'{self.quote_currency}'
+
+    @property
+    def bs_dst_asset(self) -> str:
+        return f'{self.base_currency}'
+    
+    @property
+    def bs_mktid(self) -> str:
+        return f'{self.symbol}.{self.venue}'
+
+
+PAIRTYPES: dict[MarketType, Pair] = {
+    'option': OptionPair,
+}

pyproject.toml

@@ -69,6 +69,8 @@ pdbp = "^1.5.0"
 trio = "^0.24"
 pendulum = "^3.0.0"
 httpx = "^0.27.0"
+cryptofeed = "^2.4.0"
+pyarrow = "^17.0.0"
 
 [tool.poetry.dependencies.tractor]
 develop = true