1209 lines
36 KiB
Python
1209 lines
36 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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'''
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Kraken backend.
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'''
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict, field
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from typing import Any, Optional, AsyncIterator, Callable
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import time
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from trio_typing import TaskStatus
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import trio
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import arrow
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import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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import itertools
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import urllib.parse
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import hashlib
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import hmac
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import base64
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from .. import config
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from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound, BrokerError
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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from ..clearing._paper_engine import PaperBoi
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from ..clearing._messages import (
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BrokerdPosition, BrokerdOrder, BrokerdStatus,
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BrokerdOrderAck, BrokerdError, BrokerdCancel,
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BrokerdFill,
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)
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log = get_logger(__name__)
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# <uri>/<version>/
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_url = 'https://api.kraken.com/0'
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# Broker specific ohlc schema which includes a vwap field
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_ohlc_dtype = [
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('index', int),
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('time', int),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('volume', float),
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('count', int),
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('bar_wap', float),
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]
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# UI components allow this to be declared such that additional
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# (historical) fields can be exposed.
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ohlc_dtype = np.dtype(_ohlc_dtype)
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_show_wap_in_history = True
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_symbol_info_translation: dict[str, str] = {
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'tick_decimals': 'pair_decimals',
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}
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# https://www.kraken.com/features/api#get-tradable-pairs
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class Pair(BaseModel):
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altname: str # alternate pair name
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wsname: str # WebSocket pair name (if available)
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aclass_base: str # asset class of base component
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base: str # asset id of base component
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aclass_quote: str # asset class of quote component
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quote: str # asset id of quote component
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lot: str # volume lot size
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pair_decimals: int # scaling decimal places for pair
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lot_decimals: int # scaling decimal places for volume
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# amount to multiply lot volume by to get currency volume
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lot_multiplier: float
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# array of leverage amounts available when buying
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leverage_buy: list[int]
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# array of leverage amounts available when selling
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leverage_sell: list[int]
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# fee schedule array in [volume, percent fee] tuples
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fees: list[tuple[int, float]]
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# maker fee schedule array in [volume, percent fee] tuples (if on
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# maker/taker)
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fees_maker: list[tuple[int, float]]
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fee_volume_currency: str # volume discount currency
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margin_call: str # margin call level
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margin_stop: str # stop-out/liquidation margin level
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ordermin: float # minimum order volume for pair
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class Trade(BaseModel):
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'''
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Trade class that helps parse and validate ownTrades stream
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'''
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reqid: str # kraken order transaction id
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action: str # buy or sell
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price: str # price of asset
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size: str # vol of asset
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broker_time: str # e.g GTC, GTD
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@dataclass
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class OHLC:
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'''
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Description of the flattened OHLC quote format.
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For schema details see:
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https://docs.kraken.com/websockets/#message-ohlc
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'''
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chan_id: int # internal kraken id
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chan_name: str # eg. ohlc-1 (name-interval)
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pair: str # fx pair
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time: float # Begin time of interval, in seconds since epoch
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etime: float # End time of interval, in seconds since epoch
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open: float # Open price of interval
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high: float # High price within interval
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low: float # Low price within interval
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close: float # Close price of interval
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vwap: float # Volume weighted average price within interval
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volume: float # Accumulated volume **within interval**
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count: int # Number of trades within interval
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# (sampled) generated tick data
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ticks: list[Any] = field(default_factory=list)
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def get_config() -> dict[str, Any]:
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conf, path = config.load()
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section = conf.get('kraken')
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if section:
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log.warning(
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'Kraken order mode is currently disabled due to bug!\n'
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'See https://github.com/pikers/piker/issues/299'
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)
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return {}
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if section is None:
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log.warning(f'No config section found for kraken in {path}')
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return {}
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return section
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def get_kraken_signature(
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urlpath: str,
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data: dict[str, Any],
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secret: str
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) -> str:
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postdata = urllib.parse.urlencode(data)
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encoded = (str(data['nonce']) + postdata).encode()
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message = urlpath.encode() + hashlib.sha256(encoded).digest()
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mac = hmac.new(base64.b64decode(secret), message, hashlib.sha512)
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sigdigest = base64.b64encode(mac.digest())
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return sigdigest.decode()
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class InvalidKey(ValueError):
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'''
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EAPI:Invalid key
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This error is returned when the API key used for the call is
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either expired or disabled, please review the API key in your
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Settings -> API tab of account management or generate a new one
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and update your application.
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'''
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class Client:
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def __init__(
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self,
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name: str = '',
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api_key: str = '',
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secret: str = ''
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) -> None:
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self._sesh = asks.Session(connections=4)
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self._sesh.base_location = _url
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self._sesh.headers.update({
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'User-Agent':
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'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
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})
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self._pairs: list[str] = []
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self._name = name
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self._api_key = api_key
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self._secret = secret
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@property
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def pairs(self) -> dict[str, Any]:
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if self._pairs is None:
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raise RuntimeError(
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"Make sure to run `cache_symbols()` on startup!"
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)
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# retreive and cache all symbols
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return self._pairs
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async def _public(
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self,
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method: str,
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data: dict,
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) -> dict[str, Any]:
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resp = await self._sesh.post(
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path=f'/public/{method}',
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json=data,
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timeout=float('inf')
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)
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return resproc(resp, log)
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async def _private(
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self,
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method: str,
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data: dict,
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uri_path: str
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) -> dict[str, Any]:
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headers = {
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'Content-Type':
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'application/x-www-form-urlencoded',
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'API-Key':
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self._api_key,
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'API-Sign':
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get_kraken_signature(uri_path, data, self._secret)
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}
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resp = await self._sesh.post(
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path=f'/private/{method}',
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data=data,
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headers=headers,
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timeout=float('inf')
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)
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return resproc(resp, log)
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async def endpoint(
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self,
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method: str,
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data: dict[str, Any]
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) -> dict[str, Any]:
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uri_path = f'/0/private/{method}'
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data['nonce'] = str(int(1000*time.time()))
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return await self._private(method, data, uri_path)
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async def get_trades(
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self,
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data: dict[str, Any] = {}
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) -> dict[str, Any]:
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data['ofs'] = 0
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# Grab all trade history
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# https://docs.kraken.com/rest/#operation/getTradeHistory
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# Kraken uses 'ofs' to refer to the offset
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while True:
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resp = await self.endpoint('TradesHistory', data)
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# grab the first 50 trades
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if data['ofs'] == 0:
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trades = resp['result']['trades']
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# load the next 50 trades using dict constructor
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# for speed
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elif data['ofs'] == 50:
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trades = dict(trades, **resp['result']['trades'])
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# catch the end of the trades
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elif resp['result']['trades'] == {}:
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count = resp['result']['count']
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break
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# update existing dict if num trades exceeds 100
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else:
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trades.update(resp['result']['trades'])
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# increment the offset counter
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data['ofs'] += 50
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# To avoid exceeding API rate limit in case of a lot of trades
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await trio.sleep(1)
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# make sure you grabbed all the trades
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assert count == len(trades.values())
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return trades
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async def submit_limit(
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self,
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oid: str,
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symbol: str,
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price: float,
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action: str,
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size: float,
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reqid: int = None,
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) -> int:
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'''
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Place an order and return integer request id provided by client.
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'''
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# Build order data for kraken api
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data = {
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"userref": reqid,
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"ordertype": "limit",
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"type": action,
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"volume": str(size),
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"pair": symbol,
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"price": str(price),
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# set to True test AddOrder call without a real submission
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"validate": False
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}
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return await self.endpoint('AddOrder', data)
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async def submit_cancel(
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self,
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reqid: str,
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) -> None:
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'''
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Send cancel request for order id ``reqid``.
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'''
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# txid is a transaction id given by kraken
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return await self.endpoint('CancelOrder', {"txid": reqid})
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async def symbol_info(
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self,
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pair: Optional[str] = None,
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):
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if pair is not None:
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pairs = {'pair': pair}
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else:
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pairs = None # get all pairs
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resp = await self._public('AssetPairs', pairs)
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err = resp['error']
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if err:
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symbolname = pairs['pair'] if pair else None
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raise SymbolNotFound(f'{symbolname}.kraken')
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pairs = resp['result']
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if pair is not None:
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_, data = next(iter(pairs.items()))
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return data
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else:
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return pairs
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async def cache_symbols(
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self,
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) -> dict:
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if not self._pairs:
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self._pairs = await self.symbol_info()
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return self._pairs
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async def search_symbols(
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self,
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pattern: str,
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limit: int = None,
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) -> dict[str, Any]:
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if self._pairs is not None:
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data = self._pairs
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else:
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data = await self.symbol_info()
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matches = fuzzy.extractBests(
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pattern,
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data,
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score_cutoff=50,
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)
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# repack in dict form
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return {item[0]['altname']: item[0] for item in matches}
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async def bars(
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self,
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symbol: str = 'XBTUSD',
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# UTC 2017-07-02 12:53:20
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since: int = None,
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count: int = 720, # <- max allowed per query
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as_np: bool = True,
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) -> dict:
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if since is None:
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since = arrow.utcnow().floor('minute').shift(
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minutes=-count).timestamp()
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# UTC 2017-07-02 12:53:20 is oldest seconds value
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since = str(max(1499000000, since))
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json = await self._public(
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'OHLC',
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data={
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'pair': symbol,
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'since': since,
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},
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)
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try:
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res = json['result']
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res.pop('last')
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bars = next(iter(res.values()))
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new_bars = []
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first = bars[0]
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last_nz_vwap = first[-3]
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if last_nz_vwap == 0:
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# use close if vwap is zero
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last_nz_vwap = first[-4]
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# convert all fields to native types
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for i, bar in enumerate(bars):
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# normalize weird zero-ed vwap values..cmon kraken..
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# indicates vwap didn't change since last bar
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vwap = float(bar.pop(-3))
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if vwap != 0:
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last_nz_vwap = vwap
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if vwap == 0:
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vwap = last_nz_vwap
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# re-insert vwap as the last of the fields
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bar.append(vwap)
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new_bars.append(
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(i,) + tuple(
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ftype(bar[j]) for j, (name, ftype) in enumerate(
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_ohlc_dtype[1:]
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)
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)
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)
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array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
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return array
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except KeyError:
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raise SymbolNotFound(json['error'][0] + f': {symbol}')
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@acm
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async def get_client() -> Client:
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section = get_config()
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if section:
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client = Client(
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name=section['key_descr'],
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api_key=section['api_key'],
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secret=section['secret']
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)
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else:
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client = Client()
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# at startup, load all symbols locally for fast search
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await client.cache_symbols()
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yield client
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def pack_positions(
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acc: str,
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trades: dict
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) -> list[Any]:
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positions: dict[str, float] = {}
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vols: dict[str, float] = {}
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costs: dict[str, float] = {}
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position_msgs: list[Any] = []
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for trade in trades.values():
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sign = -1 if trade['type'] == 'sell' else 1
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pair = trade['pair']
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vol = float(trade['vol'])
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vols[pair] = vols.get(pair, 0) + sign * vol
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costs[pair] = costs.get(pair, 0) + sign * float(trade['cost'])
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positions[pair] = costs[pair] / vols[pair] if vols[pair] else 0
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for ticker, pos in positions.items():
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vol = float(vols[ticker])
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if not vol:
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continue
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norm_sym = normalize_symbol(ticker)
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msg = BrokerdPosition(
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broker='kraken',
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account=acc,
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symbol=norm_sym,
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currency=norm_sym[-3:],
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size=vol,
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avg_price=float(pos),
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)
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position_msgs.append(msg.dict())
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return position_msgs
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def normalize_symbol(
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ticker: str
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) -> str:
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# This is to convert symbol names from what kraken
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# uses to the traditional 3x3 pair symbol syntax
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symlen = len(ticker)
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if symlen == 6:
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return ticker.lower()
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else:
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for sym in ['XXBT', 'XXMR', 'ZEUR']:
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if sym in ticker:
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ticker = ticker.replace(sym, sym[1:])
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return ticker.lower()
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def make_auth_sub(data: dict[str, Any]) -> dict[str, str]:
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'''
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Create a request subscription packet dict.
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## TODO: point to the auth urls
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https://docs.kraken.com/websockets/#message-subscribe
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'''
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# eg. specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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return {
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'event': 'subscribe',
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'subscription': data,
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}
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async def handle_order_requests(
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client: Client,
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ems_order_stream: tractor.MsgStream,
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) -> None:
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request_msg: dict
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order: BrokerdOrder
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userref_counter = itertools.count()
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async for request_msg in ems_order_stream:
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log.info(f'Received order request {request_msg}')
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action = request_msg['action']
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if action in {'buy', 'sell'}:
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account = request_msg['account']
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if account != 'kraken.spot':
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log.error(
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'This is a kraken account, \
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only a `kraken.spot` selection is valid'
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)
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await ems_order_stream.send(BrokerdError(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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# reason=f'Kraken only, No account found: `{account}` ?',
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reason=(
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'Kraken only, order mode disabled due to '
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'https://github.com/pikers/piker/issues/299'
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),
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).dict())
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continue
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|
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# validate
|
|
temp_id = next(userref_counter)
|
|
order = BrokerdOrder(**request_msg)
|
|
|
|
# call our client api to submit the order
|
|
resp = await client.submit_limit(
|
|
oid=order.oid,
|
|
symbol=order.symbol,
|
|
price=order.price,
|
|
action=order.action,
|
|
size=order.size,
|
|
reqid=temp_id,
|
|
)
|
|
|
|
err = resp['error']
|
|
if err:
|
|
oid = order.oid
|
|
log.error(f'Failed to submit order: {oid}')
|
|
|
|
await ems_order_stream.send(
|
|
BrokerdError(
|
|
oid=order.oid,
|
|
reqid=temp_id,
|
|
symbol=order.symbol,
|
|
reason="Failed order submission",
|
|
broker_details=resp
|
|
).dict()
|
|
)
|
|
else:
|
|
# TODO: handle multiple cancels
|
|
# txid is an array of strings
|
|
reqid = resp['result']['txid'][0]
|
|
# deliver ack that order has been submitted to broker routing
|
|
await ems_order_stream.send(
|
|
BrokerdOrderAck(
|
|
|
|
# ems order request id
|
|
oid=order.oid,
|
|
|
|
# broker specific request id
|
|
reqid=reqid,
|
|
|
|
# account the made the order
|
|
account=order.account
|
|
|
|
).dict()
|
|
)
|
|
|
|
elif action == 'cancel':
|
|
msg = BrokerdCancel(**request_msg)
|
|
|
|
# Send order cancellation to kraken
|
|
resp = await client.submit_cancel(
|
|
reqid=msg.reqid
|
|
)
|
|
|
|
# Check to make sure there was no error returned by
|
|
# the kraken endpoint. Assert one order was cancelled.
|
|
try:
|
|
result = resp['result']
|
|
count = result['count']
|
|
|
|
# check for 'error' key if we received no 'result'
|
|
except KeyError:
|
|
error = resp.get('error')
|
|
|
|
await ems_order_stream.send(
|
|
BrokerdError(
|
|
oid=order.oid,
|
|
reqid=temp_id,
|
|
symbol=order.symbol,
|
|
reason="Failed order cancel",
|
|
broker_details=resp
|
|
).dict()
|
|
)
|
|
|
|
if not error:
|
|
raise BrokerError(f'Unknown order cancel response: {resp}')
|
|
|
|
else:
|
|
if not count: # no orders were cancelled?
|
|
|
|
# XXX: what exactly is this from and why would we care?
|
|
# there doesn't seem to be any docs here?
|
|
# https://docs.kraken.com/rest/#operation/cancelOrder
|
|
|
|
# Check to make sure the cancellation is NOT pending,
|
|
# then send the confirmation to the ems order stream
|
|
pending = result.get('pending')
|
|
if pending:
|
|
log.error(f'Order {oid} cancel was not yet successful')
|
|
|
|
await ems_order_stream.send(
|
|
BrokerdError(
|
|
oid=order.oid,
|
|
reqid=temp_id,
|
|
symbol=order.symbol,
|
|
reason="Order cancel is still pending?",
|
|
broker_details=resp
|
|
).dict()
|
|
)
|
|
|
|
else: # order cancel success case.
|
|
|
|
await ems_order_stream.send(
|
|
BrokerdStatus(
|
|
reqid=msg.reqid,
|
|
account=msg.account,
|
|
time_ns=time.time_ns(),
|
|
status='cancelled',
|
|
reason='Order cancelled',
|
|
broker_details={'name': 'kraken'}
|
|
).dict()
|
|
)
|
|
else:
|
|
log.error(f'Unknown order command: {request_msg}')
|
|
|
|
|
|
@tractor.context
|
|
async def trades_dialogue(
|
|
ctx: tractor.Context,
|
|
loglevel: str = None,
|
|
) -> AsyncIterator[dict[str, Any]]:
|
|
|
|
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
|
get_console_log(loglevel or tractor.current_actor().loglevel)
|
|
|
|
@acm
|
|
async def subscribe(ws: wsproto.WSConnection, token: str):
|
|
# XXX: setup subs
|
|
# https://docs.kraken.com/websockets/#message-subscribe
|
|
# specific logic for this in kraken's shitty sync client:
|
|
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
|
trades_sub = make_auth_sub(
|
|
{'name': 'ownTrades', 'token': token}
|
|
)
|
|
|
|
# TODO: we want to eventually allow unsubs which should
|
|
# be completely fine to request from a separate task
|
|
# since internally the ws methods appear to be FIFO
|
|
# locked.
|
|
await ws.send_msg(trades_sub)
|
|
|
|
yield
|
|
|
|
# unsub from all pairs on teardown
|
|
await ws.send_msg({
|
|
'event': 'unsubscribe',
|
|
'subscription': ['ownTrades'],
|
|
})
|
|
|
|
# XXX: do we need to ack the unsub?
|
|
# await ws.recv_msg()
|
|
|
|
# Authenticated block
|
|
async with get_client() as client:
|
|
if not client._api_key:
|
|
log.error('Missing Kraken API key: Trades WS connection failed')
|
|
await ctx.started(({}, ['paper']))
|
|
|
|
async with (
|
|
ctx.open_stream() as ems_stream,
|
|
trio.open_nursery() as n,
|
|
):
|
|
|
|
client = PaperBoi(
|
|
'kraken',
|
|
ems_stream,
|
|
_buys={},
|
|
_sells={},
|
|
|
|
_reqids={},
|
|
|
|
# TODO: load paper positions from ``positions.toml``
|
|
_positions={},
|
|
)
|
|
|
|
# TODO: maybe add multiple accounts
|
|
n.start_soon(handle_order_requests, client, ems_stream)
|
|
|
|
acc_name = 'kraken.' + client._name
|
|
trades = await client.get_trades()
|
|
|
|
position_msgs = pack_positions(acc_name, trades)
|
|
|
|
await ctx.started((position_msgs, (acc_name,)))
|
|
|
|
# Get websocket token for authenticated data stream
|
|
# Assert that a token was actually received.
|
|
resp = await client.endpoint('GetWebSocketsToken', {})
|
|
assert resp['error'] == []
|
|
token = resp['result']['token']
|
|
|
|
async with (
|
|
ctx.open_stream() as ems_stream,
|
|
trio.open_nursery() as n,
|
|
):
|
|
# TODO: maybe add multiple accounts
|
|
n.start_soon(handle_order_requests, client, ems_stream)
|
|
|
|
# Process trades msg stream of ws
|
|
async with open_autorecon_ws(
|
|
'wss://ws-auth.kraken.com/',
|
|
fixture=subscribe,
|
|
token=token,
|
|
) as ws:
|
|
async for msg in process_trade_msgs(ws):
|
|
for trade in msg:
|
|
# check the type of packaged message
|
|
assert type(trade) == Trade
|
|
|
|
# prepare and send a filled status update
|
|
filled_msg = BrokerdStatus(
|
|
reqid=trade.reqid,
|
|
time_ns=time.time_ns(),
|
|
|
|
account='kraken.spot',
|
|
status='filled',
|
|
filled=float(trade.size),
|
|
reason='Order filled by kraken',
|
|
broker_details={
|
|
'name': 'kraken',
|
|
'broker_time': trade.broker_time
|
|
},
|
|
|
|
# TODO: figure out if kraken gives a count
|
|
# of how many units of underlying were
|
|
# filled. Alternatively we can decrement
|
|
# this value ourselves by associating and
|
|
# calcing from the diff with the original
|
|
# client-side request, see:
|
|
# https://github.com/pikers/piker/issues/296
|
|
remaining=0,
|
|
)
|
|
|
|
await ems_stream.send(filled_msg.dict())
|
|
|
|
# send a fill msg for gui update
|
|
fill_msg = BrokerdFill(
|
|
reqid=trade.reqid,
|
|
time_ns=time.time_ns(),
|
|
|
|
action=trade.action,
|
|
size=float(trade.size),
|
|
price=float(trade.price),
|
|
# TODO: maybe capture more msg data i.e fees?
|
|
broker_details={'name': 'kraken'},
|
|
broker_time=float(trade.broker_time)
|
|
)
|
|
|
|
await ems_stream.send(fill_msg.dict())
|
|
|
|
|
|
async def stream_messages(
|
|
ws: NoBsWs,
|
|
):
|
|
'''
|
|
Message stream parser and heartbeat handler.
|
|
|
|
Deliver ws subscription messages as well as handle heartbeat logic
|
|
though a single async generator.
|
|
|
|
'''
|
|
too_slow_count = last_hb = 0
|
|
|
|
while True:
|
|
|
|
with trio.move_on_after(5) as cs:
|
|
msg = await ws.recv_msg()
|
|
|
|
# trigger reconnection if heartbeat is laggy
|
|
if cs.cancelled_caught:
|
|
|
|
too_slow_count += 1
|
|
|
|
if too_slow_count > 20:
|
|
log.warning(
|
|
"Heartbeat is too slow, resetting ws connection")
|
|
|
|
await ws._connect()
|
|
too_slow_count = 0
|
|
continue
|
|
|
|
if isinstance(msg, dict):
|
|
if msg.get('event') == 'heartbeat':
|
|
|
|
now = time.time()
|
|
delay = now - last_hb
|
|
last_hb = now
|
|
|
|
# XXX: why tf is this not printing without --tl flag?
|
|
log.debug(f"Heartbeat after {delay}")
|
|
# print(f"Heartbeat after {delay}")
|
|
|
|
continue
|
|
|
|
err = msg.get('errorMessage')
|
|
if err:
|
|
raise BrokerError(err)
|
|
else:
|
|
yield msg
|
|
|
|
|
|
async def process_data_feed_msgs(
|
|
ws: NoBsWs,
|
|
):
|
|
'''
|
|
Parse and pack data feed messages.
|
|
|
|
'''
|
|
async for msg in stream_messages(ws):
|
|
|
|
chan_id, *payload_array, chan_name, pair = msg
|
|
|
|
if 'ohlc' in chan_name:
|
|
|
|
yield 'ohlc', OHLC(chan_id, chan_name, pair, *payload_array[0])
|
|
|
|
elif 'spread' in chan_name:
|
|
|
|
bid, ask, ts, bsize, asize = map(float, payload_array[0])
|
|
|
|
# TODO: really makes you think IB has a horrible API...
|
|
quote = {
|
|
'symbol': pair.replace('/', ''),
|
|
'ticks': [
|
|
{'type': 'bid', 'price': bid, 'size': bsize},
|
|
{'type': 'bsize', 'price': bid, 'size': bsize},
|
|
|
|
{'type': 'ask', 'price': ask, 'size': asize},
|
|
{'type': 'asize', 'price': ask, 'size': asize},
|
|
],
|
|
}
|
|
yield 'l1', quote
|
|
|
|
# elif 'book' in msg[-2]:
|
|
# chan_id, *payload_array, chan_name, pair = msg
|
|
# print(msg)
|
|
|
|
else:
|
|
print(f'UNHANDLED MSG: {msg}')
|
|
yield msg
|
|
|
|
|
|
async def process_trade_msgs(
|
|
ws: NoBsWs,
|
|
):
|
|
'''
|
|
Parse and pack data feed messages.
|
|
|
|
'''
|
|
sequence_counter = 0
|
|
async for msg in stream_messages(ws):
|
|
|
|
try:
|
|
# check that we are on the ownTrades stream and that msgs
|
|
# are arriving in sequence with kraken For clarification the
|
|
# kraken ws api docs for this stream:
|
|
# https://docs.kraken.com/websockets/#message-ownTrades
|
|
assert msg[1] == 'ownTrades'
|
|
assert msg[2]['sequence'] > sequence_counter
|
|
sequence_counter += 1
|
|
raw_msgs = msg[0]
|
|
trade_msgs = []
|
|
|
|
# Check that we are only processing new trades
|
|
if msg[2]['sequence'] != 1:
|
|
# check if its a new order or an update msg
|
|
for trade_msg in raw_msgs:
|
|
trade = list(trade_msg.values())[0]
|
|
order_msg = Trade(
|
|
reqid=trade['ordertxid'],
|
|
action=trade['type'],
|
|
price=trade['price'],
|
|
size=trade['vol'],
|
|
broker_time=trade['time']
|
|
)
|
|
trade_msgs.append(order_msg)
|
|
|
|
yield trade_msgs
|
|
|
|
except AssertionError:
|
|
print(f'UNHANDLED MSG: {msg}')
|
|
yield msg
|
|
|
|
|
|
def normalize(
|
|
ohlc: OHLC,
|
|
|
|
) -> dict:
|
|
quote = asdict(ohlc)
|
|
quote['broker_ts'] = quote['time']
|
|
quote['brokerd_ts'] = time.time()
|
|
quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
|
|
quote['last'] = quote['close']
|
|
quote['bar_wap'] = ohlc.vwap
|
|
|
|
# seriously eh? what's with this non-symmetry everywhere
|
|
# in subscription systems...
|
|
# XXX: piker style is always lowercases symbols.
|
|
topic = quote['pair'].replace('/', '').lower()
|
|
|
|
# print(quote)
|
|
return topic, quote
|
|
|
|
|
|
def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
|
|
'''
|
|
Create a request subscription packet dict.
|
|
|
|
https://docs.kraken.com/websockets/#message-subscribe
|
|
|
|
'''
|
|
# eg. specific logic for this in kraken's sync client:
|
|
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
|
return {
|
|
'pair': pairs,
|
|
'event': 'subscribe',
|
|
'subscription': data,
|
|
}
|
|
|
|
|
|
@acm
|
|
async def open_history_client(
|
|
symbol: str,
|
|
|
|
) -> tuple[Callable, int]:
|
|
|
|
# TODO implement history getter for the new storage layer.
|
|
async with open_cached_client('kraken') as client:
|
|
yield client
|
|
|
|
|
|
async def backfill_bars(
|
|
|
|
sym: str,
|
|
shm: ShmArray, # type: ignore # noqa
|
|
count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
|
|
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
|
|
|
) -> None:
|
|
'''
|
|
Fill historical bars into shared mem / storage afap.
|
|
'''
|
|
with trio.CancelScope() as cs:
|
|
async with open_cached_client('kraken') as client:
|
|
bars = await client.bars(symbol=sym)
|
|
shm.push(bars)
|
|
task_status.started(cs)
|
|
|
|
|
|
async def stream_quotes(
|
|
|
|
send_chan: trio.abc.SendChannel,
|
|
symbols: list[str],
|
|
feed_is_live: trio.Event,
|
|
loglevel: str = None,
|
|
|
|
# backend specific
|
|
sub_type: str = 'ohlc',
|
|
|
|
# startup sync
|
|
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
|
|
|
) -> None:
|
|
'''
|
|
Subscribe for ohlc stream of quotes for ``pairs``.
|
|
|
|
``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
|
|
|
|
'''
|
|
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
|
get_console_log(loglevel or tractor.current_actor().loglevel)
|
|
|
|
ws_pairs = {}
|
|
sym_infos = {}
|
|
|
|
async with open_cached_client('kraken') as client, send_chan as send_chan:
|
|
|
|
# keep client cached for real-time section
|
|
for sym in symbols:
|
|
|
|
# transform to upper since piker style is always lower
|
|
sym = sym.upper()
|
|
|
|
si = Pair(**await client.symbol_info(sym)) # validation
|
|
syminfo = si.dict()
|
|
syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
|
|
syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
|
|
syminfo['asset_type'] = 'crypto'
|
|
sym_infos[sym] = syminfo
|
|
ws_pairs[sym] = si.wsname
|
|
|
|
symbol = symbols[0].lower()
|
|
|
|
init_msgs = {
|
|
# pass back token, and bool, signalling if we're the writer
|
|
# and that history has been written
|
|
symbol: {
|
|
'symbol_info': sym_infos[sym],
|
|
'shm_write_opts': {'sum_tick_vml': False},
|
|
'fqsn': sym,
|
|
},
|
|
}
|
|
|
|
@acm
|
|
async def subscribe(ws: wsproto.WSConnection):
|
|
# XXX: setup subs
|
|
# https://docs.kraken.com/websockets/#message-subscribe
|
|
# specific logic for this in kraken's shitty sync client:
|
|
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
|
ohlc_sub = make_sub(
|
|
list(ws_pairs.values()),
|
|
{'name': 'ohlc', 'interval': 1}
|
|
)
|
|
|
|
# TODO: we want to eventually allow unsubs which should
|
|
# be completely fine to request from a separate task
|
|
# since internally the ws methods appear to be FIFO
|
|
# locked.
|
|
await ws.send_msg(ohlc_sub)
|
|
|
|
# trade data (aka L1)
|
|
l1_sub = make_sub(
|
|
list(ws_pairs.values()),
|
|
{'name': 'spread'} # 'depth': 10}
|
|
)
|
|
|
|
# pull a first quote and deliver
|
|
await ws.send_msg(l1_sub)
|
|
|
|
yield
|
|
|
|
# unsub from all pairs on teardown
|
|
await ws.send_msg({
|
|
'pair': list(ws_pairs.values()),
|
|
'event': 'unsubscribe',
|
|
'subscription': ['ohlc', 'spread'],
|
|
})
|
|
|
|
# XXX: do we need to ack the unsub?
|
|
# await ws.recv_msg()
|
|
|
|
# see the tips on reconnection logic:
|
|
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
|
ws: NoBsWs
|
|
async with open_autorecon_ws(
|
|
'wss://ws.kraken.com/',
|
|
fixture=subscribe,
|
|
) as ws:
|
|
|
|
# pull a first quote and deliver
|
|
msg_gen = process_data_feed_msgs(ws)
|
|
|
|
# TODO: use ``anext()`` when it lands in 3.10!
|
|
typ, ohlc_last = await msg_gen.__anext__()
|
|
|
|
topic, quote = normalize(ohlc_last)
|
|
|
|
task_status.started((init_msgs, quote))
|
|
|
|
# lol, only "closes" when they're margin squeezing clients ;P
|
|
feed_is_live.set()
|
|
|
|
# keep start of last interval for volume tracking
|
|
last_interval_start = ohlc_last.etime
|
|
|
|
# start streaming
|
|
async for typ, ohlc in msg_gen:
|
|
|
|
if typ == 'ohlc':
|
|
|
|
# TODO: can get rid of all this by using
|
|
# ``trades`` subscription...
|
|
|
|
# generate tick values to match time & sales pane:
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|
# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
|
|
volume = ohlc.volume
|
|
|
|
# new OHLC sample interval
|
|
if ohlc.etime > last_interval_start:
|
|
last_interval_start = ohlc.etime
|
|
tick_volume = volume
|
|
|
|
else:
|
|
# this is the tick volume *within the interval*
|
|
tick_volume = volume - ohlc_last.volume
|
|
|
|
ohlc_last = ohlc
|
|
last = ohlc.close
|
|
|
|
if tick_volume:
|
|
ohlc.ticks.append({
|
|
'type': 'trade',
|
|
'price': last,
|
|
'size': tick_volume,
|
|
})
|
|
|
|
topic, quote = normalize(ohlc)
|
|
|
|
elif typ == 'l1':
|
|
quote = ohlc
|
|
topic = quote['symbol'].lower()
|
|
|
|
await send_chan.send({topic: quote})
|
|
|
|
|
|
@tractor.context
|
|
async def open_symbol_search(
|
|
ctx: tractor.Context,
|
|
|
|
) -> Client:
|
|
async with open_cached_client('kraken') as client:
|
|
|
|
# load all symbols locally for fast search
|
|
cache = await client.cache_symbols()
|
|
await ctx.started(cache)
|
|
|
|
async with ctx.open_stream() as stream:
|
|
|
|
async for pattern in stream:
|
|
|
|
matches = fuzzy.extractBests(
|
|
pattern,
|
|
cache,
|
|
score_cutoff=50,
|
|
)
|
|
# repack in dict form
|
|
await stream.send(
|
|
{item[0]['altname']: item[0]
|
|
for item in matches}
|
|
)
|