677 lines
20 KiB
Python
677 lines
20 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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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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Core (web) API client
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'''
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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import itertools
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from typing import (
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Any,
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Union,
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)
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import time
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import pendulum
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import asks
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from rapidfuzz import process as fuzzy
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import numpy as np
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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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import trio
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from piker import config
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from piker.data import def_iohlcv_fields
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from piker.accounting._mktinfo import (
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Asset,
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digits_to_dec,
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dec_digits,
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)
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from piker.brokers._util import (
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resproc,
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SymbolNotFound,
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BrokerError,
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DataThrottle,
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)
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from piker.accounting import Transaction
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from piker.log import get_logger
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from .symbols import Pair
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log = get_logger('piker.brokers.kraken')
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# <uri>/<version>/
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_url = 'https://api.kraken.com/0'
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# TODO: this is the only backend providing this right?
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# in which case we should drop it from the defaults and
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# instead make a custom fields descr in this module!
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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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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 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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# assets and mkt pairs are key-ed by kraken's ReST response
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# symbol-bs_mktids (we call them "X-keys" like fricking
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# "XXMRZEUR"). these keys used directly since ledger endpoints
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# return transaction sets keyed with the same set!
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_Assets: dict[str, Asset] = {}
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_AssetPairs: dict[str, Pair] = {}
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# offer lookup tables for all .altname and .wsname
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# to the equivalent .xname so that various symbol-schemas
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# can be mapped to `Pair`s in the tables above.
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_altnames: dict[str, str] = {}
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_wsnames: dict[str, str] = {}
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# key-ed by `Pair.bs_fqme: str`, and thus used for search
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# allowing for lookup using piker's own FQME symbology sys.
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_pairs: dict[str, Pair] = {}
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_assets: dict[str, Asset] = {}
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def __init__(
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self,
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config: dict[str, str],
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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._name = name
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self._api_key = api_key
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self._secret = secret
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self.conf: dict[str, str] = config
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@property
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def pairs(self) -> dict[str, Pair]:
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if self._pairs is None:
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raise RuntimeError(
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"Client didn't run `.get_mkt_pairs()` on startup?!"
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)
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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_balances(
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self,
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) -> dict[str, float]:
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'''
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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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resp = await self.endpoint(
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'Balance',
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{},
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)
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by_bsmktid: dict[str, dict] = resp['result']
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balances: dict = {}
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for xname, bal in by_bsmktid.items():
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asset: Asset = self._Assets[xname]
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# TODO: which KEY should we use? it's used to index
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# the `Account.pps: dict` ..
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key: str = asset.name.lower()
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# TODO: should we just return a `Decimal` here
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# or is the rounded version ok?
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balances[key] = round(
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float(bal),
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ndigits=dec_digits(asset.tx_tick)
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)
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return balances
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async def get_assets(
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self,
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reload: bool = False,
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) -> dict[str, Asset]:
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'''
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Load and cache all asset infos and pack into
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our native ``Asset`` struct.
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https://docs.kraken.com/rest/#tag/Market-Data/operation/getAssetInfo
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return msg:
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"asset1": {
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"aclass": "string",
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"altname": "string",
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"decimals": 0,
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"display_decimals": 0,
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"collateral_value": 0,
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"status": "string"
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}
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'''
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if (
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not self._assets
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or reload
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):
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resp = await self._public('Assets', {})
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assets: dict[str, dict] = resp['result']
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for bs_mktid, info in assets.items():
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altname: str = info['altname']
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aclass: str = info['aclass']
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asset = Asset(
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name=altname,
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atype=f'crypto_{aclass}',
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tx_tick=digits_to_dec(info['decimals']),
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info=info,
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)
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# NOTE: yes we keep 2 sets since kraken insists on
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# keeping 3 frickin sets bc apparently they have
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# no sane data engineers whol all like different
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# keys for their fricking symbology sets..
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self._Assets[bs_mktid] = asset
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self._assets[altname.lower()] = asset
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self._assets[altname] = asset
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# we return the "most native" set merged with our preferred
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# naming (which i guess is the "altname" one) since that's
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# what the symcache loader will be storing, and we need the
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# keys that are easiest to match against in any trade
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# records.
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return self._Assets | self._assets
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async def get_trades(
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self,
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fetch_limit: int | None = None,
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) -> dict[str, Any]:
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'''
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Get the trades (aka cleared orders) history from the rest endpoint:
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https://docs.kraken.com/rest/#operation/getTradeHistory
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'''
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ofs = 0
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trades_by_id: dict[str, Any] = {}
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for i in itertools.count():
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if (
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fetch_limit
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and i >= fetch_limit
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):
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break
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# increment 'ofs' pagination offset
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ofs = i*50
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resp = await self.endpoint(
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'TradesHistory',
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{'ofs': ofs},
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)
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by_id = resp['result']['trades']
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trades_by_id.update(by_id)
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# can get up to 50 results per query, see:
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# https://docs.kraken.com/rest/#tag/User-Data/operation/getTradeHistory
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if (
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len(by_id) < 50
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):
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err = resp.get('error')
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if err:
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raise BrokerError(err)
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# we know we received the max amount of
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# trade results so there may be more history.
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# catch the end of the trades
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count = resp['result']['count']
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break
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# santity check on update
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assert count == len(trades_by_id.values())
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return trades_by_id
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async def get_xfers(
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self,
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asset: str,
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src_asset: str = '',
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) -> dict[str, Transaction]:
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'''
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Get asset balance transfer transactions.
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Currently only withdrawals are supported.
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'''
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resp = await self.endpoint(
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'WithdrawStatus',
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{'asset': asset},
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)
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try:
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xfers: list[dict] = resp['result']
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except KeyError:
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log.exception(f'Kraken suxxx: {resp}')
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return []
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# eg. resp schema:
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# 'result': [{'method': 'Bitcoin', 'aclass': 'currency', 'asset':
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# 'XXBT', 'refid': 'AGBJRMB-JHD2M4-NDI3NR', 'txid':
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# 'b95d66d3bb6fd76cbccb93f7639f99a505cb20752c62ea0acc093a0e46547c44',
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# 'info': 'bc1qc8enqjekwppmw3g80p56z5ns7ze3wraqk5rl9z',
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# 'amount': '0.00300726', 'fee': '0.00001000', 'time':
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# 1658347714, 'status': 'Success'}]}
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if xfers:
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import tractor
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await tractor.pp()
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trans: dict[str, Transaction] = {}
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for entry in xfers:
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# look up the normalized name and asset info
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asset_key: str = entry['asset']
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asset: Asset = self._Assets[asset_key]
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asset_key: str = asset.name.lower()
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# XXX: this is in the asset units (likely) so it isn't
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# quite the same as a commisions cost necessarily..)
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# TODO: also round this based on `Pair` cost precision info?
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cost = float(entry['fee'])
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# fqme: str = asset_key + '.kraken'
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tx = Transaction(
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fqme=asset_key, # this must map to an entry in .assets!
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tid=entry['txid'],
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dt=pendulum.from_timestamp(entry['time']),
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bs_mktid=f'{asset_key}{src_asset}',
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size=-1*(
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float(entry['amount'])
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+
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cost
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),
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# since this will be treated as a "sell" it
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# shouldn't be needed to compute the be price.
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price='NaN',
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# XXX: see note above
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cost=cost,
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# not a trade but a withdrawal or deposit on the
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# asset (chain) system.
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etype='transfer',
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)
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trans[tx.tid] = tx
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return trans
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async def submit_limit(
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self,
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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: str = None,
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validate: bool = False # set True test call without a real submission
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) -> dict:
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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 common data dict for common keys from both endpoints
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data = {
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"pair": symbol,
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"price": str(price),
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"validate": validate
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}
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if reqid is None:
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# Build order data for kraken api
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data |= {
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"ordertype": "limit",
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"type": action,
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"volume": str(size),
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}
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return await self.endpoint('AddOrder', data)
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else:
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# Edit order data for kraken api
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data["txid"] = reqid
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return await self.endpoint('EditOrder', data)
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async def submit_cancel(
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self,
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reqid: str,
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) -> dict:
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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 asset_pairs(
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self,
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pair_patt: str | None = None,
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) -> dict[str, Pair] | Pair:
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'''
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Query for a tradeable asset pair (info), or all if no input
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pattern is provided.
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https://docs.kraken.com/rest/#tag/Market-Data/operation/getTradableAssetPairs
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'''
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if not self._AssetPairs:
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# get all pairs by default, or filter
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# to whatever pattern is provided as input.
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req_pairs: dict[str, str] | None = None
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if pair_patt is not None:
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req_pairs = {'pair': pair_patt}
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resp = await self._public(
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'AssetPairs',
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req_pairs,
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)
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err = resp['error']
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if err:
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raise SymbolNotFound(pair_patt)
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# NOTE: we try to key pairs by our custom defined
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# `.bs_fqme` field since we want to offer search over
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# this pattern set, callers should fill out lookup
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# tables for kraken's bs_mktid keys to map to these
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# keys!
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# XXX: FURTHER kraken's data eng team decided to offer
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# 3 frickin market-pair-symbol key sets depending on
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# which frickin API is being used.
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# Example for the trading pair 'LTC<EUR'
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# - the "X-key" from rest eps 'XLTCZEUR'
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# - the "websocket key" from ws msgs is 'LTC/EUR'
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# - the "altname key" also delivered in pair info is 'LTCEUR'
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for xkey, data in resp['result'].items():
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# NOTE: always cache in pairs tables for faster lookup
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pair = Pair(xname=xkey, **data)
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# register the above `Pair` structs for all
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# key-sets/monikers: a set of 4 (frickin) tables
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# acting as a combined surjection of all possible
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# (and stupid) kraken names to their `Pair` obj.
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self._AssetPairs[xkey] = pair
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self._pairs[pair.bs_fqme] = pair
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self._altnames[pair.altname] = pair
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self._wsnames[pair.wsname] = pair
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if pair_patt is not None:
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return next(iter(self._pairs.items()))[1]
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return self._AssetPairs
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async def get_mkt_pairs(
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self,
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reload: bool = False,
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) -> dict:
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'''
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Load all market pair info build and cache it for downstream
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use.
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Multiple pair info lookup tables (like ``._altnames:
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dict[str, str]``) are created for looking up the
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piker-native `Pair`-struct from any input of the three
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(yes, it's that idiotic..) available symbol/pair-key-sets
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that kraken frickin offers depending on the API including
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the .altname, .wsname and the weird ass default set they
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return in ReST responses .xname..
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'''
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if (
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not self._pairs
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or reload
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):
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await self.asset_pairs()
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return self._AssetPairs
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async def search_symbols(
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self,
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pattern: str,
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) -> dict[str, Any]:
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'''
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Search for a symbol by "alt name"..
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It is expected that the ``Client._pairs`` table
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gets populated before conducting the underlying fuzzy-search
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over the pair-key set.
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'''
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if not len(self._pairs):
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await self.get_mkt_pairs()
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assert self._pairs, '`Client.get_mkt_pairs()` was never called!?'
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matches = fuzzy.extractBests(
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pattern,
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self._pairs,
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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: Union[int, datetime] | None = None,
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count: int = 720, # <- max allowed per query
|
|
as_np: bool = True,
|
|
|
|
) -> dict:
|
|
|
|
if since is None:
|
|
since = pendulum.now('UTC').start_of('minute').subtract(
|
|
minutes=count).timestamp()
|
|
|
|
elif isinstance(since, int):
|
|
since = pendulum.from_timestamp(since).timestamp()
|
|
|
|
else: # presumably a pendulum datetime
|
|
since = since.timestamp()
|
|
|
|
# UTC 2017-07-02 12:53:20 is oldest seconds value
|
|
since = str(max(1499000000, int(since)))
|
|
json = await self._public(
|
|
'OHLC',
|
|
data={
|
|
'pair': symbol,
|
|
'since': since,
|
|
},
|
|
)
|
|
try:
|
|
res = json['result']
|
|
res.pop('last')
|
|
bars = next(iter(res.values()))
|
|
|
|
new_bars = []
|
|
|
|
first = bars[0]
|
|
last_nz_vwap = first[-3]
|
|
if last_nz_vwap == 0:
|
|
# use close if vwap is zero
|
|
last_nz_vwap = first[-4]
|
|
|
|
# convert all fields to native types
|
|
for i, bar in enumerate(bars):
|
|
# normalize weird zero-ed vwap values..cmon kraken..
|
|
# indicates vwap didn't change since last bar
|
|
vwap = float(bar.pop(-3))
|
|
if vwap != 0:
|
|
last_nz_vwap = vwap
|
|
if vwap == 0:
|
|
vwap = last_nz_vwap
|
|
|
|
# re-insert vwap as the last of the fields
|
|
bar.append(vwap)
|
|
|
|
new_bars.append(
|
|
(i,) + tuple(
|
|
ftype(bar[j]) for j, (name, ftype) in enumerate(
|
|
def_iohlcv_fields[1:]
|
|
)
|
|
)
|
|
)
|
|
array = np.array(new_bars, dtype=def_iohlcv_fields) if as_np else bars
|
|
return array
|
|
except KeyError:
|
|
errmsg = json['error'][0]
|
|
|
|
if 'not found' in errmsg:
|
|
raise SymbolNotFound(errmsg + f': {symbol}')
|
|
|
|
elif 'Too many requests' in errmsg:
|
|
raise DataThrottle(f'{symbol}')
|
|
|
|
else:
|
|
raise BrokerError(errmsg)
|
|
|
|
@classmethod
|
|
def to_bs_fqme(
|
|
cls,
|
|
pair_str: str
|
|
) -> str:
|
|
'''
|
|
Normalize symbol names to to a 3x3 pair from the global
|
|
definition map which we build out from the data retreived from
|
|
the 'AssetPairs' endpoint, see methods above.
|
|
|
|
'''
|
|
try:
|
|
return cls._altnames[pair_str.upper()].bs_fqme
|
|
except KeyError as ke:
|
|
raise SymbolNotFound(f'kraken has no {ke.args[0]}')
|
|
|
|
|
|
@acm
|
|
async def get_client() -> Client:
|
|
|
|
conf = get_config()
|
|
if conf:
|
|
client = Client(
|
|
conf,
|
|
|
|
# TODO: don't break these up and just do internal
|
|
# conf lookups instead..
|
|
name=conf['key_descr'],
|
|
api_key=conf['api_key'],
|
|
secret=conf['secret']
|
|
)
|
|
else:
|
|
client = Client({})
|
|
|
|
# at startup, load all symbols, and asset info in
|
|
# batch requests.
|
|
async with trio.open_nursery() as nurse:
|
|
nurse.start_soon(client.get_assets)
|
|
await client.get_mkt_pairs()
|
|
|
|
yield client
|