713 lines
20 KiB
Python
Executable File
713 lines
20 KiB
Python
Executable File
# Copyright (C) Jared Goldman (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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Kucoin broker backend
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"""
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from typing import Any, Callable, Literal, AsyncGenerator
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from contextlib import asynccontextmanager as acm
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from datetime import datetime
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import time
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import base64
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import hmac
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import hashlib
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import wsproto
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from uuid import uuid4
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import asks
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import tractor
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import trio
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from trio_util import trio_async_generator
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from trio_typing import TaskStatus
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from fuzzywuzzy import process as fuzzy
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import pendulum
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import numpy as np
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from piker._cacheables import open_cached_client
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from piker.log import get_logger
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from ._util import DataUnavailable
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from piker.pp import config
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from ..data.types import Struct
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from ..data._web_bs import (
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open_autorecon_ws,
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NoBsWs,
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)
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log = get_logger(__name__)
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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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("bar_wap", float), # will be zeroed by sampler if not filled
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]
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class KucoinMktPair(Struct, frozen=True):
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"""
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Kucoin's pair format:
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https://docs.kucoin.com/#get-symbols-list
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"""
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baseCurrency: str
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baseIncrement: float
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baseMaxSize: float
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baseMinSize: float
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enableTrading: bool
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feeCurrency: str
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isMarginEnabled: bool
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market: str
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minFunds: float
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name: str
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priceIncrement: float
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priceLimitRate: float
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quoteCurrency: str
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quoteIncrement: float
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quoteMaxSize: float
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quoteMinSize: float
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symbol: str
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class AccountTrade(Struct, frozen=True):
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"""
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Historical trade format:
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https://docs.kucoin.com/#get-account-ledgers
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"""
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id: str
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currency: str
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amount: float
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fee: float
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balance: float
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accountType: str
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bizType: str
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direction: Literal["in", "out"]
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createdAt: float
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context: list[str]
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class AccountResponse(Struct, frozen=True):
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"""
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https://docs.kucoin.com/#get-account-ledgers
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"""
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currentPage: int
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pageSize: int
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totalNum: int
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totalPage: int
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items: list[AccountTrade]
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class KucoinTrade(Struct, frozen=True):
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"""
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Real-time trade format:
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https://docs.kucoin.com/#symbol-ticker
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"""
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bestAsk: float
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bestAskSize: float
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bestBid: float
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bestBidSize: float
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price: float
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sequence: float
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size: float
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time: float
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class KucoinL2(Struct, frozen=True):
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"""
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Real-time L2 order book format:
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https://docs.kucoin.com/#level2-5-best-ask-bid-orders
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"""
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asks: list[list[float]]
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bids: list[list[float]]
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timestamp: float
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class KucoinMsg(Struct, frozen=True):
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"""
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Generic outer-wrapper for any Kucoin ws msg
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"""
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type: str
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topic: str
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subject: str
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data: list[KucoinTrade | KucoinL2]
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class BrokerConfig(Struct, frozen=True):
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key_id: str
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key_secret: str
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key_passphrase: str
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def get_config() -> BrokerConfig | None:
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conf, _ = config.load()
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section = conf.get("kucoin")
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if section is None:
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log.warning("No config section found for kucoin in config")
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return None
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return BrokerConfig(**section).copy()
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class Client:
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def __init__(self) -> None:
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self._pairs: dict[str, KucoinMktPair] = {}
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self._bars: list[list[float]] = []
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self._config: BrokerConfig | None = get_config()
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def _gen_auth_req_headers(
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self,
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action: Literal["POST", "GET"],
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endpoint: str,
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api_v: str = "v2",
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) -> dict[str, str | bytes]:
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"""
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Generate authenticated request headers
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https://docs.kucoin.com/#authentication
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"""
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str_to_sign = (
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str(int(time.time() * 1000)) + action + f"/api/{api_v}{endpoint}"
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)
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signature = base64.b64encode(
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hmac.new(
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self._config.key_secret.encode("utf-8"),
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str_to_sign.encode("utf-8"),
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hashlib.sha256,
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).digest()
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)
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passphrase = base64.b64encode(
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hmac.new(
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self._config.key_secret.encode("utf-8"),
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self._config.key_passphrase.encode("utf-8"),
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hashlib.sha256,
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).digest()
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)
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return {
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"KC-API-SIGN": signature,
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"KC-API-TIMESTAMP": str(pendulum.now().int_timestamp * 1000),
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"KC-API-KEY": self._config.key_id,
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"KC-API-PASSPHRASE": passphrase,
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# XXX: Even if using the v1 api - this stays the same
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"KC-API-KEY-VERSION": "2",
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}
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async def _request(
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self,
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action: Literal["POST", "GET"],
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endpoint: str,
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api_v: str = "v2",
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headers: dict = {},
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) -> Any:
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"""
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Generic request wrapper for Kucoin API
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"""
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if self._config:
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headers = self._gen_auth_req_headers(action, endpoint, api_v)
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api_url = f"https://api.kucoin.com/api/{api_v}{endpoint}"
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res = await asks.request(action, api_url, headers=headers)
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if "data" in res.json():
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return res.json()["data"]
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else:
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log.error(
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f'Error making request to {api_url} -> {res.json()["msg"]}'
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)
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return res.json()["msg"]
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async def _get_ws_token(
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self,
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private: bool = False,
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) -> tuple[str, int] | None:
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"""
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Fetch ws token needed for sub access:
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https://docs.kucoin.com/#apply-connect-token
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returns a token and the interval we must ping
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the server at to keep the connection alive
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"""
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token_type = "private" if private else "public"
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try:
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data: dict[str, Any] | None = await self._request(
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"POST", f"/bullet-{token_type}", "v1"
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)
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except Exception as e:
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log.error(f"Error making request for Kucoin ws token -> {str(e)}")
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return None
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if data and "token" in data:
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# ping_interval is in ms
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ping_interval: int = data["instanceServers"][0]["pingInterval"]
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return data["token"], ping_interval
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elif data:
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log.error(
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'Error making request for Kucoin ws token'
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f'{data.json()["msg"]}'
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)
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async def _get_pairs(
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self,
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) -> dict[str, KucoinMktPair]:
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entries = await self._request("GET", "/symbols")
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syms = {
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kucoin_sym_to_fqsn(item["name"]): KucoinMktPair(**item)
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for item in entries
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}
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log.info(f" {len(syms)} Kucoin market pairs fetched")
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return syms
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async def cache_pairs(
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self,
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) -> dict[str, KucoinMktPair]:
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"""
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Get cached pairs and convert keyed symbols into fqsns if ya want
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"""
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if not self._pairs:
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self._pairs = await self._get_pairs()
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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 = 30,
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) -> dict[str, KucoinMktPair]:
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data = await self.cache_pairs()
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matches = fuzzy.extractBests(
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pattern, data, score_cutoff=35, limit=limit
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)
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# repack in dict form
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return {item[0].name: item[0] for item in matches}
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async def last_trades(self, sym: str) -> list[AccountTrade]:
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trades = await self._request(
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"GET", f"/accounts/ledgers?currency={sym}", "v1"
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)
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trades = AccountResponse(**trades)
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return trades.items
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async def _get_bars(
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self,
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fqsn: str,
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start_dt: datetime | None = None,
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end_dt: datetime | None = None,
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limit: int = 1000,
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as_np: bool = True,
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type: str = "1min",
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) -> np.ndarray:
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"""
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Get OHLC data and convert to numpy array for perffff:
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https://docs.kucoin.com/#get-klines
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Kucoin bar data format:
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[
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"1545904980", //Start time of the candle cycle 0
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"0.058", //opening price 1
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"0.049", //closing price 2
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"0.058", //highest price 3
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"0.049", //lowest price 4
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"0.018", //Transaction volume 5
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"0.000945" //Transaction amount 6
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],
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piker ohlc numpy array format:
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[
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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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('bar_wap', float), # will be zeroed by sampler if not filled
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]
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"""
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# Generate generic end and start time if values not passed
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# Currently gives us 12hrs of data
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if end_dt is None:
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end_dt = pendulum.now("UTC").add(minutes=1)
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if start_dt is None:
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start_dt = end_dt.start_of("minute").subtract(minutes=limit)
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start_dt = int(start_dt.timestamp())
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end_dt = int(end_dt.timestamp())
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kucoin_sym = fqsn_to_kucoin_sym(fqsn, self._pairs)
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url = (
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f"/market/candles?type={type}"
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f"&symbol={kucoin_sym}"
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f"&startAt={start_dt}"
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f"&endAt={end_dt}"
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)
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for i in range(10):
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data = await self._request(
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"GET",
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url,
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api_v="v1",
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)
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if not isinstance(data, list):
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# Do a gradual backoff if Kucoin is rate limiting us
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backoff_interval = i
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log.warn(
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f"History call failed, backing off for {backoff_interval}s"
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)
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await trio.sleep(backoff_interval)
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else:
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bars: list[list[str]] = data
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break
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new_bars = []
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reversed_bars = bars[::-1]
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# Convert from kucoin format to piker format
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for i, bar in enumerate(reversed_bars):
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new_bars.append(
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(
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# index
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i,
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# time
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int(bar[0]),
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# open
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float(bar[1]),
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# high
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float(bar[3]),
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# low
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float(bar[4]),
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# close
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float(bar[2]),
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# volume
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float(bar[5]),
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# bar_wap
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0.0,
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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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def fqsn_to_kucoin_sym(fqsn: str, pairs: dict[str, KucoinMktPair]) -> str:
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pair_data = pairs[fqsn]
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return pair_data.baseCurrency + "-" + pair_data.quoteCurrency
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def kucoin_sym_to_fqsn(sym: str) -> str:
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return sym.lower().replace("-", "")
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@acm
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async def get_client() -> AsyncGenerator[Client, None]:
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client = Client()
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await client.cache_pairs()
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yield client
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@tractor.context
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async def open_symbol_search(
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ctx: tractor.Context,
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) -> None:
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async with open_cached_client("kucoin") as client:
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# load all symbols locally for fast search
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await client.cache_pairs()
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await ctx.started()
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async with ctx.open_stream() as stream:
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async for pattern in stream:
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await stream.send(await client.search_symbols(pattern))
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log.info("Kucoin symbol search opened")
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@acm
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async def open_ping_task(ws: wsproto.WSConnection, ping_interval, connect_id):
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"""
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Spawn a non-blocking task that pings the ws
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server every ping_interval so Kucoin doesn't drop
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our connection
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"""
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async with trio.open_nursery() as n:
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# TODO: cache this task so it's only called once
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async def ping_server():
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while True:
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await trio.sleep((ping_interval - 1000) / 1000)
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await ws.send_msg({"id": connect_id, "type": "ping"})
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log.info("Starting ping task for kucoin ws connection")
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n.start_soon(ping_server)
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yield
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n.cancel_scope.cancel()
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async def stream_quotes(
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send_chan: trio.abc.SendChannel,
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symbols: list[str],
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feed_is_live: trio.Event,
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loglevel: str = "",
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# startup sync
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task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
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) -> None:
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"""
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Required piker api to stream real-time data.
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Where the rubber hits the road baby
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"""
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async with open_cached_client("kucoin") as client:
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token, ping_interval = await client._get_ws_token()
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connect_id = str(uuid4())
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pairs = await client.cache_pairs()
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ws_url = (
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f"wss://ws-api-spot.kucoin.com/?"
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f"token={token}&[connectId={connect_id}]"
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)
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# open ping task
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async with (
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open_autorecon_ws(ws_url) as ws,
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open_ping_task(ws, ping_interval, connect_id),
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):
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log.info("Starting up quote stream")
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# loop through symbols and sub to feedz
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for sym in symbols:
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pair: KucoinMktPair = pairs[sym]
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kucoin_sym = pair.symbol
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init_msgs = {
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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sym: {
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"symbol_info": {
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"asset_type": "crypto",
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"price_tick_size": float(pair.baseIncrement),
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"lot_tick_size": float(pair.baseMinSize),
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},
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"shm_write_opts": {"sum_tick_vml": False},
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"fqsn": sym,
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}
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}
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async with (
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subscribe(ws, connect_id, kucoin_sym),
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stream_messages(ws, sym) as msg_gen,
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):
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typ, quote = await anext(msg_gen)
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while typ != "trade":
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# take care to not unblock here until we get a real
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# trade quote
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typ, quote = await anext(msg_gen)
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task_status.started((init_msgs, quote))
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feed_is_live.set()
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async for typ, msg in msg_gen:
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await send_chan.send({sym: msg})
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@acm
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async def subscribe(ws: wsproto.WSConnection, connect_id, sym):
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# level 2 sub
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await ws.send_msg(
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{
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"id": connect_id,
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"type": "subscribe",
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"topic": f"/spotMarket/level2Depth5:{sym}",
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"privateChannel": False,
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"response": True,
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}
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)
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# watch trades
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await ws.send_msg(
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{
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"id": connect_id,
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"type": "subscribe",
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"topic": f"/market/ticker:{sym}",
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"privateChannel": False,
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"response": True,
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}
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)
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yield
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# unsub
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if ws.connected():
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log.info(f"Unsubscribing to {sym} feed")
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await ws.send_msg(
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{
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"id": connect_id,
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"type": "unsubscribe",
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"topic": f"/market/ticker:{sym}",
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"privateChannel": False,
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"response": True,
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}
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)
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|
|
|
|
|
@trio_async_generator
|
|
async def stream_messages(
|
|
ws: NoBsWs, sym: str
|
|
) -> AsyncGenerator[NoBsWs, dict]:
|
|
timeouts = 0
|
|
last_trade_ts = 0
|
|
|
|
while True:
|
|
with trio.move_on_after(3) as cs:
|
|
msg = await ws.recv_msg()
|
|
if cs.cancelled_caught:
|
|
timeouts += 1
|
|
if timeouts > 2:
|
|
log.error("kucoin feed is sh**ing the bed... rebooting...")
|
|
await ws._connect()
|
|
|
|
continue
|
|
|
|
if msg.get("subject"):
|
|
msg = KucoinMsg(**msg)
|
|
match msg.subject:
|
|
case "trade.ticker":
|
|
trade_data = KucoinTrade(**msg.data)
|
|
|
|
# XXX: Filter for duplicate messages as ws feed will
|
|
# send duplicate market state
|
|
# https://docs.kucoin.com/#level2-5-best-ask-bid-orders
|
|
if trade_data.time == last_trade_ts:
|
|
continue
|
|
|
|
last_trade_ts = trade_data.time
|
|
|
|
yield "trade", {
|
|
"symbol": sym,
|
|
"last": trade_data.price,
|
|
"brokerd_ts": last_trade_ts,
|
|
"ticks": [
|
|
{
|
|
"type": "trade",
|
|
"price": float(trade_data.price),
|
|
"size": float(trade_data.size),
|
|
"broker_ts": last_trade_ts,
|
|
}
|
|
],
|
|
}
|
|
|
|
case "level2":
|
|
l2_data = KucoinL2(**msg.data)
|
|
first_ask = l2_data.asks[0]
|
|
first_bid = l2_data.bids[0]
|
|
yield "l1", {
|
|
"symbol": sym,
|
|
"ticks": [
|
|
{
|
|
"type": "bid",
|
|
"price": float(first_bid[0]),
|
|
"size": float(first_bid[1]),
|
|
},
|
|
{
|
|
"type": "bsize",
|
|
"price": float(first_bid[0]),
|
|
"size": float(first_bid[1]),
|
|
},
|
|
{
|
|
"type": "ask",
|
|
"price": float(first_ask[0]),
|
|
"size": float(first_ask[1]),
|
|
},
|
|
{
|
|
"type": "asize",
|
|
"price": float(first_ask[0]),
|
|
"size": float(first_ask[1]),
|
|
},
|
|
],
|
|
}
|
|
|
|
|
|
@acm
|
|
async def open_history_client(
|
|
symbol: str,
|
|
type: str = "1m",
|
|
) -> AsyncGenerator[Callable, None]:
|
|
async with open_cached_client("kucoin") as client:
|
|
log.info("Attempting to open kucoin history client")
|
|
|
|
async def get_ohlc_history(
|
|
timeframe: float,
|
|
end_dt: datetime | None = None,
|
|
start_dt: datetime | None = None,
|
|
) -> tuple[
|
|
np.ndarray, datetime | None, datetime | None
|
|
]: # start # end
|
|
if timeframe != 60:
|
|
raise DataUnavailable("Only 1m bars are supported")
|
|
|
|
array = await client._get_bars(
|
|
symbol,
|
|
start_dt=start_dt,
|
|
end_dt=end_dt,
|
|
)
|
|
|
|
times = array["time"]
|
|
|
|
if end_dt is None:
|
|
inow = round(time.time())
|
|
|
|
print(
|
|
f"difference in time between load and processing"
|
|
f"{inow - times[-1]}"
|
|
)
|
|
|
|
if (inow - times[-1]) > 60:
|
|
await tractor.breakpoint()
|
|
|
|
start_dt = pendulum.from_timestamp(times[0])
|
|
end_dt = pendulum.from_timestamp(times[-1])
|
|
|
|
log.info("History succesfully fetched baby")
|
|
|
|
return array, start_dt, end_dt
|
|
|
|
yield get_ohlc_history, {}
|