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kraken: use userref field AND reqid, utilize openOrders sub for most msging #368

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merged 10 commits into from
Aug 3, 2022
Merged

kraken: use userref field AND reqid, utilize openOrders sub for most msging #368

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db564d7
Add casting method to our struct variant
goodboy Jul 30, 2022
b3058b8
Drop remaining `pydantic` usage, convert `OHLC` to our struct variant
goodboy Jul 30, 2022
44e21b1
Drop field import
goodboy Jul 30, 2022
808dbb1
Drop forgotten `pydantic` dataclass in binance backend..
goodboy Jul 31, 2022
dc8072c
WIP: use `userref` field over `reqid`...
goodboy Jul 29, 2022
227a804
Use both `reqid` and `userref` in order requests
goodboy Jul 30, 2022
1cbf45b
Use the ``newuserref`` field on order edits
goodboy Jul 31, 2022
69e5017
Drop status event processing at large
goodboy Aug 1, 2022
1a29193
Drop subs ack handling from streamer
goodboy Aug 1, 2022
30bcfdc
Emit fills from `openOrders` block
goodboy Aug 1, 2022
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10 changes: 5 additions & 5 deletions piker/brokers/binance.py
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Original file line number Diff line number Diff line change
Expand Up @@ -33,7 +33,6 @@
from fuzzywuzzy import process as fuzzy
import numpy as np
import tractor
from pydantic.dataclasses import dataclass
import wsproto

from .._cacheables import open_cached_client
Expand Down Expand Up @@ -106,14 +105,14 @@ class Pair(Struct, frozen=True):
permissions: list[str]


@dataclass
class OHLC:
"""Description of the flattened OHLC quote format.
class OHLC(Struct):
'''
Description of the flattened OHLC quote format.

For schema details see:
https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams

"""
'''
time: int

open: float
Expand Down Expand Up @@ -262,6 +261,7 @@ async def bars(
for i, bar in enumerate(bars):

bar = OHLC(*bar)
bar.typecast()

row = []
for j, (name, ftype) in enumerate(_ohlc_dtype[1:]):
Expand Down
27 changes: 0 additions & 27 deletions piker/brokers/kraken/api.py
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Original file line number Diff line number Diff line change
Expand Up @@ -19,7 +19,6 @@

'''
from contextlib import asynccontextmanager as acm
from dataclasses import field
from datetime import datetime
import itertools
from typing import (
Expand All @@ -34,7 +33,6 @@
import asks
from fuzzywuzzy import process as fuzzy
import numpy as np
from pydantic.dataclasses import dataclass
import urllib.parse
import hashlib
import hmac
Expand Down Expand Up @@ -78,31 +76,6 @@
}


@dataclass
class OHLC:
'''
Description of the flattened OHLC quote format.

For schema details see:
https://docs.kraken.com/websockets/#message-ohlc

'''
chan_id: int # internal kraken id
chan_name: str # eg. ohlc-1 (name-interval)
pair: str # fx pair
time: float # Begin time of interval, in seconds since epoch
etime: float # End time of interval, in seconds since epoch
open: float # Open price of interval
high: float # High price within interval
low: float # Low price within interval
close: float # Close price of interval
vwap: float # Volume weighted average price within interval
volume: float # Accumulated volume **within interval**
count: int # Number of trades within interval
# (sampled) generated tick data
ticks: list[Any] = field(default_factory=list)


def get_config() -> dict[str, Any]:

conf, path = config.load()
Expand Down
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