Get binance OHLC history and quote format correct

This gets the binance provider meeting the data feed schema requirements
of both the OHLC sampling/charting machinery as well as proper
formatting of historical OHLC history.

Notably,
- spec a minimal ohlc dtype based on the kline endpoint
- use a dataclass to parse out OHLC bar datums and pack into np.ndarray/shm
- add the ``aggTrade`` endpoint to get last clearing (traded) prices,
  validate with ``pydantic`` and then normalize these into our tick-quote
  format for delivery over the feed stream api.
- a notable requirement is that the "first" quote from the feed must
  contain a 'last` field so the clearing system can start up correctly.

piker/brokers/binance.py

@@ -19,7 +19,6 @@
 
 """
 from contextlib import asynccontextmanager, AsyncExitStack
-from dataclasses import asdict, field
 from types import ModuleType
 from typing import List, Dict, Any, Tuple, Union, Optional
 import json
@@ -45,7 +44,7 @@
 
 
 from .api import open_cached_client
-from ._util import resproc, SymbolNotFound, BrokerError
+from ._util import resproc, SymbolNotFound
 from ..log import get_logger, get_console_log
 from ..data import ShmArray
 
@@ -64,12 +63,14 @@
     ('low', float),
     ('close', float),
     ('volume', float),
-    ('close_time', int),
-    ('quote_vol', float),
-    ('num_trades', int),
-    ('buy_base_vol', float),
-    ('buy_quote_vol', float),
-    ('ignore', float)
+    # XXX: don't need these in shm history right?
+    # ('close_time', int),
+    # ('quote_vol', float),
+    # ('num_trades', int),
+    # ('buy_base_vol', float),
+    # ('buy_quote_vol', float),
+    # ('ignore', float),
+    ('bar_wap', float),  # will be zeroed by sampler if not filled
 ]
 
 # UI components allow this to be declared such that additional
@@ -78,9 +79,10 @@
 
 _show_wap_in_history = False
 
+
 # https://binance-docs.github.io/apidocs/spot/en/#exchange-information
 class Pair(BaseModel):
-    symbol: str 
+    symbol: str
     status: str
 
     baseAsset: str
@@ -99,42 +101,67 @@ class Pair(BaseModel):
     quoteOrderQtyMarketAllowed: bool
     isSpotTradingAllowed: bool
     isMarginTradingAllowed: bool
-    
+
     filters: List[Dict[str, Union[str, int, float]]]
     permissions: List[str]
 
 
+# TODO: this isn't being used yet right?
 @dataclass
 class OHLC:
     """Description of the flattened OHLC quote format.
 
     For schema details see:
-        https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams
+    https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams
+
+    documented format:
+    ```
+        [
+          [
+            1499040000000,      // Open time
+            "0.01634790",       // Open
+            "0.80000000",       // High
+            "0.01575800",       // Low
+            "0.01577100",       // Close
+            "148976.11427815",  // Volume
+            1499644799999,      // Close time
+            "2434.19055334",    // Quote asset volume
+            308,                // Number of trades
+            "1756.87402397",    // Taker buy base asset volume
+            "28.46694368",      // Taker buy quote asset volume
+            "17928899.62484339" // Ignore.
+          ]
+        ]
+    ```
+
     """
-    start_time: int
-    end_time: int
-    symbol: str
-    interval: str
-    first_id: int
-    last_id: int
+    time: int
+
     open: float
-    close: float
     high: float
     low: float
-    base_vol: float
-    num_trades: int
-    closed: bool
+    close: float
+    volume: float
+
+    close_time: int
+
     quote_vol: float
+    num_trades: int
     buy_base_vol: float
     buy_quote_vol: float
     ignore: int
+
+    # null the place holder for `bar_wap` until we
+    # figure out what to extract for this.
+    bar_wap: float = 0.0
+
     # (sampled) generated tick data
-    ticks: List[Any] = field(default_factory=list)
+    # ticks: List[Any] = field(default_factory=list)
 
 
 # convert arrow timestamp to unixtime in miliseconds
 def binance_timestamp(when):
-    return int((when.timestamp * 1000) + (when.microsecond / 1000))
+    return int((when.timestamp() * 1000) + (when.microsecond / 1000))
 
 
 class Client:
@@ -158,14 +185,16 @@ async def _api(
     async def symbol_info(
         self,
         sym: Optional[str] = None
-    ):
+
+    ) -> dict:
+
         resp = await self._api('exchangeInfo', {})
         if sym is not None:
             for sym_info in resp['symbols']:
                 if sym_info['symbol'] == sym:
                     return sym_info
             else:
-                raise BrokerError(f'{sym} not found')
+                raise SymbolNotFound(f'{sym} not found')
         else:
             return resp['symbols']
 
@@ -176,17 +205,18 @@ async def bars(
         end_time: int = None,
         limit: int = 1000,  # <- max allowed per query
         as_np: bool = True,
+
     ) -> dict:
+
         if start_time is None:
             start_time = binance_timestamp(
-                arrow.utcnow()
-                    .floor('minute')
-                    .shift(minutes=-limit)
+                arrow.utcnow().floor('minute').shift(minutes=-limit)
             )
-        
+
         if end_time is None:
             end_time = binance_timestamp(arrow.utcnow())
 
+        # https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
         bars = await self._api(
             'klines',
             {
@@ -198,12 +228,29 @@ async def bars(
             }
         )
 
-        new_bars = [
-            (i,) + tuple(
-                ftype(bar[j])
-                for j, (name, ftype) in enumerate(_ohlc_dtype[1:])
-            ) for i, bar in enumerate(bars)
-        ] 
+        # TODO: pack this bars scheme into a ``pydantic`` validator type:
+        # https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
+
+        # TODO: we should port this to ``pydantic`` to avoid doing
+        # manual validation ourselves..
+        new_bars = []
+        for i, bar in enumerate(bars):
+
+            bar = OHLC(*bar)
+
+            row = []
+            for j, (name, ftype) in enumerate(_ohlc_dtype[1:]):
+
+                # TODO: maybe we should go nanoseconds on all
+                # history time stamps?
+                if name == 'time':
+                    # convert to epoch seconds: float
+                    row.append(bar.time / 1000.0)
+
+                else:
+                    row.append(getattr(bar, name))
+
+            new_bars.append((i,) + tuple(row))
 
         array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
         return array
@@ -214,15 +261,32 @@ async def get_client() -> Client:
     yield Client()
 
 
+# validation type
+class AggTrade(BaseModel):
+    e: str  # "aggTrade",  # Event type
+    E: int  # 123456789,   # Event time
+    s: str  # "BNBBTC",    # Symbol
+    a: int  # 12345,       # Aggregate trade ID
+    p: float  # "0.001",     # Price
+    q: float  # "100",       # Quantity
+    f: int  # 100,         # First trade ID
+    l: int  # 105,         # Last trade ID
+    T: int  # 123456785,   # Trade time
+    m: bool  # true,        # Is the buyer the market maker?
+    M: bool  # true         # Ignore
+
+
 async def stream_messages(ws):
     while True:
 
-        with trio.move_on_after(5) as cs:
+        with trio.move_on_after(5):
             msg = await ws.recv_msg()
 
         # for l1 streams binance doesn't add an event type field so
         # identify those messages by matching keys
-        if list(msg.keys()) == ['u', 's', 'b', 'B', 'a', 'A']:
+        # https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
+
+        if msg.get('u'):
             sym = msg['s']
             bid = float(msg['b'])
             bsize = float(msg['B'])
@@ -239,6 +303,25 @@ async def stream_messages(ws):
                 ]
             }
 
+        elif msg.get('e') == 'aggTrade':
+
+            # validate
+            msg = AggTrade(**msg)
+
+            # TODO: type out and require this quote format
+            # from all backends!
+            yield 'trade', {
+                'symbol': msg.s,
+                'last': msg.p,
+                'brokerd_ts': time.time(),
+                'ticks': [{
+                    'type': 'trade',
+                    'price': msg.p,
+                    'size': msg.q,
+                    'broker_ts': msg.T,
+                }],
+            }
+
 
 def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
     """Create a request subscription packet dict.
@@ -395,31 +478,40 @@ async def stream_quotes(
 
         async with open_autorecon_ws('wss://stream.binance.com/ws') as ws:
 
-            # XXX: setup subs
+            # setup subs
 
             # trade data (aka L1)
+            # https://binance-docs.github.io/apidocs/spot/en/#symbol-order-book-ticker
             l1_sub = make_sub(symbols, 'bookTicker', uid)
-            uid += 1
-
             await ws.send_msg(l1_sub)
+
+            # aggregate (each order clear by taker **not** by maker)
+            # trades data:
+            # https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
+            agg_trades_sub = make_sub(symbols, 'aggTrade', uid)
+            await ws.send_msg(agg_trades_sub)
+
+            # ack from ws server
             res = await ws.recv_msg()
+            assert res['id'] == uid
 
             # pull a first quote and deliver
             msg_gen = stream_messages(ws)
 
-            # TODO: use ``anext()`` when it lands in 3.10!
-            typ, tick = await msg_gen.__anext__()
+            typ, quote = await msg_gen.__anext__()
 
-            first_quote = {tick['symbol']: tick}
+            while typ != 'trade':
+                # TODO: use ``anext()`` when it lands in 3.10!
+                typ, quote = await msg_gen.__anext__()
+
+            first_quote = {quote['symbol']: quote}
             task_status.started((init_msgs,  first_quote))
 
+            # signal to caller feed is ready for consumption
             feed_is_live.set()
 
             # start streaming
             async for typ, msg in msg_gen:
 
-                if typ == 'l1':
-                    topic = msg['symbol']
-                    quote = msg
-
-                await send_chan.send({topic: quote})
+                topic = msg['symbol']
+                await send_chan.send({topic: msg})