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248 lines
8.4 KiB
248 lines
8.4 KiB
3 weeks ago
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import aiohttp
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from decimal import Decimal as D, ROUND_CEILING
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import dill as pickle
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import time
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import os
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import websockets
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import requests
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import urllib
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import json
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import aiostream
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import asyncio
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import pprint
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import yahoo_stream
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from utils import *
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from piecewise import *
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KALSHI_ROOT = "https://trading-api.kalshi.com/v1" if not DEMO else "https://demo-api.kalshi.co/v1"
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KALSHI_ORIGIN = "https://kalshi.com" if not DEMO else "https://demo.kalshi.co"
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KALSHI_AUTH = read_auth("kalshi") if not DEMO else read_auth("kalshi_demo")
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KALSHI_SESSION_FILE = ".kalshi_session" if not DEMO else ".kalshi_demo_session"
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COMMON_HEADERS = {
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"accept": "application/json",
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"accept-encoding": "gzip, deflate, br",
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"accept-language": "en-US,en;q=0.9",
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"origin": KALSHI_ORIGIN,
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"referer": "https://kalshi.com/" if not DEMO else "https://demo.kalshi.co/",
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"user-agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/106.0.0.0 Safari/537.36",
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}
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#TODO: figure out what prices actually applies here
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def convert_contract_hundred_lower(data):
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rem = 0
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ret = []
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for p, s in data:
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s += rem
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if s//100: ret.append((p*100, s//100))
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rem = s%100
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return ret
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#TODO: unittests for this
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def convert_contract_avg(data):
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rem = 0
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remp = 0
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ret = []
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for p, s in data:
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if rem:
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u = min(100-rem, s)
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remp += u*p
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rem += u
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s -= u
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if rem==100:
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ret.append((remp, 1))
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rem=0
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remp=0
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if s:
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if s//100: ret.append((p*100, s//100))
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if s%100:
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rem = s%100
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remp = rem * p
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return ret
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def convert_sp_rulebook(data):
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if data['Above/Below/Between']=='above':
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return (cents(data["Value"])+1, None)
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if data['Above/Below/Between']=='below':
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return (None, cents(data["Value"])-1)
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return tuple(map(cents, data["Value"].split('-')))
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def convert_nasdaq_rulebook(data):
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if data['Above/Below/Between']=='above':
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return (cents(data["Value"])+1, None)
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if data['Above/Below/Between']=='below':
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return (None, cents(data["Value"])-1)
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return tuple(map(cents, data["Value"].split(' and ')))
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def parse_orderbook_message(message):
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msg = message["msg"]
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mid = msg["market_id"]
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bids = [(int(p), s) for p, s in msg.get("yes", [])]
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asks = [(100 - int(p), s) for p, s in msg.get("no", [])]
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asks.sort()
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bids.sort()
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bids.reverse()
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return mid, bids, asks
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def calc_fee(p, cs, is_index):
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up = D(p) / D(cs)
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return int((
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up * (D(100) - up) *
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D('0.035' if is_index else '0.07')
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* D(cs) / D(100)
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).to_integral_value(rounding=ROUND_CEILING))
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def apply_btic_shift(lims, btic, bid):
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leeway = 100 if bid else -100
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leeway = 0
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return (
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None if lims[0] is None else lims[0]+btic-leeway,
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None if lims[1] is None else lims[1]+btic+leeway,
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)
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def conv_ask_to_pc(lims, p, s, trans_hundred, is_index):
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fee = calc_fee(p, 100 if trans_hundred else 1, is_index)
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return (conv_lim_pc(*lims) + (-p -fee), s, p)
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def conv_bid_to_pc(lims, p, s, trans_hundred, is_index):
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fee = calc_fee(p, 100 if trans_hundred else 1, is_index)
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return (-conv_lim_pc(*lims) + (p - fee), s, p)
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class KalshiSession:
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def __init__(self, s):
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self.s = s
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def __repr__(self):
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return "kalshi"
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async def login(self):
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self.s.headers.clear()
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self.s.headers.update(COMMON_HEADERS)
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self.s.cookie_jar.clear()
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if os.path.exists(KALSHI_SESSION_FILE):
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with open(KALSHI_SESSION_FILE, 'rb') as f:
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self.user_id, cookies, csrf_token, self.frontend_session = pickle.load(f)
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self.s.headers['x-csrf-token'] = csrf_token
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self.s.cookie_jar._cookies = cookies
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else:
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print("doing new login")
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async with self.s.post(
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KALSHI_ROOT+"/log_in",
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json = KALSHI_AUTH,
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) as resp:
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self.user_id = (await resp.json())["user_id"]
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self.s.headers['x-csrf-token'] = resp.headers['x-csrf-token']
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self.frontend_session = await self.get_frontend_session()
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with open(KALSHI_SESSION_FILE, 'wb') as f:
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pickle.dump((self.user_id, self.s.cookie_jar._cookies, self.s.headers['x-csrf-token'], self.frontend_session), f)
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async def get_frontend_session(self):
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async with self.s.post(
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f"{KALSHI_ROOT}/users/{self.user_id}/frontend_sessions",
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json = {"cancelToken":{"promise":{}}},
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) as resp:
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return (await resp.json())['session_id']
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def open_websocket(self):
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ws_url = (
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"wss://" + KALSHI_ROOT.split("://")[1] + "/ws?csrfToken=" +
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urllib.parse.quote_plus(self.s.headers['x-csrf-token']) +
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"&frontend_session=" +
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urllib.parse.quote_plus(self.frontend_session)
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)
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return websockets.connect(
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ws_url,
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extra_headers = {
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**self.s.headers,
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"Cookie": self.s.cookie_jar.filter_cookies(ws_url).output(header=''),
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},
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origin = KALSHI_ORIGIN,
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)
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async def markets_from_ticker(self, ticker, converter):
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lims = {}
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async with self.s.get(f"{KALSHI_ROOT}/events/{ticker}") as resp:
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for m in (await resp.json())['event']['markets']:
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lims[m["id"]] = converter(m['rulebook_variables'])
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return lims
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async def execute_order(self, mid, p, s, buy):
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async with self.s.post(
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f"{KALSHI_ROOT}/users/{self.user_id}/orders",
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json = {
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"count": s*100,
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"price": p//100 if buy else 100-p//100,
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"max_cost_cents": 0,
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"sell_position_capped": False,
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"expiration_unix_ts": int(time.time())+10,
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"market_id": mid,
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"side": "yes" if buy else "no"
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},
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) as resp:
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pprint.pprint("kalshi order")
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pprint.pprint(resp)
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pprint.pprint(await resp.json())
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pprint.pprint("")
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async def orderbook_stream(self, ticker, converter, btic_ticker, is_index=True, trans_hundred=True):
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lims = await self.markets_from_ticker(ticker, converter)
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async with self.open_websocket() as ws:
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for i, mid in enumerate(lims):
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await ws.send(json.dumps({
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"cmd": "subscribe",
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"id": i+1,
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"params": {
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"channels": ["orderbook"],
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"market_id": mid,
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},
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}))
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book = {}
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async with aiostream.stream.ziplatest(
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ws,
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yahoo_stream.stream_ticker(btic_ticker),
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partial=False,
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).stream() as streamer:
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async for message, btic_price in streamer:
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message = json.loads(message)
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if message["type"]=="subscribed": continue
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assert message["type"]=="orderbook_snapshot"
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mid, bids, asks = parse_orderbook_message(message)
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if trans_hundred:
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bids = convert_contract_hundred_lower(bids)
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asks = convert_contract_hundred_lower(asks)
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bid_shifed_lims = apply_btic_shift(lims[mid], btic_price, True)
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ask_shifed_lims = apply_btic_shift(lims[mid], btic_price, False)
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book[mid] = Digital(
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*lims[mid],
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bids = [conv_bid_to_pc(bid_shifed_lims, p, s, trans_hundred, is_index) for p, s in bids],
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asks = [conv_ask_to_pc(ask_shifed_lims, p, s, trans_hundred, is_index) for p, s in asks],
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exchange = self,
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market_id = mid,
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)
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yield [*book.values()]
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async def main():
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async with aiohttp.ClientSession() as ks:
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s = KalshiSession(ks)
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await s.login()
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await s.execute_order("05aed7ff-3506-4729-b78c-9e96c5b2f876", 2000, 1, False)
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# async for book in s.orderbook_stream("INXW-22NOV04", convert_sp_rulebook):
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# pprint.pprint(book)
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# pass
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if __name__=="__main__":
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asyncio.run(main())
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