pykalshi 0.1.0__py3-none-any.whl → 0.2.0__py3-none-any.whl

pykalshi/models.py

@@ -0,0 +1,552 @@
+from __future__ import annotations
+from functools import cached_property
+from typing import Optional
+from pydantic import BaseModel, ConfigDict
+from .enums import OrderStatus, Side, Action, OrderType, MarketStatus
+
+
+class MarketModel(BaseModel):
+    """Pydantic model for Market data."""
+
+    ticker: str
+    event_ticker: Optional[str] = None
+    series_ticker: Optional[str] = None
+    market_type: Optional[str] = None
+    title: Optional[str] = None
+    subtitle: Optional[str] = None
+    yes_sub_title: Optional[str] = None
+    no_sub_title: Optional[str] = None
+
+    # Timing
+    open_time: Optional[str] = None
+    close_time: Optional[str] = None
+    expiration_time: Optional[str] = None
+    expected_expiration_time: Optional[str] = None
+    latest_expiration_time: Optional[str] = None
+    created_time: Optional[str] = None
+    updated_time: Optional[str] = None
+
+    # Status & Result
+    status: Optional[MarketStatus] = None
+    result: Optional[str] = None
+    settlement_value: Optional[int] = None
+
+    # Pricing
+    yes_bid: Optional[int] = None
+    yes_ask: Optional[int] = None
+    no_bid: Optional[int] = None
+    no_ask: Optional[int] = None
+    last_price: Optional[int] = None
+    previous_yes_bid: Optional[int] = None
+    previous_yes_ask: Optional[int] = None
+    previous_price: Optional[int] = None
+    notional_value: Optional[int] = None
+
+    # Volume & Liquidity
+    volume: Optional[int] = None
+    volume_24h: Optional[int] = None
+    open_interest: Optional[int] = None
+    liquidity: Optional[int] = None
+
+    # Market structure
+    tick_size: Optional[int] = None
+    strike_type: Optional[str] = None
+    can_close_early: Optional[bool] = None
+    rules_primary: Optional[str] = None
+    rules_secondary: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class EventModel(BaseModel):
+    """Pydantic model for Event data."""
+
+    event_ticker: str
+    series_ticker: str
+    title: Optional[str] = None
+    sub_title: Optional[str] = None
+    category: Optional[str] = None
+
+    # Event properties
+    mutually_exclusive: bool = False
+    collateral_return_type: Optional[str] = None
+
+    # Timing
+    strike_date: Optional[str] = None
+    strike_period: Optional[str] = None
+
+    # Availability
+    available_on_brokers: bool = False
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class OrderModel(BaseModel):
+    """Pydantic model for Order data."""
+
+    order_id: str
+    ticker: str
+    status: OrderStatus
+    action: Optional[Action] = None
+    side: Optional[Side] = None
+    type: Optional[OrderType] = None
+
+    # Pricing
+    yes_price: Optional[int] = None
+    no_price: Optional[int] = None
+
+    # Counts
+    initial_count: Optional[int] = None
+    fill_count: Optional[int] = None
+    remaining_count: Optional[int] = None
+
+    # Fees & costs (in cents)
+    taker_fees: Optional[int] = None
+    maker_fees: Optional[int] = None
+    taker_fill_cost: Optional[int] = None
+    maker_fill_cost: Optional[int] = None
+
+    # Metadata
+    user_id: Optional[str] = None
+    client_order_id: Optional[str] = None
+    created_time: Optional[str] = None
+    last_update_time: Optional[str] = None
+    expiration_time: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class BalanceModel(BaseModel):
+    """Pydantic model for Balance data. Values are in cents."""
+
+    balance: int
+    portfolio_value: int
+    updated_ts: Optional[int] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class PositionModel(BaseModel):
+    """Pydantic model for a portfolio position."""
+
+    ticker: str
+    position: int  # Net position (positive = yes, negative = no)
+    market_exposure: Optional[int] = None
+    total_traded: Optional[int] = None
+    resting_orders_count: Optional[int] = None
+    fees_paid: Optional[int] = None
+    realized_pnl: Optional[int] = None
+    last_updated_ts: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class FillModel(BaseModel):
+    """Pydantic model for a trade fill/execution."""
+
+    trade_id: str
+    ticker: str
+    order_id: str
+    side: Side
+    action: Action
+    count: int
+    yes_price: int
+    no_price: int
+    is_taker: Optional[bool] = None
+    fill_id: Optional[str] = None
+    market_ticker: Optional[str] = None
+    fee_cost: Optional[str] = None  # Dollar amount string (e.g., "0.3200")
+    created_time: Optional[str] = None
+    ts: Optional[int] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class OHLCData(BaseModel):
+    """OHLC price data."""
+
+    open: Optional[int] = None
+    high: Optional[int] = None
+    low: Optional[int] = None
+    close: Optional[int] = None
+    open_dollars: Optional[str] = None
+    high_dollars: Optional[str] = None
+    low_dollars: Optional[str] = None
+    close_dollars: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class PriceData(BaseModel):
+    """Price data with additional fields."""
+
+    open: Optional[int] = None
+    high: Optional[int] = None
+    low: Optional[int] = None
+    close: Optional[int] = None
+    max: Optional[int] = None
+    min: Optional[int] = None
+    mean: Optional[int] = None
+    previous: Optional[int] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class Candlestick(BaseModel):
+    """Pydantic model for a single Candlestick."""
+
+    end_period_ts: int
+    volume: int
+    open_interest: int
+    price: PriceData
+    yes_bid: Optional[OHLCData] = None
+    yes_ask: Optional[OHLCData] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class CandlestickResponse(BaseModel):
+    """Pydantic model for Candlestick API response."""
+
+    candlesticks: list[Candlestick]
+    ticker: str
+
+    model_config = ConfigDict(extra="ignore")
+
+
+# Orderbook Models
+class OrderbookLevel(BaseModel):
+    """A single price level in the orderbook (price, quantity)."""
+
+    price: int  # Price in cents (1-99)
+    quantity: int  # Number of contracts at this price level
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class Orderbook(BaseModel):
+    """Orderbook with yes/no price levels."""
+
+    yes: Optional[list[tuple[int, int]]] = None  # [(price, quantity), ...]
+    no: Optional[list[tuple[int, int]]] = None
+    yes_dollars: Optional[list[tuple[str, int]]] = None  # [(price_str, quantity_int), ...]
+    no_dollars: Optional[list[tuple[str, int]]] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class OrderbookFp(BaseModel):
+    """Fixed-point orderbook data."""
+
+    yes_dollars: Optional[list[tuple[str, int]]] = None  # [(price_str, quantity_int), ...]
+    no_dollars: Optional[list[tuple[str, int]]] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class OrderbookResponse(BaseModel):
+    """Pydantic model for the orderbook API response."""
+
+    orderbook: Orderbook
+    orderbook_fp: Optional[OrderbookFp] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+    @cached_property
+    def yes_levels(self) -> list[OrderbookLevel]:
+        """Get YES price levels as typed objects."""
+        if not self.orderbook.yes:
+            return []
+        return [OrderbookLevel(price=p[0], quantity=p[1]) for p in self.orderbook.yes]
+
+    @cached_property
+    def no_levels(self) -> list[OrderbookLevel]:
+        """Get NO price levels as typed objects."""
+        if not self.orderbook.no:
+            return []
+        return [OrderbookLevel(price=p[0], quantity=p[1]) for p in self.orderbook.no]
+
+    @cached_property
+    def best_yes_bid(self) -> Optional[int]:
+        """Highest YES bid price, or None if no bids."""
+        if not self.orderbook.yes:
+            return None
+        return max(p[0] for p in self.orderbook.yes)
+
+    @cached_property
+    def best_no_bid(self) -> Optional[int]:
+        """Highest NO bid price, or None if no bids."""
+        if not self.orderbook.no:
+            return None
+        return max(p[0] for p in self.orderbook.no)
+
+    @cached_property
+    def best_yes_ask(self) -> Optional[int]:
+        """Lowest YES ask (= 100 - best NO bid)."""
+        if self.best_no_bid is None:
+            return None
+        return 100 - self.best_no_bid
+
+    @cached_property
+    def spread(self) -> Optional[int]:
+        """Bid-ask spread in cents. None if no two-sided market."""
+        if self.best_yes_bid is None or self.best_yes_ask is None:
+            return None
+        return self.best_yes_ask - self.best_yes_bid
+
+    @cached_property
+    def mid(self) -> Optional[float]:
+        """Mid price. None if no two-sided market."""
+        if self.best_yes_bid is None or self.best_yes_ask is None:
+            return None
+        return (self.best_yes_bid + self.best_yes_ask) / 2
+
+    @cached_property
+    def spread_bps(self) -> Optional[float]:
+        """Spread as basis points of mid. None if no two-sided market."""
+        if self.spread is None or self.mid is None or self.mid == 0:
+            return None
+        return (self.spread / self.mid) * 10000
+
+    def yes_depth(self, through_price: int) -> int:
+        """Total YES bid quantity at or above `through_price`."""
+        if not self.orderbook.yes:
+            return 0
+        return sum(q for p, q in self.orderbook.yes if p >= through_price)
+
+    def no_depth(self, through_price: int) -> int:
+        """Total NO bid quantity at or above `through_price`."""
+        if not self.orderbook.no:
+            return 0
+        return sum(q for p, q in self.orderbook.no if p >= through_price)
+
+    @cached_property
+    def imbalance(self) -> Optional[float]:
+        """Order imbalance: (yes_depth - no_depth) / (yes_depth + no_depth). Range [-1, 1]."""
+        yes_total = sum(q for _, q in self.orderbook.yes) if self.orderbook.yes else 0
+        no_total = sum(q for _, q in self.orderbook.no) if self.orderbook.no else 0
+        total = yes_total + no_total
+        if total == 0:
+            return None
+        return (yes_total - no_total) / total
+
+    def vwap_to_fill(self, side: str, size: int) -> Optional[float]:
+        """Volume-weighted average price to fill `size` contracts.
+
+        Args:
+            side: "yes" or "no" - the side you're buying
+            size: Number of contracts to fill
+
+        Returns:
+            VWAP in cents, or None if insufficient liquidity.
+        """
+        # To buy YES, you lift NO offers (sorted by price descending = best first)
+        # To buy NO, you lift YES offers (sorted by price descending = best first)
+        levels = self.orderbook.no if side == "yes" else self.orderbook.yes
+        if not levels:
+            return None
+
+        # Sort by price descending (best offer = highest price for the other side)
+        sorted_levels = sorted(levels, key=lambda x: x[0], reverse=True)
+
+        remaining = size
+        cost = 0
+        for price, qty in sorted_levels:
+            take = min(remaining, qty)
+            # If buying YES, you pay (100 - no_price) per contract
+            # If buying NO, you pay (100 - yes_price) per contract
+            fill_price = 100 - price
+            cost += take * fill_price
+            remaining -= take
+            if remaining <= 0:
+                break
+
+        if remaining > 0:
+            return None  # Insufficient liquidity
+        return cost / size
+
+
+# --- Exchange Models ---
+
+class ExchangeStatus(BaseModel):
+    """Exchange operational status."""
+    exchange_active: bool
+    trading_active: bool
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class Announcement(BaseModel):
+    """Exchange announcement."""
+    id: Optional[str] = None
+    title: str
+    body: Optional[str] = None
+    type: Optional[str] = None
+    created_time: Optional[str] = None
+    delivery_time: Optional[str] = None
+    status: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+# --- Account Models ---
+
+class RateLimitTier(BaseModel):
+    """Rate limit for a specific tier."""
+    max_requests: int
+    period_seconds: int
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class APILimits(BaseModel):
+    """API rate limits for the authenticated user."""
+    tier: Optional[str] = None
+    limits: Optional[dict[str, RateLimitTier]] = None
+    remaining: Optional[int] = None
+    reset_at: Optional[int] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+# --- API Key Models ---
+
+class APIKey(BaseModel):
+    """API key information."""
+    id: str
+    name: Optional[str] = None
+    created_time: Optional[str] = None
+    last_used: Optional[str] = None
+    scopes: Optional[list[str]] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class GeneratedAPIKey(BaseModel):
+    """Newly generated API key with private key (only returned once)."""
+    id: str
+    private_key: str
+    name: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+# --- Series & Trade Models ---
+
+class SeriesModel(BaseModel):
+    """Pydantic model for Series data."""
+    ticker: str
+    title: Optional[str] = None
+    category: Optional[str] = None
+    tags: Optional[list[str]] = None
+    settlement_timer_seconds: Optional[int] = None
+    frequency: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class TradeModel(BaseModel):
+    """Public trade execution record."""
+    trade_id: str
+    ticker: str
+    count: int
+    yes_price: int
+    no_price: int
+    taker_side: Optional[str] = None
+    created_time: Optional[str] = None
+    ts: Optional[int] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class SettlementModel(BaseModel):
+    """Settlement record for a resolved position."""
+    ticker: str
+    event_ticker: Optional[str] = None
+    market_result: Optional[str] = None  # "yes" or "no"
+    yes_count: int = 0
+    no_count: int = 0
+    yes_total_cost: int = 0
+    no_total_cost: int = 0
+    revenue: int = 0  # Payout in cents
+    value: int = 0
+    fee_cost: Optional[str] = None  # Dollar string like "0.3200"
+    settled_time: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+    @property
+    def net_position(self) -> int:
+        """Net position: positive = yes, negative = no."""
+        return self.yes_count - self.no_count
+
+    @property
+    def pnl(self) -> int:
+        """Net P&L in cents (revenue - costs - fees)."""
+        fee_cents = int(float(self.fee_cost or 0) * 100)
+        return self.revenue - self.yes_total_cost - self.no_total_cost - fee_cents
+
+
+class QueuePositionModel(BaseModel):
+    """Order's position in the queue at its price level."""
+    order_id: str
+    queue_position: int  # 0-indexed position in queue
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class OrderGroupModel(BaseModel):
+    """Order group for linked order strategies (OCO, bracket)."""
+    order_group_id: str
+    status: Optional[str] = None  # "active", "triggered", "canceled"
+    orders: Optional[list[str]] = None  # Order IDs in group
+    created_time: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+# --- Subaccount Models ---
+
+class SubaccountModel(BaseModel):
+    """Subaccount info."""
+    subaccount_id: str
+    subaccount_number: int
+    created_time: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class SubaccountBalanceModel(BaseModel):
+    """Balance for a single subaccount."""
+    subaccount_id: str
+    balance: int  # In cents
+    portfolio_value: Optional[int] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class SubaccountTransferModel(BaseModel):
+    """Record of a transfer between subaccounts."""
+    transfer_id: str
+    from_subaccount_id: str
+    to_subaccount_id: str
+    amount: int  # In cents
+    created_time: Optional[str] = None
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class ForecastPoint(BaseModel):
+    """A single point in forecast percentile history."""
+    ts: int  # Unix timestamp
+    value: int  # Forecast value in cents
+
+    model_config = ConfigDict(extra="ignore")
+
+
+class ForecastPercentileHistory(BaseModel):
+    """Historical forecast data at various percentiles for an event."""
+    event_ticker: str
+    percentiles: dict[str, list[ForecastPoint]]  # Maps percentile (e.g., "50") to history
+
+    model_config = ConfigDict(extra="ignore")

pykalshi/orderbook.py

@@ -0,0 +1,146 @@
+"""Orderbook management utilities for maintaining local state."""
+
+from __future__ import annotations
+from dataclasses import dataclass, field
+from typing import Optional
+
+
+@dataclass
+class OrderbookManager:
+    """Maintains local orderbook state from WebSocket updates.
+
+    Usage with Feed:
+        feed = client.feed()
+        books = {}  # ticker -> OrderbookManager
+
+        @feed.on("orderbook_delta")
+        def handle_book(msg):
+            ticker = msg.market_ticker
+            if ticker not in books:
+                books[ticker] = OrderbookManager(ticker)
+
+            if hasattr(msg, 'yes'):  # Snapshot
+                books[ticker].apply_snapshot(msg.yes, msg.no)
+            else:  # Delta
+                books[ticker].apply_delta(msg.side, msg.price, msg.delta)
+
+            print(f"{ticker}: {books[ticker].spread}c spread")
+    """
+
+    ticker: str
+    yes: dict[int, int] = field(default_factory=dict)  # price -> quantity
+    no: dict[int, int] = field(default_factory=dict)
+
+    def apply_snapshot(
+        self,
+        yes_levels: list[tuple[int, int]] | None,
+        no_levels: list[tuple[int, int]] | None,
+    ) -> None:
+        """Reset book from snapshot message."""
+        self.yes = {p: q for p, q in (yes_levels or [])}
+        self.no = {p: q for p, q in (no_levels or [])}
+
+    def apply_delta(self, side: str, price: int, delta: int) -> None:
+        """Apply incremental update. Removes level if quantity hits zero."""
+        book = self.yes if side == "yes" else self.no
+        new_qty = book.get(price, 0) + delta
+        if new_qty <= 0:
+            book.pop(price, None)
+        else:
+            book[price] = new_qty
+
+    @property
+    def best_bid(self) -> Optional[int]:
+        """Best YES bid price."""
+        return max(self.yes.keys()) if self.yes else None
+
+    @property
+    def best_ask(self) -> Optional[int]:
+        """Best YES ask (= 100 - best NO bid)."""
+        if not self.no:
+            return None
+        return 100 - max(self.no.keys())
+
+    @property
+    def mid(self) -> Optional[float]:
+        """Mid price."""
+        if self.best_bid is None or self.best_ask is None:
+            return None
+        return (self.best_bid + self.best_ask) / 2
+
+    @property
+    def spread(self) -> Optional[int]:
+        """Bid-ask spread in cents."""
+        if self.best_bid is None or self.best_ask is None:
+            return None
+        return self.best_ask - self.best_bid
+
+    def bid_depth(self, levels: int = 5) -> int:
+        """Total quantity in top N bid levels."""
+        if not self.yes:
+            return 0
+        sorted_prices = sorted(self.yes.keys(), reverse=True)[:levels]
+        return sum(self.yes[p] for p in sorted_prices)
+
+    def ask_depth(self, levels: int = 5) -> int:
+        """Total quantity in top N ask levels."""
+        if not self.no:
+            return 0
+        sorted_prices = sorted(self.no.keys(), reverse=True)[:levels]
+        return sum(self.no[p] for p in sorted_prices)
+
+    @property
+    def imbalance(self) -> Optional[float]:
+        """Order imbalance [-1, 1]. Positive = more bids."""
+        bid_total = sum(self.yes.values()) if self.yes else 0
+        ask_total = sum(self.no.values()) if self.no else 0
+        total = bid_total + ask_total
+        if total == 0:
+            return None
+        return (bid_total - ask_total) / total
+
+    def cost_to_buy(self, size: int) -> Optional[tuple[int, float]]:
+        """Calculate cost to buy `size` YES contracts.
+
+        Returns:
+            Tuple of (total_cost, avg_price) or None if insufficient liquidity.
+        """
+        if not self.no:
+            return None
+
+        remaining = size
+        cost = 0
+        for no_price in sorted(self.no.keys(), reverse=True):
+            qty = self.no[no_price]
+            take = min(remaining, qty)
+            yes_price = 100 - no_price
+            cost += take * yes_price
+            remaining -= take
+            if remaining <= 0:
+                return (cost, cost / size)
+        return None
+
+    def cost_to_sell(self, size: int) -> Optional[tuple[int, float]]:
+        """Calculate proceeds from selling `size` YES contracts.
+
+        Returns:
+            Tuple of (total_proceeds, avg_price) or None if insufficient liquidity.
+        """
+        if not self.yes:
+            return None
+
+        remaining = size
+        proceeds = 0
+        for price in sorted(self.yes.keys(), reverse=True):
+            qty = self.yes[price]
+            take = min(remaining, qty)
+            proceeds += take * price
+            remaining -= take
+            if remaining <= 0:
+                return (proceeds, proceeds / size)
+        return None
+
+    def __repr__(self) -> str:
+        bid = self.best_bid or "—"
+        ask = self.best_ask or "—"
+        return f"<Orderbook {self.ticker} {bid}/{ask}>"