class FeedPrice(object):
def __init__(self, config=None):
self.exchange_data = {}
self.init_config(config)
self.bts_price = BTSPriceAfterMatch(self.exchange_data)
self.bts_price.callback = self.change_weight
self.bts_price.set_weight(self.config["market_weight"])
self.init_tasks()
self.setup_log()
self.init_mpa_info()
self.sample = self.config["price_limit"]["filter_minute"] / \
self.config["timer_minute"]
if self.sample < 1:
self.sample = 1
# don't need feedapi if not witness
if self.config["witness"]:
self.feedapi = FeedApi(config)
else:
self.feedapi = None
self.filter_price = None
def init_config(self, config):
if config:
self.config = config
return
config = {}
config["witness"] = None
config["pusher"] = {"enable": 0, "user": "", "password": ""}
config["timer_minute"] = 3
config["price_limit"] = {
"change_min": 0.5, "change_max": 50, "spread": 0.01,
"filter_minute": 30}
config["market_weight"] = {
"poloniex_btc": 1, "yunbi_cny": 1, "btc38_cny": 1, "btc38_btc": 1}
self.config = config
def init_tasks(self):
loop = asyncio.get_event_loop()
# init task_exchanges
task_exchanges = TaskExchanges(self.exchange_data)
task_exchanges.set_period(int(self.config["timer_minute"])*60)
# init task_pusher
if self.config["pusher"]["enable"]:
topic = "bts.exchanges"
login_info = None
if self.config["pusher"]["user"]:
login_info = self.config["pusher"]
task_pusher = TaskPusher(self.exchange_data)
task_pusher.topic = topic
task_pusher.set_expired(self.config["timer_minute"]*60+30)
if "publish" in self.config["pusher"]:
def publish_data(_type, _name, _data):
# print("publish: %s %s" % (_type, _name))
task_pusher.pusher.publish(topic, _type, _name, _data)
task_exchanges.handler = publish_data
task_pusher.run_tasks(loop, login_info)
task_exchanges.run_tasks(loop)
def setup_log(self):
# Setting up Logger
self.logger = logging.getLogger('bts')
self.logger.setLevel(logging.INFO)
formatter = logging.Formatter(
'%(asctime)s[%(levelname)s]: %(message)s')
fh = logging.handlers.RotatingFileHandler("/tmp/bts_delegate_task.log")
fh.setFormatter(formatter)
self.logger.addHandler(fh)
def init_mpa_info(self):
peg_asset_list = ["KRW", "BTC", "SILVER", "GOLD", "TRY",
"SGD", "HKD", "RUB", "SEK", "NZD", "CNY",
"MXN", "CAD", "CHF", "AUD", "GBP", "JPY",
"EUR", "USD", "SHENZHEN", "NASDAQC", "NIKKEI",
"HANGSENG", "SHANGHAI", "TCNY", "TUSD", "ARS"]
self.price_queue = {}
for asset in peg_asset_list:
self.price_queue[asset] = []
self.time_publish_feed = 0
self.adjust_scale = 1.00
def change_weight(self, orderbook):
for order_type in self.bts_price.order_types:
for market in orderbook:
if market not in self.config["market_weight"]:
_weight = 0.0
else:
_weight = self.config["market_weight"][market]
for _order in orderbook[market][order_type]:
_order[1] *= _weight
def get_bts_price(self):
# calculate real price
volume, volume_sum, real_price = self.bts_price.compute_price(
spread=self.config["price_limit"]["spread"])
if real_price is None:
return real_price, volume
self.valid_depth = self.bts_price.get_valid_depth(
price=real_price,
spread=self.config["price_limit"]["spread"])
self.logger.info("fetch price is %.5f CNY/BTS, volume is %.3f",
real_price, volume)
self.logger.info("efficent depth : %s" % self.valid_depth)
return real_price, volume
# these MPA's precision is 100, it's too small,
# have to change the price
# but we should fixed these at BTS2.0
def patch_nasdaqc(self, price):
if "SHENZHEN" in price:
price["SHENZHEN"] /= price["CNY"]
if "SHANGHAI" in price:
price["SHANGHAI"] /= price["CNY"]
if "NASDAQC" in price:
price["NASDAQC"] /= price["USD"]
if "NIKKEI" in price:
price["NIKKEI"] /= price["JPY"]
if "HANGSENG" in price:
price["HANGSENG"] /= price["HKD"]
def price_filter(self, bts_price_in_cny):
self.filter_price = self.get_average_price(bts_price_in_cny)
def get_median_price(self, bts_price_in_cny):
median_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or \
self.bts_price.rate_cny[asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny
/ self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
median_price[asset] = sorted(
self.price_queue[asset])[int(len(self.price_queue[asset]) / 2)]
self.patch_nasdaqc(median_price)
return median_price
def get_average_price(self, bts_price_in_cny):
average_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or \
self.bts_price.rate_cny[asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny
/ self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
average_price[asset] = sum(
self.price_queue[asset])/len(self.price_queue[asset])
self.patch_nasdaqc(average_price)
return average_price
def display_depth(self, volume):
t = PrettyTable([
"market", "bid price", "bid_volume", "ask price", "ask_volume"])
t.align = 'r'
t.border = True
for market in sorted(self.valid_depth):
_bid_price = "%.8f" % self.valid_depth[market]["bid_price"]
_bid_volume = "{:,.0f}".format(
self.valid_depth[market]["bid_volume"])
_ask_price = "%.8f" % self.valid_depth[market]["ask_price"]
_ask_volume = "{:,.0f}".format(
self.valid_depth[market]["ask_volume"])
t.add_row([
market, _bid_price, _bid_volume, _ask_price, _ask_volume])
print(t.get_string())
def display_price(self):
t = PrettyTable([
"asset", "rate(CNY/)", "current(/BTS)", "current(BTS/)",
"median(/BTS)", "median(BTS/)", "my feed"])
t.align = 'r'
t.border = True
for asset in sorted(self.filter_price):
_rate_cny = "%.3f" % (self.bts_price.rate_cny[asset])
_price_bts1 = "%.8f" % self.price_queue[asset][-1]
_price_bts2 = "%.3f" % (1/self.price_queue[asset][-1])
_median_bts1 = "%.8f" % self.filter_price[asset]
_median_bts2 = "%.3f" % (1/self.filter_price[asset])
if self.feedapi and self.feedapi.my_feeds and \
asset in self.feedapi.my_feeds:
_my_feed = "%.8f" % self.feedapi.my_feeds[asset]["price"]
else:
_my_feed = 'x'
t.add_row([
asset, _rate_cny, _price_bts1,
_price_bts2, _median_bts1, _median_bts2, _my_feed])
print(t.get_string())
def task_get_price(self):
bts_price, volume = self.get_bts_price()
if bts_price is None or volume <= 0.0:
return
self.price_filter(bts_price)
os.system("clear")
cur_t = time.strftime("%Y/%m/%d %H:%M:%S", time.localtime(time.time()))
print("[%s] efficent price: %.5f CNY/BTS, depth: %s BTS" % (
cur_t, bts_price, "{:,.0f}".format(volume)))
self.display_depth(volume)
print()
self.display_price()
def check_publish(self, asset_list, my_feeds, real_price):
need_publish = {}
for asset in asset_list:
if asset not in my_feeds:
need_publish[asset] = real_price[asset]
continue
change = fabs(my_feeds[asset]["price"] - real_price[asset]) * \
100.0 / my_feeds[asset]["price"]
if change >= self.config["price_limit"]["change_max"]:
continue
if asset not in my_feeds:
need_publish[asset] = real_price[asset]
continue
if (datetime.utcnow() - my_feeds[asset]["timestamp"]). \
total_seconds() > \
self.feedapi.asset_info[asset]["feed_lifetime_sec"] - 600:
need_publish[asset] = real_price[asset]
continue
if change > self.config["price_limit"]["change_min"]:
need_publish[asset] = real_price[asset]
continue
return need_publish
def task_publish_price(self):
if not self.config["witness"]:
return
self.feedapi.fetch_feed()
feed_need_publish = self.check_publish(
self.feedapi.asset_list, self.feedapi.my_feeds, self.filter_price)
if feed_need_publish:
self.logger.info("publish feeds: %s" % feed_need_publish)
self.feedapi.publish_feed(feed_need_publish)
@asyncio.coroutine
def run_task(self):
config_timer = int(self.config["timer_minute"])*60
while True:
try:
self.task_get_price()
if self.filter_price:
self.task_publish_price()
except Exception as e:
print(e)
self.logger.exception(e)
if self.filter_price:
timer = config_timer
else:
timer = 3
yield from asyncio.sleep(timer)
def execute(self):
loop = asyncio.get_event_loop()
loop.create_task(self.run_task())
loop.run_forever()
loop.close()
class FeedPrice(object):
def __init__(self, config=None):
self.exchange_data = {}
self.init_config(config)
self.bts_price = BTSPriceAfterMatch(self.exchange_data)
self.bts_price.callback = self.change_weight
self.bts_price.set_weight(self.config["market_weight"])
self.init_tasks()
self.magicwallet = Magicwallet(self.config["magicwalletkey"])
self.setup_log()
self.init_mpa_info()
self.magicrate = None
self.sample = self.config["price_limit"]["filter_minute"] / \
self.config["timer_minute"]
if self.sample < 1:
self.sample = 1
# don't need feedapi if not witness
if self.config["witness"]:
self.feedapi = FeedApi(config)
else:
self.feedapi = None
self.filter_price = None
if 'alias' in self.config:
self.alias = self.config['alias']
else:
self.alias = {}
def init_config(self, config):
if config:
self.config = config
return
config = {}
config["witness"] = None
config["pusher"] = {"enable": 0, "user": "", "password": ""}
config["timer_minute"] = 3
config["price_limit"] = {
"change_min": 0.5,
"change_max": 50,
"spread": 0.01,
"filter_minute": 30
}
config["market_weight"] = {
"btsbots_cny": 0.5,
"btsbots_usd": 0.5,
"btsbots_open.btc": 1,
"poloniex_btc": 1,
"yunbi_cny": 1,
"btc38_cny": 1,
"chbtc_cny": 1
}
self.config = config
def init_tasks(self):
loop = asyncio.get_event_loop()
# init task_exchanges
task_exchanges = TaskExchanges(self.exchange_data,
self.config["magicwalletkey"])
task_exchanges.set_period(int(self.config["timer_minute"]) * 60)
# init task_pusher
if self.config["pusher"]["enable"]:
topic = "bts.exchanges"
login_info = None
if self.config["pusher"]["user"]:
login_info = self.config["pusher"]
task_pusher = TaskPusher(self.exchange_data)
task_pusher.topic = topic
task_pusher.set_expired(self.config["timer_minute"] * 60 + 30)
if "publish" in self.config["pusher"]:
def publish_data(_type, _name, _data):
# print("publish: %s %s" % (_type, _name))
task_pusher.pusher.publish(topic, _type, _name, _data)
task_exchanges.handler = publish_data
task_pusher.run_tasks(loop, login_info)
task_exchanges.run_tasks(loop)
def setup_log(self):
# Setting up Logger
self.logger = logging.getLogger('bts')
self.logger.setLevel(logging.INFO)
formatter = logging.Formatter(
'%(asctime)s[%(levelname)s]: %(message)s')
fh = logging.handlers.RotatingFileHandler("/tmp/bts_delegate_task.log")
fh.setFormatter(formatter)
self.logger.addHandler(fh)
def init_mpa_info(self):
peg_asset_list = [
"KRW", "BTC", "SILVER", "GOLD", "TRY", "SGD", "HKD", "RUB", "SEK",
"NZD", "CNY", "MXN", "CAD", "CHF", "AUD", "GBP", "JPY", "EUR",
"USD", "SHENZHEN", "NASDAQC", "NIKKEI", "HANGSENG", "SHANGHAI",
"TCNY", "TUSD", "ARS"
]
self.price_queue = {}
for asset in peg_asset_list:
self.price_queue[asset] = []
self.time_publish_feed = 0
self.adjust_scale = 1.00
def change_weight(self, orderbook):
for order_type in self.bts_price.order_types:
for market in orderbook:
if market not in self.config["market_weight"]:
_weight = 0.0
else:
_weight = self.config["market_weight"][market]
for _order in orderbook[market][order_type]:
_order[1] *= _weight
def get_bts_price(self):
# calculate real price
volume, volume_sum, real_price = self.bts_price.compute_price(
spread=self.config["price_limit"]["spread"])
if real_price is None:
return real_price, volume
self.valid_depth = self.bts_price.get_valid_depth(
price=real_price, spread=self.config["price_limit"]["spread"])
self.logger.info("fetch price is %.5f CNY/BTS, volume is %.3f",
real_price, volume)
self.logger.info("efficent depth : %s" % self.valid_depth)
return real_price, volume
# these MPA's precision is 100, it's too small,
# have to change the price
# but we should fixed these at BTS2.0
def patch_nasdaqc(self, price):
if "SHENZHEN" in price:
price["SHENZHEN"] /= price["CNY"]
if "SHANGHAI" in price:
price["SHANGHAI"] /= price["CNY"]
if "NASDAQC" in price:
price["NASDAQC"] /= price["USD"]
if "NIKKEI" in price:
price["NIKKEI"] /= price["JPY"]
if "HANGSENG" in price:
price["HANGSENG"] /= price["HKD"]
def price_filter(self, bts_price_in_cny):
price_mode = self.config["price_mode"]
if price_mode == 1:
self.filter_price = self.get_average_price(bts_price_in_cny)
elif price_mode == 2:
self.filter_price = self.get_median_price(bts_price_in_cny)
else:
self.filter_price = self.get_max_price(bts_price_in_cny)
def get_median_price(self, bts_price_in_cny):
median_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or \
self.bts_price.rate_cny[asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny /
self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
median_price[asset] = sorted(self.price_queue[asset])[int(
len(self.price_queue[asset]) / 2)]
for asset in list(self.alias):
alias = self.alias[asset]
if alias in median_price:
median_price[asset] = median_price[alias]
self.patch_nasdaqc(median_price)
return median_price
def get_max_price(self, bts_price_in_cny):
max_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or \
self.bts_price.rate_cny[asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny /
self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
max_price[asset] = sorted(
self.price_queue[asset])[int(len(self.price_queue[asset]) - 1)]
for asset in list(self.alias):
alias = self.alias[asset]
if alias in max_price:
max_price[asset] = max_price[alias]
self.patch_nasdaqc(max_price)
return max_price
def get_average_price(self, bts_price_in_cny):
average_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or \
self.bts_price.rate_cny[asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny /
self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
average_price[asset] = sum(self.price_queue[asset]) / len(
self.price_queue[asset])
for asset in list(self.alias):
alias = self.alias[asset]
if alias in average_price:
average_price[asset] = average_price[alias]
self.patch_nasdaqc(average_price)
return average_price
def display_depth(self, volume):
t = PrettyTable(
["market", "bid price", "bid_volume", "ask price", "ask_volume"])
t.align = 'r'
t.border = True
for market in sorted(self.valid_depth):
_bid_price = "%.8f" % self.valid_depth[market]["bid_price"]
_bid_volume = "{:,.0f}".format(
self.valid_depth[market]["bid_volume"])
_ask_price = "%.8f" % self.valid_depth[market]["ask_price"]
_ask_volume = "{:,.0f}".format(
self.valid_depth[market]["ask_volume"])
t.add_row(
[market, _bid_price, _bid_volume, _ask_price, _ask_volume])
print(t.get_string())
def display_price(self):
price_mode = self.config["price_mode"]
t = PrettyTable([
"asset", "rate(CNY/)", "current(/BTS)", "current(BTS/)",
"max(/BTS)", "max(BTS/)", "my feed"
])
if price_mode == 1:
t = PrettyTable([
"asset", "rate(CNY/)", "current(/BTS)", "current(BTS/)",
"average(/BTS)", "average(BTS/)", "my feed"
])
elif price_mode == 2:
t = PrettyTable([
"asset", "rate(CNY/)", "current(/BTS)", "current(BTS/)",
"median(/BTS)", "median(BTS/)", "my feed"
])
t.align = 'r'
t.border = True
for asset in sorted(self.filter_price):
if asset in self.alias:
_alias = self.alias[asset]
else:
_alias = asset
_rate_cny = "%.3f" % (self.bts_price.rate_cny[_alias])
_price_bts1 = "%.8f" % self.price_queue[_alias][-1]
_price_bts2 = "%.3f" % (1 / self.price_queue[_alias][-1])
_median_bts1 = "%.8f" % self.filter_price[_alias]
_median_bts2 = "%.3f" % (1 / self.filter_price[_alias])
if self.feedapi and self.feedapi.my_feeds and \
asset in self.feedapi.my_feeds:
_my_feed = "%.8f" % self.feedapi.my_feeds[asset]["price"]
else:
_my_feed = 'x'
t.add_row([
asset, _rate_cny, _price_bts1, _price_bts2, _median_bts1,
_median_bts2, _my_feed
])
print(t.get_string())
def task_get_price(self):
bts_price, volume = self.get_bts_price()
if bts_price is None or volume <= 0.0:
return
self.price_filter(bts_price)
os.system("clear")
cur_t = time.strftime("%Y/%m/%d %H:%M:%S", time.localtime(time.time()))
print("[%s] efficent price: %.5f CNY/BTS, depth: %s BTS" %
(cur_t, bts_price, "{:,.0f}".format(volume)))
self.display_depth(volume)
print()
self.display_price()
def check_publish(self, asset_list, my_feeds, real_price):
need_publish = {}
for asset in asset_list:
if asset not in real_price:
continue
if self.config["price_limit"][
"check_blackswan"] == 1 and self.feedapi.is_blackswan(
asset):
continue
if asset not in my_feeds:
need_publish[asset] = real_price[asset]
continue
change = fabs(my_feeds[asset]["price"] - real_price[asset]) * \
100.0 / my_feeds[asset]["price"]
if change >= self.config["price_limit"]["change_max"]:
continue
if asset not in my_feeds:
need_publish[asset] = real_price[asset]
continue
if time.time() - my_feeds[asset]["timestamp"] > \
self.feedapi.asset_info[asset]["feed_lifetime_sec"] - 600:
need_publish[asset] = real_price[asset]
continue
if change > self.config["price_limit"]["change_min"]:
need_publish[asset] = real_price[asset]
continue
return need_publish
def price_add_by_magicwallet(self, real_price):
ready_publish = {}
self.magicrate = self.bts_price.get_magic_rate()
mrate = self.config["maigcwalletrate"]
print("计算公式为 原有价格*(1+(%s-1)*%s))" % (self.magicrate, mrate))
for oneprice in real_price:
ready_publish[oneprice] = real_price[oneprice] * (
1 + (self.magicrate - 1) * mrate)
print(real_price)
if ready_publish:
return ready_publish
else:
return real_price
def price_negative_feedback(self, price):
ready_publish = {}
self.magicrate = self.bts_price.get_magic_rate()
fmax = self.config["negative_feedback_max"]
fmin = self.config["negative_feedback_min"]
tmp = (1 - self.magicrate)**self.config["price_coefficient"]
tmp = min(tmp, fmax)
tmp = max(tmp, fmin)
if tmp == 0:
tmp = 1
else:
tmp = 1 + tmp
print("premium:%s" % (tmp))
for oneprice in price:
ready_publish[oneprice] = price[oneprice] * tmp
print(price)
if ready_publish:
return ready_publish
else:
return price
def task_publish_price(self):
nf = self.config["negative_feedback"]
if nf == 1:
self.filter_price = self.price_negative_feedback(self.filter_price)
else:
self.filter_price = self.price_add_by_magicwallet(
self.filter_price)
print(self.filter_price)
if not self.config["witness"]:
return
self.feedapi.fetch_feed()
feed_need_publish = self.check_publish(
self.feedapi.asset_list + list(self.alias), self.feedapi.my_feeds,
self.filter_price)
if feed_need_publish:
self.logger.info("publish feeds: %s" % feed_need_publish)
self.feedapi.publish_feed(feed_need_publish)
@asyncio.coroutine
def run_task(self):
config_timer = int(self.config["timer_minute"]) * 60
while True:
try:
self.task_get_price()
if self.filter_price:
self.task_publish_price()
except Exception as e:
print(e)
self.logger.exception(e)
if self.filter_price:
timer = config_timer
else:
timer = 3
yield from asyncio.sleep(timer)
def execute(self):
loop = asyncio.get_event_loop()
loop.create_task(self.run_task())
loop.run_forever()
loop.close()
class FeedPrice(object):
def __init__(self, config=None):
self.exchange_data = {}
self.init_config(config)
self.bts_price = BTSPriceAfterMatch(self.exchange_data, self.config)
self.bts_price.callback = self.change_weight
self.bts_price.set_weight(self.config["market_weight"])
self.init_tasks()
self.setup_log()
self.init_mpa_info()
self.magicrate = None
self.sample = self.config["price_limit"]["filter_minute"] / \
self.config["timer_minute"]
if self.sample < 1:
self.sample = 1
# don't need feedapi if not witness
if self.config["witness"]:
self.feedapi = FeedApi(config)
else:
self.feedapi = None
self.filter_price = None
if 'alias' in self.config:
self.alias = self.config['alias']
else:
self.alias = {}
self.lastrate = self.config["negative_feedback_rate"]
def init_config(self, config):
if config:
self.config = config
return
config = {}
config["witness"] = None
config["pusher"] = {"enable": 0, "user": "", "password": ""}
config["timer_minute"] = 3
config["price_limit"] = {
"change_min": 0.5,
"change_max": 50,
"spread": 0.01,
"filter_minute": 30
}
config["market_weight"] = {
"btsbots_cny": 0.5,
"btsbots_usd": 0.5,
"btsbots_open.btc": 1,
"poloniex_btc": 1,
"yunbi_cny": 1,
"btc38_cny": 1,
"chbtc_cny": 1
}
self.config = config
def init_tasks(self):
loop = asyncio.get_event_loop()
# init task_exchanges
task_exchanges = TaskExchanges(self.exchange_data, self.config)
task_exchanges.set_period(int(self.config["timer_minute"]) * 60)
# init task_pusher
if self.config["pusher"]["enable"]:
topic = "bts.exchanges"
login_info = None
if self.config["pusher"]["user"]:
login_info = self.config["pusher"]
task_pusher = TaskPusher(self.exchange_data)
task_pusher.topic = topic
task_pusher.set_expired(self.config["timer_minute"] * 60 + 30)
if "publish" in self.config["pusher"]:
def publish_data(_type, _name, _data):
# print("publish: %s %s" % (_type, _name))
task_pusher.pusher.publish(topic, _type, _name, _data)
task_exchanges.handler = publish_data
task_pusher.run_tasks(loop, login_info)
task_exchanges.run_tasks(loop)
# init delegate task
if "delegate" in self.config and len(
self.config['delegate']['keys']) > 1:
task_delegate = Delegate(self.config)
task_delegate.run_tasks(loop)
def setup_log(self):
# Setting up Logger
self.logger = logging.getLogger('bts')
self.logger.setLevel(logging.INFO)
formatter = logging.Formatter(
'%(asctime)s[%(levelname)s]: %(message)s')
fh = logging.handlers.RotatingFileHandler("/tmp/bts_delegate_task.log")
fh.setFormatter(formatter)
self.logger.addHandler(fh)
def init_mpa_info(self):
peg_asset_list = [
"KRW", "BTC", "SILVER", "GOLD", "HKD", "RUB", "CNY", "CAD", "AUD",
"GBP", "JPY", "EUR", "USD", "SHENZHEN", "NASDAQC", "NIKKEI",
"HANGSENG", "SHANGHAI", "TCNY", "TUSD"
]
self.price_queue = {}
for asset in peg_asset_list:
self.price_queue[asset] = []
self.time_publish_feed = 0
self.adjust_scale = 1.00
def change_weight(self, orderbook):
for order_type in self.bts_price.order_types:
for market in orderbook:
if market not in self.config["market_weight"]:
_weight = 0.0
else:
_weight = self.config["market_weight"][market]
for _order in orderbook[market][order_type]:
_order[1] *= _weight
def get_bts_price(self):
# calculate real price
volume, volume_sum, real_price = self.bts_price.compute_price(
spread=self.config["price_limit"]["spread"])
if real_price is None:
return real_price, volume
self.valid_depth = self.bts_price.get_valid_depth(
price=real_price, spread=self.config["price_limit"]["spread"])
self.logger.info("fetch price is %.5f CNY/BTS, volume is %.3f",
real_price, volume)
self.logger.info("efficent depth : %s" % self.valid_depth)
return real_price, volume
# these MPA's precision is 100, it's too small,
# have to change the price
# but we should fixed these at BTS2.0
def patch_nasdaqc(self, price):
if "SHENZHEN" in price:
price["SHENZHEN"] /= price["CNY"]
if "SHANGHAI" in price:
price["SHANGHAI"] /= price["CNY"]
if "NASDAQC" in price:
price["NASDAQC"] /= price["USD"]
if "NIKKEI" in price:
price["NIKKEI"] /= price["JPY"]
if "HANGSENG" in price:
price["HANGSENG"] /= price["HKD"]
def price_filter(self, bts_price_in_cny):
price_mode = self.config["price_mode"]
if price_mode == 1:
self.filter_price = self.get_average_price(bts_price_in_cny)
elif price_mode == 2:
self.filter_price = self.get_median_price(bts_price_in_cny)
else:
self.filter_price = self.get_max_price(bts_price_in_cny)
# print("self.filter_price: ",self.filter_price)
def get_median_price(self, bts_price_in_cny):
median_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or self.bts_price.rate_cny[
asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny /
self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
median_price[asset] = sorted(self.price_queue[asset])[int(
len(self.price_queue[asset]) / 2)]
for asset in list(self.alias):
alias = self.alias[asset]
if alias in median_price:
median_price[asset] = median_price[alias]
self.patch_nasdaqc(median_price)
return median_price
def get_max_price(self, bts_price_in_cny):
max_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or \
self.bts_price.rate_cny[asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny /
self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
max_price[asset] = sorted(
self.price_queue[asset])[int(len(self.price_queue[asset]) - 1)]
for asset in list(self.alias):
alias = self.alias[asset]
if alias in max_price:
max_price[asset] = max_price[alias]
self.patch_nasdaqc(max_price)
return max_price
def get_average_price(self, bts_price_in_cny):
average_price = {}
for asset in self.price_queue:
if asset not in self.bts_price.rate_cny or \
self.bts_price.rate_cny[asset] is None:
continue
self.price_queue[asset].append(bts_price_in_cny /
self.bts_price.rate_cny[asset])
if len(self.price_queue[asset]) > self.sample:
self.price_queue[asset].pop(0)
average_price[asset] = sum(self.price_queue[asset]) / len(
self.price_queue[asset])
for asset in list(self.alias):
alias = self.alias[asset]
if alias in average_price:
average_price[asset] = average_price[alias]
self.patch_nasdaqc(average_price)
return average_price
def display_depth(self, volume):
t = PrettyTable(
["market", "bid price", "bid_volume", "ask price", "ask_volume"])
t.align = 'r'
t.border = True
for market in sorted(self.valid_depth):
_bid_price = "%.8f" % self.valid_depth[market]["bid_price"]
_bid_volume = "{:,.0f}".format(
self.valid_depth[market]["bid_volume"])
_ask_price = "%.8f" % self.valid_depth[market]["ask_price"]
_ask_volume = "{:,.0f}".format(
self.valid_depth[market]["ask_volume"])
t.add_row(
[market, _bid_price, _bid_volume, _ask_price, _ask_volume])
print(t.get_string())
def display_price(self):
price_mode = self.config["price_mode"]
t = PrettyTable([
"asset", "rate(CNY/)", "current(/BTS)", "current(BTS/)",
"max(/BTS)", "max(BTS/)", "my feed"
])
if price_mode == 1:
t = PrettyTable([
"asset", "rate(CNY/)", "current(/BTS)", "current(BTS/)",
"average(/BTS)", "average(BTS/)", "my feed"
])
elif price_mode == 2:
t = PrettyTable([
"asset", "rate(CNY/)", "current(/BTS)", "current(BTS/)",
"median(/BTS)", "median(BTS/)", "my feed"
])
t.align = 'r'
t.border = True
for asset in sorted(self.filter_price):
if asset in self.alias:
_alias = self.alias[asset]
else:
_alias = asset
if _alias in self.bts_price.rate_cny:
_rate_cny = "%.3f" % (self.bts_price.rate_cny[_alias])
else:
_rate_cny = "%.3f" % (self.bts_price.rate_cny[_alias.replace(
"1.0", "")])
if _alias in self.price_queue:
_price_bts1 = "%.8f" % self.price_queue[_alias][-1]
_price_bts2 = "%.3f" % (1 / self.price_queue[_alias][-1])
else:
_alias_source = _alias.replace("1.0", "")
_price_bts1 = "%.8f" % self.price_queue[_alias_source][-1]
_price_bts2 = "%.3f" % (1 /
self.price_queue[_alias_source][-1])
_median_bts1 = "%.8f" % self.filter_price[_alias]
_median_bts2 = "%.3f" % (1 / self.filter_price[_alias])
if self.feedapi and self.feedapi.my_feeds and asset in self.feedapi.my_feeds:
_my_feed = "%.8f" % self.feedapi.my_feeds[asset]["price"]
else:
_my_feed = 'x'
t.add_row([
asset, _rate_cny, _price_bts1, _price_bts2, _median_bts1,
_median_bts2, _my_feed
])
print(t.get_string())
#print("display_price:",sorted(self.filter_price))
def task_get_price(self):
bts_price, volume = self.get_bts_price()
if bts_price is None or volume <= 0.0:
# print("task_get_price:return")
return
self.price_filter(bts_price)
#if "GCNY" in self.feedapi.asset_list:
# self.filter_price["GCNY"] = btc_price
# self.price_queue["GCNY"][0] = btc_price
os.system("clear")
cur_t = time.strftime("%Y/%m/%d %H:%M:%S", time.localtime(time.time()))
print("[%s] efficent price: %.5f CNY/BTS, depth: %s BTS" %
(cur_t, bts_price, "{:,.0f}".format(volume)))
self.display_depth(volume)
print()
self.display_price()
def check_publish(self, asset_list, my_feeds, real_price):
need_publish = {}
# check witness
wit_list = self.feedapi.get_active_wits()
active_wit = self.feedapi.witnessID in wit_list
# print("check_publish:",active_wit,self.feedapi.approve_assets)
for asset in asset_list:
if asset in self.config['force_asset']:
need_publish[asset] = real_price[asset]
continue
if asset not in real_price:
continue
if self.config["price_limit"][
"check_blackswan"] == 1 and self.feedapi.is_blackswan(
asset):
continue
if self.feedapi.is_com_wit_feed(asset) and not active_wit:
continue
if asset not in self.feedapi.approve_assets:
continue
change = fabs(my_feeds[asset]["price"] -
real_price[asset]) * 100.0 / my_feeds[asset]["price"]
if change >= self.config["price_limit"]["change_max"]:
continue
if change < self.config["price_limit"]["change_min"]:
continue
if asset not in my_feeds:
need_publish[asset] = real_price[asset]
continue
if time.time(
) - my_feeds[asset]["timestamp"] > self.feedapi.asset_info[asset][
"feed_lifetime_sec"] - 600:
need_publish[asset] = real_price[asset]
continue
need_publish[asset] = real_price[asset]
#print("check_publish:",need_publish)
return need_publish
def price_add_by_black(self, real_price):
ready_publish = {}
for oneprice in real_price:
custom = None
if oneprice in self.config['asset_config']:
custom = self.config['asset_config'][oneprice]
# print("real_price[oneprice]: ",oneprice, real_price[oneprice])
if custom and "black_min" in custom:
minr = custom["black_min"]
if minr != 0:
b_price = self.feedapi.fetch_black_price(oneprice)
if real_price[oneprice] <= b_price:
ready_publish[oneprice] = b_price * minr
else:
ready_publish[oneprice] = real_price[oneprice]
else:
ready_publish[oneprice] = real_price[oneprice]
else:
ready_publish[oneprice] = real_price[oneprice]
#print("price_add_by_black:",ready_publish)
if ready_publish:
return ready_publish
else:
return real_price
def price_negative_feedback(self, price):
ready_publish = {}
self.magicrate = self.bts_price.get_magic_rate()
print("magicrate:%.8f" % (self.magicrate))
print("premium:%.8f" % (1 - self.magicrate))
print("lastrate:%.8f" % (self.lastrate))
fmax = self.config["negative_feedback_max"]
fmin = self.config["negative_feedback_min"]
# frate = self.config["negative_feedback_rate"]
rate = (1 - self.magicrate) * self.config["price_coefficient"]
rate = self.lastrate - rate
rate = max(rate, fmin)
rate = min(rate, fmax)
self.lastrate = rate
print("newrate:%.8f" % (self.lastrate))
if rate == 0:
self.lastrate = self.config["negative_feedback_rate"]
rate = 1
else:
rate = 1 + rate
for oneprice in price:
if oneprice == "CNY":
ready_publish[oneprice] = price[oneprice] * rate
else:
ready_publish[oneprice] = price[oneprice]
#print(price)
if ready_publish:
return ready_publish
else:
return price
def get_asset_config(self, symbol):
cnf = self.config['asset_config']['default']
if symbol in self.config['asset_config']:
tmp = self.config['asset_config'][symbol]
for k in tmp.keys():
cnf[k] = tmp[k]
return cnf
def proc_baip2(self, ):
d_path = "./baip2.data.json"
price_data = {}
if Path(d_path).is_file():
datafile = open(d_path, "r")
price_data = json.load(datafile)
max_item = int(60 / self.config['timer_minute'] * 48)
# print(max_item)
for symbol in self.filter_price:
if self.get_asset_config(symbol)['use_baip2'] <= 0:
if symbol in price_data:
price_data.pop(symbol)
continue
if symbol in price_data:
p = 0
c = len(price_data[symbol])
for price in price_data[symbol]:
p += price
po = p / c
last_p = self.filter_price[symbol]
self.filter_price[symbol] = max(last_p, po)
if c >= max_item:
tmp = price_data[symbol][1:]
tmp.append(last_p)
price_data[symbol] = tmp
else:
price_data[symbol].append(last_p)
else:
price_data[symbol] = [self.filter_price[symbol]]
with open(d_path, "w") as f:
json.dump(price_data, f)
def task_publish_price(self):
nf = self.config["negative_feedback"]
if nf == 1:
self.filter_price = self.price_negative_feedback(self.filter_price)
elif nf == 2:
self.filter_price = self.price_add_by_black(self.filter_price)
#print("task_publish_price:",self.filter_price)
if not self.config["witness"]:
return
self.feedapi.fetch_feed()
# self.proc_baip2()
btscny = self.filter_price["CNY"]
# print("task_publish_price",self.filter_price)
feed_need_publish = self.check_publish(
self.feedapi.asset_list + list(self.alias), self.feedapi.my_feeds,
self.filter_price)
if len(feed_need_publish) > 0:
self.logger.info("publish feeds: %s" % feed_need_publish)
self.feedapi.publish_feed(feed_need_publish, btscny)
print("Price feed completed.")
else:
print("No price feed.")
@asyncio.coroutine
def run_task(self):
config_timer = int(self.config["timer_minute"]) * 60
try:
while True:
self.task_get_price()
#print("run_task:",self.filter_price)
if self.filter_price:
self.task_publish_price()
if self.filter_price:
timer = config_timer
else:
timer = 3
yield from asyncio.sleep(timer)
except Exception as e:
print("Error: ", e)
def execute(self):
loop = asyncio.get_event_loop()
loop.create_task(self.run_task())
loop.run_forever()