async def _liquidations(self, msg: dict, timestamp: float):
"""
{
"e":"forceOrder", // Event Type
"E":1568014460893, // Event Time
"o":{
"s":"BTCUSDT", // Symbol
"S":"SELL", // Side
"o":"LIMIT", // Order Type
"f":"IOC", // Time in Force
"q":"0.014", // Original Quantity
"p":"9910", // Price
"ap":"9910", // Average Price
"X":"FILLED", // Order Status
"l":"0.014", // Order Last Filled Quantity
"z":"0.014", // Order Filled Accumulated Quantity
"T":1568014460893, // Order Trade Time
}
}
"""
pair = self.exchange_symbol_to_std_symbol(msg['o']['s'])
liq = Liquidation(self.id,
pair,
SELL if msg['o']['S'] == 'SELL' else BUY,
Decimal(msg['o']['q']),
Decimal(msg['o']['p']),
None,
FILLED if msg['o']['X'] == 'FILLED' else UNFILLED,
self.timestamp_normalize(msg['E']),
raw=msg)
await self.callback(LIQUIDATIONS, liq, receipt_timestamp=timestamp)
async def _trade(self, msg: dict, timestamp: float):
"""
example message:
{"channel": "trades", "market": "BTC-PERP", "type": "update", "data": [{"id": null, "price": 10738.75,
"size": 0.3616, "side": "buy", "liquidation": false, "time": "2019-08-03T12:20:19.170586+00:00"}]}
"""
for trade in msg['data']:
t = Trade(self.id,
self.exchange_symbol_to_std_symbol(msg['market']),
BUY if trade['side'] == 'buy' else SELL,
Decimal(trade['size']),
Decimal(trade['price']),
float(self.timestamp_normalize(trade['time'])),
id=str(trade['id']),
raw=trade)
await self.callback(TRADES, t, timestamp)
if bool(trade['liquidation']):
liq = Liquidation(
self.id,
self.exchange_symbol_to_std_symbol(msg['market']),
BUY if trade['side'] == 'buy' else SELL,
Decimal(trade['size']),
Decimal(trade['price']),
str(trade['id']),
FILLED,
float(self.timestamp_normalize(trade['time'])),
raw=trade)
await self.callback(LIQUIDATIONS, liq, timestamp)
async def _liquidation(self, msg: dict, timestamp: float):
'''
{
'topic': 'liquidation.EOSUSDT',
'data': {
'symbol': 'EOSUSDT',
'side': 'Buy',
'price': '3.950',
'qty': '58.0',
'time': 1632586154956
}
}
'''
liq = Liquidation(
self.id,
self.exchange_symbol_to_std_symbol(msg['data']['symbol']),
BUY if msg['data']['side'] == 'Buy' else SELL,
Decimal(msg['data']['qty']),
Decimal(msg['data']['price']),
None,
None,
self.timestamp_normalize(msg['data']['time']),
raw=msg
)
await self.callback(LIQUIDATIONS, liq, timestamp)
def test_liquidation():
t = Liquidation(
'BINANCE_FUTURES',
'BTC-USD-PERP',
BUY,
Decimal(10),
Decimal(100),
'1234-abcd-6789-1234',
UNFILLED,
time(),
)
d = t.to_dict(numeric_type=str)
d = json.dumps(d)
d = json.loads(d)
t2 = Liquidation.from_dict(d)
assert t == t2
async def _liquidation(self, msg: dict, timestamp: float):
"""
liquidation msg example
{
'orderID': '9513c849-ca0d-4e11-8190-9d221972288c',
'symbol': 'XBTUSD',
'side': 'Buy',
'price': 6833.5,
'leavesQty': 2020
}
"""
if msg['action'] == 'insert':
for data in msg['data']:
liq = Liquidation(
self.id,
self.exchange_symbol_to_std_symbol(data['symbol']),
BUY if data['side'] == 'Buy' else SELL,
Decimal(data['leavesQty']),
Decimal(data['price']),
data['orderID'],
UNFILLED,
None,
raw=data
)
await self.callback(LIQUIDATIONS, liq, timestamp)
async def _trade(self, msg: dict, timestamp: float):
"""
{
"params":
{
"data":
[
{
"trade_seq": 933,
"trade_id": "9178",
"timestamp": 1550736299753,
"tick_direction": 3,
"price": 3948.69,
"instrument_name": "BTC-PERPETUAL",
"index_price": 3930.73,
"direction": "sell",
"amount": 10
}
],
"channel": "trades.BTC-PERPETUAL.raw"
},
"method": "subscription",
"jsonrpc": "2.0"
}
"""
for trade in msg["params"]["data"]:
t = Trade(
self.id,
self.exchange_symbol_to_std_symbol(trade["instrument_name"]),
BUY if trade['direction'] == 'buy' else SELL,
Decimal(trade['amount']),
Decimal(trade['price']),
self.timestamp_normalize(trade['timestamp']),
id=trade['trade_id'],
raw=trade
)
await self.callback(TRADES, t, timestamp)
if 'liquidation' in trade:
liq = Liquidation(
self.id,
self.exchange_symbol_to_std_symbol(trade["instrument_name"]),
BUY if trade['direction'] == 'buy' else SELL,
Decimal(trade['amount']),
Decimal(trade['price']),
trade['trade_id'],
FILLED,
self.timestamp_normalize(trade['timestamp']),
raw=trade
)
await self.callback(LIQUIDATIONS, liq, timestamp)
async def _liquidations(self, pairs: list):
last_update = defaultdict(dict)
"""
for PERP liquidations, the following arguments are required: uly, state
for FUTURES liquidations, the following arguments are required: uly, state, alias
FUTURES, MARGIN and OPTION liquidation request not currently supported by the below
"""
while True:
for pair in pairs:
if 'SWAP' in pair:
instrument_type = 'SWAP'
uly = pair.split("-")[0] + "-" + pair.split("-")[1]
else:
continue
for status in (FILLED, UNFILLED):
data = await self.http_conn.read(
self.rest_endpoints[0].route(
'liquidations', sandbox=self.sandbox).format(
instrument_type, status, uly))
data = json.loads(data, parse_float=Decimal)
timestamp = time.time()
if len(data['data'][0]['details']) == 0 or (
len(data['data'][0]['details']) > 0
and last_update.get(pair)
== data['data'][0]['details'][0]):
continue
for entry in data['data'][0]['details']:
if pair in last_update:
if entry == last_update[pair].get(status):
break
liq = Liquidation(
self.id,
pair,
BUY if entry['side'] == 'buy' else SELL,
Decimal(entry['sz']),
Decimal(entry['bkPx']),
None,
status,
self.timestamp_normalize(int(entry['ts'])),
raw=data)
await self.callback(LIQUIDATIONS, liq, timestamp)
last_update[pair][status] = data['data'][0]['details'][0]
await asyncio.sleep(0.1)
await asyncio.sleep(60)
async def _liquidations(self, pairs: list):
last_update = defaultdict(dict)
"""
for PERP liquidations, the following arguments are required: uly, state
for FUTURES liquidations, the following arguments are required: uly, state, alias
FUTURES, MARGIN and OPTION liquidation request not currently supported by the below
"""
while True:
for pair in pairs:
if 'PERP' in pair:
instrument_type = 'SWAP'
uly = pair.split("-")[0] + "-" + pair.split("-")[1]
else:
continue
for status in (FILLED, UNFILLED):
end_point = f"{self.api}v5/public/liquidation-orders?instType={instrument_type}&limit=100&state={status}&uly={uly}"
data = await self.http_conn.read(end_point)
data = json.loads(data, parse_float=Decimal)
timestamp = time.time()
if len(data['data'][0]['details']) == 0 or (
len(data['data'][0]['details']) > 0
and last_update.get(pair)
== data['data'][0]['details'][0]):
continue
for entry in data['data'][0]['details']:
if pair in last_update:
if entry == last_update[pair].get(status):
break
liq = Liquidation(
self.id,
pair,
BUY if entry['side'] == 'buy' else SELL,
None,
Decimal(entry['bkPx']),
status,
None,
raw=data)
await self.callback(LIQUIDATIONS, liq, timestamp)
last_update[pair][status] = data['data'][0]['details'][0]
await asyncio.sleep(0.1)
await asyncio.sleep(60)