def get_new_subscription():
symbols = Deribit.get_instruments()
new_subscription = defaultdict(set)
for symbol in symbols:
for feed_type in subscription[get_instrument_type(symbol)]:
new_subscription[feed_type].add(symbol)
return new_subscription
async def _user_trade(self, msg: dict, timestamp: float):
"""
{
"params":
{
"data":
[
{
# "trade_seq" : 30289432,
# "trade_id" : "48079254",
# "timestamp" : 1590484156350,
"tick_direction" : 0,
"state" : "filled",
"self_trade" : false,
"reduce_only" : false,
# "price" : 8954,
"post_only" : false,
"order_type" : "market",
# "order_id" : "4008965646",
"matching_id" : null,
# "mark_price" : 8952.86,
"liquidity" : "T",
# "instrument_name" : "BTC-PERPETUAL",
# "index_price" : 8956.73,
"fee_currency" : "BTC",
"fee" : 0.00000168,
# "direction" : "sell",
# "amount" : 20
}
],
"channel": "user.trades.BTC-PERPETUAL.raw"
},
"method": "subscription",
"jsonrpc": "2.0"
}
"""
for trade in msg["params"]["data"]:
kwargs = {}
kwargs['trade_seq'] = Decimal(trade['trade_seq'])
kwargs['mark_price'] = Decimal(trade['mark_price'])
kwargs['index_price'] = Decimal(trade['index_price'])
if get_instrument_type(trade["instrument_name"]) == OPTION:
kwargs['iv'] = Decimal(trade['iv'])
kwargs['underlying_price'] = Decimal(trade['underlying_price'])
await self.callback(USER_TRADES,
feed=self.id,
symbol=trade["instrument_name"],
order_id=trade['trade_id'],
side=BUY if trade['direction'] == 'buy' else SELL,
amount=Decimal(trade['amount']),
price=Decimal(trade['price']),
timestamp=timestamp_normalize(self.id, trade['timestamp']),
receipt_timestamp=timestamp,
**kwargs
)
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"]:
kwargs = {}
kwargs['trade_seq'] = Decimal(trade['trade_seq'])
kwargs['mark_price'] = Decimal(trade['mark_price'])
kwargs['index_price'] = Decimal(trade['index_price'])
if get_instrument_type(trade["instrument_name"]) == OPTION:
kwargs['iv'] = Decimal(trade['iv'])
await self.callback(TRADES,
feed=self.id,
symbol=self.exchange_symbol_to_std_symbol(trade["instrument_name"]),
order_id=trade['trade_id'],
side=BUY if trade['direction'] == 'buy' else SELL,
amount=Decimal(trade['amount']),
price=Decimal(trade['price']),
timestamp=timestamp_normalize(self.id, trade['timestamp']),
receipt_timestamp=timestamp,
**kwargs
)
if 'liquidation' in trade:
await self.callback(LIQUIDATIONS,
feed=self.id,
symbol=self.exchange_symbol_to_std_symbol(trade["instrument_name"]),
side=BUY if trade['direction'] == 'buy' else SELL,
leaves_qty=Decimal(trade['amount']),
price=Decimal(trade['price']),
order_id=trade['trade_id'],
status=FILLED,
timestamp=timestamp_normalize(self.id, trade['timestamp']),
receipt_timestamp=timestamp
)
async def __call__(self,
*,
feed: str,
symbol: str,
bid: Decimal,
bid_amount: Decimal,
ask: Decimal,
ask_amount: Decimal,
timestamp: float,
receipt_timestamp: float,
bid_iv: Decimal = None,
ask_iv: Decimal = None,
delta: Decimal = None,
gamma: Decimal = None,
rho: Decimal = None,
theta: Decimal = None,
vega: Decimal = None,
mark_price: Decimal = None,
mark_iv: Decimal = None,
underlying_index: str = None,
underlying_price: Decimal = None):
instrument_type = get_instrument_type(symbol)
if not instrument_type in self.callbacks:
return
if instrument_type == PERPETUAL:
await self.callbacks[instrument_type](feed, symbol, bid,
bid_amount, ask, ask_amount,
timestamp, receipt_timestamp)
elif instrument_type == OPTION:
await self.callbacks[instrument_type](
feed, symbol, bid, bid_amount, ask, ask_amount, timestamp,
receipt_timestamp, bid_iv, ask_iv, delta, gamma, rho, theta,
vega, mark_price, mark_iv, underlying_index, underlying_price)
else:
await self.callbacks[instrument_type](feed, symbol, bid,
bid_amount, ask, ask_amount,
timestamp, receipt_timestamp)
async def _ticker(self, msg: dict, timestamp: float):
'''
{
"params" : {
"data" : {
"timestamp" : 1550652954406,
"stats" : {
"volume" : null,
"low" : null,
"high" : null
},
"state" : "open",
"settlement_price" : 3960.14,
"open_interest" : 0.12759952124659626,
"min_price" : 3943.21,
"max_price" : 3982.84,
"mark_price" : 3940.06,
"last_price" : 3906,
"instrument_name" : "BTC-PERPETUAL",
"index_price" : 3918.51,
"funding_8h" : 0.01520525,
"current_funding" : 0.00499954,
"best_bid_price" : 3914.97,
"best_bid_amount" : 40,
"best_ask_price" : 3996.61,
"best_ask_amount" : 50
},
"channel" : "ticker.BTC-PERPETUAL.raw"
},
"method" : "subscription",
"jsonrpc" : "2.0"}
'''
pair = self.exchange_symbol_to_std_symbol(msg['params']['data']['instrument_name'])
bid = Decimal(msg["params"]["data"]["best_bid_price"])
bid_amount = Decimal(msg["params"]["data"]["best_bid_amount"])
ask = Decimal(msg["params"]["data"]['best_ask_price'])
ask_amount = Decimal(msg["params"]["data"]["best_ask_amount"])
if pair in self.snapshot and self.snapshot[pair] == (bid, bid_amount, ask, ask_amount):
return
self.snapshot[pair] = (bid, bid_amount, ask, ask_amount)
ts = timestamp_normalize(self.id, msg['params']['data']['timestamp'])
kwargs = {}
instrument_type = get_instrument_type(pair)
if instrument_type == OPTION:
kwargs['bid_iv'] = Decimal(msg["params"]["data"]["bid_iv"])
kwargs['ask_iv'] = Decimal(msg["params"]["data"]["ask_iv"])
kwargs['delta'] = Decimal(msg["params"]["data"]["greeks"]["delta"])
kwargs['gamma'] = Decimal(msg["params"]["data"]["greeks"]["gamma"])
kwargs['rho'] = Decimal(msg["params"]["data"]["greeks"]["rho"])
kwargs['theta'] = Decimal(msg["params"]["data"]["greeks"]["theta"])
kwargs['vega'] = Decimal(msg["params"]["data"]["greeks"]["vega"])
kwargs['mark_price'] = Decimal(msg["params"]["data"]["mark_price"])
kwargs['mark_iv'] = Decimal(msg["params"]["data"]["mark_iv"])
kwargs['underlying_index'] = msg["params"]["data"]["underlying_index"]
kwargs['underlying_price'] = Decimal(msg["params"]["data"]["underlying_price"])
await self.callback(TICKER, feed=self.id,
symbol=pair,
bid=bid,
bid_amount=bid_amount,
ask=ask,
ask_amount=ask_amount,
timestamp=ts,
receipt_timestamp=timestamp,
**kwargs)
if "current_funding" in msg["params"]["data"] and "funding_8h" in msg["params"]["data"]:
await self.callback(FUNDING, feed=self.id,
symbol=pair,
timestamp=ts,
receipt_timestamp=timestamp,
rate=msg["params"]["data"]["current_funding"],
rate_8h=msg["params"]["data"]["funding_8h"])
oi = msg['params']['data']['open_interest']
if pair in self.open_interest and oi == self.open_interest[pair]:
return
self.open_interest[pair] = oi
await self.callback(OPEN_INTEREST,
feed=self.id,
symbol=pair,
open_interest=oi,
timestamp=ts,
receipt_timestamp=timestamp
)