def process_market(self):
#
# insert market info
#
self.lock()
mki = self._pending_market_info_insert
self._pending_market_info_insert = []
self.unlock()
if mki:
try:
cursor = self._db.cursor()
for mi in mki:
if mi[16] is None:
# margin factor is unavailable when market is down, so use previous value if available
cursor.execute("""SELECT margin_factor FROM market WHERE broker_id = '%s' AND market_id = '%s'""" % (mi[0], mi[1]))
row = cursor.fetchone()
if row:
# replace by previous margin factor from the DB
margin_factor = row[0]
mi = list(mi)
mi[16] = margin_factor
cursor.execute("""INSERT INTO market(broker_id, market_id, symbol,
market_type, unit_type, contract_type,
trade_type, orders,
base, base_display, base_precision,
quote, quote_display, quote_precision,
expiry, timestamp,
lot_size, contract_size, base_exchange_rate,
value_per_pip, one_pip_means, margin_factor,
min_size, max_size, step_size,
min_notional, max_notional, step_notional,
min_price, max_price, step_price,
maker_fee, taker_fee, maker_commission, taker_commission)
VALUES(%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)
ON CONFLICT (broker_id, market_id) DO UPDATE SET symbol = %s,
market_type = %s, unit_type = %s, contract_type = %s,
trade_type = %s, orders = %s,
base = %s, base_display = %s, base_precision = %s,
quote = %s, quote_display = %s, quote_precision = %s,
expiry = %s, timestamp = %s,
lot_size = %s, contract_size = %s, base_exchange_rate = %s,
value_per_pip = %s, one_pip_means = %s, margin_factor = %s,
min_size = %s, max_size = %s, step_size = %s,
min_notional = %s, max_notional = %s, step_notional = %s,
min_price = %s, max_price = %s, step_price = %s,
maker_fee = %s, taker_fee = %s, maker_commission = %s, taker_commission = %s""",
(*mi, *mi[2:]))
self._db.commit()
except Exception as e:
logger.error(repr(e))
# retry the next time
self.lock()
self._pending_market_info_insert = mki + self._pending_market_info_insert
self.unlock()
#
# select market info
#
self.lock()
mis = self._pending_market_info_select
self._pending_market_info_select = []
self.unlock()
if mis:
try:
cursor = self._db.cursor()
for mi in mis:
cursor.execute("""SELECT symbol,
market_type, unit_type, contract_type,
trade_type, orders,
base, base_display, base_precision,
quote, quote_display, quote_precision,
expiry, timestamp,
lot_size, contract_size, base_exchange_rate,
value_per_pip, one_pip_means, margin_factor,
min_size, max_size, step_size,
min_notional, max_notional, step_notional,
min_price, max_price, step_price,
maker_fee, taker_fee, maker_commission, taker_commission FROM market
WHERE broker_id = '%s' AND market_id = '%s'""" % (
mi[1], mi[2]))
row = cursor.fetchone()
if row:
market_info = Market(mi[2], row[0])
market_info.is_open = True
market_info.market_type = row[1]
market_info.unit_type = row[2]
market_info.contract_type = row[3]
market_info.trade = row[4]
market_info.orders = row[5]
market_info.set_base(row[6], row[7], int(row[8]))
market_info.set_quote(row[9], row[10], int(row[11]))
market_info.expiry = row[12]
market_info.last_update_time = row[13] * 0.001
market_info.lot_size = float(row[14])
market_info.contract_size = float(row[15])
market_info.base_exchange_rate = float(row[16])
market_info.value_per_pip = float(row[17])
market_info.one_pip_means = float(row[18])
if row[19] is not None or row[19] is not 'None':
if row[19] == '-': # not defined mean 1.0 or no margin
market_info.margin_factor = 1.0
else:
market_info.margin_factor = float(row[19])
market_info.set_size_limits(float(row[20]), float(row[21]), float(row[22]))
market_info.set_notional_limits(float(row[23]), float(row[24]), float(row[25]))
market_info.set_price_limits(float(row[26]), float(row[27]), float(row[28]))
market_info.maker_fee = float(row[29])
market_info.taker_fee = float(row[30])
market_info.maker_commission = float(row[31])
market_info.taker_commission = float(row[32])
else:
market_info = None
# notify
mi[0].notify(Signal.SIGNAL_MARKET_INFO_DATA, mi[1], (mi[2], market_info))
except Exception as e:
logger.error(repr(e))
# retry the next time
self.lock()
self._pending_market_info_select = mis + self._pending_market_info_select
self.unlock()
#
# select market list
#
self.lock()
mls = self._pending_market_list_select
self._pending_market_list_select = []
self.unlock()
if mls:
try:
cursor = self._db.cursor()
for m in mls:
cursor.execute("""SELECT market_id, symbol, base, quote FROM market WHERE broker_id = '%s'""" % (m[1],))
rows = cursor.fetchall()
market_list = []
for row in rows:
market_list.append(row)
# notify
m[0].notify(Signal.SIGNAL_MARKET_LIST_DATA, m[1], market_list)
except Exception as e:
logger.error(repr(e))
# retry the next time
self.lock()
self._pending_market_list_select = mls + self._pending_market_list_select
self.unlock()
def fetch_market(self, market_id):
"""
Fetch and cache it.
@param market_id Is the IG epic name
"""
market_info = self._ig_service.fetch_market_by_epic(market_id)
if not market_info:
return
instrument = market_info['instrument']
snapshot = market_info['snapshot']
dealing_rules = market_info['dealingRules']
market = Market(market_id, instrument['marketId'])
# cannot interpret this value because IG want it as it is
market.expiry = instrument['expiry']
# not perfect but IG does not provides this information
if instrument["marketId"].endswith(
instrument["currencies"][0]["name"]):
base_symbol = instrument[
"marketId"][:-len(instrument["currencies"][0]["name"])]
else:
base_symbol = instrument["marketId"]
market.base_exchange_rate = instrument['currencies'][0][
'baseExchangeRate'] # "exchangeRate": 0.77
market.one_pip_means = float(instrument['onePipMeans'].split(' ')[0])
market.value_per_pip = float(instrument['valueOfOnePip'])
market.contract_size = float(instrument['contractSize'])
market.lot_size = float(instrument['lotSize'])
# @todo how to determine base precision ?
market.set_base(base_symbol, base_symbol)
market.set_quote(
instrument["currencies"][0]["name"],
instrument["currencies"][0]['symbol'],
-int(math.log10(market.one_pip_means))) # "USD", "$", precision
if snapshot:
market.is_open = snapshot["marketStatus"] == "TRADEABLE"
market.bid = snapshot['bid']
market.ofr = snapshot['offer']
# "marginFactorUnit": "PERCENTAGE" not avalaible if market is down
if instrument.get('marginFactor') and market.is_open:
market.margin_factor = float(instrument['marginFactor'])
margin_factor = instrument['marginFactor']
elif instrument.get('margin') and market.is_open:
market.margin_factor = 0.1 / float(instrument['margin'])
margin_factor = str(market.margin_factor)
else:
# we don't want this when market is down because it could overwrite the previous stored value
margin_factor = None
if instrument['unit'] == 'AMOUNT':
market.unit_type = Market.UNIT_AMOUNT
elif instrument['unit'] == 'CONTRACTS':
market.unit_type = Market.UNIT_CONTRACTS
elif instrument['unit'] == 'SHARES':
market.unit_type = Market.UNIT_SHARES
# BINARY OPT_* BUNGEE_*
if instrument['type'] == 'CURRENCIES':
market._market_type = Market.TYPE_CURRENCY
elif instrument['type'] == 'INDICES':
market._market_type = Market.TYPE_INDICE
elif instrument['type'] == 'COMMODITIES':
market._market_type = Market.TYPE_COMMODITY
elif instrument['type'] == 'SHARES':
market._market_type = Market.TYPE_STOCK
elif instrument['type'] == 'RATES':
market._market_type = Market.TYPE_RATE
elif instrument['type'] == 'SECTORS':
market._market_type = Market.TYPE_SECTOR
market.trade = Market.TRADE_MARGIN
market.contract_type = Market.CONTRACT_CFD
# take minDealSize as tick size
market.set_size_limits(dealing_rules["minDealSize"]["value"], 0.0,
dealing_rules["minDealSize"]["value"])
# @todo there is some limits in contract size
market.set_notional_limits(0.0, 0.0, 0.0)
# @todo maybe decimal_place of onePipMeans for tick_size
market.set_price_limits(0.0, 0.0, 0.0)
# commission for stocks
commission = "0.0"
# @todo
# store it
self.lock()
self._markets[market_id] = market
self.unlock()
# store market info
Database.inst().store_market_info((
self.name,
market_id,
market.symbol,
market.market_type,
market.unit_type,
market.contract_type, # type
market.trade,
market.orders, # type
market.base,
market.base_display,
market.base_precision, # base
market.quote,
market.quote_display,
market.quote_precision, # quote
market.expiry,
int(market.last_update_time * 1000.0), # expiry, timestamp
instrument['lotSize'],
instrument['contractSize'],
str(market.base_exchange_rate),
instrument['valueOfOnePip'],
instrument['onePipMeans'].split(' ')[0],
margin_factor,
dealing_rules["minDealSize"]["value"],
"0.0",
dealing_rules["minDealSize"]["value"], # size limits
"0.0",
"0.0",
"0.0", # notional limits
"0.0",
"0.0",
"0.0", # price limits
"0.0",
"0.0",
commission,
commission) # fees
)
