def get_pending_orders(api_key):
log.info("Get pending orders.")
time_stamp = get_current_time()
pending_orders = lykkex.get_pending_orders(api_key)
if not pending_orders:
log.info("No pending orders")
return time_stamp, pending_orders
def get_price(asset_pair_id, side='BUY'):
log.info("Retrieve price: {}".format(side))
time_stamp = get_current_time()
order_book = lykkex.get_order_book(asset_pair_id)
price = LykkexService.get_asset_price(order_book, side)
volume = LykkexService.get_asset_trading_volume(order_book, side)
log.info("Timestamp: {}".format(time_stamp))
log.info("Price: {}".format(price))
return time_stamp, price, volume
def get_balance(api_key):
log.info("Retrieve current balance.")
time_stamp = get_current_time()
balance = lykkex.get_balance(api_key)
log.info("Number of assets: {}".format(len(balance)))
for x in range(0, len(balance)):
log.info(
format('Current wealth ' + balance[x]['AssetId'].encode() +
': ' + str(balance[x]['Balance'])))
return time_stamp, balance
def send_limit_order(api_key,
asset_pair,
asset,
price,
order_action='BUY',
volume='0.1'):
log.info("Send market order - {}".format(asset))
time_stamp = get_current_time()
response = lykkex.send_limit_order(api_key, asset_pair, asset, price,
order_action, volume)
log.info("Limit order placed")
order_id = str(response)
return time_stamp, order_id
def send_market_order(api_key, asset_pair, asset, order_action, volume):
log.info("Send market order - {}".format(asset))
time_stamp = get_current_time()
response = lykkex.send_market_order(api_key, asset_pair, asset,
order_action, volume)
if response['Error']:
log.info("Error: Market order not successful")
raise RuntimeError(
"Error in sending market order. Check response {}".format(
response))
final_price = response['Result']
log.info("Trade successful at price {}".format(final_price))
return time_stamp, final_price
def calculate_trading_signal(self, ):
log.info("Calculate trading signal.")
window_length = 1. / self.trading_frequency * self.momentum_accumulator
start_date = get_current_time() - datetime.timedelta(
seconds=window_length)
price_data = self.db_service.get_price_data(after=start_date)
enough_price_points_available = price_data.shape[0] >= 2
if enough_price_points_available:
trading_signal = momentum_strategy(price_data)
else:
log.info("Need to accumulate more price data points.")
trading_signal = 0
log.info("Trading signal: {}".format(trading_signal))
return trading_signal
def get_latency(self, asset_pair_id):
time_stamp = get_current_time()
order_book = lykkex.get_order_book(asset_pair_id)
time_ob = self.get_time_stamp_from_order_books(order_book)
time_delta = (time_stamp - time_ob).total_seconds()
log.info("System latency: {} secs".format(time_delta))
def control_limit_order(api_key, order_id):
log.info("Check status of limit order {}", order_id)
time_stamp = get_current_time()
content = lykkex.get_order_status(api_key, order_id)
status = content['Status']
return time_stamp, status