def process_market(self):
#
# insert market info
#
with self._mutex:
mki = self._pending_market_info_insert
self._pending_market_info_insert = []
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
else:
mi[16] = "1.0"
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 = EXCLUDED.symbol,
market_type = EXCLUDED.market_type, unit_type = EXCLUDED.unit_type, contract_type = EXCLUDED.contract_type,
trade_type = EXCLUDED.trade_type, orders = EXCLUDED.orders,
base = EXCLUDED.base, base_display = EXCLUDED.base_display, base_precision = EXCLUDED.base_precision,
quote = EXCLUDED.quote, quote_display = EXCLUDED.quote_display, quote_precision = EXCLUDED.quote_precision,
expiry = EXCLUDED.expiry, timestamp = EXCLUDED.timestamp,
lot_size = EXCLUDED.lot_size, contract_size = EXCLUDED.contract_size, base_exchange_rate = EXCLUDED.base_exchange_rate,
value_per_pip = EXCLUDED.value_per_pip, one_pip_means = EXCLUDED.one_pip_means, margin_factor = EXCLUDED.margin_factor,
min_size = EXCLUDED.min_size, max_size = EXCLUDED.max_size, step_size = EXCLUDED.step_size,
min_notional = EXCLUDED.min_notional, max_notional = EXCLUDED.max_notional, step_notional = EXCLUDED.step_notional,
min_price = EXCLUDED.min_price, max_price = EXCLUDED.max_price, step_price = EXCLUDED.step_price,
maker_fee = EXCLUDED.maker_fee, taker_fee = EXCLUDED.taker_fee, maker_commission = EXCLUDED.maker_commission, taker_commission = EXCLUDED.taker_commission""",
(*mi,))
self._db.commit()
except self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_market_info_insert = mki + self._pending_market_info_insert
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_market_info_insert = mki + self._pending_market_info_insert
#
# select market info
#
with self._mutex:
mis = self._pending_market_info_select
self._pending_market_info_select = []
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] or "1.0")
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 self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_market_info_select = mis + self._pending_market_info_select
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_market_info_select = mis + self._pending_market_info_select
#
# select market list
#
with self._mutex:
mls = self._pending_market_list_select
self._pending_market_list_select = []
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 self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_market_list_select = mls + self._pending_market_list_select
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_market_list_select = mls + self._pending_market_list_select
def install_market_data(self, market_id, market_data):
"""
Install a market info data into the database.
"""
market = Market(market_id, market_data.get('symbol', market_id))
market.base_exchange_rate = market_data.get('base-exchange-rate', 1.0)
market.one_pip_means = market_data.get('one-pip-means', 1.0)
market.value_per_pip = market_data.get('value-per-pip', 1.0)
market.contract_size = market_data.get('contract-size', 1.0)
market.lot_size = market_data.get('lot-size', 1.0)
market.expiry = market_data.get('expiry', '-')
base = market_data.get('base', {})
market.set_base(base.get('symbol', 'USD'), base.get('display', '$'),
base.get('precision', 2))
quote = market_data.get('quote', {})
market.set_base(quote.get('symbol', 'USD'), quote.get('display', '$'),
quote.get('precision', 2))
market.is_open = True
market.margin_factor = market_data.get('margin-factor', 1.0)
if 'unit' in market_data:
if market_data['unit'] == 'amount':
market.unit_type = Market.UNIT_AMOUNT
elif market_data['unit'] == 'contracts':
market.unit_type = Market.UNIT_CONTRACTS
elif market_data['unit'] == 'shares':
market.unit_type = Market.UNIT_SHARES
else:
market.unit_type = Market.UNIT_CONTRACTS
else:
market.unit_type = Market.UNIT_CONTRACTS
if 'type' in market_data:
if market_data['type'] == 'currency':
market.market_type = Market.TYPE_CURRENCY
elif market_data['type'] == 'indice':
market.market_type = Market.TYPE_INDICE
elif market_data['type'] == 'commodity':
market.market_type = Market.TYPE_COMMODITY
elif market_data['type'] == 'stock':
market.market_type = Market.TYPE_STOCK
elif market_data['type'] == 'rate':
market.market_type = Market.TYPE_RATE
elif market_data['type'] == 'sector':
market.market_type = Market.TYPE_SECTOR
else:
market.market_type = Market.TYPE_UNKNOWN
else:
market.market_type = Market.TYPE_UNKNOWN
if 'contract' in market_data:
if market_data['contract'] == 'spot':
market.contract_type = Market.CONTRACT_SPOT
elif market_data['contract'] == 'cfd':
market.contract_type = Market.CONTRACT_CFD
elif market_data['contract'] == 'futur':
market.contract_type = Market.CONTRACT_FUTUR
elif market_data['contract'] == 'option':
market.contract_type = Market.CONTRACT_OPTION
elif market_data['contract'] == 'warrant':
market.contract_type = Market.CONTRACT_WARRANT
elif market_data['contract'] == 'turbo':
market.contract_type = Market.CONTRACT_TURBO
else:
market.contract_type = Market.CONTRACT_SPOT
else:
market.contract_type = Market.CONTRACT_SPOT
market.trade = 0
if market_data.get('spot', False):
market.trade |= Market.TRADE_BUY_SELL
if market_data.get('margin', False):
market.trade |= Market.TRADE_MARGIN
if market_data.get('indivisible', False):
market.trade |= Market.TRADE_IND_MARGIN
if market_data.get('fifo', False):
market.trade |= Market.TRADE_FIFO
if market_data.get('position', False):
market.trade |= Market.TRADE_POSITION
orders = market_data.get(
'orders', ('market', 'limit', 'stop-market', 'stop-limit',
'take-profit-market', 'take-profit-limit'))
if 'market' in orders:
market.orders |= Market.ORDER_MARKET
if 'limit' in orders:
market.orders |= Market.ORDER_LIMIT
if 'stop-market' in orders:
market.orders |= Market.ORDER_STOP_MARKET
if 'stop-limit' in orders:
market.orders |= Market.ORDER_STOP_LIMIT
if 'take-profit-market' in orders:
market.orders |= Market.ORDER_TAKE_PROFIT_MARKET
if 'take-profit-limit' in orders:
market.orders |= Market.ORDER_TAKE_PROFIT_LIMIT
if 'one-cancel-other' in orders:
market.orders |= Market.ORDER_ONE_CANCEL_OTHER
size_limits = market_data.get('size-limits', {
'min': 0.0,
'max': 0.0,
'step': 0.0
})
market.set_size_limits(size_limits.get('min', 0.0),
size_limits.get('max', 0.0),
size_limits.get('step', 0.0))
notional_limits = market_data.get('notional-limits', {
'min': 0.0,
'max': 0.0,
'step': 0.0
})
market.set_size_limits(notional_limits.get('min', 0.0),
notional_limits.get('max', 0.0),
notional_limits.get('step', 0.0))
price_limits = market_data.get('price-limits', {
'min': 0.0,
'max': 0.0,
'step': 0.0
})
market.set_size_limits(price_limits.get('min', 0.0),
price_limits.get('max', 0.0),
price_limits.get('step', 0.0))
# fees & commissions
fees = market_data.get('fees', {})
market.maker_fee = fees.get('maker', 0.0)
market.taker_fee = fees.get('taker', 0.0)
commissions = market_data.get('commissions', {})
market.maker_commission = commissions.get('maker', 0.0)
market.taker_commission = commissions.get('maker', 0.0)
# store the last market info to be used for backtesting
Database.inst().store_market_info((
self.name,
market.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
str(market.lot_size),
str(market.contract_size),
str(market.base_exchange_rate),
str(market.value_per_pip),
str(market.one_pip_means),
str(market.margin_factor),
str(market.min_size),
str(market.max_size),
str(market.step_size), # size limits
str(market.min_notional),
str(market.max_notional),
str(market.step_notional), # notional limits
str(market.min_price),
str(market.max_price),
str(market.tick_price), # price limits
str(market.maker_fee),
str(market.taker_fee),
str(market.maker_commission),
str(market.taker_commission)) # fees
)
