class BinanceInterface(ExchangeInterface):
def __init__(self, settings, logger, on_tick_callback=None):
super().__init__(settings, logger, on_tick_callback)
self.symbol = settings.SYMBOL
self.client = RequestClient(api_key=settings.API_KEY,
secret_key=settings.API_SECRET)
self.ws = SubscriptionClient(api_key=settings.API_KEY,
secret_key=settings.API_SECRET)
self.orders = {}
self.positions = {}
self.candles: List[Candlestick] = []
self.last = 0
self.open = False
self.listen_key = ""
self.init()
def init(self):
self.logger.info("loading market data. this may take a moment")
self.initOrders()
self.initPositions()
self.logger.info("got all data. subscribing to live updates.")
self.listen_key = self.client.start_user_data_stream()
self.ws.subscribe_user_data_event(self.listen_key, self.callback,
self.error)
subbarsIntervall = CandlestickInterval.MIN1 if self.settings.MINUTES_PER_BAR <= 60 else CandlestickInterval.HOUR1
self.ws.subscribe_candlestick_event(self.symbol, subbarsIntervall,
self.callback, self.error)
self.open = True
self.lastUserDataKeep = time.time()
self.logger.info("ready to go")
def callback(self, data_type: 'SubscribeMessageType', event: 'any'):
gotTick = False
# refresh userdata every 15 min
if self.lastUserDataKeep < time.time() - 15 * 60:
self.lastUserDataKeep = time.time()
self.client.keep_user_data_stream()
# TODO: implement! (update bars, orders and account)
if data_type == SubscribeMessageType.RESPONSE:
pass # what to do herE?
elif data_type == SubscribeMessageType.PAYLOAD:
if event.eventType == "kline":
# {'eventType': 'kline', 'eventTime': 1587064627164, 'symbol': 'BTCUSDT',
# 'data': <binance_f.model.candlestickevent.Candlestick object at 0x0000016B89856760>}
if event.symbol == self.symbol:
candle: Candlestick = event.data
if len(self.candles) > 0:
if candle.startTime <= self.candles[
0].startTime and candle.startTime > self.candles[
-1].startTime:
# somewhere inbetween to replace
for idx in range(0, len(self.candles)):
if candle.startTime == self.candles[
idx].startTime:
self.candles[idx] = candle
break
elif candle.startTime > self.candles[0].startTime:
self.candles.insert(0, candle)
gotTick = True
else:
self.candles.append(candle)
gotTick = True
elif (event.eventType == "ACCOUNT_UPDATE"):
# {'eventType': 'ACCOUNT_UPDATE', 'eventTime': 1587063874367, 'transactionTime': 1587063874365,
# 'balances': [<binance_f.model.accountupdate.Balance object at 0x000001FAF470E100>,...],
# 'positions': [<binance_f.model.accountupdate.Position object at 0x000001FAF470E1C0>...]}
usdBalance = 0
for b in event.balances:
bal: Balance = b
if bal.asset == "USDT":
usdBalance = bal.walletBalance
for p in event.positions:
pos: Position = p
if pos.symbol not in self.positions.keys():
self.positions[pos.symbol] = AccountPosition(
pos.symbol,
avgEntryPrice=float(pos.entryPrice),
quantity=float(pos.amount),
walletBalance=usdBalance
if "USDT" in pos.symbol else 0)
else:
accountPos = self.positions[pos.symbol]
accountPos.quantity = float(pos.amount)
accountPos.avgEntryPrice = float(pos.entryPrice)
if "USDT" in pos.symbol:
accountPos.walletBalance = usdBalance
elif (event.eventType == "ORDER_TRADE_UPDATE"):
# {'eventType': 'ORDER_TRADE_UPDATE', 'eventTime': 1587063513592, 'transactionTime': 1587063513589,
# 'symbol': 'BTCUSDT', 'clientOrderId': 'web_ybDNrTjCi765K3AvOMRK', 'side': 'BUY', 'type': 'LIMIT',
# 'timeInForce': 'GTC', 'origQty': 0.01, 'price': 6901.0, 'avgPrice': 0.0, 'stopPrice': 0.0,
# 'executionType': 'NEW', 'orderStatus': 'NEW', 'orderId': 2705199704, 'lastFilledQty': 0.0,
# 'cumulativeFilledQty': 0.0, 'lastFilledPrice': 0.0, 'commissionAsset': None, 'commissionAmount': None,
# 'orderTradeTime': 1587063513589, 'tradeID': 0, 'bidsNotional': 138.81, 'asksNotional': 0.0,
# 'isMarkerSide': False, 'isReduceOnly': False, 'workingType': 'CONTRACT_PRICE'}
sideMulti = 1 if event.side == 'BUY' else -1
order: Order = Order(orderId=event.clientOrderId,
stop=event.stopPrice,
limit=event.price,
amount=event.origQty * sideMulti)
order.exchange_id = event.orderId
#FIXME: how do i know stop triggered on binance?
#order.stop_triggered =
order.executed_amount = event.cumulativeFilledQty * sideMulti
order.executed_price = event.avgPrice
order.tstamp = event.transactionTime
order.execution_tstamp = event.orderTradeTime
prev: Order = self.orders[
order.
exchange_id] if order.exchange_id in self.orders.keys(
) else None
if prev is not None:
if prev.tstamp > order.tstamp or abs(
prev.executed_amount) > abs(order.executed_amount):
# already got newer information, probably the info of the stop order getting
# triggered, when i already got the info about execution
self.logger.info("ignoring delayed update for %s " %
(prev.id))
if order.stop_price is None:
order.stop_price = prev.stop_price
if order.limit_price is None:
order.limit_price = prev.limit_price
prev = order
if not prev.active and prev.execution_tstamp == 0:
prev.execution_tstamp = datetime.utcnow().timestamp()
self.orders[order.exchange_id] = prev
self.logger.info("received order update: %s" % (str(order)))
else:
self.logger.warn("Unknown Data in websocket callback")
if gotTick and self.on_tick_callback is not None:
self.on_tick_callback() # got something new
def error(self, e: 'BinanceApiException'):
self.exit()
self.logger.error(e.error_code + e.error_message)
def initOrders(self):
apiOrders = self.client.get_open_orders()
for o in apiOrders:
order = self.convertOrder(o)
if order.active:
self.orders[order.exchange_id] = order
def convertOrder(self, apiOrder: binance_f.model.Order) -> Order:
direction = 1 if apiOrder.side == OrderSide.BUY else -1
order = Order(orderId=apiOrder.clientOrderId,
amount=apiOrder.origQty * direction,
limit=apiOrder.price,
stop=apiOrder.stopPrice)
order.executed_amount = apiOrder.executedQty * direction
order.executed_price = apiOrder.avgPrice
order.active = apiOrder.status in ["NEW", "PARTIALLY_FILLED"]
order.exchange_id = apiOrder.orderId
return order
def initPositions(self):
balance = self.client.get_balance()
usdBalance = 0
for bal in balance:
if bal.asset == "USDT":
usdBalance = bal.balance
api_positions = self.client.get_position()
self.positions[self.symbol] = AccountPosition(self.symbol, 0, 0, 0)
if api_positions is not None:
for pos in api_positions:
self.positions[pos.symbol] = AccountPosition(
pos.symbol,
avgEntryPrice=pos.entryPrice,
quantity=pos.positionAmt,
walletBalance=usdBalance if "USDT" in pos.symbol else 0)
self.logger.info("starting with %.2f in wallet and pos %.2f @ %.2f" %
(self.positions[self.symbol].walletBalance,
self.positions[self.symbol].quantity,
self.positions[self.symbol].avgEntryPrice))
def exit(self):
self.ws.unsubscribe_all()
self.open = False
def internal_cancel_order(self, order: Order):
if order.exchange_id in self.orders.keys():
self.orders[order.exchange_id].active = False
self.client.cancel_order(symbol=self.symbol,
origClientOrderId=order.id)
def internal_send_order(self, order: Order):
order_type = OrderType.MARKET
if order.limit_price is not None:
if order.stop_price is not None:
order_type = OrderType.STOP
else:
order_type = OrderType.LIMIT
else:
order_type = OrderType.STOP_MARKET
resultOrder: binance_f.model.Order = self.client.post_order(
symbol=self.symbol,
side=OrderSide.BUY if order.amount > 0 else OrderSide.SELL,
ordertype=order_type,
timeInForce=TimeInForce.GTC,
quantity=abs(order.amount),
price=order.limit_price,
stopPrice=order.stop_price,
newClientOrderId=order.id)
order.exchange_id = resultOrder.orderId
def internal_update_order(self, order: Order):
self.cancel_order(order) # stupid binance can't update orders
self.send_order(order)
def get_orders(self) -> List[Order]:
return list(self.orders.values())
def get_bars(self, timeframe_minutes, start_offset_minutes) -> List[Bar]:
tf = CandlestickInterval.MIN1 if timeframe_minutes <= 60 else CandlestickInterval.HOUR1
bars = self.client.get_candlestick_data(symbol=self.symbol,
interval=tf,
limit=1000)
return self._aggregate_bars(reversed(bars), timeframe_minutes,
start_offset_minutes)
def recent_bars(self, timeframe_minutes,
start_offset_minutes) -> List[Bar]:
return self._aggregate_bars(self.bars, timeframe_minutes,
start_offset_minutes)
def _aggregate_bars(self, bars, timeframe_minutes,
start_offset_minutes) -> List[Bar]:
subbars = []
for b in bars:
subbars.append(self.convertBar(b))
return process_low_tf_bars(subbars, timeframe_minutes,
start_offset_minutes)
def convertBar(self, apiBar: binance_f.model.candlestick.Candlestick):
return Bar(tstamp=apiBar.openTime / 1000,
open=apiBar.open,
high=apiBar.high,
low=apiBar.low,
close=apiBar.close,
volume=apiBar.volume)
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
instr: binance_f.model.exchangeinformation.ExchangeInformation = self.client.get_exchange_information(
)
for symb in instr.symbols:
if symb.symbol == symbol:
baseLength = len(symb.baseAsset)
lotSize = 0
tickSize = 0
for filter in symb.filters:
if filter['filterType'] == 'LOT_SIZE':
lotSize = filter['stepSize']
if filter['filterType'] == 'PRICE_FILTER':
tickSize = filter['tickSize']
return Symbol(
symbol=symb.symbol,
isInverse=symb.baseAsset != symb.symbol[:baseLength],
lotSize=lotSize,
tickSize=tickSize,
makerFee=0.02,
takerFee=0.04)
return None
def get_position(self, symbol=None):
if symbol is None:
symbol = self.symbol
return self.positions[symbol] if symbol in self.positions.keys(
) else None
def is_open(self):
return self.open
def check_market_open(self):
return self.open # TODO: is that the best we can do?
def update_account(self, account: Account):
pass
from binance_f import RequestClient from binance_f.constant.test import * from binance_f.base.printobject import * from binance_f.model.constant import * request_client = RequestClient(api_key=g_api_key, secret_key=g_secret_key) result = request_client.cancel_order(symbol="BTCUSDT", orderId=534333508) PrintBasic.print_obj(result)
def open_position_binance_futures(pair, take_profit, stop_loss, pair_change,
quantity, leverage, side):
global STOP_LOSS
global TARGET
global STOP_LOSS_REACHED
global STOP_LOSS_ORDER_ID
global TAKE_PROFIT_ORDER_ID
request_client = RequestClient(api_key=API_KEY, secret_key=SECRET_KEY)
# Cancel previous take profit and stop loss orders
try:
if (TAKE_PROFIT_ORDER_ID):
request_client.cancel_order(symbol=pair,
orderId=TAKE_PROFIT_ORDER_ID)
except:
print(
red.bold('Take profit order id {} could not be cancelled'.format(
TAKE_PROFIT_ORDER_ID)))
try:
if (STOP_LOSS_ORDER_ID):
request_client.cancel_order(symbol=pair,
orderId=STOP_LOSS_ORDER_ID)
except:
print(
red.bold(
'Stop loss profit order id {} could not be cancelled'.format(
STOP_LOSS_ORDER_ID)))
STOP_LOSS_ORDER_ID = None
TAKE_PROFIT_ORDER_ID = None
# Change leverage
try:
request_client.change_initial_leverage(pair, leverage)
except:
print(red.bold('error changing leverage'))
try:
margin_type = request_client.change_margin_type(
symbol=pair, marginType=FuturesMarginType.ISOLATED)
except:
print(red.bold('error changing margin type'))
# Request info of all symbols to retrieve precision
exchange_info = request_client.get_exchange_information()
price_precision = 0
for item in exchange_info.symbols:
if (item.symbol == pair):
precision = item.quantityPrecision
price_precision = item.pricePrecision
# Create order
quantity_rounded = float(quantity * leverage) / float(pair_change)
quantity_with_precision = "{:0.0{}f}".format(quantity_rounded, precision)
stop_loss = "{:0.0{}f}".format(stop_loss, price_precision)
take_profit = "{:0.0{}f}".format(take_profit, price_precision)
STOP_LOSS = stop_loss
STOP_LOSS_REACHED = False
TARGET = take_profit
print(
white.bold(
'\n\tOpening future position {} at market ({}) with quantity: {} {} with take profit on: {} and stop loss: {}'
.format(side, pair_change, quantity_with_precision, pair,
take_profit, stop_loss)))
order_side = OrderSide.BUY
if (side == MarketSide.SHORT):
order_side = OrderSide.SELL
result = request_client.post_order(symbol=pair,
side=order_side,
quantity=quantity_with_precision,
ordertype=OrderType.MARKET,
positionSide="BOTH")
orderId = result.orderId
print(green.bold('\n\t\t✓ Market order created.'))
# Set take profit and stop loss orders
try:
order_side = OrderSide.SELL
if (side == MarketSide.SHORT):
order_side = OrderSide.BUY
result = request_client.post_order(symbol=pair,
side=order_side,
stopPrice=stop_loss,
closePosition=True,
ordertype=OrderType.STOP_MARKET,
positionSide="BOTH",
timeInForce="GTC")
STOP_LOSS_ORDER_ID = result.orderId
print(
green.bold(
'\n\t\t✓ Stop market order at: {} created.'.format(stop_loss)))
result = request_client.post_order(
symbol=pair,
side=order_side,
stopPrice=take_profit,
closePosition=True,
ordertype=OrderType.TAKE_PROFIT_MARKET,
positionSide="BOTH",
timeInForce="GTC")
TAKE_PROFIT_ORDER_ID = result.orderId
print(
green.bold('\n\t\t✓ Take profit market at: {} creted.'.format(
take_profit)))
except:
# Cancel order if something did not work as expected
request_client.cancel_order(symbol=pair, orderId=orderId)
print(
red.bold(
'\n\t\t x Something did not work as expected. Cancelling order'
))
class BinanceInterface(ExchangeInterface):
def __init__(self, settings, logger, on_tick_callback=None):
super().__init__(settings, logger, on_tick_callback)
self.symbol: str = settings.SYMBOL
self.client = RequestClient(api_key=settings.API_KEY,
secret_key=settings.API_SECRET,
url="https://fapi.binance.com")
self.ws = BinanceWebsocket(wsURL="wss://fstream.binance.com/ws",
api_key=settings.API_KEY,
api_secret=settings.API_SECRET,
logger=logger,
callback=self.callback)
# for binance the key is the internal id (not the exchange id) cause we can't update order but have to cancel
# and reopen with same id. that leads to different exchange id, but we need to know its the same.
self.orders = {}
self.positions = {}
self.symbol_object: Symbol = None
self.candles: List[Candlestick] = []
self.last = 0
self.listen_key = ""
self.lastUserDataKeep = None
self.wantedResponses = 0 # needed to wait for realtime
if self.is_open():
self.init()
def init(self):
self.logger.info("loading market data. this may take a moment")
self.initOrders()
self.initPositions()
self.symbol_object = self.get_instrument()
self.logger.info("got all data. subscribing to live updates.")
self.listen_key = self.client.start_user_data_stream()
self.lastUserDataKeep = time.time()
self.wantedResponses = 2
subInt = CandlestickInterval.MIN1 if self.settings.MINUTES_PER_BAR <= 60 else CandlestickInterval.HOUR1
self.ws.subscribe_candlestick_event(self.symbol.lower(), subInt)
self.ws.subscribe_user_data_event(self.listen_key)
waitingTime = 0
while self.wantedResponses > 0 and waitingTime < 100:
waitingTime += 1
time.sleep(0.1)
if self.wantedResponses > 0:
self.logger.error("got no response to subscription. outa here")
self.ws.exit()
else:
self.logger.info("ready to go")
def callback(self, data_type: 'SubscribeMessageType', event: 'any'):
gotTick = False
fromAccount = False
# refresh userdata every 5 min
if self.lastUserDataKeep < time.time() - 5 * 60:
self.lastUserDataKeep = time.time()
self.client.keep_user_data_stream()
if data_type == SubscribeMessageType.RESPONSE:
self.wantedResponses -= 1 # tell the waiting init that we got it. otherwise we might be too fast
elif data_type == SubscribeMessageType.PAYLOAD:
if event.eventType == "kline":
# {'eventType': 'kline', 'eventTime': 1587064627164, 'symbol': 'BTCUSDT',
# 'data': <binance_f.model.candlestickevent.Candlestick object at 0x0000016B89856760>}
if event.symbol == self.symbol:
candle: Candlestick = event.data
if len(self.candles) > 0:
if self.candles[
0].startTime >= candle.startTime > self.candles[
-1].startTime:
# somewhere inbetween to replace
for idx in range(0, len(self.candles)):
if candle.startTime == self.candles[
idx].startTime:
self.candles[idx] = candle
break
elif candle.startTime > self.candles[0].startTime:
self.candles.insert(0, candle)
gotTick = True
else:
self.candles.append(candle)
gotTick = True
self.last = self.candles[0].close
elif event.eventType == "ACCOUNT_UPDATE":
# {'eventType': 'ACCOUNT_UPDATE', 'eventTime': 1587063874367, 'transactionTime': 1587063874365,
# 'balances': [<binance_f.model.accountupdate.Balance object at 0x000001FAF470E100>,...],
# 'positions': [<binance_f.model.accountupdate.Position object at 0x000001FAF470E1C0>...]}
usdBalance = 0
gotTick = True
fromAccount = True
for b in event.balances:
bal: Balance = b
if bal.asset == "USDT":
usdBalance = bal.walletBalance
for p in event.positions:
pos: Position = p
if pos.symbol not in self.positions.keys():
self.positions[pos.symbol] = AccountPosition(
symbol=pos.symbol,
avgEntryPrice=float(pos.entryPrice),
quantity=float(pos.amount),
walletBalance=usdBalance
if "USDT" in pos.symbol else 0)
else:
accountPos = self.positions[pos.symbol]
accountPos.quantity = float(pos.amount)
accountPos.avgEntryPrice = float(pos.entryPrice)
if "USDT" in pos.symbol:
accountPos.walletBalance = usdBalance
elif event.eventType == "ORDER_TRADE_UPDATE":
# {'eventType': 'ORDER_TRADE_UPDATE', 'eventTime': 1587063513592, 'transactionTime': 1587063513589,
# 'symbol': 'BTCUSDT', 'clientOrderId': 'web_ybDNrTjCi765K3AvOMRK', 'side': 'BUY', 'type': 'LIMIT',
# 'timeInForce': 'GTC', 'origQty': 0.01, 'price': 6901.0, 'avgPrice': 0.0, 'stopPrice': 0.0,
# 'executionType': 'NEW', 'orderStatus': 'NEW', 'orderId': 2705199704, 'lastFilledQty': 0.0,
# 'cumulativeFilledQty': 0.0, 'lastFilledPrice': 0.0, 'commissionAsset': None, 'commissionAmount': None,
# 'orderTradeTime': 1587063513589, 'tradeID': 0, 'bidsNotional': 138.81, 'asksNotional': 0.0,
# 'isMarkerSide': False, 'isReduceOnly': False, 'workingType': 'CONTRACT_PRICE'}
gotTick = True
fromAccount = True
sideMulti = 1 if event.side == 'BUY' else -1
order: Order = Order(
orderId=event.clientOrderId,
stop=event.stopPrice if event.stopPrice > 0 else None,
limit=event.price if event.price > 0 else None,
amount=event.origQty * sideMulti)
order.exchange_id = event.orderId
# trigger of a stoplimit in Binance means "update for order -> expired" then "update -> as limit"
order.stop_triggered = event.type == "LIMIT" and event.stopPrice > 0
order.executed_amount = event.cumulativeFilledQty * sideMulti
order.executed_price = event.avgPrice
order.tstamp = event.transactionTime
order.execution_tstamp = event.orderTradeTime / 1000
order.active = event.orderStatus in ["NEW", "PARTIALLY_FILLED"]
prev: Order = self.orders[
order.id] if order.id in self.orders.keys() else None
if prev is not None:
if prev.tstamp > order.tstamp or abs(
prev.executed_amount) > abs(order.executed_amount):
# already got newer information, probably the info of the stop order getting
# triggered, when i already got the info about execution
self.logger.info("ignoring delayed update for %s " %
prev.id)
if order.stop_price is None:
order.stop_price = prev.stop_price
if order.limit_price is None:
order.limit_price = prev.limit_price
prev = order
if not prev.active and prev.execution_tstamp == 0:
prev.execution_tstamp = datetime.utcnow().timestamp()
self.orders[order.id] = prev
self.logger.info("received order update: %s" % (str(order)))
else:
self.logger.warn("Unknown Data in websocket callback")
if gotTick and self.on_tick_callback is not None:
self.on_tick_callback(
fromAccountAction=fromAccount) # got something new
def initOrders(self):
apiOrders = self.client.get_open_orders()
for o in apiOrders:
order = self.convertOrder(o)
if order.active:
self.orders[order.id] = order
def resyncOrders(self):
self.orders = {}
self.initOrders()
@staticmethod
def convertOrder(apiOrder: binance_f.model.Order) -> Order:
direction = 1 if apiOrder.side == OrderSide.BUY else -1
order = Order(
orderId=apiOrder.clientOrderId,
amount=apiOrder.origQty * direction,
limit=apiOrder.price if apiOrder.price > 0 else None,
stop=apiOrder.stopPrice if apiOrder.stopPrice > 0 else None)
order.executed_amount = apiOrder.executedQty * direction
order.executed_price = apiOrder.avgPrice
order.active = apiOrder.status in ["NEW", "PARTIALLY_FILLED"]
order.exchange_id = apiOrder.orderId
return order
def initPositions(self):
balance = self.client.get_balance()
usdBalance = 0
for bal in balance:
if bal.asset == "USDT":
usdBalance = bal.balance
api_positions = self.client.get_position()
self.positions[self.symbol] = AccountPosition(
self.symbol,
avgEntryPrice=0,
quantity=0,
walletBalance=usdBalance if "USDT" in self.symbol else 0)
if api_positions is not None:
for pos in api_positions:
self.positions[pos.symbol] = AccountPosition(
pos.symbol,
avgEntryPrice=pos.entryPrice,
quantity=pos.positionAmt,
walletBalance=usdBalance if "USDT" in pos.symbol else 0)
self.logger.info("starting with %.2f in wallet and pos %.2f @ %.2f" %
(self.positions[self.symbol].walletBalance,
self.positions[self.symbol].quantity,
self.positions[self.symbol].avgEntryPrice))
def exit(self):
self.ws.exit()
self.client.close_user_data_stream()
def internal_cancel_order(self, order: Order):
if order.id in self.orders.keys():
self.orders[order.id].active = False
self.client.cancel_order(symbol=self.symbol,
origClientOrderId=order.id)
def internal_send_order(self, order: Order):
if order.stop_price is not None and (
self.last - order.stop_price) * order.amount >= 0:
order.stop_price = None # already triggered
if order.limit_price is not None:
order.limit_price = round(order.limit_price,
self.symbol_object.pricePrecision)
if order.stop_price is not None:
order.stop_price = round(order.stop_price,
self.symbol_object.pricePrecision)
order_type = OrderType.STOP
else:
order_type = OrderType.LIMIT
elif order.stop_price is not None:
order.stop_price = round(order.stop_price,
self.symbol_object.pricePrecision)
order_type = OrderType.STOP_MARKET
else:
order_type = OrderType.MARKET
order.amount = round(order.amount,
self.symbol_object.quantityPrecision)
quantityFormat = "{:." + str(
self.symbol_object.quantityPrecision) + "f}"
priceFormat = "{:." + str(self.symbol_object.pricePrecision) + "f}"
# yes have to send the price and quantity in as str (although it wants float) cause otherwise it converts it
# inernally and that sometimes f**k up the precision (0.023 -> 0.02299999999)
resultOrder: binance_f.model.Order = self.client.post_order(
symbol=self.symbol,
side=OrderSide.BUY if order.amount > 0 else OrderSide.SELL,
ordertype=order_type,
timeInForce=TimeInForce.GTC
if order_type in [OrderType.LIMIT, OrderType.STOP] else None,
quantity=quantityFormat.format(abs(order.amount)),
price=priceFormat.format(order.limit_price)
if order.limit_price is not None else None,
stopPrice=priceFormat.format(order.stop_price)
if order.stop_price is not None else None,
newClientOrderId=order.id)
order.exchange_id = resultOrder.orderId
def internal_update_order(self, order: Order):
self.cancel_order(order) # stupid binance can't update orders
self.on_tick_callback(True) # triggers a reset of the tick-delay.
# otherwise we risk a tick to be calced after the cancel, before the new order
self.send_order(order)
def get_orders(self) -> List[Order]:
return list(self.orders.values())
def get_bars(self, timeframe_minutes, start_offset_minutes) -> List[Bar]:
tf = CandlestickInterval.MIN1 if timeframe_minutes <= 60 else CandlestickInterval.HOUR1
bars = self.client.get_candlestick_data(symbol=self.symbol,
interval=tf,
limit=1000)
subbars = []
for b in reversed(bars):
subbars.append(self.convertBar(b))
return process_low_tf_bars(subbars, timeframe_minutes,
start_offset_minutes)
def recent_bars(self, timeframe_minutes,
start_offset_minutes) -> List[Bar]:
subbars = []
for b in self.candles:
subbars.append(self.convertBarevent(b))
return process_low_tf_bars(subbars, timeframe_minutes,
start_offset_minutes)
@staticmethod
def convertBar(apiBar: binance_f.model.candlestick.Candlestick):
return Bar(tstamp=apiBar.openTime / 1000,
open=float(apiBar.open),
high=float(apiBar.high),
low=float(apiBar.low),
close=float(apiBar.close),
volume=float(apiBar.volume))
@staticmethod
def convertBarevent(apiBar: binance_f.model.candlestickevent.Candlestick):
return Bar(tstamp=apiBar.startTime / 1000,
open=float(apiBar.open),
high=float(apiBar.high),
low=float(apiBar.low),
close=float(apiBar.close),
volume=float(apiBar.volume))
@staticmethod
def barArrayToBar(b):
return Bar(tstamp=b[0] / 1000,
open=float(b[1]),
high=float(b[2]),
low=float(b[3]),
close=float(b[4]),
volume=float(b[5]))
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
instr: binance_f.model.exchangeinformation.ExchangeInformation = self.client.get_exchange_information(
)
for symb in instr.symbols:
if symb.symbol == symbol:
baseLength = len(symb.baseAsset)
lotSize = 1
tickSize = 1
for filterIt in symb.filters:
if filterIt['filterType'] == 'LOT_SIZE':
lotSize = float(filterIt['stepSize'])
if filterIt['filterType'] == 'PRICE_FILTER':
tickSize = float(filterIt['tickSize'])
return Symbol(
symbol=symb.symbol,
isInverse=symb.baseAsset != symb.symbol[:baseLength],
lotSize=lotSize,
tickSize=tickSize,
makerFee=0.02,
takerFee=0.04,
pricePrecision=symb.pricePrecision,
quantityPrecision=symb.quantityPrecision)
return None
def get_position(self, symbol=None):
if symbol is None:
symbol = self.symbol
return self.positions[symbol] if symbol in self.positions.keys(
) else None
def is_open(self):
return not self.ws.exited
def check_market_open(self):
return self.is_open()
def update_account(self, account: Account):
pos = self.positions[self.symbol]
account.open_position = pos
account.equity = pos.walletBalance
account.usd_equity = account.equity
def Cancel_order(buyId):
request_client = RequestClient(api_key=g_api_key, secret_key=g_secret_key)
result = request_client.cancel_order(symbol="BTCUSDT", orderId=buyId)
return result
