def resolve_ohlcv_times(timeframe='1m', since=None, limit=None, shift=1, as_pydt=False):
"""
:type since: int, datetime.datetime
:param shift:
Used if only `limit` is given
`1` rounds to the end of tf unit ('1m'->to the end of current minute) [default]
`0` rounds to its start
:param as_pydt: if `True` the returned types is datetime.datetime
:returns: [since, end) range in millistamps
"""
tf_millisecs = parse_timeframe(timeframe, 'ms')
end = None
if since is None:
if limit is not None:
tf_unit_seconds = ccxt.Exchange.parse_timeframe('1'+timeframe[-1])
end = timestamp_ms(dt_round(dt.utcnow(), tf_unit_seconds, shift=shift))
since = int(end - limit*tf_millisecs)
elif limit is not None:
if not isinstance(since, (int, float)):
since = timestamp_ms(since)
end = int(since + limit*tf_millisecs)
if as_pydt:
if since is not None and isinstance(since, (int,float)):
since = pydt_from_ms(since)
if end is not None and isinstance(end, (int,float)):
end = pydt_from_ms(end)
return since, end
def on_order(self, rr):
tlogger.debug(rr)
#rr = r['result']
id = rr['clientOrderId']
status = rr['status']
rtype = rr['reportType']
o = None
try: o = self.orders[id]
except KeyError: pass
symbol = self.convert_symbol(rr['symbol'],0)
side = rr['side']
amount = float(rr['quantity'])
filled = float(rr['cumQuantity'])
remaining = amount-filled if status not in ('canceled','filled','suspended','expired') else 0
if o is None:
#(status == "new")
#"2017-10-20T12:29:43.166Z"
dto = parsedate(rr['createdAt']).replace(tzinfo=None)
ts = timestamp_ms(dto)
price = float(rr['price'])
self.add_order(id=id, symbol=symbol, side=side, price=price, amount=amount, timestamp=ts,
remaining=remaining, filled=filled, params={'info': rr})
else:
# Can the server send "canceled"/replaced message twice, in response
# to both cancelOrder/cancelReplaceOrder and subscribeReports?
# Worse yet, the "expired" may arrive sooner than update,
# thus have to check that remaining is smaller than previous, and filled larger
remaining = min(remaining, o['remaining'])
filled = max(filled, o['filled'])
if status in ('canceled','filled','suspended','expired'):
self.update_order(id, 0, filled, params={'info': rr})
#self.log_error('received unregistered order {}'.format(id))
elif status in ('partiallyFilled','new'):
self.update_order(id, remaining, filled, params={'info': rr})
else:
#order
self.log_error('received unknown order status. r: {}'.format(rr))
if rtype == 'trade':
tid = rr['tradeId']
tprice = float(rr['tradePrice'])
tamount = float(rr['tradeQuantity'])
tdto = parsedate(rr['updatedAt']).replace(tzinfo=None)
tts = timestamp_ms(tdto)
#fee is negative when we are paid the rebate
#NB! fee is always in payout currency
fee = float(rr['tradeFee'])
self.add_fill(id=tid, symbol=symbol, side=side, price=tprice, amount=tamount,
timestamp=tts, order=id, fee=fee, params={'info': rr.copy()})
def on_fill(self, item):
#["t", 12345, "0.03000000", "0.50000000", "0.00250000", 0, 6083059, "0.00000375", "2018-09-08 05:54:09"]
#['t', 9394539, '0.00057427', '0.00000476', '0.00000000', 0, 274547887461]
#["t", <trade ID>, "<rate>", "<amount>", "<fee multiplier>", <funding type>, <order number>, <total fee>, <date>, "<clientOrderId>", "<trade total>"]
#funding_type: 0 (exchange wallet), 1 (borrowed funds), 2 (margin funds), or 3 (lending funds).
_, tid, price, amount, fee_rate, funding_type, oid = item[:7]
tid, oid = str(tid), str(oid)
price = float(price)
amount = float(amount)
fee_rate = float(fee_rate)
total_fee = float(item[7]) if len(item) > 7 else None
dto = parsedate(item[8]) if len(item) > 8 else dt.utcnow()
if dto.tzinfo is not None:
logger2.error(
'POLONIEX HAS CHANGED THEIR DATE FORMAT: {}, {}'.format(
item[8], dto))
ts = timestamp_ms(dto.replace(tzinfo=None))
self.add_fill(id=tid,
symbol=None,
side=None,
price=price,
amount=amount,
fee_rate=fee_rate,
timestamp=ts,
order=oid)
def on_new_order(self, item):
#["n", 148, 6083059, 1, "0.03000000", "2.00000000", "2018-09-08 04:54:09", "2.00000000", None]
#["n", <currency pair id>, <order number>, <order type>, "<price>", "<amount>", "<date>", "<original amount ordered>" "<clientOrderId>"]
_, pair_id, oid, otype, price, remaining, tstr, amount, clientOrderId = item[:
9]
#Convert to string because api.create_order returns id as string
oid = str(oid)
symbol = self.id_to_symbol(pair_id)
side = 'buy' if otype == 1 else 'sell'
price = float(price)
amount = float(amount)
dto = parsedate(tstr)
if dto.tzinfo is not None:
logger2.error(
'POLONIEX HAS CHANGED THEIR DATE FORMAT: {}, {}'.format(
tstr, dto))
ts = timestamp_ms(dto.replace(tzinfo=None))
remaining = float(remaining)
#print('on_order:',oid,symbol,side,price,amount,ts,remaining,filled,payout)
try:
self.orders[oid]
except KeyError:
#set filled to 0 because filled (and payout) is updated by trades
self.add_order(id=oid,
symbol=symbol,
side=side,
price=price,
amount=amount,
timestamp=ts,
remaining=remaining,
filled=0)
else:
self.update_order(id=oid, remaining=remaining)
def on_ticker(self, r):
#first response:
#[<id>, 1]
#following responses:
#[<id>, null, [
# <currency pair id>, "<last trade price>", "<lowest ask>", "<highest bid>", "<percent change in last 24 hours>",
# "<base currency volume in last 24 hours>", "<quote currency volume in last 24 hours>", <is frozen>,
#"<highest trade price in last 24 hours>", "<lowest trade price in last 24 hours>" ], ... ]
data = []
now = dt.utcnow()
now_str = '{}Z'.format(now.isoformat()[:23])
now_ms = timestamp_ms(now)
for pair_data in r[2:]:
pair_id = pair_data[0]
symbol = self.id_to_symbol(pair_id)
last_trade_price, lowest_ask, highest_bid = [
float(x) for x in pair_data[1:4]
]
percent_change_24, base_cy_vol_24, quote_cy_vol_24 = [
float(x) for x in pair_data[4:7]
]
is_frozen = pair_data[7]
H_24, L_24 = [float(x) for x in pair_data[8:]]
change = last_trade_price * (percent_change_24 / 100)
vwap = quote_cy_vol_24 / base_cy_vol_24 if base_cy_vol_24 else last_trade_price
data.append({
'symbol': symbol,
'timestamp': now_ms,
'datetime': now_str,
'last': last_trade_price,
'high': H_24,
'low': L_24,
'open': None,
'close': None,
'bid': highest_bid,
'bidVolume': None,
'ask': lowest_ask,
'askVolume': None,
'baseVolume': base_cy_vol_24,
'quoteVolume': quote_cy_vol_24,
'previousClose': None,
'change': change,
'percentage': percent_change_24,
'average': None,
'vwap': vwap,
'active': not is_frozen
})
self.update_tickers(data)
self.change_subscription_state({'_': 'all_tickers'}, 1)
def test_calc_log_y():
assert lL.calc_y(timestamp_ms(dt(2000, 1, 1, 2)), precision=6) == 1000
def test_trendline_calc_y():
assert L.calc_y(timestamp_ms(dt(2000, 1, 1, 12))) == 1120
def __init__(self, x, y):
"""timetamp is in milliseconds"""
if isinstance(x, dt):
x = timestamp_ms(x)
super().__init__(int(x), y)
self.datetime = ccxt.Exchange.iso8601(self.x)
def encode_filename(exchange, type, date):
type_str = _type_str(type)
return '[{}]_{}_{}'.format(exchange.lower(), type_str, timestamp_ms(date))