from time import sleep
from lib import bitmex
from setting import API_KEY, API_SECRET, API_BASE
from oauth2client.service_account import ServiceAccountCredentials
from datetime import datetime
pp = pprint.PrettyPrinter(indent=4)
scope = ['https://spreadsheets.google.com/feeds','https://www.googleapis.com/auth/drive']
creds = ServiceAccountCredentials.from_json_keyfile_name('secret.json', scope)
client = gspread.authorize(creds)
sheet = client.open('Auto Journal') #Change this to spreadsheet name
worksheet = sheet.worksheet('Journal') #Change this to worksheet name
# Create connector
connector = bitmex.BitMEX(base_url=API_BASE, apiKey=API_KEY, apiSecret=API_SECRET)
# Do trade history query
count = 5
query = {
'reverse': 'true',
'count': count
}
def retrieve():
position = connector._curl_bitmex(path="position", verb="GET", timeout=10)
history = connector._curl_bitmex(path="execution/tradeHistory", verb="GET", query=query, timeout=10)
wallet = connector._curl_bitmex(path="user/walletHistory", verb="GET", query=query, timeout=10)
data = worksheet.get_all_records()
try:
if not args.apiKey or not args.apiSecret:
print('Please fill in API_KEY and API_SECRET in settings.py!\n' +
'You can create an API key from https://www.bitmex.com/app/apiKeys')
sys.exit(1)
if args.filter:
# Verify if it's proper JSON
try:
json.loads(args.filter)
except ValueError as e:
raise ValueError(
"Filter is not valid JSON! Make sure to single-quote the string.")
# Create connector
connector = bitmex.BitMEX(base_url=API_BASE,
apiKey=args.apiKey,
apiSecret=args.apiSecret)
# Do trade history query
count = 500 # max API will allow
query = {'reverse': 'true', 'start': 0, 'count': count, 'filter': args.filter}
out = []
while True:
data = connector._curl_bitmex(path="execution/tradeHistory",
verb="GET",
query=query,
timeout=10)
out.extend(data)
query['start'] += count
if len(data) < count:
parser.add_argument('--binSize', type=str, help='Bin Size.')
parser.add_argument('--sleep', type=float, help='Sleep time for big requests.')
args = parser.parse_args()
# Validate Args
if args.filter:
# Verify if it's proper JSON
try:
json.loads(args.filter)
except ValueError as e:
raise ValueError(
"Filter is not valid JSON! Make sure to single-quote the string.")
# Create connector
connector = bitmex.BitMEX(base_url=API_BASE)
# Do trade history query
path = "trade"
if args.path:
path = args.path
count = 500 # max API will allow
query = {'reverse': 'false', 'start': 0, 'count': count, 'filter': args.filter}
if args.symbol:
query['symbol'] = args.symbol
if args.binSize:
query['binSize'] = args.binSize
csvwriter = None
while True:
def fetch_endpoints(args):
# Validate Args
fileType = args.fileType
if fileType not in ('json', 'csv'):
raise Exception('Output file type must be json or csv! Given: %s' % fileType)
if args.filter:
# Verify if it's proper JSON
try:
json.loads(args.filter)
except ValueError as e:
raise ValueError("Filter is not valid JSON! Make sure to single-quote the string.")
# Create connector
connector = bitmex.BitMEX(base_url=API_BASE, apiKey=API_KEY, apiSecret=API_SECRET)
# Do trade history query
count = 500 # max API will allow
query = {
'reverse': 'true',
'start': 0,
'count': count,
'filter': args.filter
}
out = []
json_data_dict_list = []
# bitcoin_rate = get_bitcoin_rate()
while True:
path = args.endpoint
print(path)
if args.isquery:
data = connector._curl_bitmex(path=path, verb="GET", query=query, timeout=10)
else:
data = connector._curl_bitmex(path=path, verb="GET", timeout=10)
out.extend(data)
# print(out)
query['start'] += count
if len(data) < count:
break
if len(out) == 0:
print('No trade history found for this account. Exiting.', file=sys.stderr)
exit(1)
# Write to stdout
if fileType == 'csv':
df = pd.DataFrame()
for d in out:
# csv requires dict keys
# keys = out[0].keys()
# keys = sorted(keys)
# csvwriter = csv.DictWriter(sys.stdout, fieldnames=keys)
# csvwriter.writeheader()
# csvwriter.writerows(out)
temp = pd.DataFrame([d])
df = df.append(temp)
output_filename = path[1:] + '.csv'
output_filename = output_filename.replace('/', '_')
output_path = 'data/' + output_filename
df.to_csv(output_path, index=False)
elif fileType == 'json':
for i in out:
d = json.dumps(i, sort_keys=True, indent=4, separators=(',', ': '))
# json_data = json.dumps(out)
json_data = json.loads(d)
# print(json_data)
if args.endpoint == '/position':
columns = ['currentCost',
'realisedCost',
'unrealisedCost',
'posCost',
'posCost2',
'posComm',
'unrealisedGrossPnl'
]
for col in columns:
# if json_data[col] != None:
# json_data[col] = float(json_data[col]) * 0.00000001 * bitcoin_rate
pass
# print(json_data)
json_data_dict_list.append(json_data)
else:
json_data_dict_list.append(json_data)
# print(json_data_dict)
return json_data_dict_list
else:
# Shouldn't happen
raise Exception('Unknown output file type.')
def run():
symbol = 'XBTUSD'
max_shares = 500
key_id='6YOT6PXt7MmygYpVAD8wtaX4'
secret_key='Aq-82FDxlEZMrKnsCEeHCn5TqASDxQIJEM5pRYczMrwG9z5p'
baseUrl='https://www.bitmex.com/api/v1/'
print(baseUrl)
symbol = symbol.upper()
quote = Quote()
# qc = 'Q.%s' % symbol
# tc = 'T.%s' % symbol
position = Position()
# Establish streaming connection
# conn = tradeapi.StreamConn(**opts)
conn = bitmex.BitMEX(base_url=baseUrl, symbol=symbol, apiKey=key_id, apiSecret=secret_key)
# Define our message handling
data = conn.market_depth()
json_data = json.dumps(data)
loaded_json = json.loads(json_data)
quote.update(loaded_json)
trade_data = conn.recent_trades()
# if quote.traded:
# return
# # We've received a trade and might be ready to follow it
# if (
# data.timestamp <= (
# quote.time + pd.Timedelta(np.timedelta64(50, 'ms'))
# )
# ):
# # The trade came too close to the quote update
# # and may have been for the previous level
# return
for x in trade_data:
if x['size'] >= 100:
if (x['price'] > quote.ask and quote.bid_size > (quote.ask_size * 1.8) and (position.total_shares + position.pending_buy_shares) < max_shares - 100):
# Everything looks right, so we submit our buy at the ask
try:
o = conn.buy(500, quote.ask)
# Approximate an IOC order by immediately cancelling
conn.cancel(o['orderID'])
position.update_pending_buy_shares(100)
position.orders_filled_amount[o['orderID']] = 0
print('Buy at', quote.ask, flush=True)
quote.traded = True
except Exception as e:
print(e)
elif (x['price'] == quote.bid and quote.ask_size > (quote.bid_size * 1.8) and (position.total_shares - position.pending_sell_shares) >= 100):
# Everything looks right, so we submit our sell at the bid
try:
o = conn.sell(quantity=100, price=quote.bid)
# Approximate an IOC order by immediately cancelling
conn.cancel(o['orderID'])
position.update_pending_sell_shares(100)
position.orders_filled_amount[o['orderID']] = 0
print('Sell at', quote.bid, flush=True)
quote.traded = True
except Exception as e:
print(e)