def _send_trades(self, symbol, since):
md_subscriber = MarketDataSubscriber.get(symbol, self.application)
trades = []
for trade in md_subscriber.get_trades(symbol, since):
trades.append({
'tid': trade.id,
'price': trade.price/1e8,
'amount': trade.size/1e8,
'date': calendar.timegm(trade.created.timetuple()),
})
self.write(json.dumps(trades))
def _send_trades(self, symbol, since):
md_subscriber = MarketDataSubscriber.get(symbol, self.application)
trades = []
for trade in md_subscriber.get_trades(symbol, since):
trades.append({
'tid': trade.id,
'price': trade.price / 1e8,
'amount': trade.size / 1e8,
'date': calendar.timegm(trade.created.timetuple()),
})
self.write(json.dumps(trades))
def _send_tiker(self, symbol):
md_subscriber = MarketDataSubscriber.get(symbol, self.application)
ticker = {
"pair": symbol,
"high": md_subscriber.inst_status.max_price / 1e8,
"low": md_subscriber.inst_status.min_price / 1e8,
"last": md_subscriber.inst_status.last_price / 1e8,
"vol_" + symbol[3:].lower(): md_subscriber.inst_status.volume_price / 1e8,
"vol": md_subscriber.inst_status.volume_size / 1e8,
"buy": md_subscriber.inst_status.bid / 1e8,
"sell": md_subscriber.inst_status.ask / 1e8
}
self.write( json.dumps(ticker))
def _send_tiker(self, symbol):
md_subscriber = MarketDataSubscriber.get(symbol, self.application)
ticker = {
"pair": symbol,
"high": md_subscriber.inst_status.max_price / 1e8,
"low": md_subscriber.inst_status.min_price / 1e8,
"last": md_subscriber.inst_status.last_price / 1e8,
"vol_" + symbol[3:].lower():
md_subscriber.inst_status.volume_price / 1e8,
"vol": md_subscriber.inst_status.volume_size / 1e8,
"buy": md_subscriber.inst_status.bid / 1e8,
"sell": md_subscriber.inst_status.ask / 1e8
}
self.write(json.dumps(ticker))
def _send_order_book(self, symbol):
md_subscriber = MarketDataSubscriber.get(symbol,
self.application.db_session)
bids = []
asks = []
for order in md_subscriber.buy_side:
bids.append(
[order['price'] / 1e8, order['qty'] / 1e8, order['user_id']])
for order in md_subscriber.sell_side:
asks.append(
[order['price'] / 1e8, order['qty'] / 1e8, order['user_id']])
self.write({'pair': symbol, 'bids': bids, 'asks': asks})
def setUp(self):
self.application = mock.Mock()
self.application.db_session = mock.Mock()
self.md_subscriber = {}
self.md_subscriber["BTCUSD"] = MarketDataSubscriber.get("BTCUSD", self.application)
self.md_subscriptions = {}
self.zmq_context = mock.Mock()
self.zmq_context.socket = mock.MagicMock()
self.zmq_context.connect = mock.MagicMock()
self.zmq_context.setsockopt = mock.MagicMock()
self.application_trade_client = mock.Mock()
self.trade_pub = "XXX"
self.on_send_json_msg_to_user = mock.Mock(name='send_json_msg_to_user', return_value=None)
def _send_order_book(self, symbol):
md_subscriber = MarketDataSubscriber.get(symbol, self.application.db_session)
bids = []
asks = []
for order in md_subscriber.buy_side:
bids.append([order['price']/1e8, order['qty']/1e8, order['username']])
for order in md_subscriber.sell_side:
asks.append([order['price']/1e8, order['qty']/1e8, order['username']])
self.write(
{
'pair': symbol,
'bids': bids,
'asks': asks
}
)
def setUp(self):
self.application = mock.Mock()
self.application.db_session = mock.Mock()
self.md_subscriber = {}
self.md_subscriber["BTCUSD"] = MarketDataSubscriber.get(
"BTCUSD", self.application)
self.md_subscriptions = {}
self.zmq_context = mock.Mock()
self.zmq_context.socket = mock.MagicMock()
self.zmq_context.connect = mock.MagicMock()
self.zmq_context.setsockopt = mock.MagicMock()
self.application_trade_client = mock.Mock()
self.trade_pub = "XXX"
self.on_send_json_msg_to_user = mock.Mock(name='send_json_msg_to_user',
return_value=None)
def __init__(self, opt, instance_name):
self.options = opt
self.instance_name = instance_name
handlers = [
(r'/', WebSocketHandler),
(r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)', RestApiHandler)
]
settings = dict(
cookie_secret='cookie_secret'
)
tornado.web.Application.__init__(self, handlers, **settings)
self.allowed_origins = json.loads(self.options.allowed_origins)
self.allow_all_origins = self.allowed_origins[0] == '*'
input_log_file_handler = logging.handlers.TimedRotatingFileHandler(
os.path.expanduser(self.options.gateway_log), when='MIDNIGHT')
formatter = logging.Formatter('%(asctime)s - %(message)s')
input_log_file_handler.setFormatter(formatter)
self.replay_logger = logging.getLogger(self.instance_name)
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
ch = logging.StreamHandler(sys.stdout)
ch.setLevel(logging.DEBUG)
ch.setFormatter(logging.Formatter('%(asctime)s - %(name)s - %(levelname)s - %(message)s'))
self.replay_logger.addHandler(ch)
self.replay_logger.info('START')
self.log_start_data()
from models import Base, db_bootstrap
db_engine = self.options.sqlalchemy_engine + ':///' +\
os.path.expanduser(self.options.sqlalchemy_connection_string)
engine = create_engine( db_engine, echo=self.options.db_echo)
Base.metadata.create_all(engine)
self.db_session = scoped_session(sessionmaker(bind=engine))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(self.options.trade_in)
self.application_trade_client = TradeClient(
self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
self.security_list = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in self.security_list.get('Instruments'):
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(
self.zmq_context,
self.options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id(self.db_session)
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_id'] = trade[5]
msg['seller_id'] = trade[6]
msg['buyer_username'] = trade[7]
msg['seller_username'] = trade[8]
msg['created'] = trade[9]
msg['trade_date'] = trade[9][:10]
msg['trade_time'] = trade[9][11:]
msg['order_id'] = trade[10]
msg['counter_order_id'] = trade[11]
Trade.create( self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[ t.symbol ].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade,
30000)
self.heart_beat_timer.start()
def __init__(self, opt, instance_name):
self.options = opt
self.instance_name = instance_name
handlers = [
(r'/', WebSocketHandler), (r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)',
RestApiHandler)
]
settings = dict(cookie_secret='cookie_secret')
tornado.web.Application.__init__(self, handlers, **settings)
self.allowed_origins = json.loads(self.options.allowed_origins)
self.allow_all_origins = self.allowed_origins[0] == '*'
input_log_file_handler = logging.handlers.TimedRotatingFileHandler(
os.path.expanduser(self.options.gateway_log), when='MIDNIGHT')
formatter = logging.Formatter('%(asctime)s - %(message)s')
input_log_file_handler.setFormatter(formatter)
self.replay_logger = logging.getLogger(self.instance_name)
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
ch = logging.StreamHandler(sys.stdout)
ch.setLevel(logging.DEBUG)
ch.setFormatter(
logging.Formatter(
'%(asctime)s - %(name)s - %(levelname)s - %(message)s'))
self.replay_logger.addHandler(ch)
self.replay_logger.info('START')
self.log_start_data()
self.update_tor_nodes()
from models import Base, db_bootstrap
db_engine = self.options.sqlalchemy_engine + ':///' +\
os.path.expanduser(self.options.sqlalchemy_connection_string)
engine = create_engine(db_engine, echo=self.options.db_echo)
Base.metadata.create_all(engine)
self.db_session = scoped_session(sessionmaker(bind=engine))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(self.options.trade_in)
self.application_trade_client = TradeClient(self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
self.security_list = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in self.security_list.get('Instruments'):
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(self.zmq_context,
self.options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id(self.db_session)
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_id'] = trade[5]
msg['seller_id'] = trade[6]
msg['buyer_username'] = trade[7]
msg['seller_username'] = trade[8]
msg['created'] = trade[9]
msg['trade_date'] = trade[9][:10]
msg['trade_time'] = trade[9][11:]
msg['order_id'] = trade[10]
msg['counter_order_id'] = trade[11]
Trade.create(self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[t.symbol].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade, 30000)
self.heart_beat_timer.start()
self.update_tor_nodes_timer = tornado.ioloop.PeriodicCallback(
self.update_tor_nodes, 3600000)
self.update_tor_nodes_timer.start()
def __init__(self, opt):
handlers = [
(r'/', WebSocketHandler),
(r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)', RestApiHandler)
]
settings = dict(
cookie_secret='cookie_secret'
)
tornado.web.Application.__init__(self, handlers, **settings)
self.replay_logger = logging.getLogger("REPLAY")
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
self.replay_logger.info('START')
self.log_start_data()
from models import ENGINE, db_bootstrap
self.db_session = scoped_session(sessionmaker(bind=ENGINE))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(opt.trade_in)
self.application_trade_client = TradeClient(
self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
instruments = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in instruments:
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(
self.zmq_context,
options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id()
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_username'] = trade[5]
msg['seller_username'] = trade[6]
msg['created'] = trade[7]
msg['trade_date'] = trade[7][:10]
msg['trade_time'] = trade[7][11:]
msg['order_id'] = trade[8]
msg['counter_order_id'] = trade[9]
Trade.create( self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[ t.symbol ].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade,
30000)
self.heart_beat_timer.start()
def __init__(self, opt):
handlers = [
(r'/', WebSocketHandler), (r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)',
RestApiHandler)
]
settings = dict(cookie_secret='cookie_secret')
tornado.web.Application.__init__(self, handlers, **settings)
self.replay_logger = logging.getLogger("REPLAY")
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
self.replay_logger.info('START')
self.log_start_data()
from models import ENGINE, db_bootstrap
self.db_session = scoped_session(sessionmaker(bind=ENGINE))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(opt.trade_in)
self.application_trade_client = TradeClient(self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
instruments = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in instruments:
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(self.zmq_context,
options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id()
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_username'] = trade[5]
msg['seller_username'] = trade[6]
msg['created'] = trade[7]
msg['trade_date'] = trade[7][:10]
msg['trade_time'] = trade[7][11:]
msg['order_id'] = trade[8]
msg['counter_order_id'] = trade[9]
Trade.create(self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[t.symbol].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade, 30000)
self.heart_beat_timer.start()
