def get_ticker(self, symbol):
'''Return a ticker object. Generated from instrument.'''
instrument = self.get_instrument(symbol)
# If this is an index, we have to get the data from the last trade.
if instrument['symbol'][0] == '.':
ticker = {}
ticker['mid'] = ticker['buy'] = ticker['sell'] = ticker[
'last'] = instrument['markPrice']
# Normal instrument
else:
bid = instrument['bidPrice'] or instrument['lastPrice']
ask = instrument['askPrice'] or instrument['lastPrice']
ticker = {
"last": instrument['lastPrice'],
"buy": bid,
"sell": ask,
"mid": (bid + ask) / 2
}
# The instrument has a tickSize. Use it to round values.
return {
k: to_nearest(float(v or 0), instrument['tickSize'])
for k, v in iteritems(ticker)
}
def test_update_max_price(self):
self.trailing_order.initial_price = 1000
self.trailing_order.max_price = 1001
# assert order was moved
expected_price = to_nearest(1001 * 0.9, 0.5)
self.assertEqual(expected_price, self.order.stop_px)
def enter_fb_method(self, qty: int, price_type: str, timeout: int, max_retry: int, deviation: int = None) -> None:
"""
Fb method is placing n orders after timeout seconds, then entry market.
:param qty: entry position size
:param timeout: timeout before replacing the order
:param price_type: may be last, first_ob, third_ob and deviant
:param deviation: deviation from last price in percents
:param max_retry: max order placing count
"""
if price_type == 'first_ob':
init_price = self.exchange.get_first_orderbook_price_ws(bid=qty > 0)
elif price_type == 'third_ob':
init_price = self.exchange.get_third_orderbook_price_ws(bid=qty > 0)
elif price_type == 'deviant':
if qty > 0:
init_price = self.exchange.get_last_price_ws() * (100 + deviation) / 100
else:
init_price = self.exchange.get_last_price_ws() * (100 - deviation) / 100
else:
init_price = self.exchange.get_last_price_ws()
init_price = to_nearest(init_price, self.exchange.conn.get_tick_size())
entry_order = Order(order_type='Limit', qty=qty, side='Buy' if qty > 0 else 'Sell',
price=init_price, passive=False)
for _ in range(max_retry):
self.exchange.place_order(entry_order)
for _ in range(timeout):
if self.exchange.get_order_status_ws(entry_order) == 'Filled':
return
sleep(1)
self.exchange.cancel_order(entry_order)
self.enter_by_market_order(qty=qty)
def calculate_new_price(self, extremum) -> float:
if self.order.side == 'Sell':
needed_price = extremum * (1 - self.offset / 100)
else:
needed_price = extremum * (1 + self.offset / 100)
needed_price = to_nearest(needed_price, tickSize=self.tick_size)
return needed_price
def test_update_min_price(self):
self.order.side = 'Buy'
self.trailing_order.initial_price = 1000
self.trailing_order.min_price = 999
# assert order was moved
expected_price = to_nearest(999 * 1.1, 0.5)
self.assertEqual(expected_price, self.order.stop_px)