def fetch_market(self, epic):
"""
Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
"""
market_info = self._connector.market(epic)
instrument = market_info['instrument']
snapshot = market_info['snapshot']
dealing_rules = market_info['dealingRules']
market = Market(epic, instrument['marketId'])
# cannot interpret this value because IG want it as it is
market.expiry = instrument['expiry']
# not perfect but IG does not provides this information
if instrument["marketId"].endswith(instrument["currencies"][0]["name"]):
base_symbol = instrument["marketId"][:-len(instrument["currencies"][0]["name"])]
else:
base_symbol = instrument["marketId"]
market.base_exchange_rate = instrument['currencies'][0]['baseExchangeRate'] # "exchangeRate": 0.77
market.one_pip_means = float(instrument['onePipMeans'].split(' ')[0]) # "1 Index Point", "0.0001 USD/EUR"
market.value_per_pip = float(instrument['valueOfOnePip'])
market.contract_size = float(instrument['contractSize'])
market.lot_size = float(instrument['lotSize'])
market.set_base(
base_symbol,
base_symbol,
decimal_place(market.one_pip_means))
if instrument['type'] in ('CURRENCIES'):
pass # quote_precision =
elif instrument['type'] in ('INDICES', 'COMMODITIES', 'SHARES', 'RATES', 'SECTORS'):
pass # quote_precision =
market.set_quote(
instrument["currencies"][0]["name"],
instrument["currencies"][0]['symbol'],
decimal_place(market.one_pip_means))
# "forceOpenAllowed": true,
# "stopsLimitsAllowed": true,
# "controlledRiskAllowed": true,
# "streamingPricesAvailable": true,
if snapshot:
market.is_open = snapshot["marketStatus"] == "TRADEABLE"
market.bid = snapshot['bid']
market.ofr = snapshot['offer']
# "marginFactorUnit": "PERCENTAGE" not avalaible if market is down
if instrument.get('marginFactor') and market.is_open:
market.margin_factor = float(instrument['marginFactor'])
margin_factor = instrument['marginFactor']
elif instrument.get('margin') and market.is_open:
market.margin_factor = 0.1 / float(instrument['margin'])
margin_factor = str(market.margin_factor)
else:
# we don't want this when market is down because it could overwrite the previous stored value
margin_factor = None
if instrument['unit'] == 'AMOUNT':
market.unit_type = Market.UNIT_AMOUNT
elif instrument['unit'] == 'CONTRACTS':
market.unit_type = Market.UNIT_CONTRACTS
elif instrument['unit'] == 'SHARES':
market.unit_type = Market.UNIT_SHARES
# BINARY OPT_* BUNGEE_*
if instrument['type'] == 'CURRENCIES':
market.market_type = Market.TYPE_CURRENCY
elif instrument['type'] == 'INDICES':
market.market_type = Market.TYPE_INDICE
elif instrument['type'] == 'COMMODITIES':
market.market_type = Market.TYPE_COMMODITY
elif instrument['type'] == 'SHARES':
market.market_type = Market.TYPE_STOCK
elif instrument['type'] == 'RATES':
market.market_type = Market.TYPE_RATE
elif instrument['type'] == 'SECTORS':
market.market_type = Market.TYPE_SECTOR
market.trade = Market.TRADE_MARGIN | Market.TRADE_POSITION
market.contract_type = Market.CONTRACT_CFD
# take minDealSize as tick size
market.set_size_limits(dealing_rules["minDealSize"]["value"], 0.0, dealing_rules["minDealSize"]["value"])
# @todo there is some limits in contract size
market.set_notional_limits(0.0, 0.0, 0.0)
# use one pip means for minimum and tick price size
market.set_price_limits(market.one_pip_means, 0.0, market.one_pip_means)
# commission for stocks @todo
commission = "0.0"
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((self.name, epic, market.symbol,
market.market_type, market.unit_type, market.contract_type, # type
market.trade, market.orders, # type
market.base, market.base_display, market.base_precision, # base
market.quote, market.quote_display, market.quote_precision, # quote
market.expiry, int(market.last_update_time * 1000.0), # expiry, timestamp
instrument['lotSize'], instrument['contractSize'], str(market.base_exchange_rate),
instrument['valueOfOnePip'], instrument['onePipMeans'].split(' ')[0], margin_factor,
dealing_rules["minDealSize"]["value"], "0.0", dealing_rules["minDealSize"]["value"], # size limits
"0.0", "0.0", "0.0", # notional limits
"0.0", "0.0", "0.0", # price limits
"0.0", "0.0", commission, commission) # fees
)
# print(market.symbol, market._size_limits, market._price_limits)
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (epic, market))
return market
def fetch_market(self, market_id):
"""
Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
@todo min/max/step/min_notional
"""
instrument = self.connector.ws.get_instrument(market_id)
# funds = self.connector.ws.funds() # to get account base currency (if XBt or XBT)
xbt_usd = self.connector.ws.get_instrument("XBTUSD")
if instrument:
# tickSize is the minimum price increment (0.5USD for XBTUSD)
tradeable = instrument.get('state', 'Closed') == 'Open'
update_time = self._parse_datetime(instrument.get('timestamp')).timestamp()
symbol = instrument.get('symbol', '')
base_symbol = instrument.get('rootSymbol', '')
quote_symbol = symbol[-3:]
# if funds['currency'] == 'XBt':
# # XBt to XBT
# ratio = 1.0 / 100000000.0
# if base_symbol == 'USD':
# # USD is base then convert to XBT
# ratio *= to_base_rate
bid = instrument.get('bidPrice')
ofr = instrument.get('askPrice')
market = Market(market_id, symbol)
# compute base precision from the tick size, example 0.05 => 2
base_precision = -math.floor(math.log10(instrument.get('tickSize', 1.0)))
market.set_base(base_symbol, base_symbol, base_precision)
market.set_quote(quote_symbol, quote_symbol)
# base to XBT
market.base_exchange_rate = 1.0
# base instrument
base_market_id = "XBT" + quote_symbol
base_market = self.connector.ws.get_instrument(base_market_id)
if base_market_id != symbol and base_market:
market.base_exchange_rate = base_market.get('lastPrice', 1.0) / instrument.get('lastPrice', 1.0)
# @todo 'multiplier', 'riskStep', 'riskLimit'
# limits
min_notional = 1.0 # $
if quote_symbol != "USD" and base_market_id != "XBT":
# any contract on futur XBT quote
min_notional = 0.0001
# BCHXBT 'maxOrderQty': 100000000, 'maxPrice': 10, 'lotSize': 1, 'tickSize': 0.0001,
# XBCUSD 'maxOrderQty': 10000000, 'maxPrice': 1000000, 'lotSize': 1, 'tickSize': 0.5,
market.set_size_limits(instrument.get('tickSize', 1.0), instrument.get('maxOrderQty', 0.0), instrument.get('tickSize', 1.0))
market.set_notional_limits(min_notional, instrument.get('maxPrice', 0.0), 0.0)
market.set_price_limits(0.0, 0.0, instrument.get('tickSize', 1.0))
# need to divided by account currency XBt = 100000000
market.margin_factor = instrument.get('initMargin', 1.0)
# market.max_margin_factor = 1.0 / (instrument.get('riskLimit', 1.0) * ratio) # ex: 20000000000 for max leverage 200
# '-' if perpetual else match the regexp and keep the expiry part only
expiry = BitMexWatcher.EXPIRY_RE.match(market_id)
# or instrument.get(expiry') == '2018-12-28T12:00:00.000Z' for Z18 its 28 of month Z (december) and year 2018
if expiry is None:
market.expiry = '-'
else:
market.expiry = expiry.group(2) + expiry.group(3)
market.market_type = Market.TYPE_CRYPTO
market.unit_type = Market.UNIT_CONTRACTS
market.contract_type = Market.CONTRACT_CFD # and FUTUR
market.trade = Market.TRADE_IND_MARGIN
if bid is not None and ofr is not None:
market.bid = bid
market.ofr = ofr
market.last_update_time = update_time
market.lot_size = instrument.get('lotSize', 1.0) # ex: 1.0 for XBTUSD
market.contract_size = 1.0
market.value_per_pip = 1.0
market.one_pip_means = instrument.get('tickSize', 1.0)
# contract_size need to be updated as price changes
# @todo this is wrong... same on update part above
if quote_symbol == 'USD' and base_market_id == symbol: # XBTUSD...
market.contract_size = 1.0 / instrument.get('lastPrice', 1.0)
elif quote_symbol == 'USD' and base_market_id != symbol: # ETHUSD...
market.contract_size = (0.001 * 0.01) * instrument.get('lastPrice', 1.0)
elif base_market and base_market_id != symbol: # ADAZ18...
market.contract_size = 1.0 / instrument.get('lastPrice', 1.0)
market.value_per_pip = market.contract_size / instrument.get('lastPrice', 1.0)
market.maker_fee = instrument.get('makerFee', 0.0)
market.taker_fee = instrument.get('takerFee', 0.0)
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((self.name, market_id, market.symbol,
market.market_type, market.unit_type, market.contract_type, # type
market.trade, market.orders, # type
market.base, market.base_display, market.base_precision, # base
market.quote, market.quote_display, market.quote_precision, # quote
market.expiry, int(market.last_update_time * 1000.0), # expiry, timestamp
str(market.lot_size), str(market.contract_size), str(market.base_exchange_rate),
str(market.value_per_pip), str(market.one_pip_means), str(market.margin_factor),
str(market.min_size), str(market.max_size), str(market.step_size), # size limits
str(market.min_notional), str(market.max_notional), str(market.step_notional), # notional limits
str(market.min_price), str(market.max_price), str(market.tick_price), # price limits
str(market.maker_fee), str(market.taker_fee), str(market.maker_commission), str(market.taker_commission)) # fees
)
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (market_id, market))
return market
def process_market(self):
#
# insert market info
#
with self._mutex:
mki = self._pending_market_info_insert
self._pending_market_info_insert = []
if mki:
try:
cursor = self._db.cursor()
for mi in mki:
if mi[16] is None:
# margin factor is unavailable when market is down, so use previous value if available
cursor.execute("""SELECT margin_factor FROM market WHERE broker_id = '%s' AND market_id = '%s'""" % (mi[0], mi[1]))
row = cursor.fetchone()
if row:
# replace by previous margin factor from the DB
margin_factor = row[0]
mi = list(mi)
mi[16] = margin_factor
else:
mi[16] = "1.0"
cursor.execute("""INSERT INTO market(broker_id, market_id, symbol,
market_type, unit_type, contract_type,
trade_type, orders,
base, base_display, base_precision,
quote, quote_display, quote_precision,
expiry, timestamp,
lot_size, contract_size, base_exchange_rate,
value_per_pip, one_pip_means, margin_factor,
min_size, max_size, step_size,
min_notional, max_notional, step_notional,
min_price, max_price, step_price,
maker_fee, taker_fee, maker_commission, taker_commission)
VALUES(%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)
ON CONFLICT (broker_id, market_id) DO UPDATE SET symbol = EXCLUDED.symbol,
market_type = EXCLUDED.market_type, unit_type = EXCLUDED.unit_type, contract_type = EXCLUDED.contract_type,
trade_type = EXCLUDED.trade_type, orders = EXCLUDED.orders,
base = EXCLUDED.base, base_display = EXCLUDED.base_display, base_precision = EXCLUDED.base_precision,
quote = EXCLUDED.quote, quote_display = EXCLUDED.quote_display, quote_precision = EXCLUDED.quote_precision,
expiry = EXCLUDED.expiry, timestamp = EXCLUDED.timestamp,
lot_size = EXCLUDED.lot_size, contract_size = EXCLUDED.contract_size, base_exchange_rate = EXCLUDED.base_exchange_rate,
value_per_pip = EXCLUDED.value_per_pip, one_pip_means = EXCLUDED.one_pip_means, margin_factor = EXCLUDED.margin_factor,
min_size = EXCLUDED.min_size, max_size = EXCLUDED.max_size, step_size = EXCLUDED.step_size,
min_notional = EXCLUDED.min_notional, max_notional = EXCLUDED.max_notional, step_notional = EXCLUDED.step_notional,
min_price = EXCLUDED.min_price, max_price = EXCLUDED.max_price, step_price = EXCLUDED.step_price,
maker_fee = EXCLUDED.maker_fee, taker_fee = EXCLUDED.taker_fee, maker_commission = EXCLUDED.maker_commission, taker_commission = EXCLUDED.taker_commission""",
(*mi,))
self._db.commit()
except self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_market_info_insert = mki + self._pending_market_info_insert
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_market_info_insert = mki + self._pending_market_info_insert
#
# select market info
#
with self._mutex:
mis = self._pending_market_info_select
self._pending_market_info_select = []
if mis:
try:
cursor = self._db.cursor()
for mi in mis:
cursor.execute("""SELECT symbol,
market_type, unit_type, contract_type,
trade_type, orders,
base, base_display, base_precision,
quote, quote_display, quote_precision,
expiry, timestamp,
lot_size, contract_size, base_exchange_rate,
value_per_pip, one_pip_means, margin_factor,
min_size, max_size, step_size,
min_notional, max_notional, step_notional,
min_price, max_price, step_price,
maker_fee, taker_fee, maker_commission, taker_commission FROM market
WHERE broker_id = '%s' AND market_id = '%s'""" % (
mi[1], mi[2]))
row = cursor.fetchone()
if row:
market_info = Market(mi[2], row[0])
market_info.is_open = True
market_info.market_type = row[1]
market_info.unit_type = row[2]
market_info.contract_type = row[3]
market_info.trade = row[4]
market_info.orders = row[5]
market_info.set_base(row[6], row[7], int(row[8]))
market_info.set_quote(row[9], row[10], int(row[11]))
market_info.expiry = row[12]
market_info.last_update_time = row[13] * 0.001
market_info.lot_size = float(row[14])
market_info.contract_size = float(row[15])
market_info.base_exchange_rate = float(row[16])
market_info.value_per_pip = float(row[17])
market_info.one_pip_means = float(row[18])
if row[19] is not None or row[19] is not 'None':
if row[19] == '-': # not defined mean 1.0 or no margin
market_info.margin_factor = 1.0
else:
market_info.margin_factor = float(row[19] or "1.0")
market_info.set_size_limits(float(row[20]), float(row[21]), float(row[22]))
market_info.set_notional_limits(float(row[23]), float(row[24]), float(row[25]))
market_info.set_price_limits(float(row[26]), float(row[27]), float(row[28]))
market_info.maker_fee = float(row[29])
market_info.taker_fee = float(row[30])
market_info.maker_commission = float(row[31])
market_info.taker_commission = float(row[32])
else:
market_info = None
# notify
mi[0].notify(Signal.SIGNAL_MARKET_INFO_DATA, mi[1], (mi[2], market_info))
except self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_market_info_select = mis + self._pending_market_info_select
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_market_info_select = mis + self._pending_market_info_select
#
# select market list
#
with self._mutex:
mls = self._pending_market_list_select
self._pending_market_list_select = []
if mls:
try:
cursor = self._db.cursor()
for m in mls:
cursor.execute("""SELECT market_id, symbol, base, quote FROM market WHERE broker_id = '%s'""" % (m[1],))
rows = cursor.fetchall()
market_list = []
for row in rows:
market_list.append(row)
# notify
m[0].notify(Signal.SIGNAL_MARKET_LIST_DATA, m[1], market_list)
except self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_market_list_select = mls + self._pending_market_list_select
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_market_list_select = mls + self._pending_market_list_select
def fetch_market(self, market_id):
"""
Fetch and cache it. It rarely changes.
"""
symbol = self._symbols_data.get(market_id)
ticker = self._tickers_data.get(market_id)
account = self._acount_data
market = None
if symbol and ticker and account:
market = Market(symbol['symbol'], symbol['symbol'])
market.is_open = symbol['status'] == "TRADING"
market.expiry = '-'
base_asset = symbol['baseAsset']
market.set_base(base_asset, base_asset,
symbol['baseAssetPrecision'])
quote_asset = symbol['quoteAsset']
market.set_quote(quote_asset,
symbol.get('quoteAssetUnit', quote_asset),
symbol['quotePrecision'])
# tick size at the base asset precision
market.one_pip_means = math.pow(10.0,
-symbol['baseAssetPrecision'])
market.value_per_pip = 1.0
market.contract_size = 1.0
market.lot_size = 1.0
# @todo add margin support
market.margin_factor = 1.0
size_limits = ["1.0", "0.0", "1.0"]
notional_limits = ["1.0", "0.0", "0.0"]
price_limits = ["0.0", "0.0", "0.0"]
# size min/max/step
for afilter in symbol["filters"]:
if afilter['filterType'] == "LOT_SIZE":
size_limits = [
afilter['minQty'], afilter['maxQty'],
afilter['stepSize']
]
elif afilter['filterType'] == "MIN_NOTIONAL":
notional_limits[0] = afilter['minNotional']
elif afilter['filterType'] == "PRICE_FILTER":
price_limits = [
afilter['minPrice'], afilter['maxPrice'],
afilter['tickSize']
]
market.set_size_limits(float(size_limits[0]),
float(size_limits[1]),
float(size_limits[2]))
market.set_price_limits(float(price_limits[0]),
float(price_limits[1]),
float(price_limits[2]))
market.set_notional_limits(float(notional_limits[0]), 0.0, 0.0)
market.unit_type = Market.UNIT_AMOUNT
market.market_type = Market.TYPE_CRYPTO
market.contract_type = Market.CONTRACT_SPOT
market.trade = 0
if symbol.get('isSpotTradingAllowed', False):
market.trade |= Market.TRADE_ASSET
if symbol.get('isMarginTradingAllowed', False):
market.trade |= Market.TRADE_IND_MARGIN
# @todo orders capacities
# symbol['orderTypes'] in ['LIMIT', 'LIMIT_MAKER', 'MARKET', 'STOP_LOSS_LIMIT', 'TAKE_PROFIT_LIMIT']
# market.orders =
if symbol.get('ocoAllowed', False):
market.orders |= Market.ORDER_ONE_CANCEL_OTHER
market.maker_fee = account['makerCommission'] * 0.0001
market.taker_fee = account['takerCommission'] * 0.0001
# market.buyer_commission = account['buyerCommission']
# market.seller_commission = account['sellerCommission']
# only order book can give us bid/ofr
market.bid = float(ticker['price'])
market.ofr = float(ticker['price'])
mid_price = float(ticker['price'])
if quote_asset != self.BASE_QUOTE:
if self._tickers_data.get(quote_asset + self.BASE_QUOTE):
market.base_exchange_rate = float(
self._tickers_data.get(quote_asset + self.BASE_QUOTE,
{'price', '1.0'})['price'])
elif self._tickers_data.get(self.BASE_QUOTE + quote_asset):
market.base_exchange_rate = 1.0 / float(
self._tickers_data.get(self.BASE_QUOTE + quote_asset,
{'price', '1.0'})['price'])
else:
market.base_exchange_rate = 1.0
else:
market.base_exchange_rate = 1.0
market.contract_size = 1.0 / mid_price
market.value_per_pip = market.contract_size / mid_price
# volume 24h
# in client.get_ticker but cost is 40 for any symbols then wait it at all-tickets WS event
# vol24_base = ticker24h('volume')
# vol24_quote = ticker24h('quoteVolume')
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name,
(market_id, market))
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((
self.name,
market.market_id,
market.symbol,
market.market_type,
market.unit_type,
market.contract_type, # type
market.trade,
market.orders, # type
market.base,
market.base_display,
market.base_precision, # base
market.quote,
market.quote_display,
market.quote_precision, # quote
market.expiry,
int(market.last_update_time * 1000.0), # expiry, timestamp
str(market.lot_size),
str(market.contract_size),
str(market.base_exchange_rate),
str(market.value_per_pip),
str(market.one_pip_means),
'-',
*size_limits,
*notional_limits,
*price_limits,
str(market.maker_fee),
str(market.taker_fee),
str(market.maker_commission),
str(market.taker_commission)))
return market
def install_market_data(self, market_id, market_data):
"""
Install a market info data into the database.
"""
market = Market(market_id, market_data.get('symbol', market_id))
market.base_exchange_rate = market_data.get('base-exchange-rate', 1.0)
market.one_pip_means = market_data.get('one-pip-means', 1.0)
market.value_per_pip = market_data.get('value-per-pip', 1.0)
market.contract_size = market_data.get('contract-size', 1.0)
market.lot_size = market_data.get('lot-size', 1.0)
market.expiry = market_data.get('expiry', '-')
base = market_data.get('base', {})
market.set_base(base.get('symbol', 'USD'), base.get('display', '$'),
base.get('precision', 2))
quote = market_data.get('quote', {})
market.set_base(quote.get('symbol', 'USD'), quote.get('display', '$'),
quote.get('precision', 2))
market.is_open = True
market.margin_factor = market_data.get('margin-factor', 1.0)
if 'unit' in market_data:
if market_data['unit'] == 'amount':
market.unit_type = Market.UNIT_AMOUNT
elif market_data['unit'] == 'contracts':
market.unit_type = Market.UNIT_CONTRACTS
elif market_data['unit'] == 'shares':
market.unit_type = Market.UNIT_SHARES
else:
market.unit_type = Market.UNIT_CONTRACTS
else:
market.unit_type = Market.UNIT_CONTRACTS
if 'type' in market_data:
if market_data['type'] == 'currency':
market.market_type = Market.TYPE_CURRENCY
elif market_data['type'] == 'indice':
market.market_type = Market.TYPE_INDICE
elif market_data['type'] == 'commodity':
market.market_type = Market.TYPE_COMMODITY
elif market_data['type'] == 'stock':
market.market_type = Market.TYPE_STOCK
elif market_data['type'] == 'rate':
market.market_type = Market.TYPE_RATE
elif market_data['type'] == 'sector':
market.market_type = Market.TYPE_SECTOR
else:
market.market_type = Market.TYPE_UNKNOWN
else:
market.market_type = Market.TYPE_UNKNOWN
if 'contract' in market_data:
if market_data['contract'] == 'spot':
market.contract_type = Market.CONTRACT_SPOT
elif market_data['contract'] == 'cfd':
market.contract_type = Market.CONTRACT_CFD
elif market_data['contract'] == 'futur':
market.contract_type = Market.CONTRACT_FUTUR
elif market_data['contract'] == 'option':
market.contract_type = Market.CONTRACT_OPTION
elif market_data['contract'] == 'warrant':
market.contract_type = Market.CONTRACT_WARRANT
elif market_data['contract'] == 'turbo':
market.contract_type = Market.CONTRACT_TURBO
else:
market.contract_type = Market.CONTRACT_SPOT
else:
market.contract_type = Market.CONTRACT_SPOT
market.trade = 0
if market_data.get('spot', False):
market.trade |= Market.TRADE_BUY_SELL
if market_data.get('margin', False):
market.trade |= Market.TRADE_MARGIN
if market_data.get('indivisible', False):
market.trade |= Market.TRADE_IND_MARGIN
if market_data.get('fifo', False):
market.trade |= Market.TRADE_FIFO
if market_data.get('position', False):
market.trade |= Market.TRADE_POSITION
orders = market_data.get(
'orders', ('market', 'limit', 'stop-market', 'stop-limit',
'take-profit-market', 'take-profit-limit'))
if 'market' in orders:
market.orders |= Market.ORDER_MARKET
if 'limit' in orders:
market.orders |= Market.ORDER_LIMIT
if 'stop-market' in orders:
market.orders |= Market.ORDER_STOP_MARKET
if 'stop-limit' in orders:
market.orders |= Market.ORDER_STOP_LIMIT
if 'take-profit-market' in orders:
market.orders |= Market.ORDER_TAKE_PROFIT_MARKET
if 'take-profit-limit' in orders:
market.orders |= Market.ORDER_TAKE_PROFIT_LIMIT
if 'one-cancel-other' in orders:
market.orders |= Market.ORDER_ONE_CANCEL_OTHER
size_limits = market_data.get('size-limits', {
'min': 0.0,
'max': 0.0,
'step': 0.0
})
market.set_size_limits(size_limits.get('min', 0.0),
size_limits.get('max', 0.0),
size_limits.get('step', 0.0))
notional_limits = market_data.get('notional-limits', {
'min': 0.0,
'max': 0.0,
'step': 0.0
})
market.set_size_limits(notional_limits.get('min', 0.0),
notional_limits.get('max', 0.0),
notional_limits.get('step', 0.0))
price_limits = market_data.get('price-limits', {
'min': 0.0,
'max': 0.0,
'step': 0.0
})
market.set_size_limits(price_limits.get('min', 0.0),
price_limits.get('max', 0.0),
price_limits.get('step', 0.0))
# fees & commissions
fees = market_data.get('fees', {})
market.maker_fee = fees.get('maker', 0.0)
market.taker_fee = fees.get('taker', 0.0)
commissions = market_data.get('commissions', {})
market.maker_commission = commissions.get('maker', 0.0)
market.taker_commission = commissions.get('maker', 0.0)
# store the last market info to be used for backtesting
Database.inst().store_market_info((
self.name,
market.market_id,
market.symbol,
market.market_type,
market.unit_type,
market.contract_type, # type
market.trade,
market.orders, # type
market.base,
market.base_display,
market.base_precision, # base
market.quote,
market.quote_display,
market.quote_precision, # quote
market.expiry,
int(market.last_update_time * 1000.0), # expiry, timestamp
str(market.lot_size),
str(market.contract_size),
str(market.base_exchange_rate),
str(market.value_per_pip),
str(market.one_pip_means),
str(market.margin_factor),
str(market.min_size),
str(market.max_size),
str(market.step_size), # size limits
str(market.min_notional),
str(market.max_notional),
str(market.step_notional), # notional limits
str(market.min_price),
str(market.max_price),
str(market.tick_price), # price limits
str(market.maker_fee),
str(market.taker_fee),
str(market.maker_commission),
str(market.taker_commission)) # fees
)
def fetch_market(self, market_id):
"""
Fetch and cache it. It rarely changes.
"""
instrument = self._instruments.get(market_id)
market = None
if instrument:
market = Market(market_id, instrument['altname'])
market.is_open = True
market.expiry = '-'
# "wsname":"XBT\/USD"
# wsname = WebSocket pair name (if available)
# pair_decimals = scaling decimal places for pair
# lot_decimals = scaling decimal places for volume
# lot_multiplier = amount to multiply lot volume by to get currency volume
# "aclass_base":"currency"
base_asset = instrument['base'] # XXBT
market.set_base(base_asset, base_asset,
instrument['pair_decimals'])
# "aclass_quote":"currency"
quote_asset = instrument['quote'] # ZUSD
market.set_quote(quote_asset, quote_asset,
instrument['lot_decimals']) # 8
# tick size at the base asset precision
market.one_pip_means = math.pow(10.0,
-instrument['pair_decimals']) # 1
market.value_per_pip = 1.0
market.contract_size = 1.0
market.lot_size = 1.0 # "lot":"unit", "lot_multiplier":1
# "margin_call":80, "margin_stop":40
# margin_call = margin call level
# margin_stop = stop-out/liquidation margin level
leverages = set(instrument.get('leverage_buy', []))
leverages.intersection(set(instrument.get('leverage_sell', [])))
market.margin_factor = 1.0 / max(leverages) if len(
leverages) > 0 else 1.0
market.set_leverages(leverages)
size_limit = self._size_limits.get(instrument['altname'], {})
min_size = size_limit.get('min-size', 1.0)
size_limits = [str(min_size), "0.0", str(min_size)]
notional_limits = ["0.0", "0.0", "0.0"]
price_limits = ["0.0", "0.0", "0.0"]
market.set_size_limits(float(size_limits[0]),
float(size_limits[1]),
float(size_limits[2]))
market.set_price_limits(float(price_limits[0]),
float(price_limits[1]),
float(price_limits[2]))
market.set_notional_limits(float(notional_limits[0]), 0.0, 0.0)
# "lot":"unit"
market.unit_type = Market.UNIT_AMOUNT
market.market_type = Market.TYPE_CRYPTO
market.contract_type = Market.CONTRACT_SPOT
market.trade = Market.TRADE_ASSET
if leverages:
market.trade |= Market.TRADE_MARGIN
market.trade |= Market.TRADE_FIFO
# orders capacities
market.orders = Order.ORDER_LIMIT | Order.ORDER_MARKET | Order.ORDER_STOP | Order.ORDER_TAKE_PROFIT
# @todo take the first but it might depends of the traded volume per 30 days, then request volume window to got it
# "fees":[[0,0.26],[50000,0.24],[100000,0.22],[250000,0.2],[500000,0.18],[1000000,0.16],[2500000,0.14],[5000000,0.12],[10000000,0.1]],
# "fees_maker":[[0,0.16],[50000,0.14],[100000,0.12],[250000,0.1],[500000,0.08],[1000000,0.06],[2500000,0.04],[5000000,0.02],[10000000,0]],
fees = instrument.get('fees', [])
fees_maker = instrument.get('fees_maker', [])
if fees:
market.taker_fee = round(fees[0][1] * 0.01, 6)
if fees_maker:
market.maker_fee = round(fees_maker[0][1] * 0.01, 6)
if instrument.get('fee_volume_currency'):
market.fee_currency = instrument['fee_volume_currency']
if quote_asset != self.BASE_QUOTE:
# from XXBTZUSD / XXBTZEUR ...
# @todo
pass
# if self._tickers_data.get(quote_asset+self.BASE_QUOTE):
# market.base_exchange_rate = float(self._tickers_data.get(quote_asset+self.BASE_QUOTE, {'price', '1.0'})['price'])
# elif self._tickers_data.get(self.BASE_QUOTE+quote_asset):
# market.base_exchange_rate = 1.0 / float(self._tickers_data.get(self.BASE_QUOTE+quote_asset, {'price', '1.0'})['price'])
# else:
# market.base_exchange_rate = 1.0
else:
market.base_exchange_rate = 1.0
# @todo contract_size
# market.contract_size = 1.0 / mid_price
# market.value_per_pip = market.contract_size / mid_price
# volume 24h : not have here
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name,
(market_id, market))
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((
self.name,
market.market_id,
market.symbol,
market.market_type,
market.unit_type,
market.contract_type, # type
market.trade,
market.orders, # type
market.base,
market.base_display,
market.base_precision, # base
market.quote,
market.quote_display,
market.quote_precision, # quote
market.expiry,
int(market.last_update_time * 1000.0), # expiry, timestamp
str(market.lot_size),
str(market.contract_size),
str(market.base_exchange_rate),
str(market.value_per_pip),
str(market.one_pip_means),
'-',
*size_limits,
*notional_limits,
*price_limits,
str(market.maker_fee),
str(market.taker_fee),
str(market.maker_commission),
str(market.taker_commission)))
return market
def fetch_market(self, market_id):
"""
Fetch and cache it. It rarely changes.
"""
instrument = self._instruments.get(market_id)
market = None
if instrument:
market = Market(market_id, instrument['altname'])
market.is_open = True
market.expiry = '-'
# "wsname":"XBT\/USD"
# wsname = WebSocket pair name (if available)
# pair_decimals = scaling decimal places for pair
# lot_decimals = scaling decimal places for volume
# lot_multiplier = amount to multiply lot volume by to get currency volume
# "aclass_base":"currency"
base_asset = instrument['base'] # XXBT
market.set_base(base_asset, base_asset,
instrument['pair_decimals'])
# "aclass_quote":"currency"
quote_asset = instrument['quote'] # ZUSD
market.set_quote(quote_asset, quote_asset,
instrument['lot_decimals']) # 8
# tick size at the base asset precision
market.one_pip_means = math.pow(10.0,
-instrument['pair_decimals']) # 1
market.value_per_pip = 1.0
market.contract_size = 1.0
market.lot_size = 1.0 # "lot":"unit", "lot_multiplier":1
# "margin_call":80, "margin_stop":40
# margin_call = margin call level
# margin_stop = stop-out/liquidation margin level
leverages = set(instrument.get('leverage_buy', []))
leverages.intersection(set(instrument.get('leverage_sell', [])))
market.margin_factor = 1.0 / max(leverages)
market.set_leverages(leverages)
size_limits = ["1.0", "0.0", "1.0"]
notional_limits = ["1.0", "0.0", "0.0"]
price_limits = ["0.0", "0.0", "0.0"]
# size min/max/step @todo using lot_decimals / pair_decimals
# for afilter in instrument["filters"]:
# if afilter['filterType'] == "LOT_SIZE":
# size_limits = [afilter['minQty'], afilter['maxQty'], afilter['stepSize']]
# elif afilter['filterType'] == "MIN_NOTIONAL":
# notional_limits[0] = afilter['minNotional']
# elif afilter['filterType'] == "PRICE_FILTER":
# price_limits = [afilter['minPrice'], afilter['maxPrice'], afilter['tickSize']]
# if float(size_limits[2]) < 1:
# size_limits[2] = str(float(size_limits[2])) # * 10)
market.set_size_limits(float(size_limits[0]),
float(size_limits[1]),
float(size_limits[2]))
market.set_price_limits(float(price_limits[0]),
float(price_limits[1]),
float(price_limits[2]))
market.set_notional_limits(float(notional_limits[0]), 0.0, 0.0)
# "lot":"unit"
market.unit_type = Market.UNIT_AMOUNT
market.market_type = Market.TYPE_CRYPTO
market.trade = Market.TRADE_ASSET
market.contract_type = Market.CONTRACT_SPOT
# @todo add a copy with
market.trade = Market.TRADE_MARGIN
market.contract_type = Market.CONTRACT_FUTUR
# orders capacities
market.orders = Order.ORDER_LIMIT | Order.ORDER_MARKET | Order.ORDER_STOP | Order.ORDER_TAKE_PROFIT
# "fees":[[0,0.26],[50000,0.24],[100000,0.22],[250000,0.2],[500000,0.18],[1000000,0.16],[2500000,0.14],[5000000,0.12],[10000000,0.1]],
# "fees_maker":[[0,0.16],[50000,0.14],[100000,0.12],[250000,0.1],[500000,0.08],[1000000,0.06],[2500000,0.04],[5000000,0.02],[10000000,0]],
# market.maker_fee = account['makerCommission'] * 0.0001
# market.taker_fee = account['takerCommission'] * 0.0001
# 'fee_volume_currency': 'ZUSD'
# fee_volume_currency = volume discount currency
# if quote_asset != self.BASE_QUOTE:
# if self._tickers_data.get(quote_asset+self.BASE_QUOTE):
# market.base_exchange_rate = float(self._tickers_data.get(quote_asset+self.BASE_QUOTE, {'price', '1.0'})['price'])
# elif self._tickers_data.get(self.BASE_QUOTE+quote_asset):
# market.base_exchange_rate = 1.0 / float(self._tickers_data.get(self.BASE_QUOTE+quote_asset, {'price', '1.0'})['price'])
# else:
# market.base_exchange_rate = 1.0
# else:
# market.base_exchange_rate = 1.0
# market.contract_size = 1.0 / mid_price
# market.value_per_pip = market.contract_size / mid_price
# volume 24h : not have here
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((
self.name,
market.market_id,
market.symbol,
market.market_type,
market.unit_type,
market.contract_type, # type
market.trade,
market.orders, # type
market.base,
market.base_display,
market.base_precision, # base
market.quote,
market.quote_display,
market.quote_precision, # quote
market.expiry,
int(market.last_update_time * 1000.0), # expiry, timestamp
str(market.lot_size),
str(market.contract_size),
str(market.base_exchange_rate),
str(market.value_per_pip),
str(market.one_pip_means),
'-',
*size_limits,
*notional_limits,
*price_limits,
str(market.maker_fee),
str(market.taker_fee),
str(market.maker_commission),
str(market.taker_commission)))
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name,
(market_id, market))
return market
