def test_order_info():
oi = OrderInfo('COINBASE', 'BTC-USD', None, BUY, PENDING, LIMIT,
Decimal(40000.00), Decimal(1.25), Decimal(1.25), time())
d = oi.to_dict(numeric_type=str)
d = json.dumps(d)
d = json.loads(d)
oi2 = OrderInfo.from_dict(d)
assert oi == oi2
def _order_status(self, data: dict):
if 'status' not in data:
raise UnexpectedMessage(f"Message from exchange: {data}")
status = data['status']
if data['status'] == 'done' and data['done_reason'] == 'canceled':
status = PARTIAL
elif data['status'] == 'done':
status = FILLED
elif data['status'] == 'open':
status = OPEN
elif data['status'] == 'pending':
status = PENDING
elif data['status'] == CANCELLED:
status = CANCELLED
if 'price' not in data:
price = Decimal(data['executed_value']) / Decimal(
data['filled_size'])
else:
price = Decimal(data['price'])
# exchange, symbol, id, side, status, type, price, amount, remaining, timestamp, account=None, raw=None):
return OrderInfo(self.id,
data['product_id'],
data['id'],
BUY if data['side'] == 'buy' else SELL,
status,
LIMIT if data['type'] == 'limit' else MARKET,
price,
Decimal(data['size']),
Decimal(data['size']) - Decimal(data['filled_size']),
data['done_at'].timestamp() if 'done_at' in data else
data['created_at'].timestamp(),
client_order_id=data['client_oid'],
raw=data)
async def _order(self, msg: dict, timestamp: float):
"""
{
"topic": "order",
"action": "",
"data": [
{
"order_id": "xxxxxxxx-xxxx-xxxx-9a8f-4a973eb5c418",
"order_link_id": "",
"symbol": "BTCUSDT",
"side": "Buy",
"order_type": "Limit",
"price": 11000,
"qty": 0.001,
"leaves_qty": 0.001,
"last_exec_price": 0,
"cum_exec_qty": 0,
"cum_exec_value": 0,
"cum_exec_fee": 0,
"time_in_force": "GoodTillCancel",
"create_type": "CreateByUser",
"cancel_type": "UNKNOWN",
"order_status": "New",
"take_profit": 0,
"stop_loss": 0,
"trailing_stop": 0,
"reduce_only": false,
"close_on_trigger": false,
"create_time": "2020-08-12T21:18:40.780039678Z",
"update_time": "2020-08-12T21:18:40.787986415Z"
}
]
}
"""
order_status = {
'Created': SUBMITTING,
'Rejected': FAILED,
'New': OPEN,
'PartiallyFilled': PARTIAL,
'Filled': FILLED,
'Cancelled': CANCELLED,
'PendingCancel': CANCELLING
}
for i in range(len(msg['data'])):
data = msg['data'][i]
oi = OrderInfo(self.id,
self.exchange_symbol_to_std_symbol(data['symbol']),
data["order_id"],
BUY if msg["side"] == 'Buy' else SELL,
order_status[data["order_status"]],
LIMIT if data['order_type'] == 'Limit' else MARKET,
Decimal(data['price']),
Decimal(data['cumQuantity']),
Decimal(data['qty']) - Decimal(data['cumQuantity']),
self.timestamp_normalize(data["updateTime"]),
raw=data)
await self.callback(ORDER_INFO, oi, timestamp)
async def _order_update(self, msg: dict, timestamp: float):
"""
{
"e":"ORDER_TRADE_UPDATE", // Event Type
"E":1568879465651, // Event Time
"T":1568879465650, // Transaction Time
"o":
{
"s":"BTCUSDT", // Symbol
"c":"TEST", // Client Order Id
// special client order id:
// starts with "autoclose-": liquidation order
// "adl_autoclose": ADL auto close order
"S":"SELL", // Side
"o":"TRAILING_STOP_MARKET", // Order Type
"f":"GTC", // Time in Force
"q":"0.001", // Original Quantity
"p":"0", // Original Price
"ap":"0", // Average Price
"sp":"7103.04", // Stop Price. Please ignore with TRAILING_STOP_MARKET order
"x":"NEW", // Execution Type
"X":"NEW", // Order Status
"i":8886774, // Order Id
"l":"0", // Order Last Filled Quantity
"z":"0", // Order Filled Accumulated Quantity
"L":"0", // Last Filled Price
"N":"USDT", // Commission Asset, will not push if no commission
"n":"0", // Commission, will not push if no commission
"T":1568879465651, // Order Trade Time
"t":0, // Trade Id
"b":"0", // Bids Notional
"a":"9.91", // Ask Notional
"m":false, // Is this trade the maker side?
"R":false, // Is this reduce only
"wt":"CONTRACT_PRICE", // Stop Price Working Type
"ot":"TRAILING_STOP_MARKET", // Original Order Type
"ps":"LONG", // Position Side
"cp":false, // If Close-All, pushed with conditional order
"AP":"7476.89", // Activation Price, only puhed with TRAILING_STOP_MARKET order
"cr":"5.0", // Callback Rate, only puhed with TRAILING_STOP_MARKET order
"rp":"0" // Realized Profit of the trade
}
}
"""
oi = OrderInfo(self.id,
self.exchange_symbol_to_std_symbol(msg['o']['s']),
str(msg['o']['i']),
BUY if msg['o']['S'].lower() == 'buy' else SELL,
msg['o']['x'],
LIMIT if msg['o']['o'].lower() == 'limit' else
MARKET if msg['o']['o'].lower() == 'market' else None,
Decimal(msg['o']['ap']) if
not Decimal.is_zero(Decimal(msg['o']['ap'])) else None,
Decimal(msg['o']['q']),
Decimal(msg['o']['q']) - Decimal(msg['o']['z']),
self.timestamp_normalize(msg['E']),
raw=msg)
await self.callback(ORDER_INFO, oi, timestamp)
async def _order_status(self, msg: str, ts: float):
status_lookup = {
'new': OPEN,
'partiallyFilled': PARTIAL,
'filled': FILLED,
'canceled': CANCELLED,
'expired': EXPIRED,
'suspended': SUSPENDED,
}
type_lookup = {
'limit': LIMIT,
'market': MARKET,
'stopLimit': STOP_LIMIT,
'stopMarket': STOP_MARKET,
}
"""
Example response:
{
"jsonrpc": "2.0",
"method": "report",
"params": {
"id": "4345697765",
"clientOrderId": "53b7cf917963464a811a4af426102c19",
"symbol": "ETHBTC",
"side": "sell",
"status": "filled",
"type": "limit",
"timeInForce": "GTC",
"quantity": "0.001",
"price": "0.053868",
"cumQuantity": "0.001",
"postOnly": false,
"createdAt": "2017-10-20T12:20:05.952Z",
"updatedAt": "2017-10-20T12:20:38.708Z",
"reportType": "trade",
"tradeQuantity": "0.001",
"tradePrice": "0.053868",
"tradeId": 55051694,
"tradeFee": "-0.000000005"
}
}
"""
oi = OrderInfo(
self.id,
self.exchange_symbol_to_std_symbol(msg["symbol"]),
msg["id"],
SELL if msg["side"] == 'sell' else BUY,
status_lookup[msg["status"]],
type_lookup[msg["type"]],
Decimal(msg['price']),
Decimal(msg['cumQuantity']),
Decimal(msg['quantity']) - Decimal(msg['cumQuantity']),
self.timestamp_normalize(msg["updatedAt"]) if msg["updatedAt"] else
self.timestamp_normalize(msg["createdAt"]),
raw=msg)
await self.callback(ORDER_INFO, oi, ts)
async def _order(self, msg: dict, timestamp: float):
"""
{
"channel":"order",
"timestamp":1587994934089,
"data":[
{
"order_id":"1590",
"instrument_id":"BTC-1MAY20-8750-P",
"qty":"0.50000000",
"filled_qty":"0.10000000",
"remain_qty":"0.40000000",
"price":"0.16000000",
"avg_price":"0.16000000",
"side":"buy",
"order_type":"limit",
"time_in_force":"gtc",
"created_at":1587870609000,
"updated_at":1587870609000,
"status":"open",
"fee":"0.00002000",
"cash_flow":"-0.01600000",
"pnl":"0.00000000",
"is_liquidation": false,
"auto_price":"0.00000000",
"auto_price_type":"",
"taker_fee_rate": "0.00050000",
"maker_fee_rate": "0.00020000",
"label": "hedge",
"stop_price": "0.00000000",
"reduce_only": false,
"post_only": false,
"reject_post_only": false,
"mmp": false,
"reorder_index": 1
}
]
}
"""
for entry in msg['data']:
oi = OrderInfo(self.id,
self.exchange_symbol_to_std_symbol(
entry['instrument_id']),
entry['order_id'],
BUY if entry['side'] == 'buy' else SELL,
self._status_translate(entry['status']),
self._order_type_translate(entry['order_type']),
Decimal(entry['price']),
Decimal(entry['filled_qty']),
Decimal(entry['remain_qty']),
self.timestamp_normalize(entry['updated_at']),
raw=entry)
await self.callback(ORDER_INFO, oi, timestamp)
async def _order_update(self, msg: dict, timestamp: float):
"""
{
"e": "executionReport", // Event type
"E": 1499405658658, // Event time
"s": "ETHBTC", // Symbol
"c": "mUvoqJxFIILMdfAW5iGSOW", // Client order ID
"S": "BUY", // Side
"o": "LIMIT", // Order type
"f": "GTC", // Time in force
"q": "1.00000000", // Order quantity
"p": "0.10264410", // Order price
"P": "0.00000000", // Stop price
"F": "0.00000000", // Iceberg quantity
"g": -1, // OrderListId
"C": "", // Original client order ID; This is the ID of the order being canceled
"x": "NEW", // Current execution type
"X": "NEW", // Current order status
"r": "NONE", // Order reject reason; will be an error code.
"i": 4293153, // Order ID
"l": "0.00000000", // Last executed quantity
"z": "0.00000000", // Cumulative filled quantity
"L": "0.00000000", // Last executed price
"n": "0", // Commission amount
"N": null, // Commission asset
"T": 1499405658657, // Transaction time
"t": -1, // Trade ID
"I": 8641984, // Ignore
"w": true, // Is the order on the book?
"m": false, // Is this trade the maker side?
"M": false, // Ignore
"O": 1499405658657, // Order creation time
"Z": "0.00000000", // Cumulative quote asset transacted quantity
"Y": "0.00000000", // Last quote asset transacted quantity (i.e. lastPrice * lastQty)
"Q": "0.00000000" // Quote Order Qty
}
"""
oi = OrderInfo(self.id,
self.exchange_symbol_to_std_symbol(msg['s']),
str(msg['i']),
BUY if msg['S'].lower() == 'buy' else SELL,
msg['x'],
LIMIT if msg['o'].lower() == 'limit' else
MARKET if msg['o'].lower() == 'market' else None,
Decimal(msg['Z']) / Decimal(msg['z'])
if not Decimal.is_zero(Decimal(msg['z'])) else None,
Decimal(msg['q']),
Decimal(msg['q']) - Decimal(msg['z']),
self.timestamp_normalize(msg['E']),
raw=msg)
await self.callback(ORDER_INFO, oi, timestamp)
def init_order_info(self, o):
oi = OrderInfo(
self.id,
self.exchange_symbol_to_std_symbol(o['symbol']),
o['orderID'],
BUY if o['side'] == 'Buy' else SELL,
self.normalize_order_status(o['ordStatus']),
LIMIT if o['ordType'].lower() == 'limit' else MARKET if o['ordType'].lower() == 'market' else None,
Decimal(o['avgPx']) if o['avgPx'] else Decimal(o['price']),
Decimal(o['orderQty']),
Decimal(o['leavesQty']),
self.timestamp_normalize(o['timestamp']),
raw=str(o), # Need to convert to string to avoid json serialization error when updating order
)
return oi
async def _order(self, msg: dict, timestamp: float):
'''
[{
"type": "accepted",
"order_id": "109535951",
"event_id": "109535952",
"api_session": "UI",
"symbol": "btcusd",
"side": "buy",
"order_type": "exchange limit",
"timestamp": "1547742904",
"timestampms": 1547742904989,
"is_live": true,
"is_cancelled": false,
"is_hidden": false,
"original_amount": "1",
"price": "3592.00",
"socket_sequence": 13
}]
'''
if msg['type'] == "initial" or msg['type'] == "accepted":
status = SUBMITTING
elif msg['type'] == "fill":
status = FILLED
elif msg['type'] == 'booked':
status = OPEN
elif msg['type'] == 'rejected':
status = FAILED
elif msg['type'] == 'cancelled':
status = CANCELLED
else:
status = msg['type']
oi = OrderInfo(
self.id,
self.exchange_symbol_to_std_symbol(msg['symbol'].upper()),
msg['order_id'],
BUY if msg['side'].lower() == 'buy' else SELL,
status,
LIMIT if msg['order_type'] == 'exchange limit' else STOP_LIMIT,
Decimal(msg['price']),
Decimal(msg['executed_amount']),
Decimal(msg['remaining_amount']),
msg['timestampms'] / 1000.0,
raw=msg)
await self.callback(ORDER_INFO, oi, timestamp)
async def _order(self, msg: dict, timestamp: float):
"""
example message:
{
"channel": "orders",
"data": {
"id": 24852229,
"clientId": null,
"market": "XRP-PERP",
"type": "limit",
"side": "buy",
"size": 42353.0,
"price": 0.2977,
"reduceOnly": false,
"ioc": false,
"postOnly": false,
"status": "closed",
"filledSize": 0.0,
"remainingSize": 0.0,
"avgFillPrice": 0.2978
},
"type": "update"
}
"""
order = msg['data']
status = order['status']
if status == 'new':
status = SUBMITTING
elif status == 'open':
status = OPEN
elif status == 'closed':
status = CLOSED
oi = OrderInfo(self.id,
self.exchange_symbol_to_std_symbol(order['market']),
str(order['id']),
BUY if order['side'].lower() == 'buy' else SELL,
status,
LIMIT if order['type'] == 'limit' else MARKET,
Decimal(order['price']) if order['price'] else None,
Decimal(order['filledSize']),
Decimal(order['remainingSize']),
None,
account=self.subaccount,
raw=msg)
await self.callback(ORDER_INFO, oi, timestamp)
async def _order(self, msg: dict, timestamp: float):
'''
{
"arg": {
"channel": "orders",
"instType": "FUTURES",
"instId": "BTC-USD-200329"
},
"data": [
{
"instType": "FUTURES",
"instId": "BTC-USD-200329",
"ccy": "BTC",
"ordId": "312269865356374016",
"clOrdId": "b1",
"tag": "",
"px": "999",
"sz": "333",
"notionalUsd": "",
"ordType": "limit",
"side": "buy",
"posSide": "long",
"tdMode": "cross",
"tgtCcy": "",
"fillSz": "0",
"fillPx": "long",
"tradeId": "0",
"accFillSz": "323",
"fillNotionalUsd": "",
"fillTime": "0",
"fillFee": "0.0001",
"fillFeeCcy": "BTC",
"execType": "T",
"state": "canceled",
"avgPx": "0",
"lever": "20",
"tpTriggerPx": "0",
"tpOrdPx": "20",
"slTriggerPx": "0",
"slOrdPx": "20",
"feeCcy": "",
"fee": "",
"rebateCcy": "",
"rebate": "",
"tgtCcy":"",
"pnl": "",
"category": "",
"uTime": "1597026383085",
"cTime": "1597026383085",
"reqId": "",
"amendResult": "",
"code": "0",
"msg": ""
}
]
}
'''
status = msg['data'][0]['state']
if status == 'canceled':
status == CANCELLED
elif status == 'live':
status == OPEN
elif status == 'partially-filled':
status = PARTIAL
elif status == 'filled':
status = FILLED
o_type = msg['data'][0]['ordType']
if o_type == 'market':
o_type = MARKET
elif o_type == 'post_only':
o_type = MAKER_OR_CANCEL
elif o_type == 'fok':
o_type = FILL_OR_KILL
elif o_type == 'ioc':
o_type = IMMEDIATE_OR_CANCEL
elif o_type == 'limit':
o_type = LIMIT
oi = OrderInfo(
self.id,
self.exchange_symbol_to_std_symbol(
msg['data'][0]['instId'].upper()),
msg['data'][0]['ordId'],
BUY if msg['data'][0]['side'].lower() == 'buy' else SELL,
status,
o_type,
Decimal(msg['data'][0]['px'])
if msg['data'][0]['px'] else Decimal(msg['data'][0]['avgPx']),
Decimal(msg['data'][0]['sz']),
Decimal(msg['data'][0]['sz']) -
Decimal(msg['data'][0]['accFillSz'])
if msg['data'][0]['accFillSz'] else Decimal(msg['data'][0]['sz']),
self.timestamp_normalize(int(msg['data'][0]['uTime'])),
raw=msg)
await self.callback(ORDER_INFO, oi, timestamp)
async def _order(self, msg: dict, timestamp: float):
'''
{
"table":"spot/order",
"data":[
{
"client_oid":"",
"filled_notional":"0",
"filled_size":"0",
"instrument_id":"ETC-USDT",
"last_fill_px":"0",
"last_fill_qty":"0",
"last_fill_time":"1970-01-01T00:00:00.000Z",
"margin_trading":"1",
"notional":"",
"order_id":"3576398568830976",
"order_type":"0",
"price":"5.826",
"side":"buy",
"size":"0.1",
"state":"0",
"status":"open",
"timestamp":"2019-09-24T06:45:11.394Z",
"type":"limit",
"created_at":"2019-09-24T06:45:11.394Z"
}
]
}
'''
status = msg['data'][0]['state']
if status == -1:
status = FAILED
elif status == -1:
status == CANCELLED
elif status == 0:
status == OPEN
elif status == 1:
status = PARTIAL
elif status == 2:
status = FILLED
elif status == 3:
status = SUBMITTING
elif status == 4:
status = CANCELLING
o_type = msg['data'][0]['ordType']
if o_type == 0:
o_type = MARKET
elif o_type == 1:
o_type = MAKER_OR_CANCEL
elif o_type == 2:
o_type = FILL_OR_KILL
elif o_type == 3:
o_type = IMMEDIATE_OR_CANCEL
oi = OrderInfo(
self.id,
self.exchange_symbol_to_std_symbol(
msg['data'][0]['instId'].upper()),
msg['data'][0]['ordId'],
BUY if msg['data'][0]['side'].lower() == 'buy' else SELL,
status,
o_type,
Decimal(msg['data'][0]['filled_notional'] /
msg['data'][0]['filled_size']),
Decimal(msg['data'][0]['filled_size']),
msg['data'][0]['uTime'].timestamp(),
raw=msg)
await self.callback(ORDER_INFO, oi, timestamp)
async def _order(self, msg: dict, timestamp: float):
"""
order msg example
{
"table": "order",
"action": "partial",
"keys": [
"orderID"
],
"types": {
"orderID": "guid",
"clOrdID": "string",
"clOrdLinkID": "symbol",
"account": "long",
"symbol": "symbol",
"side": "symbol",
"simpleOrderQty": "float",
"orderQty": "long",
"price": "float",
"displayQty": "long",
"stopPx": "float",
"pegOffsetValue": "float",
"pegPriceType": "symbol",
"currency": "symbol",
"settlCurrency": "symbol",
"ordType": "symbol",
"timeInForce": "symbol",
"execInst": "symbol",
"contingencyType": "symbol",
"exDestination": "symbol",
"ordStatus": "symbol",
"triggered": "symbol",
"workingIndicator": "boolean",
"ordRejReason": "symbol",
"simpleLeavesQty": "float",
"leavesQty": "long",
"simpleCumQty": "float",
"cumQty": "long",
"avgPx": "float",
"multiLegReportingType": "symbol",
"text": "string",
"transactTime": "timestamp",
"timestamp": "timestamp"
},
"foreignKeys": {
"symbol": "instrument",
"side": "side",
"ordStatus": "ordStatus"
},
"attributes": {
"orderID": "grouped",
"account": "grouped",
"ordStatus": "grouped",
"workingIndicator": "grouped"
},
"filter": {
"account": 1600000,
"symbol": "ETHUSDTH22"
},
"data": [
{
"orderID": "360fad5a-49e3-4187-ad04-8fac82b8a95f",
"clOrdID": "",
"clOrdLinkID": "",
"account": 1600000,
"symbol": "ETHUSDTH22",
"side": "Buy",
"simpleOrderQty": null,
"orderQty": 1000,
"price": 2000,
"displayQty": null,
"stopPx": null,
"pegOffsetValue": null,
"pegPriceType": "",
"currency": "USDT",
"settlCurrency": "USDt",
"ordType": "Limit",
"timeInForce": "GoodTillCancel",
"execInst": "",
"contingencyType": "",
"exDestination": "XBME",
"ordStatus": "New",
"triggered": "",
"workingIndicator": true,
"ordRejReason": "",
"simpleLeavesQty": null,
"leavesQty": 1000,
"simpleCumQty": null,
"cumQty": 0,
"avgPx": null,
"multiLegReportingType": "SingleSecurity",
"text": "Submitted via API.",
"transactTime": "2022-02-13T00:15:02.570000Z",
"timestamp": "2022-02-13T00:15:02.570000Z"
},
{
"orderID": "74d2ad0a-49f1-44dc-820f-5f0cfd64c1a3",
"clOrdID": "",
"clOrdLinkID": "",
"account": 1600000,
"symbol": "ETHUSDTH22",
"side": "Buy",
"simpleOrderQty": null,
"orderQty": 1000,
"price": 2000,
"displayQty": null,
"stopPx": null,
"pegOffsetValue": null,
"pegPriceType": "",
"currency": "USDT",
"settlCurrency": "USDt",
"ordType": "Limit",
"timeInForce": "GoodTillCancel",
"execInst": "",
"contingencyType": "",
"exDestination": "XBME",
"ordStatus": "New",
"triggered": "",
"workingIndicator": true,
"ordRejReason": "",
"simpleLeavesQty": null,
"leavesQty": 1000,
"simpleCumQty": null,
"cumQty": 0,
"avgPx": null,
"multiLegReportingType": "SingleSecurity",
"text": "Submitted via API.",
"transactTime": "2022-02-13T00:17:13.796000Z",
"timestamp": "2022-02-13T00:17:13.796000Z"
}
]
}
{
"table": "order",
"action": "insert",
"data": [
{
"orderID": "0c4e4a8e-b234-495f-8b94-c4766786c4a5",
"clOrdID": "",
"clOrdLinkID": "",
"account": 1600000,
"symbol": "ETHUSDTH22",
"side": "Buy",
"simpleOrderQty": null,
"orderQty": 1000,
"price": 2000,
"displayQty": null,
"stopPx": null,
"pegOffsetValue": null,
"pegPriceType": "",
"currency": "USDT",
"settlCurrency": "USDt",
"ordType": "Limit",
"timeInForce": "GoodTillCancel",
"execInst": "",
"contingencyType": "",
"exDestination": "XBME",
"ordStatus": "New",
"triggered": "",
"workingIndicator": true,
"ordRejReason": "",
"simpleLeavesQty": null,
"leavesQty": 1000,
"simpleCumQty": null,
"cumQty": 0,
"avgPx": null,
"multiLegReportingType": "SingleSecurity",
"text": "Submitted via API.",
"transactTime": "2022-02-13T00:21:50.268000Z",
"timestamp": "2022-02-13T00:21:50.268000Z"
}
]
}
{
"table": "order",
"action": "update",
"data": [
{
"orderID": "360fa95a-49e3-4187-ad04-8fac82b8a95f",
"ordStatus": "Canceled",
"workingIndicator": false,
"leavesQty": 0,
"text": "Canceled: Cancel from www.bitmex.com\nSubmitted via API.",
"timestamp": "2022-02-13T08:16:36.446000Z",
"clOrdID": "",
"account": 1600000,
"symbol": "ETHUSDTH22"
}
]
}
"""
if msg['action'] == 'partial':
# Initial snapshot of open orders
self.open_orders = {}
for o in msg['data']:
oi = self.init_order_info(o)
self.open_orders[oi.id] = oi
elif msg['action'] == 'insert':
for o in msg['data']:
oi = self.init_order_info(o)
self.open_orders[oi.id] = oi
await self.callback(ORDER_INFO, oi, timestamp)
elif msg['action'] == 'update':
for o in msg['data']:
oi = self.open_orders.get(o['orderID'])
if oi:
info = oi.to_dict()
if 'ordStatus' in o:
info['status'] = self.normalize_order_status(o['ordStatus'])
if 'leaveQty' in o:
info['remaining'] = Decimal(o['leavesQty'])
if 'avgPx' in o:
info['price'] = Decimal(o['avgPx'])
info['raw'] = str(o) # Not sure if this is needed
new_oi = OrderInfo(**info)
if new_oi.status in (FILLED, CANCELLED):
self.open_orders.pop(new_oi.id)
else:
self.open_orders[new_oi.id] = oi
await self.callback(ORDER_INFO, new_oi, timestamp)
else:
LOG.warning("%s: Unexpected message received: %s", self.id, msg)
async def _user_channels(self, conn: AsyncConnection, msg: dict,
timestamp: float, subchan: str):
order_status = {
"open": OPEN,
"filled": FILLED,
"rejected": FAILED,
"cancelled": CANCELLED,
"untriggered": OPEN
}
order_types = {
"limit": LIMIT,
"market": MARKET,
"stop_limit": STOP_LIMIT,
"stop_market": STOP_MARKET
}
if 'data' in msg['params']:
data = msg['params']['data']
if subchan == 'portfolio':
'''
{
"params" : {
"data" : {
"total_pl" : 0.00000425,
"session_upl" : 0.00000425,
"session_rpl" : -2e-8,
"projected_maintenance_margin" : 0.00009141,
"projected_initial_margin" : 0.00012542,
"projected_delta_total" : 0.0043,
"portfolio_margining_enabled" : false,
"options_vega" : 0,
"options_value" : 0,
"options_theta" : 0,
"options_session_upl" : 0,
"options_session_rpl" : 0,
"options_pl" : 0,
"options_gamma" : 0,
"options_delta" : 0,
"margin_balance" : 0.2340038,
"maintenance_margin" : 0.00009141,
"initial_margin" : 0.00012542,
"futures_session_upl" : 0.00000425,
"futures_session_rpl" : -2e-8,
"futures_pl" : 0.00000425,
"estimated_liquidation_ratio" : 0.01822795,
"equity" : 0.2340038,
"delta_total" : 0.0043,
"currency" : "BTC",
"balance" : 0.23399957,
"available_withdrawal_funds" : 0.23387415,
"available_funds" : 0.23387838
},
"channel" : "user.portfolio.btc"
},
"method" : "subscription",
"jsonrpc" : "2.0"
}
'''
b = Balance(self.id,
data['currency'],
Decimal(data['balance']),
Decimal(data['balance']) -
Decimal(data['available_withdrawal_funds']),
raw=data)
await self.callback(BALANCES, b, timestamp)
elif subchan == 'orders':
'''
{
"params" : {
"data" : {
"time_in_force" : "good_til_cancelled",
"replaced" : false,
"reduce_only" : false,
"profit_loss" : 0,
"price" : 10502.52,
"post_only" : false,
"original_order_type" : "market",
"order_type" : "limit",
"order_state" : "open",
"order_id" : "5",
"max_show" : 200,
"last_update_timestamp" : 1581507423789,
"label" : "",
"is_liquidation" : false,
"instrument_name" : "BTC-PERPETUAL",
"filled_amount" : 0,
"direction" : "buy",
"creation_timestamp" : 1581507423789,
"commission" : 0,
"average_price" : 0,
"api" : false,
"amount" : 200
},
"channel" : "user.orders.BTC-PERPETUAL.raw"
},
"method" : "subscription",
"jsonrpc" : "2.0"
}
'''
oi = OrderInfo(
self.id,
self.exchange_symbol_to_std_symbol(
data['instrument_name']),
data["order_id"],
BUY if msg["side"] == 'Buy' else SELL,
order_status[data["order_state"]],
order_types[data['order_type']],
Decimal(data['price']),
Decimal(data['filled_amount']),
Decimal(data['amount']) - Decimal(data['cumQuantity']),
self.timestamp_normalize(data["last_update_timestamp"]),
raw=data)
await self.callback(ORDER_INFO, oi, timestamp)
elif subchan == 'trades':
'''
{
"params" : {
"data" : [
{
"trade_seq" : 30289432,
"trade_id" : "48079254",
"timestamp" : 1590484156350,
"tick_direction" : 0,
"state" : "filled",
"self_trade" : false,
"reduce_only" : false,
"price" : 8954,
"post_only" : false,
"order_type" : "market",
"order_id" : "4008965646",
"matching_id" : null,
"mark_price" : 8952.86,
"liquidity" : "T",
"instrument_name" : "BTC-PERPETUAL",
"index_price" : 8956.73,
"fee_currency" : "BTC",
"fee" : 0.00000168,
"direction" : "sell",
"amount" : 20
}]
}
}
'''
for entry in data:
symbol = self.exchange_symbol_to_std_symbol(
entry['instrument_name'])
f = Fill(self.id,
symbol,
SELL if entry['direction'] == 'sell' else BUY,
Decimal(entry['amount']),
Decimal(entry['price']),
Decimal(entry['fee']),
entry['trade_id'],
entry['order_id'],
entry['order_type'],
TAKER if entry['liquidity'] == 'T' else MAKER,
self.timestamp_normalize(entry['timestamp']),
raw=entry)
await self.callback(FILLS, f, timestamp)
else:
LOG.warning("%s: Unknown channel 'user.%s'", conn.uuid,
subchan)
else:
LOG.warning("%s: Unknown message %s'", conn.uuid, msg)
async def _order(self, msg: dict, symbol: str, timestamp: float):
'''
{
'action': 'snapshot',
'arg': {
'instType': 'sumcbl',
'channel': 'orders',
'instId': 'default'
}, 'data': [
{
'accFillSz': '0',
'cTime': 1650407316266,
'clOrdId': '900439036248367104',
'force': 'normal',
'instId': 'SBTCSUSDT_SUMCBL',
'lever': '20',
'notionalUsd': '2065.175',
'ordId': '900439036185452544',
'ordType': 'market',
'orderFee': [
{'feeCcy': 'SUSDT', 'fee': '0'
}],
'posSide': 'long',
'px': '0',
'side': 'buy',
'status': 'new',
'sz': '0.05',
'tdMode': 'cross',
'tgtCcy': 'SUSDT',
'uTime': 1650407316266
}
]
}
filled:
{
'action': 'snapshot',
'arg': {
'instType': 'sumcbl',
'channel': 'orders',
'instId': 'default'
},
'data': [{
'accFillSz': '0.1',
'avgPx': '41400',
'cTime': 1650408010067,
'clOrdId': '900441946260676608',
'execType': 'T',
'fillFee': '-2.484',
'fillFeeCcy': 'SUSDT',
'fillNotionalUsd': '4140',
'fillPx': '41400',
'fillSz': '0.1',
'fillTime': '1650408010163',
'force': 'normal',
'instId': 'SBTCSUSDT_SUMCBL',
'lever': '20',
'notionalUsd': '4139.95',
'ordId': '900441946180984832',
'ordType': 'market',
'orderFee': [{'feeCcy': 'SUSDT', 'fee': '-2.484'}],
'pnl': '0',
'posSide': 'long',
'px': '0',
'side': 'buy',
'status': 'full-fill',
'sz': '0.1',
'tdMode': 'cross',
'tgtCcy': 'SUSDT',
'tradeId': '900441946663366657',
'uTime': 1650408010163
}]
}
'''
for entry in msg['data']:
o = OrderInfo(self.id,
self.exchange_symbol_to_std_symbol(entry['instId']),
entry['ordId'],
entry['side'],
self._status(entry['status']),
entry['ordType'],
Decimal(entry['px'] if 'fillPx' not in
entry else entry['fillPx']),
Decimal(entry['sz']),
Decimal(entry['sz']) - Decimal(entry['accFillSz']),
self.timestamp_normalize(int(entry['uTime'])),
client_order_id=entry['clOrdId'],
raw=entry)
await self.callback(ORDER_INFO, o, timestamp)