def on_message(ws, message, drop=drop, pair=pair, high=high, deal=deal):
dictionary = json.loads(message)
percentoff = Decimal(drop)
sessionmax = Decimal(high.getvalue())
# Uncomment this statement to debug messages:
logger.debug(dictionary)
# Process "type": "update" messages with events only.
if 'update' in dictionary['type']:
if dictionary['events'] != []:
events = dictionary['events']
# Process "type": "trade" events for latest price.
for event in events:
if event['type'] == 'trade': last = Decimal(event["price"])
if last.compare(Decimal(sessionmax)) == 1:
sessionmax = last
high.setvalue(last)
# Calculate movement away from high [if any].
move = 100 * (sessionmax - last) / sessionmax
# Display impact of event information received.
logger.info(
f'{move:.2f}% off highs [{sessionmax}] : {pair} is {last} presently : [Message ID: {dictionary["socket_sequence"]}].'
)
# Define bargain (sale) price.
sale = Decimal(sessionmax * (1 - percentoff))
# Exit loop if there's a sale.
if sale.compare(last) == 1:
logger.info(
f'{pair} [now {last:.2f}] just went on sale [dropped below {sale:.2f}].'
)
smsalert(
f'There was a {percentoff*100}% drop in the price of the {pair} pair on Gemini.'
)
# Update deal price.
deal.setvalue(last)
ws.close()
def on_message(ws, message, orderid=orderid):
dictionary = json.loads(message)
exitstatus = ''
# Remove comment to debug with: logger.debug( dictionary )
# Check if this is an 'initial' message from Gemini.
# It is actually the second message. The subscription acknowledgement is first.
if dictionary == []: exitstatus = f'Order {orderid} not active.'
if isinstance(dictionary, list):
for listitem in dictionary:
size = listitem['original_amount']
pair = listitem['symbol'].upper()
rate = listitem['price']
side = listitem['side']
cost = Decimal(size) * Decimal(rate)
bit0 = f'{pair} {side} order {orderid} valued at '
bit1 = f'{cost.quantize( Decimal(rate) )} {pair[3:].upper()} '
bit2 = f'[{size} {pair[:3].upper()} at {rate} {pair[3:].upper()}] was '
text = f'{bit0}{bit1}{bit2}'
if listitem['order_id'] == orderid:
# Exit upon receiving order cancellation message.
if listitem['is_cancelled']:
exitstatus = f'{text} cancelled.'
if listitem['type'] == 'cancelled':
exitstatus = f'{text} cancelled [reason:{listitem["reason"]}].'
if listitem['type'] == 'rejected':
exitstatus = f'{text} rejected.'
if listitem['type'] == 'fill':
# Make sure that the order was completely filled.
if listitem['remaining_amount'] == '0':
exitstatus = f'{text} filled.'
if exitstatus:
ws.close()
logger.info(exitstatus)
smsalert(exitstatus)
poststatus.setvalue(exitstatus)
bidpricing.setvalue(rate)
def askfall(pair: str, drop: str) -> None:
# Define dataset class.
# Purpose: Stores the offers received during the websocket connection session.
dataset = []
# Construct subscription request.
subscriptionrequest = f'{{"type": "subscribe","subscriptions":[{{"name":"l2","symbols":["{pair}"]}}]}}'
# Construct payload.
request = resourcelocator.sockserver + '/v2/marketdata'
nonce = int(time.time() * 1000)
payload = {'request': request, 'nonce': nonce}
authenticator.authenticate(payload)
# Establish websocket connection.
ws = create_connection(request)
ws.send(subscriptionrequest)
while True:
newmessage = ws.recv()
dictionary = json.loads(newmessage)
percentoff = Decimal(drop)
# Uncomment this statement to debug messages: logger.debug(dictionary)
# Process "type": "update" messages with events only.
if 'l2_updates' in dictionary['type']:
if dictionary['changes'] != []:
changes = dictionary['changes']
# Rank asks and determine the lowest ask among the changes in the Gemini L2 update response.
askranking = [
Decimal(change[1]) for change in changes
if change[0] == 'sell'
]
if askranking != []:
minimum = min(askranking)
dataset.append(minimum)
# Define session maximum and average values.
sessionmax = Decimal(max(dataset))
sessionavg = Decimal(statistics.mean(dataset))
# Calculate movement away from high [if any].
move = 100 * (sessionmax - minimum) / sessionmax
# Determine how much the minimum deviates away from the session average.
# If it deviated by more than four standard deviations, then do nothing further.
# Continue at the start of the loop.
deviatedby = minimum - sessionavg
if len(dataset) != 1:
if deviatedby.compare(4 *
statistics.stdev(dataset)) == 1:
logger.info(
f'{move:.2f}% off highs [{sessionmax}] : {pair} is {minimum} presently. Aberration... The mean is: {sessionavg:.2f}. Dumping!'
)
dataset.pop()
continue
# Display impact of event information received.
logger.info(
f'{move:.2f}% off highs [{sessionmax}] : {pair} is {minimum} presently.'
)
# Define bargain (sale) price.
sale = Decimal(sessionmax * (1 - percentoff))
# Exit loop and set "deal"...
# Only if there's a sale (bargain) offer.
if sale.compare(minimum) == 1:
text = f'{pair} fell {percentoff*100}% in price. '
text = text + f'It is now {minimum:.2f} on Gemini. '
text = text + f'{sale:.2f} is a deal.'
logger.info(text)
smsalert(text)
ws.close()
break
# Return value on discount only.
if minimum.compare(0) == 1: return minimum
else: return False
def askfall (
pair: str,
drop: str
) -> None:
# Define high class.
# Purpose: Stores the highest ask offer reached during the websocket connection session.
class High:
def __init__(self, price): self.__price = price
def getvalue(self): return self.__price
def setvalue(self, price): self.__price = price
# Define deal class.
# Purpose: Stores the deal (ask) offer reached during the websocket connection session.
class Deal:
def __init__(self, price): self.__price = price
def getvalue(self): return self.__price
def setvalue(self, price): self.__price = price
# Instantiate high/deal objects.
high = High(0)
deal = Deal(0)
# Construct subscription request.
subscriptionrequest = f'{{ "type": "subscribe", "channels": [{{ "name": "orderbook", "marketIds": ["{pair}"]}}] }}'
# Establish websocket connection.
ws = create_connection(resourcelocator.sockserver)
ws.send( subscriptionrequest )
while True:
newmessage = ws.recv()
dictionary = json.loads( newmessage )
percentoff = Decimal( drop )
sessionmax = Decimal( high.getvalue() )
# Unncomment this statement to debug messages: logger.debug(dictionary)
# Process "type": "level2OrderbookSnapshot" messages.
if 'level2OrderbookSnapshot' in dictionary['type']:
if dictionary['asks'] != []:
asks = dictionary['asks']
# Rank bids and determine the highest bid in the orderbook from dYdX update response.
askranking = [ Decimal(ask['price']) for ask in asks ]
if askranking != []: minimumask = min(askranking)
if minimumask.compare( Decimal(sessionmax) ) == 1 :
sessionmax = minimumask
high.setvalue(minimumask)
# Process "type": "level2OrderbookUpdate" messages.
if 'level2OrderbookUpdate' in dictionary['type']:
if dictionary['changes'] != []:
changes = dictionary['changes']
# Rank bids and determine the highest bid in the orderbook from dYdX update response.
askranking = [ Decimal(change['price']) for change in changes if change['side'] == 'sell' ]
if askranking != []:
minimumask = min(askranking)
if minimumask.compare( Decimal(sessionmax) ) == 1 :
sessionmax = minimumask
high.setvalue(minimumask)
# Calculate movement away from high [if any].
move = 100 * ( sessionmax - minimumask ) / sessionmax
# Display impact of event information received.
logger.info( f'{move:.2f}% off highs [{sessionmax}] : {pair} is {minimumask} presently.' )
# Define bargain (sale) price.
sale = Decimal( sessionmax * ( 1 - percentoff ) )
# Exit loop if there's a sale.
if sale.compare( minimumask ) == 1 :
logger.info( f'{pair} [now {minimumask:.2f}] just went on sale [dropped below {sale:.2f}].' )
smsalert( f'There was a {percentoff*100}% drop in the ask offer [{minimumask}] on the {pair} pair on DDEX.' )
# Update deal price.
deal.setvalue(minimumask)
ws.close()
break
# Return value on discount only.
last = Decimal( deal.getvalue() )
if last.compare(0) == 1 :
return last
else: return False
def bidrise(pair: str, gain: str) -> None:
# Define base class.
# Purpose: Stores the first best bid offer of the websocket connection session.
class Base:
def __init__(self, price):
self.__price = price
def getvalue(self):
return self.__price
def setvalue(self, price):
self.__price = price
# Instantiate base object.
base = Base(0)
# Construct subscription request.
subscriptionrequest = f'{{ "type": "subscribe", "channels": [{{ "name": "orderbook", "marketIds": ["{pair}"]}}] }}'
# Establish websocket connection.
ws = create_connection(resourcelocator.sockserver)
ws.send(subscriptionrequest)
while True:
newmessage = ws.recv()
dictionary = json.loads(newmessage)
profitable = Decimal(gain)
# Unncomment this statement to debug messages: logger.debug(dictionary)
# Process "type": "level2OrderbookSnapshot" messages.
if 'level2OrderbookSnapshot' in dictionary['type']:
if dictionary['bids'] != []:
bids = dictionary['bids']
# Rank bids and determine the highest bid in the orderbook from dYdX update response.
bidranking = [Decimal(bid['price']) for bid in bids]
if bidranking != []: maximumbid = max(bidranking)
base.setvalue(maximumbid)
# Define bargain (sale) bid offer.
deal = Decimal(Decimal(base.getvalue()) * (1 + profitable))
# Process "type": "level2OrderbookUpdate" messages.
if 'level2OrderbookUpdate' in dictionary['type']:
if dictionary['changes'] != []:
changes = dictionary['changes']
# Rank bids and determine the highest bid in the orderbook from dYdX update response.
bidranking = [
Decimal(change['price']) for change in changes
if change['side'] == 'buy'
]
if bidranking != []:
maximumbid = max(bidranking)
if maximumbid.compare(deal) == 1:
logger.info(
f'{pair} [now {maximumbid:.2f}] just rose above {deal:.2f}.'
)
smsalert(
f'There was a {profitable*100}% rise in the bid offer [{maximumbid}] on the {pair} pair on DDEX.'
)
ws.close()
break
else:
# Calculate movement away from base [if any].
move = 100 * (maximumbid -
base.getvalue()) / base.getvalue()
# Display impact of event information received.
logger.info(
f'{move:.2f}% move away from [{base.getvalue()}] : {pair} is {maximumbid} presently.'
)
# Return value on discount only.
if maximumbid.compare(0) == 1:
return maximumbid
else:
return False
def bidrise(pair: str, rise: str) -> None:
# Define dataset class.
# Purpose: Stores the offers received during the websocket connection session.
dataset = []
# Construct subscription request.
subscriptionrequest = f'{{"type": "subscribe","subscriptions":[{{"name":"l2","symbols":["{pair}"]}}]}}'
# Construct payload.
request = resourcelocator.sockserver + '/v2/marketdata'
nonce = int(time.time() * 1000)
payload = {'request': request, 'nonce': nonce}
authenticator.authenticate(payload)
# Establish websocket connection.
ws = create_connection(request)
ws.send(subscriptionrequest)
while True:
newmessage = ws.recv()
dictionary = json.loads(newmessage)
grossmargin = Decimal(rise)
# Uncomment this statement to debug messages: logger.debug(dictionary)
# Process "type": "update" messages with events only.
if 'l2_updates' in dictionary['type']:
if dictionary['changes'] != []:
changes = dictionary['changes']
# Rank bids and determine the highest bid among the changes in the Gemini L2 update response.
bidranking = [
Decimal(change[1]) for change in changes
if change[0] == 'buy'
]
if bidranking != []:
maximum = max(bidranking)
dataset.append(maximum)
# Define session minimum and average values.
sessionmin = Decimal(min(dataset))
sessionavg = Decimal(statistics.mean(dataset))
# Calculate movement away from cost [if any].
move = 100 * (maximum - sessionmin) / sessionmin
# Determine how much the maximum deviates away from the session average.
# If it deviated by more than four standard deviations, then do nothing further.
# Continue at the start of the loop.
deviatedby = maximum - sessionavg
if len(dataset) != 1:
if deviatedby.compare(4 *
statistics.stdev(dataset)) == 1:
logger.info(
f'{move:.2f}% off lows [{sessionmin}] : {pair} is {maximum} presently. Aberration... The mean is: {sessionavg:.2f}. Dumping!'
)
dataset.pop()
continue
# Display impact of event information received.
logger.info(
f'{move:.2f}% off lows [{sessionmin}] : {pair} is {maximum} presently.'
)
# Define profitable (rent) price.
rent = Decimal(sessionmin * (1 + grossmargin))
# Exit loop if profitable.
# Return maximum bid.
if maximum.compare(rent) == 1:
text = f'{pair} rose {grossmargin*100}% in price. '
text = text + f'It is now {maximum:.2f} on Gemini. '
text = text + f'Selling above {rent:.2f} is profitable.'
logger.info(text)
smsalert(text)
ws.close()
break
# Return value when profitable only.
if maximum.compare(0) == 1: return maximum
else: return False
