def on_update(self, bin_size, strategy):
"""
Register the strategy function
bind functions with webosocket data streams
:param strategy: strategy
"""
logger.info(f"pair: {self.pair}")
logger.info(f"timeframes: {bin_size}")
self.bin_size = bin_size
self.strategy = strategy
if self.is_running:
self.ws = BitMexWs(account=self.account, pair=self.pair, test=self.demo)
#if len(self.bin_size) > 1:
#self.minute_granularity=True
#if self.minute_granularity==True and '1m' not in self.bin_size:
#self.bin_size.append('1m')
#self.ws.bind('1m' if self.minute_granularity else allowed_range[bin_size[0]][0] \
#, self.__update_ohlcv)
if len(self.bin_size) > 0:
for t in self.bin_size:
self.ws.bind(allowed_range_minute_granularity[t][0] if self.minute_granularity else allowed_range[t][0] \
, self.__update_ohlcv)
self.ws.bind('instrument', self.__on_update_instrument)
self.ws.bind('wallet', self.__on_update_wallet)
self.ws.bind('position', self.__on_update_position)
self.ws.bind('order', self.__on_update_order)
self.ws.bind('margin', self.__on_update_margin)
self.ob = OrderBook(self.ws)
def test_subscribe_margin(self):
ws = BitMexWs(account=self.account, pair=self.pair)
def subscribe(x):
print(x)
self.complete()
ws.bind('margin', subscribe)
self.wait_complete()
ws.close()
def on_update(self, bin_size, strategy):
"""
戦略の関数を登録する。
:param strategy:
"""
self.bin_size = bin_size
self.strategy = strategy
if self.is_running:
self.ws = BitMexWs(test=self.demo)
self.ws.bind(allowed_range[bin_size][0], self.__update_ohlcv)
self.ws.bind('instrument', self.__on_update_instrument)
self.ws.bind('wallet', self.__on_update_wallet)
self.ws.bind('position', self.__on_update_position)
self.ws.bind('margin', self.__on_update_margin)
self.ob = OrderBook(self.ws)
def test_setup(self):
ws = BitMexWs(account=self.account, pair=self.pair)
ws.close()
if action == "partial" or \
action == "insert":
orders[ordId] = v
elif action == "update" and ordId in orders:
orders[ordId]["size"] = v['size']
elif action == "delete" and ordId in orders:
del orders[ordId]
bid_prices = sorted([v['price'] for v in self.asks.values()])
ask_prices = sorted([v['price'] for v in self.bids.values()])
if len(ask_prices) > 0:
self.ask_max_price = ask_prices[-1]
if len(bid_prices) > 0:
self.bid_min_price = bid_prices[0]
if len(ask_prices) > 0:
self.best_bid_price = bid_prices[-1]
if len(ask_prices) > 0:
self.best_ask_price = ask_prices[0]
def get_prices(self):
return self.best_bid_price, self.best_ask_price
if __name__ == '__main__':
ws = BitMexWs(account=BitMexWs.account, pair=BitMexWs.pair)
ob = OrderBook(ws)
while True:
sys.stdout.write(f"\r{ob.get_prices()}")
sys.stdout.flush()
for v in values:
ordId = v['id']
side = v['side']
orders = self.asks if side == "Buy" else self.bids
if action == "partial" or \
action == "insert":
orders[ordId] = v
elif action == "update" and ordId in orders:
orders[ordId]["size"] = v['size']
elif action == "delete" and ordId in orders:
del orders[ordId]
ask_prices = sorted([v['price'] for v in self.asks.values()])
bid_prices = sorted([v['price'] for v in self.bids.values()])
if len(ask_prices) > 0:
self.ask_max_price = ask_prices[-1]
if len(bid_prices) > 0:
self.bid_min_price = bid_prices[0]
def get_prices(self):
return self.bid_min_price, self.ask_max_price
if __name__ == '__main__':
ws = BitMexWs()
ob = OrderBook(ws)
while True:
sys.stdout.write(f"\r{ob.get_prices()}")
sys.stdout.flush()