def __fetch_orders(self, signals=False): """ This is the synchronous REST fetching, but prefer the WS asynchronous and live one. Mainly used for initial fetching. """ try: open_orders = self._watcher.connector.open_orders() except Exception as e: logger.error("__fetch_orders: %s" % repr(e)) raise orders = {} for data in open_orders: market = self.market(data['symbol']) if data['status'] == 'NEW': # might be... order = Order(self, data['symbol']) order.set_order_id(data['orderId']) order.quantity = data['origQty'] order.executed = data['executedQty'] order.direction = Order.LONG if data[ 'side'] == 'BUY' else Order.SHORT if data['type'] == 'LIMIT': order.order_type = Order.ORDER_LIMIT elif data['type'] == 'MARKET': order.order_type = Order.ORDER_MARKET elif data['type'] == 'STOP_LOSS_LIMIT': order.order_type = Order.ORDER_STOP_LIMIT order.close_only = True elif data['type'] == 'TAKE_PROFIT_LIMIT': order.order_type = Order.ORDER_LIMIT order.close_only = True order.order_price = data['price'] order.stop_loss = data['stopPrice'] order.created_time = data['time'] order.transact_time = data['updateTime'] if data['timeInForce'] == 'GTC': order.time_in_force = Order.TIME_IN_FORCE_GTC elif data['timeInForce'] == 'IOC': order.time_in_force = Order.TIME_IN_FORCE_IOC elif data['timeInForce'] == 'FOK': order.time_in_force = Order.TIME_IN_FORCE_FOK else: order.time_in_force = Order.TIME_IN_FORCE_GTC # "icebergQty": "0.0" # @todo a day when I'll be rich orders[order.order_id] = order if signals: # deleted (for signals if no WS) deleted_list = self._orders.keys() - orders.keys() # @todo # created (for signals if no WS) created_list = orders.keys() - self._orders.keys() # @todo self._orders = orders
def on_order_traded(self, market_id, data, ref_order_id): """ Order update, trade order in that case, is always successed by an asset update signal. Binance order modification is not possible, need cancel and recreate. @note Consume 1 API credit to get the asset quote price at the time of the trade. """ market = self._markets.get(data['symbol']) if market is None: # not interested by this market return base_asset = self.__get_or_add_asset(market.base) quote_asset = self.__get_or_add_asset(market.quote) quote_market = None order = self._orders.get(data['id']) if order is None: # not found (might not occurs) order = Order(self, data['symbol']) order.set_order_id(data['id']) # its might be the creation timestamp but it will be the trade execution order.created_time = data['timestamp'] order.direction = data['direction'] order.order_type = data['type'] order.time_in_force = data['time-in-force'] order.quantity = data['quantity'] order.order_price = data['order-price'] order.stop_loss = data['stop-loss'] self._orders[data['id']] = order order.executed += data['filled'] if data['trade-id']: # same asset used for commission buy_or_sell = data['direction'] == Order.LONG # base details in the trade order base_trade_qty = data['filled'] base_exec_price = data['exec-price'] # price of the quote asset expressed in prefered quote at time of the trade (need a REST call) quote_trade_qty = data[ 'quote-transacted'] # or base_trade_qty * base_exec_price quote_exec_price = 1.0 if quote_asset.quote and quote_asset.symbol != quote_asset.quote: # quote price to be fetched if self._watcher.has_instrument(quote_asset.symbol + quote_asset.quote): # direct, and get the related market quote_market = self._markets.get(quote_asset.symbol + quote_asset.quote) quote_exec_price = self.history_price( quote_asset.symbol + quote_asset.quote, data['timestamp']) elif self._watcher.has_instrument(quote_asset.quote + quote_asset.symbol): # indirect, but cannot have the market quote_exec_price = 1.0 / self.history_price( quote_asset.quote + quote_asset.symbol, data['timestamp']) # base asset self.__update_asset(order.order_type, base_asset, market, data['trade-id'], base_exec_price, base_trade_qty, buy_or_sell, data['timestamp']) # quote asset self.__update_asset(order.order_type, quote_asset, quote_market, None, quote_exec_price, quote_trade_qty, not buy_or_sell, data['timestamp']) # commission asset if data['commission-asset'] == base_asset.symbol: self.__update_asset(Order.ORDER_MARKET, base_asset, market, None, base_exec_price, data['commission-amount'], False, data['timestamp']) else: commission_asset = self.__get_or_add_asset( data['commission-asset']) commission_asset_market = None quote_exec_price = 1.0 if commission_asset.quote and commission_asset.symbol != commission_asset.quote: # commission asset price to be fetched if self._watcher.has_instrument(commission_asset.symbol + commission_asset.quote): # direct, and get the related market commission_asset_market = self.market( commission_asset.symbol + commission_asset.quote) quote_exec_price = commission_asset_market.price elif self._watcher.has_instrument(commission_asset.quote + commission_asset.symbol): # indirect, but cannot have the market quote_exec_price = 1.0 / self.history_price( commission_asset.quote + commission_asset.symbol, data['timestamp']) self.__update_asset(Order.ORDER_MARKET, commission_asset, commission_asset_market, None, quote_exec_price, data['commission-amount'], False, data['timestamp'])