def __check_bid_ask_diff(side, ori_bidask, diff_kijun):
if side == 'buy':
ask = TickData.get_ask_price()
return False if ask - ori_bidask >= diff_kijun else True
else:
bid = TickData.get_bid_price()
return False if ori_bidask - bid >= diff_kijun else True
def market_order_wait_till_execution3(cls, side, total_size):
size = []
price = []
max_wait = 10
num = 0
bid = TickData.get_bid_price()
ask = TickData.get_ask_price()
try:
cls.num_private_access += 1
order_id = cls.bf.create_order(
symbol='BTC/JPY',
type='market',
side=side,
amount=total_size,
params={'product_code': 'FX_BTC_JPY'})
except Exception as e:
print('market order failed! ' + str(e))
LogMaster.add_log('market order failed! ' + str(e), None)
LineNotification.send_error('market order failed! ' + str(e))
cls.check_exception(e)
return -1, 0, 0, ''
order_id = order_id['info']['child_order_acceptance_id']
print('waiting for market order execution...')
start = time.time()
while sum(size) < total_size:
exe_data = TickData.get_exe_data()[-100:]
if time.time() - start > max_wait:
exe_data = cls.get_executions()
exe_data = TickData.get_exe_data()[-100:]
for exec in exe_data:
if exec[side + "_child_order_acceptance_id"] == order_id:
size.append(exec["size"])
price.append(exec["price"])
if time.time() - start > max_wait:
print(
'can not complete Trade - check_and_wait_till_all_execution!'
)
LogMaster.add_log(
'can not complete Trade - check_and_wait_till_all_execution!',
None)
LineNotification.send_error(
'can not complete Trade - check_and_wait_till_all_execution!'
)
return -1, sum(size), round(
sum(price[i] * size[i]
for i in range(len(price))) / sum(size)), order_id
num += 1
ave_p = round(
sum(price[i] * size[i] for i in range(len(price))) / sum(size))
print('market order has been successfully executed.' + 'side=' + side +
', ave price=' + str(ave_p) + ', size=' +
str(round(sum(size), 2)))
sp = ask - ave_p if side == 'buy' else ave_p - bid
print('market order spread loss/profit = ' + str(sp))
cls.spread_loss_profit += sp
cls.spread_loss_profit_log.append(sp)
return 0, round(sum(size), 2), ave_p, order_id
def opt_price_wait_till_execution(cls, side, total_size):
exec_size = []
exec_price = []
max_wait = 2.1
loop_sec = 0.01
bid = TickData.get_bid_price()
ask = TickData.get_ask_price()
try:
price = TickData.get_bid_price() if side =='buy' else TickData.get_ask_price()
cls.num_private_access += 1
order_id = cls.bf.create_order(
symbol='BTC/JPY',
type='limit',
side=side,
price=price,
amount=total_size,
params={'product_code': 'FX_BTC_JPY', 'minute_to_expire': 1} # 期限切れまでの時間（分）（省略した場合は30日）
)
except Exception as e:
print('opt price order failed! ' + str(e))
LogMaster.add_log('opt price order failed! ' + str(e), 0, None)
LineNotification.send_error('opt price order failed! ' + str(e))
cls.check_exception(e)
return -1, 0, 0, ''
order_id = order_id['info']['child_order_acceptance_id']
print('waiting for opt price order execution...')
num = 0
ave_p = 0
while sum(exec_size) < total_size:
executions = cls.get_executions()
for exec in executions:
if exec["child_order_acceptance_id"] == order_id:
exec_size.append(exec["size"])
exec_price.append(exec["price"])
time.sleep(loop_sec)
num += 1
if max_wait < loop_sec * num:
cls.cancel_order(order_id)
if sum(exec_size) > 0:
ave_p = round(sum(exec_price[i] * exec_size[i] for i in range(len(exec_price))) / sum(exec_size))
print('opt price order has been failed.' + 'side=' + side + ', ave price=' + str(ave_p) + ', size=' + str(round(sum(exec_size), 2)))
return -1, round(sum(exec_size), 2), ave_p, order_id
ave_p = round(sum(exec_price[i] * exec_size[i] for i in range(len(exec_price))) / sum(exec_size))
print('opt price order has been successfully executed.' + 'side=' + side + ', ave price=' + str(ave_p) + ', size=' + str(round(sum(exec_size), 2)))
return 0, round(sum(exec_size), 2), ave_p, order_id
def __check_bid_ask_diff(
side, ori_bidask, diff_kijun
): #True:diff is within diff_kijun, False:diff is larger than diff_kijun
if side == 'buy':
ask = TickData.get_ask_price()
return False if ask - ori_bidask >= diff_kijun else True
else:
bid = TickData.get_bid_price()
return False if ori_bidask - bid >= diff_kijun else True
def price_tracing_order(cls, side, total_size):
def __check_bid_ask_diff(
side, ori_bidask, diff_kijun
): #True:diff is within diff_kijun, False:diff is larger than diff_kijun
if side == 'buy':
ask = TickData.get_ask_price()
return False if ask - ori_bidask >= diff_kijun else True
else:
bid = TickData.get_bid_price()
return False if ori_bidask - bid >= diff_kijun else True
checked_exec_id = []
def __check_execution_ws(order_id):
exec_size = []
exec_price = []
exe_data = TickData.get_exe_data()[-30:]
for exec in exe_data:
if exec[side +
'_child_order_acceptance_id'] == order_id and exec[
'id'] not in checked_exec_id:
exec_size.append(exec['size'])
exec_price.append(exec['price'])
checked_exec_id.append(exec['id'])
return exec_size, exec_price
exec_size = []
exec_price = []
order_ids = []
order_sizes = []
outstanding_size = total_size
while sum(exec_size) < total_size and outstanding_size >= 0.01:
try:
entry_price = TickData.get_bid_price(
) + 1 if side == 'buy' else TickData.get_ask_price() - 1
cls.num_private_access += 1
order_id = cls.bf.create_order(
symbol='BTC/JPY',
type='limit',
side=side,
price=entry_price,
amount=outstanding_size,
params={
'product_code': 'FX_BTC_JPY',
'minute_to_expire': 1
} # 期限切れまでの時間（分）（省略した場合は30日）
)['info']['child_order_acceptance_id']
order_ids.append(order_id)
order_sizes.append(outstanding_size)
except Exception as e:
print('price tracing order failed! ' + str(e))
LogMaster.add_log('price tracing order failed! ' + str(e), 0,
None)
LineNotification.send_error('price tracing order failed! ' +
str(e))
cls.check_exception(e)
ave_p = round(
sum(exec_price[i] * exec_size[i]
for i in range(len(exec_price))) / sum(exec_size))
return -1, order_sizes, ave_p, order_ids, sum(exec_size)
while __check_bid_ask_diff(side, entry_price,
300) and sum(exec_size) < total_size:
es, ep = __check_execution_ws(order_id)
if sum(es) > 0:
exec_size.extend(es)
exec_price.extend(ep)
outstanding_size = round(total_size - sum(exec_size), 2)
time.sleep(0.1)
cls.cancel_order(order_id)
ave_p = round(
sum(exec_price[i] * exec_size[i]
for i in range(len(exec_price))) / sum(exec_size))
print('price tracing order has been successfully executed.' + 'side=' +
side + ', ave price=' + str(ave_p) + ', size=' +
str(round(sum(exec_size), 2)))
return 0, order_sizes, ave_p, order_ids, sum(exec_size)
def opt_entry_limit_order(cls, side, total_size):
def __check_execution(order_id):
exec_size = []
exec_price = []
executions = cls.get_executions()
for exec in executions:
if exec['child_order_acceptance_id'] in order_id:
exec_size.append(exec['size'])
exec_price.append(exec['price'])
return exec_size, exec_price
checked_exec_id = []
def __check_execution_ws(order_id):
exec_size = []
exec_price = []
exe_data = TickData.get_exe_data()[-30:]
for exec in exe_data:
if exec[side +
'_child_order_acceptance_id'] == order_id and exec[
'id'] not in checked_exec_id:
exec_size.append(exec['size'])
exec_price.append(exec['price'])
checked_exec_id.append(exec['id'])
return exec_size, exec_price
order_id = ''
try:
entry_price = TickData.get_bid_price(
) + 1 if side == 'buy' else TickData.get_ask_price() - 1
cls.num_private_access += 1
order_id = cls.bf.create_order(
symbol='BTC/JPY',
type='limit',
side=side,
price=entry_price,
amount=total_size,
params={
'product_code': 'FX_BTC_JPY',
'minute_to_expire': 1
} # 期限切れまでの時間（分）（省略した場合は30日）
)['info']['child_order_acceptance_id']
except Exception as e:
print('opt entry limit order failed! ' + str(e))
LogMaster.add_log('opt entry limit order failed! ' + str(e), 0,
None)
LineNotification.send_error('opt entry limit order failed! ' +
str(e))
cls.check_exception(e)
return -1, 0, 0, ''
exec_size = []
exec_price = []
print('oid=', order_id)
while datetime.now().second <= 56 and sum(exec_size) < total_size:
es, ep = __check_execution_ws(order_id)
exec_size.extend(es)
exec_price.extend(ep)
time.sleep(0.5)
cls.cancel_order(order_id)
if sum(exec_size
) < total_size: #final check using execution history from API
es, ep = __check_execution(order_id)
if sum(es) > sum(exec_size):
exec_size = es
exec_price = ep
if sum(exec_size) > 0:
ave_p = round(
sum(exec_price[i] * exec_size[i]
for i in range(len(exec_price))) / sum(exec_size))
print('opt entry limit order has been successfully executed.' +
'side=' + side + ', ave price=' + str(ave_p) + ', size=' +
str(round(sum(exec_size), 2)))
return 0, round(sum(exec_size), 2), ave_p, order_id
else:
ave_p = 0
print('opt entry limit order timed out.' + 'side=' + side +
', ave price=0' + ', size=0')
return -1, 0, 0, order_id
def opt_price_wait_till_execution2(cls, side, total_size):
def __check_execution(
order_id
): #should use only 1 time for final check to avoid double count of same exec data
exec_size = []
exec_price = []
executions = cls.get_executions()
for exec in executions:
if exec['child_order_acceptance_id'] in order_id:
exec_size.append(exec['size'])
exec_price.append(exec['price'])
return exec_size, exec_price
checked_exec_id = []
def __check_execution_ws(order_id):
exec_size = []
exec_price = []
exe_data = TickData.get_exe_data()[-30:]
for exec in exe_data:
if exec[side +
'_child_order_acceptance_id'] == order_id and exec[
'id'] not in checked_exec_id:
exec_size.append(exec['size'])
exec_price.append(exec['price'])
checked_exec_id.append(exec['id'])
return exec_size, exec_price
def __calc_price_move():
executions = TickData.get_exe_data()[-3:]
change = executions[-1]['price'] - executions[0]['price']
return change
def __check_bid_ask_diff(
side, ori_bidask, diff_kijun
): #True:diff is within diff_kijun, False:diff is larger than diff_kijun
if side == 'buy':
ask = TickData.get_ask_price()
return False if ask - ori_bidask >= diff_kijun else True
else:
bid = TickData.get_bid_price()
return False if ori_bidask - bid >= diff_kijun else True
remaining_size = total_size
order_id = ''
exec_size = []
exec_price = []
s = time.time()
while total_size > sum(exec_size) and remaining_size >= 0.01:
exec_size = []
exec_price = []
change = __calc_price_move()
entry_price = 0
if side == 'buy':
if change > 0:
entry_price = TickData.get_ask_price()
else:
entry_price = TickData.get_bid_price() + 1
if side == 'sell':
if change > 0:
entry_price = TickData.get_ask_price() - 1
else:
entry_price = TickData.get_bid_price()
try:
cls.num_private_access += 1
order_id = cls.bf.create_order(
symbol='BTC/JPY',
type='limit',
side=side,
price=entry_price,
amount=remaining_size,
params={'product_code': 'FX_BTC_JPY'})
except Exception as e:
print('market order failed! ' + str(e))
LogMaster.add_log('market order failed! ' + str(e), None)
LineNotification.send_error('market order failed! ' + str(e))
cls.check_exception(e)
return -1, 0, 0, ''
time.sleep(1)
while __check_bid_ask_diff(side, entry_price,
300) == True and remaining_size >= 0.01:
esize, eprice = __check_execution_ws(order_id)
exec_size.extend(esize)
exec_price.extend(eprice)
remaining_size = round(total_size - sum(exec_size), 2)
time.sleep(1)
completion_status = cls.cancel_and_wait_completion(
order_id) #cancel order if price diff > 300
if len(completion_status) > 0:
s, p = __check_execution(order_id)
remaining_size -= s
remaining_size = round(total_size - sum(exec_size), 2)
ave_p = round(
sum(exec_price[i] * exec_size[i]
for i in range(len(exec_price))) / sum(exec_size))
print('opt price order has been successfully executed.' +
'time elapsed=' + str(time.time() - s) + 'side=' + side +
', ave price=' + str(ave_p) + ', size=' +
str(round(sum(exec_size), 2)))
return 0, round(sum(exec_size), 2), ave_p, order_id
