async def update_position(self) -> None:
if self.ts_locked['update_position'] > self.ts_released[
'update_position']:
return
self.ts_locked['update_position'] = time()
try:
position = await self.fetch_position()
position['wallet_balance'] = self.adjust_wallet_balance(
position['wallet_balance'])
# isolated equity, not cross equity
position['equity'] = position['wallet_balance'] + \
calc_upnl(position['long']['size'], position['long']['price'],
position['shrt']['size'], position['shrt']['price'],
self.price, self.inverse, self.c_mult)
position = self.add_pbrs_to_pos(position)
if self.position != position:
if self.position and 'spot' in self.market_type and \
(self.position['long']['size'] != position['long']['size'] or
self.position['shrt']['size'] != position['shrt']['size']):
# update fills if position size changed
await self.update_fills()
self.dump_log({'log_type': 'position', 'data': position})
self.position = position
except Exception as e:
print('error with update position', e)
traceback.print_exc()
finally:
self.ts_released['update_position'] = time()
async def on_user_stream_event(self, event: dict) -> None:
try:
pos_change = False
if 'wallet_balance' in event:
self.position['wallet_balance'] = self.adjust_wallet_balance(event['wallet_balance'])
pos_change = True
if 'long_psize' in event:
self.position['long']['size'] = event['long_psize']
self.position['long']['price'] = event['long_pprice']
self.position = self.add_pbrs_to_pos(self.position)
pos_change = True
if 'shrt_psize' in event:
self.position['shrt']['size'] = event['shrt_psize']
self.position['shrt']['price'] = event['shrt_pprice']
self.position = self.add_pbrs_to_pos(self.position)
pos_change = True
if 'new_open_order' in event:
if event['new_open_order']['order_id'] not in {x['order_id'] for x in self.open_orders}:
self.open_orders.append(event['new_open_order'])
if 'deleted_order_id' in event:
self.open_orders = [oo for oo in self.open_orders if oo['order_id'] != event['deleted_order_id']]
if 'partially_filled' in event:
await self.update_open_orders()
if pos_change:
self.position['equity'] = self.position['wallet_balance'] + \
calc_upnl(self.position['long']['size'], self.position['long']['price'],
self.position['shrt']['size'], self.position['shrt']['price'],
self.price, self.inverse, self.c_mult)
await asyncio.sleep(0.01) # sleep 10 ms to catch both pos update and open orders update
await self.cancel_and_create()
except Exception as e:
print(['error handling user stream event', e])
traceback.print_exc()
async def on_user_stream_event(self, event: dict) -> None:
try:
pos_change = False
if "wallet_balance" in event:
self.position["wallet_balance"] = self.adjust_wallet_balance(
event["wallet_balance"])
pos_change = True
if "psize_long" in event:
self.position["long"]["size"] = event["psize_long"]
self.position["long"]["price"] = event["pprice_long"]
self.position = self.add_wallet_exposures_to_pos(self.position)
pos_change = True
if "psize_short" in event:
self.position["short"]["size"] = event["psize_short"]
self.position["short"]["price"] = event["pprice_short"]
self.position = self.add_wallet_exposures_to_pos(self.position)
pos_change = True
if "new_open_order" in event:
if event["new_open_order"]["order_id"] not in {
x["order_id"]
for x in self.open_orders
}:
self.open_orders.append(event["new_open_order"])
if "deleted_order_id" in event:
self.open_orders = [
oo for oo in self.open_orders
if oo["order_id"] != event["deleted_order_id"]
]
if "partially_filled" in event:
await self.update_open_orders()
if pos_change:
self.position[
"equity"] = self.position["wallet_balance"] + calc_upnl(
self.position["long"]["size"],
self.position["long"]["price"],
self.position["short"]["size"],
self.position["short"]["price"],
self.price,
self.inverse,
self.c_mult,
)
await asyncio.sleep(
0.01
) # sleep 10 ms to catch both pos update and open orders update
await self.cancel_and_create()
except Exception as e:
print(["error handling user stream event", e])
traceback.print_exc()
async def update_position(self) -> None:
if self.ts_locked["update_position"] > self.ts_released[
"update_position"]:
return
self.ts_locked["update_position"] = time()
try:
position = await self.fetch_position()
position["wallet_balance"] = self.adjust_wallet_balance(
position["wallet_balance"])
# isolated equity, not cross equity
position["equity"] = position["wallet_balance"] + calc_upnl(
position["long"]["size"],
position["long"]["price"],
position["short"]["size"],
position["short"]["price"],
self.price,
self.inverse,
self.c_mult,
)
position = self.add_wallet_exposures_to_pos(position)
if self.position != position:
if (self.position and "spot" in self.market_type and
(self.position["long"]["size"] != position["long"]["size"]
or self.position["short"]["size"] !=
position["short"]["size"])):
# update fills if position size changed
await self.update_fills()
self.dump_log({"log_type": "position", "data": position})
self.position = position
self.error_halt["update_position"] = False
except Exception as e:
self.error_halt["update_position"] = True
print("error with update position", e)
traceback.print_exc()
finally:
self.ts_released["update_position"] = time()
async def on_user_stream_event(self, event: dict) -> None:
try:
pos_change = False
if 'balance' in event:
onhand_change = False
for token in event['balance']:
self.balance[token]['free'] = event['balance'][token][
'free']
self.balance[token]['locked'] = event['balance'][token][
'locked']
onhand = event['balance'][token]['free'] + event[
'balance'][token]['locked']
if token in [
self.quot, self.coin
] and ('onhand' not in self.balance[token]
or self.balance[token]['onhand'] != onhand):
onhand_change = True
if token == 'BNB':
onhand = max(0.0, onhand - 0.01)
self.balance[token]['onhand'] = onhand
if onhand_change:
self.position = self.calc_simulated_position(
self.balance, self.fills)
self.position[
'wallet_balance'] = self.adjust_wallet_balance(
self.position['wallet_balance'])
self.position = self.add_pbrs_to_pos(self.position)
pos_change = True
if 'filled' in event:
if event['filled']['order_id'] not in {
fill['order_id']
for fill in self.fills
}:
self.fills = sorted(self.fills + [event['filled']],
key=lambda x: x['order_id'])
self.position = self.calc_simulated_position(
self.balance, self.fills)
self.position['wallet_balance'] = self.adjust_wallet_balance(
self.position['wallet_balance'])
self.position = self.add_pbrs_to_pos(self.position)
pos_change = True
elif 'partially_filled' in event:
await asyncio.sleep(0.01)
await asyncio.gather(self.update_position(),
self.update_open_orders())
pos_change = True
if 'new_open_order' in event:
if event['new_open_order']['order_id'] not in {
x['order_id']
for x in self.open_orders
}:
self.open_orders.append(event['new_open_order'])
elif 'deleted_order_id' in event:
for i, o in enumerate(self.open_orders):
if o['order_id'] == event['deleted_order_id']:
self.open_orders = self.open_orders[:
i] + self.open_orders[
i + 1:]
break
if pos_change:
self.position['equity'] = self.position['wallet_balance'] + \
calc_upnl(self.position['long']['size'], self.position['long']['price'],
self.position['shrt']['size'], self.position['shrt']['price'],
self.price, self.inverse, self.c_mult)
await asyncio.sleep(
0.01
) # sleep 10 ms to catch both pos update and open orders update
await self.cancel_and_create()
except Exception as e:
print(['error handling user stream event', e])
traceback.print_exc()
async def on_user_stream_event(self, event: dict) -> None:
try:
pos_change = False
if "balance" in event:
onhand_change = False
for token in event["balance"]:
self.balance[token]["free"] = event["balance"][token][
"free"]
self.balance[token]["locked"] = event["balance"][token][
"locked"]
onhand = event["balance"][token]["free"] + event[
"balance"][token]["locked"]
if token in [
self.quot, self.coin
] and ("onhand" not in self.balance[token]
or self.balance[token]["onhand"] != onhand):
onhand_change = True
if token == "BNB":
onhand = max(0.0, onhand - 0.01)
self.balance[token]["onhand"] = onhand
if onhand_change:
self.position = self.calc_simulated_position(
self.balance, self.fills)
self.position[
"wallet_balance"] = self.adjust_wallet_balance(
self.position["wallet_balance"])
self.position = self.add_wallet_exposures_to_pos(
self.position)
pos_change = True
if "filled" in event:
if event["filled"]["order_id"] not in {
fill["order_id"]
for fill in self.fills
}:
self.fills = sorted(self.fills + [event["filled"]],
key=lambda x: x["order_id"])
self.position = self.calc_simulated_position(
self.balance, self.fills)
self.position["wallet_balance"] = self.adjust_wallet_balance(
self.position["wallet_balance"])
self.position = self.add_wallet_exposures_to_pos(self.position)
pos_change = True
elif "partially_filled" in event:
await asyncio.sleep(0.01)
await asyncio.gather(self.update_position(),
self.update_open_orders())
pos_change = True
if "new_open_order" in event:
if event["new_open_order"]["order_id"] not in {
x["order_id"]
for x in self.open_orders
}:
self.open_orders.append(event["new_open_order"])
elif "deleted_order_id" in event:
for i, o in enumerate(self.open_orders):
if o["order_id"] == event["deleted_order_id"]:
self.open_orders = self.open_orders[:
i] + self.open_orders[
i + 1:]
break
if pos_change:
self.position[
"equity"] = self.position["wallet_balance"] + calc_upnl(
self.position["long"]["size"],
self.position["long"]["price"],
self.position["short"]["size"],
self.position["short"]["price"],
self.price,
self.inverse,
self.c_mult,
)
await asyncio.sleep(
0.01
) # sleep 10 ms to catch both pos update and open orders update
await self.cancel_and_create()
except Exception as e:
print(["error handling user stream event", e])
traceback.print_exc()
