Exemple #1
0
    def fetch_market(self, epic):
        """
        Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
        """
        market_info = self._connector.market(epic)

        instrument = market_info['instrument']
        snapshot = market_info['snapshot']
        dealing_rules = market_info['dealingRules']

        market = Market(epic, instrument['marketId'])

        # cannot interpret this value because IG want it as it is
        market.expiry = instrument['expiry']

        # not perfect but IG does not provides this information
        if instrument["marketId"].endswith(instrument["currencies"][0]["name"]):
            base_symbol = instrument["marketId"][:-len(instrument["currencies"][0]["name"])]
        else:
            base_symbol = instrument["marketId"]

        market.base_exchange_rate = instrument['currencies'][0]['baseExchangeRate']   # "exchangeRate": 0.77

        market.one_pip_means = float(instrument['onePipMeans'].split(' ')[0])  # "1 Index Point", "0.0001 USD/EUR"
        market.value_per_pip = float(instrument['valueOfOnePip'])
        market.contract_size = float(instrument['contractSize'])
        market.lot_size = float(instrument['lotSize'])

        market.set_base(
            base_symbol,
            base_symbol,
            decimal_place(market.one_pip_means))

        if instrument['type'] in ('CURRENCIES'):
            pass  # quote_precision = 
        elif instrument['type'] in ('INDICES', 'COMMODITIES', 'SHARES', 'RATES', 'SECTORS'):
            pass  # quote_precision = 

        market.set_quote(
            instrument["currencies"][0]["name"],
            instrument["currencies"][0]['symbol'],
            decimal_place(market.one_pip_means))

        # "forceOpenAllowed": true,
        # "stopsLimitsAllowed": true,
        # "controlledRiskAllowed": true,
        # "streamingPricesAvailable": true,

        if snapshot:
            market.is_open = snapshot["marketStatus"] == "TRADEABLE"
            market.bid = snapshot['bid']
            market.ofr = snapshot['offer']

        # "marginFactorUnit": "PERCENTAGE" not avalaible if market is down
        if instrument.get('marginFactor') and market.is_open:
            market.margin_factor = float(instrument['marginFactor'])
            margin_factor = instrument['marginFactor']
        elif instrument.get('margin') and market.is_open:
            market.margin_factor = 0.1 / float(instrument['margin'])
            margin_factor = str(market.margin_factor)
        else:
            # we don't want this when market is down because it could overwrite the previous stored value
            margin_factor = None

        if instrument['unit'] == 'AMOUNT':
            market.unit_type = Market.UNIT_AMOUNT
        elif instrument['unit'] == 'CONTRACTS':
            market.unit_type = Market.UNIT_CONTRACTS
        elif instrument['unit'] == 'SHARES':
            market.unit_type = Market.UNIT_SHARES

        # BINARY OPT_* BUNGEE_* 
        if instrument['type'] == 'CURRENCIES':
            market.market_type = Market.TYPE_CURRENCY
        elif instrument['type'] == 'INDICES':
            market.market_type = Market.TYPE_INDICE
        elif instrument['type'] == 'COMMODITIES':
            market.market_type = Market.TYPE_COMMODITY
        elif instrument['type'] == 'SHARES':
            market.market_type = Market.TYPE_STOCK
        elif instrument['type'] == 'RATES':
            market.market_type = Market.TYPE_RATE
        elif instrument['type'] == 'SECTORS':
            market.market_type = Market.TYPE_SECTOR

        market.trade = Market.TRADE_MARGIN | Market.TRADE_POSITION
        market.contract_type = Market.CONTRACT_CFD

        # take minDealSize as tick size
        market.set_size_limits(dealing_rules["minDealSize"]["value"], 0.0, dealing_rules["minDealSize"]["value"])
        # @todo there is some limits in contract size
        market.set_notional_limits(0.0, 0.0, 0.0)
        # use one pip means for minimum and tick price size
        market.set_price_limits(market.one_pip_means, 0.0, market.one_pip_means)

        # commission for stocks @todo
        commission = "0.0"

        # store the last market info to be used for backtesting
        if not self._read_only:
            Database.inst().store_market_info((self.name, epic, market.symbol,
                market.market_type, market.unit_type, market.contract_type,  # type
                market.trade, market.orders,  # type
                market.base, market.base_display, market.base_precision,  # base
                market.quote, market.quote_display, market.quote_precision,  # quote
                market.expiry, int(market.last_update_time * 1000.0),  # expiry, timestamp
                instrument['lotSize'], instrument['contractSize'], str(market.base_exchange_rate),
                instrument['valueOfOnePip'], instrument['onePipMeans'].split(' ')[0], margin_factor,
                dealing_rules["minDealSize"]["value"], "0.0", dealing_rules["minDealSize"]["value"],  # size limits
                "0.0", "0.0", "0.0",  # notional limits
                "0.0", "0.0", "0.0",  # price limits
                "0.0", "0.0", commission, commission)  # fees
            )

        # print(market.symbol, market._size_limits, market._price_limits)

        # notify for strategy
        self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (epic, market))

        return market
Exemple #2
0
    def fetch_market(self, market_id):
        """
        Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
        @todo min/max/step/min_notional
        """
        instrument = self.connector.ws.get_instrument(market_id)
        # funds = self.connector.ws.funds()  # to get account base currency (if XBt or XBT)
        xbt_usd = self.connector.ws.get_instrument("XBTUSD")

        if instrument:
            # tickSize is the minimum price increment (0.5USD for XBTUSD)
            tradeable = instrument.get('state', 'Closed') == 'Open'
            update_time = self._parse_datetime(instrument.get('timestamp')).timestamp()
            symbol = instrument.get('symbol', '')
            base_symbol = instrument.get('rootSymbol', '')
            quote_symbol = symbol[-3:]

            # if funds['currency'] == 'XBt':
            #   # XBt to XBT
            #   ratio = 1.0 / 100000000.0

            # if base_symbol == 'USD':
            #   # USD is base then convert to XBT
            #   ratio *= to_base_rate

            bid = instrument.get('bidPrice')
            ofr = instrument.get('askPrice')

            market = Market(market_id, symbol)

            # compute base precision from the tick size, example 0.05 => 2
            base_precision = -math.floor(math.log10(instrument.get('tickSize', 1.0)))

            market.set_base(base_symbol, base_symbol, base_precision)
            market.set_quote(quote_symbol, quote_symbol)

            # base to XBT
            market.base_exchange_rate = 1.0

            # base instrument
            base_market_id = "XBT" + quote_symbol
            base_market = self.connector.ws.get_instrument(base_market_id)
            if base_market_id != symbol and base_market:
                market.base_exchange_rate = base_market.get('lastPrice', 1.0) / instrument.get('lastPrice', 1.0)

            # @todo 'multiplier', 'riskStep', 'riskLimit'

            # limits
            min_notional = 1.0  # $

            if quote_symbol != "USD" and base_market_id != "XBT":
                # any contract on futur XBT quote
                min_notional = 0.0001

            # BCHXBT 'maxOrderQty': 100000000, 'maxPrice': 10, 'lotSize': 1, 'tickSize': 0.0001,
            # XBCUSD 'maxOrderQty': 10000000, 'maxPrice': 1000000, 'lotSize': 1, 'tickSize': 0.5,
            market.set_size_limits(instrument.get('tickSize', 1.0), instrument.get('maxOrderQty', 0.0), instrument.get('tickSize', 1.0))
            market.set_notional_limits(min_notional, instrument.get('maxPrice', 0.0), 0.0)
            market.set_price_limits(0.0, 0.0, instrument.get('tickSize', 1.0))

            # need to divided by account currency XBt = 100000000
            market.margin_factor = instrument.get('initMargin', 1.0)
            # market.max_margin_factor = 1.0 / (instrument.get('riskLimit', 1.0) * ratio) # ex: 20000000000 for max leverage 200

            # '-' if perpetual else match the regexp and keep the expiry part only
            expiry = BitMexWatcher.EXPIRY_RE.match(market_id)

            # or instrument.get(expiry') == '2018-12-28T12:00:00.000Z' for Z18 its 28 of month Z (december) and year 2018
            if expiry is None:
                market.expiry = '-'
            else:
                market.expiry = expiry.group(2) + expiry.group(3)

            market.market_type = Market.TYPE_CRYPTO
            market.unit_type = Market.UNIT_CONTRACTS
            market.contract_type = Market.CONTRACT_CFD  # and FUTUR
            market.trade = Market.TRADE_IND_MARGIN

            if bid is not None and ofr is not None:
                market.bid = bid
                market.ofr = ofr
                market.last_update_time = update_time

            market.lot_size = instrument.get('lotSize', 1.0)  # ex: 1.0 for XBTUSD
            market.contract_size = 1.0
            market.value_per_pip = 1.0
            market.one_pip_means = instrument.get('tickSize', 1.0)

            # contract_size need to be updated as price changes
            # @todo this is wrong... same on update part above
            if quote_symbol == 'USD' and base_market_id == symbol:  # XBTUSD...
                market.contract_size = 1.0 / instrument.get('lastPrice', 1.0)
            elif quote_symbol == 'USD' and base_market_id != symbol:  # ETHUSD...
                market.contract_size = (0.001 * 0.01) * instrument.get('lastPrice', 1.0)
            elif base_market and base_market_id != symbol:  # ADAZ18...
                market.contract_size = 1.0 / instrument.get('lastPrice', 1.0)

            market.value_per_pip = market.contract_size / instrument.get('lastPrice', 1.0)

            market.maker_fee = instrument.get('makerFee', 0.0)
            market.taker_fee = instrument.get('takerFee', 0.0)

            # store the last market info to be used for backtesting
            if not self._read_only:
                Database.inst().store_market_info((self.name, market_id, market.symbol,
                    market.market_type, market.unit_type, market.contract_type,  # type
                    market.trade, market.orders,  # type
                    market.base, market.base_display, market.base_precision,  # base
                    market.quote, market.quote_display, market.quote_precision,  # quote
                    market.expiry, int(market.last_update_time * 1000.0),  # expiry, timestamp
                    str(market.lot_size), str(market.contract_size), str(market.base_exchange_rate),
                    str(market.value_per_pip), str(market.one_pip_means), str(market.margin_factor),
                    str(market.min_size), str(market.max_size), str(market.step_size),  # size limits
                    str(market.min_notional), str(market.max_notional), str(market.step_notional),  # notional limits
                    str(market.min_price), str(market.max_price), str(market.tick_price),  # price limits
                    str(market.maker_fee), str(market.taker_fee), str(market.maker_commission), str(market.taker_commission))  # fees
                )

            # notify for strategy
            self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (market_id, market))

        return market
Exemple #3
0
    def fetch_market(self, market_id):
        """
        Fetch and cache it. It rarely changes.
        """
        symbol = self._symbols_data.get(market_id)
        ticker = self._tickers_data.get(market_id)
        account = self._acount_data

        market = None

        if symbol and ticker and account:
            market = Market(symbol['symbol'], symbol['symbol'])

            market.is_open = symbol['status'] == "TRADING"
            market.expiry = '-'

            base_asset = symbol['baseAsset']
            market.set_base(base_asset, base_asset,
                            symbol['baseAssetPrecision'])

            quote_asset = symbol['quoteAsset']
            market.set_quote(quote_asset,
                             symbol.get('quoteAssetUnit', quote_asset),
                             symbol['quotePrecision'])

            # tick size at the base asset precision
            market.one_pip_means = math.pow(10.0,
                                            -symbol['baseAssetPrecision'])
            market.value_per_pip = 1.0
            market.contract_size = 1.0
            market.lot_size = 1.0

            # @todo add margin support
            market.margin_factor = 1.0

            size_limits = ["1.0", "0.0", "1.0"]
            notional_limits = ["1.0", "0.0", "0.0"]
            price_limits = ["0.0", "0.0", "0.0"]

            # size min/max/step
            for afilter in symbol["filters"]:
                if afilter['filterType'] == "LOT_SIZE":
                    size_limits = [
                        afilter['minQty'], afilter['maxQty'],
                        afilter['stepSize']
                    ]

                elif afilter['filterType'] == "MIN_NOTIONAL":
                    notional_limits[0] = afilter['minNotional']

                elif afilter['filterType'] == "PRICE_FILTER":
                    price_limits = [
                        afilter['minPrice'], afilter['maxPrice'],
                        afilter['tickSize']
                    ]

            market.set_size_limits(float(size_limits[0]),
                                   float(size_limits[1]),
                                   float(size_limits[2]))
            market.set_price_limits(float(price_limits[0]),
                                    float(price_limits[1]),
                                    float(price_limits[2]))
            market.set_notional_limits(float(notional_limits[0]), 0.0, 0.0)

            market.unit_type = Market.UNIT_AMOUNT
            market.market_type = Market.TYPE_CRYPTO
            market.contract_type = Market.CONTRACT_SPOT

            market.trade = 0
            if symbol.get('isSpotTradingAllowed', False):
                market.trade |= Market.TRADE_ASSET
            if symbol.get('isMarginTradingAllowed', False):
                market.trade |= Market.TRADE_IND_MARGIN

            # @todo orders capacities
            # symbol['orderTypes'] in ['LIMIT', 'LIMIT_MAKER', 'MARKET', 'STOP_LOSS_LIMIT', 'TAKE_PROFIT_LIMIT']
            # market.orders =

            if symbol.get('ocoAllowed', False):
                market.orders |= Market.ORDER_ONE_CANCEL_OTHER

            market.maker_fee = account['makerCommission'] * 0.0001
            market.taker_fee = account['takerCommission'] * 0.0001

            # market.buyer_commission = account['buyerCommission']
            # market.seller_commission = account['sellerCommission']

            # only order book can give us bid/ofr
            market.bid = float(ticker['price'])
            market.ofr = float(ticker['price'])

            mid_price = float(ticker['price'])

            if quote_asset != self.BASE_QUOTE:
                if self._tickers_data.get(quote_asset + self.BASE_QUOTE):
                    market.base_exchange_rate = float(
                        self._tickers_data.get(quote_asset + self.BASE_QUOTE,
                                               {'price', '1.0'})['price'])
                elif self._tickers_data.get(self.BASE_QUOTE + quote_asset):
                    market.base_exchange_rate = 1.0 / float(
                        self._tickers_data.get(self.BASE_QUOTE + quote_asset,
                                               {'price', '1.0'})['price'])
                else:
                    market.base_exchange_rate = 1.0
            else:
                market.base_exchange_rate = 1.0

            market.contract_size = 1.0 / mid_price
            market.value_per_pip = market.contract_size / mid_price

            # volume 24h

            # in client.get_ticker but cost is 40 for any symbols then wait it at all-tickets WS event
            # vol24_base = ticker24h('volume')
            # vol24_quote = ticker24h('quoteVolume')

            # notify for strategy
            self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name,
                                (market_id, market))

            # store the last market info to be used for backtesting
            if not self._read_only:
                Database.inst().store_market_info((
                    self.name,
                    market.market_id,
                    market.symbol,
                    market.market_type,
                    market.unit_type,
                    market.contract_type,  # type
                    market.trade,
                    market.orders,  # type
                    market.base,
                    market.base_display,
                    market.base_precision,  # base
                    market.quote,
                    market.quote_display,
                    market.quote_precision,  # quote
                    market.expiry,
                    int(market.last_update_time * 1000.0),  # expiry, timestamp
                    str(market.lot_size),
                    str(market.contract_size),
                    str(market.base_exchange_rate),
                    str(market.value_per_pip),
                    str(market.one_pip_means),
                    '-',
                    *size_limits,
                    *notional_limits,
                    *price_limits,
                    str(market.maker_fee),
                    str(market.taker_fee),
                    str(market.maker_commission),
                    str(market.taker_commission)))

        return market