Exemple #1
0
    def fetch_market(self, market_id):
        """
        Fetch and cache it. It rarely changes.
        """
        instrument = self._instruments.get(market_id)

        market = None

        if instrument:
            market = Market(market_id, instrument['altname'])

            market.is_open = True
            market.expiry = '-'

            # "wsname":"XBT\/USD"
            # wsname = WebSocket pair name (if available)
            # pair_decimals = scaling decimal places for pair
            # lot_decimals = scaling decimal places for volume
            # lot_multiplier = amount to multiply lot volume by to get currency volume

            # "aclass_base":"currency"
            base_asset = instrument['base']  # XXBT
            market.set_base(base_asset, base_asset,
                            instrument['pair_decimals'])

            # "aclass_quote":"currency"
            quote_asset = instrument['quote']  # ZUSD
            market.set_quote(quote_asset, quote_asset,
                             instrument['lot_decimals'])  # 8

            # tick size at the base asset precision
            market.one_pip_means = math.pow(10.0,
                                            -instrument['pair_decimals'])  # 1
            market.value_per_pip = 1.0
            market.contract_size = 1.0
            market.lot_size = 1.0  # "lot":"unit", "lot_multiplier":1

            # "margin_call":80, "margin_stop":40
            # margin_call = margin call level
            # margin_stop = stop-out/liquidation margin level

            leverages = set(instrument.get('leverage_buy', []))
            leverages.intersection(set(instrument.get('leverage_sell', [])))

            market.margin_factor = 1.0 / max(leverages) if len(
                leverages) > 0 else 1.0

            market.set_leverages(leverages)

            size_limit = self._size_limits.get(instrument['altname'], {})
            min_size = size_limit.get('min-size', 1.0)

            size_limits = [str(min_size), "0.0", str(min_size)]
            notional_limits = ["0.0", "0.0", "0.0"]
            price_limits = ["0.0", "0.0", "0.0"]

            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)

            # "lot":"unit"
            market.unit_type = Market.UNIT_AMOUNT
            market.market_type = Market.TYPE_CRYPTO
            market.contract_type = Market.CONTRACT_SPOT

            market.trade = Market.TRADE_ASSET
            if leverages:
                market.trade |= Market.TRADE_MARGIN
                market.trade |= Market.TRADE_FIFO

            # orders capacities
            market.orders = Order.ORDER_LIMIT | Order.ORDER_MARKET | Order.ORDER_STOP | Order.ORDER_TAKE_PROFIT

            # @todo take the first but it might depends of the traded volume per 30 days, then request volume window to got it
            # "fees":[[0,0.26],[50000,0.24],[100000,0.22],[250000,0.2],[500000,0.18],[1000000,0.16],[2500000,0.14],[5000000,0.12],[10000000,0.1]],
            # "fees_maker":[[0,0.16],[50000,0.14],[100000,0.12],[250000,0.1],[500000,0.08],[1000000,0.06],[2500000,0.04],[5000000,0.02],[10000000,0]],
            fees = instrument.get('fees', [])
            fees_maker = instrument.get('fees_maker', [])

            if fees:
                market.taker_fee = round(fees[0][1] * 0.01, 6)
            if fees_maker:
                market.maker_fee = round(fees_maker[0][1] * 0.01, 6)

            if instrument.get('fee_volume_currency'):
                market.fee_currency = instrument['fee_volume_currency']

            if quote_asset != self.BASE_QUOTE:
                # from XXBTZUSD / XXBTZEUR ...
                # @todo
                pass
                # 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

            # @todo contract_size
            # market.contract_size = 1.0 / mid_price
            # market.value_per_pip = market.contract_size / mid_price

            # volume 24h : not have here

            # 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
Exemple #2
0
    def process_market(self):
        #
        # insert market info
        #

        with self._mutex:
            mki = self._pending_market_info_insert
            self._pending_market_info_insert = []
    
        if mki:
            try:
                cursor = self._db.cursor()

                for mi in mki:
                    if mi[16] is None:
                        # margin factor is unavailable when market is down, so use previous value if available
                        cursor.execute("""SELECT margin_factor FROM market WHERE broker_id = '%s' AND market_id = '%s'""" % (mi[0], mi[1]))
                        row = cursor.fetchone()

                        if row:
                            # replace by previous margin factor from the DB
                            margin_factor = row[0]
                            mi = list(mi)
                            mi[16] = margin_factor
                        else:
                            mi[16] = "1.0"

                    cursor.execute("""INSERT INTO market(broker_id, market_id, symbol,
                                        market_type, unit_type, contract_type,
                                        trade_type, orders,
                                        base, base_display, base_precision,
                                        quote, quote_display, quote_precision,
                                        expiry, timestamp,
                                        lot_size, contract_size, base_exchange_rate,
                                        value_per_pip, one_pip_means, margin_factor,
                                        min_size, max_size, step_size,
                                        min_notional, max_notional, step_notional,
                                        min_price, max_price, step_price,
                                        maker_fee, taker_fee, maker_commission, taker_commission) 
                                    VALUES(%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s)
                                    ON CONFLICT (broker_id, market_id) DO UPDATE SET symbol = EXCLUDED.symbol,
                                        market_type = EXCLUDED.market_type, unit_type = EXCLUDED.unit_type, contract_type = EXCLUDED.contract_type,
                                        trade_type = EXCLUDED.trade_type, orders = EXCLUDED.orders,
                                        base = EXCLUDED.base, base_display = EXCLUDED.base_display, base_precision = EXCLUDED.base_precision,
                                        quote = EXCLUDED.quote, quote_display = EXCLUDED.quote_display, quote_precision = EXCLUDED.quote_precision,
                                        expiry = EXCLUDED.expiry, timestamp = EXCLUDED.timestamp,
                                        lot_size = EXCLUDED.lot_size, contract_size = EXCLUDED.contract_size, base_exchange_rate = EXCLUDED.base_exchange_rate,
                                        value_per_pip = EXCLUDED.value_per_pip, one_pip_means = EXCLUDED.one_pip_means, margin_factor = EXCLUDED.margin_factor,
                                        min_size = EXCLUDED.min_size, max_size = EXCLUDED.max_size, step_size = EXCLUDED.step_size,
                                        min_notional = EXCLUDED.min_notional, max_notional = EXCLUDED.max_notional, step_notional = EXCLUDED.step_notional,
                                        min_price = EXCLUDED.min_price, max_price = EXCLUDED.max_price, step_price = EXCLUDED.step_price,
                                        maker_fee = EXCLUDED.maker_fee, taker_fee = EXCLUDED.taker_fee, maker_commission = EXCLUDED.maker_commission, taker_commission = EXCLUDED.taker_commission""",
                                    (*mi,))

                self._db.commit()
            except self.psycopg2.OperationalError as e:
                self.try_reconnect(e)

                # retry the next time
                with self._mutex:
                    self._pending_market_info_insert = mki + self._pending_market_info_insert

            except Exception as e:
                self.on_error(e)

                # retry the next time
                with self._mutex:
                    self._pending_market_info_insert = mki + self._pending_market_info_insert

        #
        # select market info
        #

        with self._mutex:
            mis = self._pending_market_info_select
            self._pending_market_info_select = []

        if mis:
            try:
                cursor = self._db.cursor()

                for mi in mis:
                    cursor.execute("""SELECT symbol,
                                        market_type, unit_type, contract_type,
                                        trade_type, orders,
                                        base, base_display, base_precision,
                                        quote, quote_display, quote_precision,
                                        expiry, timestamp,
                                        lot_size, contract_size, base_exchange_rate,
                                        value_per_pip, one_pip_means, margin_factor,
                                        min_size, max_size, step_size,
                                        min_notional, max_notional, step_notional,
                                        min_price, max_price, step_price,
                                        maker_fee, taker_fee, maker_commission, taker_commission FROM market
                                    WHERE broker_id = '%s' AND market_id = '%s'""" % (
                                        mi[1], mi[2]))

                    row = cursor.fetchone()

                    if row:
                        market_info = Market(mi[2], row[0])

                        market_info.is_open = True

                        market_info.market_type = row[1]
                        market_info.unit_type = row[2]
                        market_info.contract_type = row[3]

                        market_info.trade = row[4]
                        market_info.orders = row[5]

                        market_info.set_base(row[6], row[7], int(row[8]))
                        market_info.set_quote(row[9], row[10], int(row[11]))

                        market_info.expiry = row[12]
                        market_info.last_update_time = row[13] * 0.001

                        market_info.lot_size = float(row[14])
                        market_info.contract_size = float(row[15])
                        market_info.base_exchange_rate = float(row[16])
                        market_info.value_per_pip = float(row[17])
                        market_info.one_pip_means = float(row[18])

                        if row[19] is not None or row[19] is not 'None':
                            if row[19] == '-':  # not defined mean 1.0 or no margin
                                market_info.margin_factor = 1.0
                            else:
                                market_info.margin_factor = float(row[19] or "1.0")

                        market_info.set_size_limits(float(row[20]), float(row[21]), float(row[22]))
                        market_info.set_notional_limits(float(row[23]), float(row[24]), float(row[25]))
                        market_info.set_price_limits(float(row[26]), float(row[27]), float(row[28]))

                        market_info.maker_fee = float(row[29])
                        market_info.taker_fee = float(row[30])

                        market_info.maker_commission = float(row[31])
                        market_info.taker_commission = float(row[32])
                    else:
                        market_info = None

                    # notify
                    mi[0].notify(Signal.SIGNAL_MARKET_INFO_DATA, mi[1], (mi[2], market_info))
            except self.psycopg2.OperationalError as e:
                self.try_reconnect(e)

                # retry the next time
                with self._mutex:
                    self._pending_market_info_select = mis + self._pending_market_info_select

            except Exception as e:
                self.on_error(e)

                # retry the next time
                with self._mutex:
                    self._pending_market_info_select = mis + self._pending_market_info_select

        #
        # select market list
        #

        with self._mutex:
            mls = self._pending_market_list_select
            self._pending_market_list_select = []

        if mls:
            try:
                cursor = self._db.cursor()

                for m in mls:
                    cursor.execute("""SELECT market_id, symbol, base, quote FROM market WHERE broker_id = '%s'""" % (m[1],))

                    rows = cursor.fetchall()

                    market_list = []

                    for row in rows:
                        market_list.append(row)

                    # notify
                    m[0].notify(Signal.SIGNAL_MARKET_LIST_DATA, m[1], market_list)
            except self.psycopg2.OperationalError as e:
                self.try_reconnect(e)

                # retry the next time
                with self._mutex:
                    self._pending_market_list_select = mls + self._pending_market_list_select
            except Exception as e:
                self.on_error(e)

                # retry the next time
                with self._mutex:
                    self._pending_market_list_select = mls + self._pending_market_list_select
Exemple #3
0
    def fetch_market(self, market_id):
        """
        Fetch and cache it. It rarely changes.
        """
        instrument = self._instruments.get(market_id)

        market = None

        if instrument:
            market = Market(market_id, instrument['altname'])

            market.is_open = True
            market.expiry = '-'

            # "wsname":"XBT\/USD"
            # wsname = WebSocket pair name (if available)
            # pair_decimals = scaling decimal places for pair
            # lot_decimals = scaling decimal places for volume
            # lot_multiplier = amount to multiply lot volume by to get currency volume

            # "aclass_base":"currency"
            base_asset = instrument['base']  # XXBT
            market.set_base(base_asset, base_asset,
                            instrument['pair_decimals'])

            # "aclass_quote":"currency"
            quote_asset = instrument['quote']  # ZUSD
            market.set_quote(quote_asset, quote_asset,
                             instrument['lot_decimals'])  # 8

            # tick size at the base asset precision
            market.one_pip_means = math.pow(10.0,
                                            -instrument['pair_decimals'])  # 1
            market.value_per_pip = 1.0
            market.contract_size = 1.0
            market.lot_size = 1.0  # "lot":"unit", "lot_multiplier":1

            # "margin_call":80, "margin_stop":40
            # margin_call = margin call level
            # margin_stop = stop-out/liquidation margin level

            leverages = set(instrument.get('leverage_buy', []))
            leverages.intersection(set(instrument.get('leverage_sell', [])))

            market.margin_factor = 1.0 / max(leverages)

            market.set_leverages(leverages)

            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 @todo using lot_decimals / pair_decimals
            # for afilter in instrument["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']]

            # if float(size_limits[2]) < 1:
            #     size_limits[2] = str(float(size_limits[2]))  # * 10)

            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)

            # "lot":"unit"
            market.unit_type = Market.UNIT_AMOUNT
            market.market_type = Market.TYPE_CRYPTO
            market.trade = Market.TRADE_ASSET
            market.contract_type = Market.CONTRACT_SPOT

            # @todo add a copy with
            market.trade = Market.TRADE_MARGIN
            market.contract_type = Market.CONTRACT_FUTUR

            # orders capacities
            market.orders = Order.ORDER_LIMIT | Order.ORDER_MARKET | Order.ORDER_STOP | Order.ORDER_TAKE_PROFIT

            # "fees":[[0,0.26],[50000,0.24],[100000,0.22],[250000,0.2],[500000,0.18],[1000000,0.16],[2500000,0.14],[5000000,0.12],[10000000,0.1]],
            # "fees_maker":[[0,0.16],[50000,0.14],[100000,0.12],[250000,0.1],[500000,0.08],[1000000,0.06],[2500000,0.04],[5000000,0.02],[10000000,0]],

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

            # 'fee_volume_currency': 'ZUSD'
            # fee_volume_currency = volume discount currency

            # 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 : not have here

            # 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)))

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

        return market