def get_marks(self, instrument: ExchangeInstrument) -> Signal:
if self.mark_type == MarkType.LAST:
trades = self.mds.get_trades(instrument)
return Map(self.network, trades, lambda x: Mark(instrument.get_instrument(), x.get_price()))
else:
books = self.mds.get_order_books(instrument)
return Map(self.network, books, lambda x: Mark(instrument.get_instrument(), x.get_mid()))
async def _subscribe_trades_and_quotes(self):
network = self.scheduler.get_network()
for instrument in self.get_instruments():
symbol = instrument.get_exchange_instrument_code()
self.instrument_trades[symbol] = MutableSignal()
self.instrument_quotes[symbol] = MutableSignal()
# magic: inject the bare Signal into the graph so we can
# fire events on it without any downstream connections
# yet made
network.attach(self.instrument_trades[symbol])
network.attach(self.instrument_quotes[symbol])
subscribe_msg = {
'id': 1,
'method': 'trade.subscribe',
'params': [symbol]
}
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
incr_messages = Filter(network, json_messages,
lambda x: x.get('type', None) == 'incremental')
trade_lists = Map(network, incr_messages, lambda x: self.__extract_trades(x))
trades = FlatMap(self.scheduler, trade_lists)
class TradeScheduler(Event):
# noinspection PyShadowingNames
def __init__(self, fh: PhemexFeedHandler, trades: Signal):
self.fh = fh
self.trades = trades
def on_activate(self) -> bool:
if self.trades.is_valid():
trade = self.trades.get_value()
trade_symbol = trade.get_instrument().get_exchange_instrument_code()
trade_signal = self.fh.instrument_trades[trade_symbol]
self.fh.scheduler.schedule_update(trade_signal, trade)
return True
else:
return False
network.connect(trades, TradeScheduler(self, trades))
# noinspection PyShadowingNames
async def do_subscribe(instrument, subscribe_msg, messages):
async with websockets.connect(self.ws_uri) as sock:
subscribe_msg_txt = json.dumps(subscribe_msg)
self.logger.info(f'sending subscription request for {instrument.get_exchange_instrument_code()}')
await sock.send(subscribe_msg_txt)
while True:
self.scheduler.schedule_update(messages, await sock.recv())
asyncio.ensure_future(do_subscribe(instrument, subscribe_msg, messages))
# we are now live
self.scheduler.schedule_update(self.state, FeedHandlerState.LIVE)
async def _subscribe_trades_and_quotes(self):
network = self.scheduler.get_network()
symbols = []
for instrument in self.get_instruments():
symbol = instrument.get_exchange_instrument_code()
symbols.append(f'{symbol}')
self.instrument_trades[symbol] = MutableSignal()
self.instrument_quotes[symbol] = MutableSignal()
self.instrument_order_books[symbol] = MutableSignal()
# magic: inject the bare Signal into the graph so we can
# fire events on it without any downstream connections
# yet made
network.attach(self.instrument_trades[symbol])
network.attach(self.instrument_quotes[symbol])
network.attach(self.instrument_order_books[symbol])
subscribe_msg = {
'type': 'subscribe',
'product_ids': symbols,
'channels': ['matches', 'heartbeat']
}
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
match_messages = Filter(network, json_messages,
lambda x: x.get('type', None) == 'match')
trades = Map(network, match_messages,
lambda x: self.__extract_trade(x))
class TradeScheduler(Event):
def __init__(self, fh: CoinbaseProFeedHandler):
self.fh = fh
def on_activate(self) -> bool:
if trades.is_valid():
trade = trades.get_value()
trade_symbol = trade.get_instrument(
).get_exchange_instrument_code()
trade_signal = self.fh.instrument_trades[trade_symbol]
self.fh.scheduler.schedule_update(trade_signal, trade)
return True
else:
return False
network.connect(trades, TradeScheduler(self))
async with websockets.connect(self.ws_uri) as sock:
self.logger.info('Sending subscription request for all products')
await sock.send(json.dumps(subscribe_msg))
self.scheduler.schedule_update(self.state, FeedHandlerState.LIVE)
while True:
self.scheduler.schedule_update(messages, await sock.recv())
async def main():
scheduler = RealtimeNetworkScheduler()
network = scheduler.get_network()
values = From(scheduler, [0.0, 3.2, 2.1, 2.9, 8.3, 5.7])
mapper = Map(network, values, lambda x: round(x))
accumulator = Scan(network, mapper)
Do(network, accumulator, lambda: print(f"{accumulator.get_value()}"))
def test_map_reduce():
scheduler = HistoricNetworkScheduler(0, 30 * 1000)
network = scheduler.get_network()
values = From(scheduler, [0.0, 3.2, 2.1, 2.9, 8.3, 5.7])
mapper = Map(network, values, lambda x: round(x))
accumulator = Scan(network, mapper)
Do(network, accumulator, lambda: print(f'{accumulator.get_value()}'))
scheduler.run()
assert accumulator.get_value() == 22.0
def init(self, ctx: StrategyContext):
self.ctx = ctx
big_print_qty = float(ctx.getenv('BIG_PRINT_QTY'))
self.trade_qty = float(ctx.getenv('CONTRACT_TRADE_QTY'))
api_key = ctx.getenv('PHEMEX_API_KEY')
api_secret = ctx.getenv('PHEMEX_API_SECRET')
if not api_key:
raise ValueError('missing PHEMEX_API_KEY')
if not api_secret:
raise ValueError('missing PHEMEX_API_SECRET')
credentials = AuthCredentials(api_key, api_secret)
exchange_instance = ctx.getenv('PHEMEX_INSTANCE', 'prod')
if exchange_instance == 'prod':
self.trading_conn = PhemexConnection(credentials)
elif exchange_instance == 'test':
self.trading_conn = PhemexConnection(
credentials, api_url='https://testnet-api.phemex.com')
else:
raise ValueError(
f'Unknown PHEMEX_INSTANCE value: {exchange_instance}')
self.logger.info(f'Connected to Phemex {exchange_instance} instance')
self.spot_feed = ctx.fh_registry.get_feed(
f'coinbasepro:{exchange_instance}:BTC-USD')
self.futures_feed = ctx.fh_registry.get_feed(
f'phemex:{exchange_instance}:BTCUSD')
self.logger.info(
f'Connected to spot & futures {exchange_instance} feeds')
network = self.ctx.get_network()
# scan the spot market for large trades
spot_trades = self.spot_feed.get_trades()
Do(
network, spot_trades, lambda: self.logger.info(
f'Spot market trade: {spot_trades.get_value()}'))
self.big_prints = Filter(network, spot_trades,
lambda x: x.get_qty() >= big_print_qty)
# compute 5 minute bins for the futures market and extract the volume field
self.futures_trades = self.futures_feed.get_trades()
buffer_5min = BufferWithTime(network, self.futures_trades,
timedelta(minutes=5))
self.ohlc_5min = ComputeOHLC(network, buffer_5min)
Do(
network, self.ohlc_5min, lambda: self.logger.info(
f'OHLC[5min]: {self.ohlc_5min.get_value()}'))
self.volume = Map(network, self.ohlc_5min, lambda x: x.volume)
# track the exponentially weighted moving average of the futures volume
self.ewma = ExponentialMovingAverage(network, self.volume)
def start(self):
network = self.scheduler.get_network()
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
json_messages = Filter(
network, json_messages,
lambda x: x.get('type', None) in ['incremental', 'snapshot'])
class OrderEventScheduler(Event):
# noinspection PyShadowingNames
def __init__(self, sub: AccountOrderPositionSubscriber,
json_messages: Signal):
self.sub = sub
self.json_messages = json_messages
def on_activate(self) -> bool:
if self.json_messages.is_valid():
msg = self.json_messages.get_value()
accounts = msg['accounts']
for account in accounts:
orders = account['orders']
for order in orders:
order_event = OrderEvent()
self.sub.scheduler.schedule_update(
self.sub.order_events, order_event)
return True
else:
return False
network.connect(json_messages,
OrderEventScheduler(self, json_messages))
# noinspection PyShadowingNames
async def do_subscribe():
async with websockets.connect(self.ws_uri) as sock:
self.logger.info(
f'sending Account-Order-Position subscription request')
auth_msg = self.auth.get_user_auth_message()
await sock.send(auth_msg)
error_msg = await sock.recv()
error_struct = json.loads(error_msg)
if error_struct['error'] is not None:
raise ConnectionError(
f'Unable to authenticate: {error_msg}')
aop_sub_msg = {
'id': 2,
'method': 'aop.subscribe',
'params': []
}
await sock.send(json.dumps(aop_sub_msg))
while True:
self.scheduler.schedule_update(messages, await sock.recv())
asyncio.ensure_future(do_subscribe())
def get_marks(self, instrument: ExchangeInstrument) -> Signal:
economics = instrument.get_instrument().get_economics()
if isinstance(economics, FutureContract):
economics = economics.get_underlier().get_economics()
if isinstance(economics, CurrencyPair):
ccy_code = economics.get_base_currency().get_currency_code()
symbol = f'.M{ccy_code}'
cash_instrument = self.instrument_cache.get_or_create_cash_instrument(
ccy_code)
else:
raise ValueError(
'Unable to get marks: expected CurrencyPair or FutureContract on CurrencyPair'
)
network = self.scheduler.get_network()
marks = self.instrument_marks.get(symbol)
if marks is None:
marks = MutableSignal()
network.attach(marks)
self.instrument_marks[symbol] = marks
subscribe_msg = {
'id': 1,
'method': 'tick.subscribe',
'params': [symbol]
}
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
tick_messages = Filter(network, json_messages,
lambda x: 'tick' in x)
ticks = Map(
network, tick_messages, lambda x: self.__extract_tick(
x, cash_instrument.get_instrument()))
Pipe(self.scheduler, ticks, marks)
asyncio.ensure_future(
websocket_subscribe_with_retry(self.ws_uri, self.timeout,
self.logger, subscribe_msg,
self.scheduler, messages,
symbol, 'ticks'))
return marks
def init(self, ctx: StrategyContext):
self.ctx = ctx
big_print_qty = float(ctx.getenv('BIG_PRINT_QTY'))
self.trade_qty = float(ctx.getenv('CONTRACT_TRADE_QTY'))
exchange_instance = ctx.getenv('EXCHANGE_INSTANCE', 'prod')
op_uri = f'phemex:{exchange_instance}'
self.order_placer = ctx.get_order_placer_service().get_order_placer(
op_uri)
self.logger.info(f'Connected to Phemex {exchange_instance} instance')
network = self.ctx.get_network()
# scan the spot market for large trades
btc_usd_spot = self.ctx.get_instrument_cache(
).get_crypto_exchange_instrument('CoinbasePro', 'BTC-USD')
spot_trades = self.ctx.get_marketdata_service().get_trades(
btc_usd_spot)
Do(
network, spot_trades, lambda: self.logger.info(
f'Spot market trade: {spot_trades.get_value()}'))
self.big_prints = Filter(network, spot_trades,
lambda x: x.get_qty() >= big_print_qty)
# compute 5 minute bins for the futures market and extract the volume field
btc_usd_future = self.ctx.get_instrument_cache(
).get_crypto_exchange_instrument('Phemex', 'BTCUSD')
self.futures_trades = self.ctx.get_marketdata_service().get_trades(
btc_usd_future)
buffer_5min = BufferWithTime(self.ctx.get_scheduler(),
self.futures_trades, timedelta(minutes=5))
self.ohlc_5min = ComputeOHLC(network, buffer_5min)
Do(
network, self.ohlc_5min, lambda: self.logger.info(
f'OHLC[5min]: {self.ohlc_5min.get_value()}'))
self.volume = Map(network, self.ohlc_5min, lambda x: x.volume)
# subscribe to top of book
self.futures_book = self.ctx.get_marketdata_service().get_order_books(
btc_usd_future)
Do(
network, self.futures_book, lambda: self.logger.info(
f'Futures bid/ask: '
f'{self.futures_book.get_value().get_best_bid()} / '
f'{self.futures_book.get_value().get_best_ask()}'))
# track the exponentially weighted moving average of the futures volume
self.ewma = ExponentialMovingAverage(network, self.volume)
def init(self, ctx: StrategyContext):
scheduler = ctx.get_scheduler()
network = scheduler.get_network()
contract_qty = int(ctx.getenv('BBANDS_QTY', 1))
window = int(ctx.getenv('BBANDS_WINDOW'))
num_std = int(ctx.getenv('BBANDS_NUM_STD'))
stop_std = int(ctx.getenv('BBANDS_STOP_STD'))
bin_minutes = int(ctx.getenv('BBANDS_BIN_MINUTES', 5))
cooling_period_seconds = int(ctx.getenv('BBANDS_COOL_SECONDS', 15))
exchange_code, instrument_code = ctx.getenv(
'TRADING_INSTRUMENT').split(':')
instrument = ctx.get_instrument_cache().get_crypto_exchange_instrument(
exchange_code, instrument_code)
trades = ctx.get_marketdata_service().get_trades(instrument)
trades_5m = BufferWithTime(scheduler, trades,
timedelta(minutes=bin_minutes))
prices = ComputeOHLC(network, trades_5m)
close_prices = Map(network, prices, lambda x: x.close_px)
bbands = ComputeBollingerBands(network, close_prices, window, num_std)
op_service = ctx.get_order_placer_service()
oms = op_service.get_order_manager_service()
dcs = ctx.get_data_capture_service()
exchange_id = ctx.getenv('EXCHANGE_ID', 'phemex')
exchange_instance = ctx.getenv('EXCHANGE_INSTANCE', 'prod')
account = ctx.getenv('EXCHANGE_ACCOUNT')
op_uri = f'{exchange_id}:{exchange_instance}'
# subscribe to marks, position updates and exchange position updates
marks = ctx.get_mark_service().get_marks(instrument)
Do(scheduler.get_network(), marks,
lambda: self.logger.debug(marks.get_value()))
position = ctx.get_position_service().get_position(account, instrument)
Do(scheduler.get_network(), position,
lambda: self.logger.info(position.get_value()))
exch_position = ctx.get_exchange_position_service(
).get_exchange_positions()
Do(scheduler.get_network(), exch_position,
lambda: self.logger.info(exch_position.get_value()))
# capture position and Bollinger Band data
Do(
scheduler.get_network(), position, lambda: dcs.capture(
'Position', {
'time': pd.to_datetime(scheduler.get_time(), unit='ms'),
'position': position.get_value().get_qty()
}))
Do(
scheduler.get_network(), bbands, lambda: dcs.capture(
'BollingerBands', {
'time': pd.to_datetime(scheduler.get_time(), unit='ms'),
'sma': bbands.get_value().sma,
'upper': bbands.get_value().upper,
'lower': bbands.get_value().lower
}))
# debug log basic marketdata
Do(scheduler.get_network(), prices,
lambda: self.logger.debug(prices.get_value()))
class TraderState(Enum):
GOING_LONG = auto()
LONG = auto()
FLATTENING = auto()
FLAT = auto()
# order placement logic
class BollingerTrader(Event):
# noinspection PyShadowingNames
def __init__(self, scheduler: NetworkScheduler,
op_service: OrderPlacerService,
strategy: BollingerBandsStrategy1):
self.scheduler = scheduler
self.op = op_service.get_order_placer(f'{op_uri}')
self.strategy = strategy
self.last_entry = 0
self.last_exit = 0
self.cum_pnl = 0
self.stop = None
self.trader_state = TraderState.FLAT
self.last_trade_time = 0
self.scheduler.get_network().connect(oms.get_order_events(),
self)
self.scheduler.get_network().connect(position, self)
def on_activate(self) -> bool:
if self.scheduler.get_network().has_activated(
oms.get_order_events()):
order_event = oms.get_order_events().get_value()
if isinstance(order_event,
ExecutionReport) and order_event.is_fill():
order_type = 'stop order' if self.stop is not None and order_event.get_order_id() == \
self.stop.order_id else 'market order'
self.strategy.logger.info(
f'Received fill event for {order_type}: {order_event}'
)
if self.trader_state == TraderState.GOING_LONG:
self.last_entry = order_event.get_last_px()
if order_event.get_order_status(
) == OrderStatus.FILLED:
self.strategy.logger.info(
f'Entered long position: entry price={self.last_entry}'
)
self.trader_state = TraderState.LONG
elif self.trader_state in (TraderState.FLATTENING, TraderState.LONG) and \
order_event.get_order_status() == OrderStatus.FILLED:
if order_type == 'stop order':
self.strategy.logger.info(
f'stop loss filled at {order_event.get_last_px()}'
)
self.stop = None
trade_pnl = (order_event.get_last_px() - self.last_entry) * \
(contract_qty / self.last_entry)
self.cum_pnl += trade_pnl
self.strategy.logger.info(
f'Trade P&L={trade_pnl}; cumulative P&L={self.cum_pnl}'
)
dcs.capture(
'PnL', {
'time':
pd.to_datetime(scheduler.get_time(),
unit='ms'),
'trade_pnl':
trade_pnl,
'cum_pnl':
self.cum_pnl
})
self.trader_state = TraderState.FLAT
elif isinstance(order_event, Reject):
self.strategy.logger.error(
f'Order rejected: {order_event.get_message()}')
self.trader_state = TraderState.FLAT
elif self.trader_state == TraderState.FLAT and close_prices.get_value(
) < bbands.get_value().lower:
if self.last_trade_time != 0 and (scheduler.get_time() - self.last_trade_time) < \
cooling_period_seconds * 1000:
self.strategy.logger.info(
'Cooling off -- not trading again on rapidly repeated signal'
)
return False
self.strategy.logger.info(
f'Close below lower Bollinger band, enter long position '
f'at {scheduler.get_clock().get_time()}')
stop_px = close_prices.get_value() - (
(bbands.get_value().sma - bbands.get_value().lower) *
(stop_std / num_std))
self.strategy.logger.info(
f'Submitting orders: last_px = {close_prices.get_value()}, '
f'stop_px = {stop_px}')
order = self.op.get_order_factory().create_market_order(
Side.BUY, contract_qty, instrument)
self.stop = self.op.get_order_factory().create_stop_order(
Side.SELL, contract_qty, stop_px, instrument)
self.op.submit(order)
self.op.submit(self.stop)
self.last_trade_time = scheduler.get_time()
self.trader_state = TraderState.GOING_LONG
elif self.trader_state == TraderState.LONG and close_prices.get_value(
) > bbands.get_value().upper:
self.strategy.logger.info(
f'Close above upper Bollinger band, exiting long position at '
f'{scheduler.get_clock().get_time()}')
order = self.op.get_order_factory().create_market_order(
Side.SELL, contract_qty, instrument)
self.op.submit(order)
if self.stop is not None:
self.op.cancel(self.stop)
self.stop = None
self.trader_state = TraderState.FLATTENING
return False
network.connect(bbands, BollingerTrader(scheduler, op_service, self))
async def _subscribe_trades_and_quotes(self):
network = self.scheduler.get_network()
symbols = []
for instrument in self.get_instruments():
symbol = instrument.get_exchange_instrument_code()
symbols.append(f'{symbol.lower()}@aggTrade')
self.instrument_trades[symbol] = MutableSignal()
self.instrument_quotes[symbol] = MutableSignal()
# magic: inject the bare Signal into the graph so we can
# fire events on it without any downstream connections
# yet made
network.attach(self.instrument_trades[symbol])
network.attach(self.instrument_quotes[symbol])
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
trade_messages = Filter(network, json_messages, lambda x: 'data' in x)
trades = Map(network, trade_messages,
lambda x: self.__extract_trade(x))
class TradeScheduler(Event):
def __init__(self, fh: BinanceFeedHandler):
self.fh = fh
def on_activate(self) -> bool:
if trades.is_valid():
trade = trades.get_value()
trade_symbol = trade.get_instrument(
).get_exchange_instrument_code()
trade_signal = self.fh.instrument_trades[trade_symbol]
self.fh.scheduler.schedule_update(trade_signal, trade)
return True
else:
return False
network.connect(trades, TradeScheduler(self))
async with websockets.connect(self.ws_uri) as sock:
ndx = 1
n = 250
symbols_chunked = [
symbols[i:i + n] for i in range(0, len(symbols), n)
]
for symbols in symbols_chunked:
self.logger.info(
f'Sending subscription request for {len(symbols)} symbols: {symbols}'
)
subscribe_msg = {
"method": "SUBSCRIBE",
"params": symbols,
"id": ndx
}
await sock.send(json.dumps(subscribe_msg))
ndx = ndx + 1
self.scheduler.schedule_update(self.state, FeedHandlerState.LIVE)
while True:
self.scheduler.schedule_update(messages, await sock.recv())
def init(self, ctx: StrategyContext):
self.ctx = ctx
big_print_qty = float(ctx.getenv('BIG_PRINT_QTY'))
self.trade_qty = float(ctx.getenv('CONTRACT_TRADE_QTY'))
api_key = ctx.getenv('PHEMEX_API_KEY')
api_secret = ctx.getenv('PHEMEX_API_SECRET')
if not api_key:
raise ValueError('missing PHEMEX_API_KEY')
if not api_secret:
raise ValueError('missing PHEMEX_API_SECRET')
credentials = AuthCredentials(api_key, api_secret)
exchange_instance = ctx.getenv('PHEMEX_INSTANCE', 'prod')
if exchange_instance == 'prod':
self.trading_conn = PhemexConnection(credentials)
elif exchange_instance == 'test':
self.trading_conn = PhemexConnection(
credentials, api_url='https://testnet-api.phemex.com')
else:
raise ValueError(
f'Unknown PHEMEX_INSTANCE value: {exchange_instance}')
self.logger.info(f'Connected to Phemex {exchange_instance} instance')
network = self.ctx.get_network()
# subscribe to AOP messages
auth = WebsocketAuthenticator(api_key, api_secret)
aop_sub = AccountOrderPositionSubscriber(auth, ctx.get_scheduler(),
exchange_instance)
aop_sub.start()
# scan the spot market for large trades
btc_usd_spot = self.ctx.get_instrument_cache().get_exchange_instrument(
'CoinbasePro', 'BTC-USD')
spot_trades = self.ctx.get_marketdata_service().get_trades(
btc_usd_spot)
Do(
network, spot_trades, lambda: self.logger.info(
f'Spot market trade: {spot_trades.get_value()}'))
self.big_prints = Filter(network, spot_trades,
lambda x: x.get_qty() >= big_print_qty)
# compute 5 minute bins for the futures market and extract the volume field
btc_usd_future = self.ctx.get_instrument_cache(
).get_exchange_instrument('Phemex', 'BTCUSD')
self.futures_trades = self.ctx.get_marketdata_service().get_trades(
btc_usd_future)
buffer_5min = BufferWithTime(network, self.futures_trades,
timedelta(minutes=5))
self.ohlc_5min = ComputeOHLC(network, buffer_5min)
Do(
network, self.ohlc_5min, lambda: self.logger.info(
f'OHLC[5min]: {self.ohlc_5min.get_value()}'))
self.volume = Map(network, self.ohlc_5min, lambda x: x.volume)
# subscribe to top of book
self.futures_book = self.ctx.get_marketdata_service().get_order_books(
btc_usd_future)
Do(
network, self.futures_book, lambda: self.logger.info(
f'Futures bid/ask: '
f'{self.futures_book.get_value().get_best_bid()} / '
f'{self.futures_book.get_value().get_best_ask()}'))
# track the exponentially weighted moving average of the futures volume
self.ewma = ExponentialMovingAverage(network, self.volume)
async def _subscribe_trades_and_quotes(self):
network = self.scheduler.get_network()
symbols = []
for instrument in self.get_instruments():
symbol = instrument.get_exchange_instrument_code()
if symbol == self.include_symbol or self.include_symbol == '*':
symbols.append(f'{symbol}')
self.instrument_trades[symbol] = MutableSignal()
self.instrument_order_book_events[symbol] = MutableSignal()
self.instrument_order_books[symbol] = OrderBookBuilder(
network, self.instrument_order_book_events[symbol])
# magic: inject the bare Signal into the graph so we can
# fire events on it without any downstream connections
# yet made
network.attach(self.instrument_trades[symbol])
network.attach(self.instrument_order_book_events[symbol])
network.attach(self.instrument_order_books[symbol])
subscribe_msg = {
'type': 'subscribe',
'product_ids': symbols,
'channels': ['matches', 'level2', 'heartbeat']
}
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
match_messages = Filter(network, json_messages,
lambda x: x.get('type', None) == 'match')
book_messages = Filter(
network, json_messages,
lambda x: x.get('type', None) in {'snapshot', 'l2update'})
trades = Map(network, match_messages,
lambda x: self.__extract_trade(x))
books = Map(network, book_messages,
lambda x: self.__extract_order_book_event(x))
class TradeScheduler(Event):
def __init__(self, fh: CoinbaseProFeedHandler):
self.fh = fh
def on_activate(self) -> bool:
if trades.is_valid():
trade = trades.get_value()
trade_symbol = trade.get_instrument(
).get_exchange_instrument_code()
trade_signal = self.fh.instrument_trades[trade_symbol]
self.fh.scheduler.schedule_update(trade_signal, trade)
return True
else:
return False
network.connect(trades, TradeScheduler(self))
class OrderBookScheduler(Event):
def __init__(self, fh: CoinbaseProFeedHandler):
self.fh = fh
def on_activate(self) -> bool:
if books.is_valid():
obe = books.get_value()
obe_symbol = obe.get_instrument(
).get_exchange_instrument_code()
obe_signal = self.fh.instrument_order_book_events[
obe_symbol]
self.fh.scheduler.schedule_update(obe_signal, obe)
return True
else:
return False
network.connect(books, OrderBookScheduler(self))
asyncio.ensure_future(
websocket_subscribe_with_retry(self.ws_uri, self.timeout,
self.logger, subscribe_msg,
self.scheduler, messages,
'all products', 'global'))
# we are now live
self.scheduler.schedule_update(self.state, FeedHandlerState.LIVE)
def start(self):
network = self.scheduler.get_network()
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
json_messages = Filter(network, json_messages,
lambda x: x.get('type', None) == 'incremental')
class OrderEventScheduler(Event):
# noinspection PyShadowingNames
def __init__(self, sub: OrderEventSubscriber,
json_messages: Signal):
self.sub = sub
self.json_messages = json_messages
def on_activate(self) -> bool:
if self.json_messages.is_valid():
msg = self.json_messages.get_value()
orders = msg['orders']
for order_msg in orders:
order_id = order_msg['orderID']
cl_ord_id = order_msg['clOrdID']
exec_id = order_msg['execID']
last_px = order_msg['execPriceEp'] / 10000
last_qty = order_msg['execQty']
order = self.sub.oms.get_order_by_cl_ord_id(cl_ord_id)
if order is None:
if cl_ord_id is None or cl_ord_id == '':
self.sub.logger.warning(
f'Received message from exchange with missing clOrdID, '
f'orderID={order_id}')
else:
self.sub.logger.warning(
f'Received message from exchange for unknown '
f'clOrdID={cl_ord_id}, orderID={order_id}')
return False
elif order.get_order_id() is None:
self.sub.logger.info(
f'OMS order missing orderID; patching from clOrdID={cl_ord_id}'
)
order.set_order_id(order_id)
if order_msg['ordStatus'] == 'New':
self.sub.oms.new(order, exec_id)
elif order_msg['ordStatus'] == 'Canceled':
self.sub.oms.apply_cancel(order, exec_id)
elif order_msg[
'ordStatus'] == 'PartiallyFilled' or order_msg[
'ordStatus'] == 'Filled':
self.sub.oms.apply_fill(order, last_qty, last_px,
exec_id)
return True
else:
return False
network.connect(json_messages,
OrderEventScheduler(self, json_messages))
# noinspection PyShadowingNames,PyBroadException
async def do_subscribe():
while True:
try:
async with websockets.connect(self.ws_uri) as sock:
self.logger.info(
'sending Account-Order-Position subscription request for orders'
)
auth_msg = self.auth.get_user_auth_message(1)
await sock.send(auth_msg)
error_msg = await sock.recv()
error_struct = json.loads(error_msg)
if error_struct['error'] is not None:
raise ConnectionError(
f'Unable to authenticate: {error_msg}')
aop_sub_msg = {
'id': 2,
'method': 'aop.subscribe',
'params': []
}
await sock.send(json.dumps(aop_sub_msg))
while True:
try:
self.scheduler.schedule_update(
messages, await sock.recv())
except BaseException as error:
self.logger.error(
f'disconnected; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
# exit inner loop
break
except socket.gaierror as error:
self.logger.error(
f'failed with socket error; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
continue
except ConnectionRefusedError as error:
self.logger.error(
f'connection refused; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
continue
except BaseException as error:
self.logger.error(
f'unknown connection error; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
continue
asyncio.ensure_future(do_subscribe())
def subscribe(self):
network = self.scheduler.get_network()
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
class PositionUpdateScheduler(Event):
# noinspection PyShadowingNames
def __init__(self, sub: PhemexExchangePositionService,
json_messages: Signal):
self.sub = sub
self.json_messages = json_messages
def on_activate(self) -> bool:
if self.json_messages.is_valid():
msg = self.json_messages.get_value()
if 'positions' in msg:
for position in msg['positions']:
if position['accountID'] == self.sub.account:
qty = (position['crossSharedBalanceEv'] /
100_000_000)
ccy_symbol = position['currency']
ccy = self.sub.instrument_cache.get_or_create_currency(
ccy_symbol)
xp = ExchangePosition(self.sub.account, ccy,
qty)
self.sub.scheduler.schedule_update(
self.sub.exchange_positions, xp)
return True
else:
return False
network.connect(json_messages,
PositionUpdateScheduler(self, json_messages))
# noinspection PyShadowingNames,PyBroadException
async def do_subscribe():
while True:
try:
async with websockets.connect(self.ws_uri) as sock:
self.logger.info(
'sending Account-Order-Position subscription request for positions'
)
auth_msg = self.auth.get_user_auth_message(2)
await sock.send(auth_msg)
error_msg = await sock.recv()
error_struct = json.loads(error_msg)
if error_struct['error'] is not None:
raise ConnectionError(
f'Unable to authenticate: {error_msg}')
aop_sub_msg = {
'id': 3,
'method': 'aop.subscribe',
'params': []
}
await sock.send(json.dumps(aop_sub_msg))
while True:
try:
self.scheduler.schedule_update(
messages, await sock.recv())
except BaseException as error:
self.logger.error(
f'disconnected; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
# exit inner loop
break
except socket.gaierror as error:
self.logger.error(
f'failed with socket error; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
continue
except ConnectionRefusedError as error:
self.logger.error(
f'connection refused; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
continue
except BaseException as error:
self.logger.error(
f'unknown connection error; attempting to reconnect after {self.timeout} '
f'seconds: {error}')
await asyncio.sleep(self.timeout)
continue
asyncio.ensure_future(do_subscribe())
async def _subscribe_trades_and_quotes(self):
network = self.scheduler.get_network()
for instrument in self.get_instruments():
symbol = instrument.get_exchange_instrument_code()
if symbol == self.include_symbol or self.include_symbol == '*':
self.instrument_trades[symbol] = MutableSignal()
self.instrument_order_book_events[symbol] = MutableSignal()
self.instrument_order_books[symbol] = OrderBookBuilder(
network, self.instrument_order_book_events[symbol])
# magic: inject the bare Signal into the graph so we can
# fire events on it without any downstream connections
network.attach(self.instrument_trades[symbol])
network.attach(self.instrument_order_book_events[symbol])
network.attach(self.instrument_order_books[symbol])
trade_subscribe_msg = {
'id': 1,
'method': 'trade.subscribe',
'params': [symbol]
}
trade_messages = MutableSignal()
trade_json_messages = Map(network, trade_messages,
lambda x: json.loads(x))
trade_incr_messages = Filter(
network, trade_json_messages,
lambda x: x.get('type', None) == 'incremental')
trade_lists = Map(network, trade_incr_messages,
lambda x: self.__extract_trades(x))
trades = FlatMap(self.scheduler, trade_lists)
class TradeScheduler(Event):
# noinspection PyShadowingNames
def __init__(self, fh: PhemexFeedHandler, trades: Signal):
self.fh = fh
self.trades = trades
def on_activate(self) -> bool:
if self.trades.is_valid():
trade = self.trades.get_value()
trade_symbol = trade.get_instrument(
).get_exchange_instrument_code()
trade_signal = self.fh.instrument_trades[
trade_symbol]
self.fh.scheduler.schedule_update(
trade_signal, trade)
return True
else:
return False
network.connect(trades, TradeScheduler(self, trades))
orderbook_subscribe_msg = {
'id': 2,
'method': 'orderbook.subscribe',
'params': [symbol]
}
obe_messages = MutableSignal()
obe_json_messages = Map(network, obe_messages,
lambda x: json.loads(x))
obe_json_messages = Filter(
network, obe_json_messages, lambda x: x.get('type', None)
in ['incremental', 'snapshot'])
order_book_events = Map(
network, obe_json_messages,
lambda x: self.__extract_order_book_event(x))
class OrderBookEventScheduler(Event):
# noinspection PyShadowingNames
def __init__(self, fh: PhemexFeedHandler,
order_book_events: Signal):
self.fh = fh
self.order_book_events = order_book_events
def on_activate(self) -> bool:
if self.order_book_events.is_valid():
obe = self.order_book_events.get_value()
obe_symbol = obe.get_instrument(
).get_exchange_instrument_code()
obe_signal = self.fh.instrument_order_book_events[
obe_symbol]
self.fh.scheduler.schedule_update(obe_signal, obe)
return True
else:
return False
network.connect(
order_book_events,
OrderBookEventScheduler(self, order_book_events))
asyncio.ensure_future(
websocket_subscribe_with_retry(self.ws_uri, self.timeout,
self.logger,
trade_subscribe_msg,
self.scheduler,
trade_messages, symbol,
'trade'))
asyncio.ensure_future(
websocket_subscribe_with_retry(self.ws_uri, self.timeout,
self.logger,
orderbook_subscribe_msg,
self.scheduler,
obe_messages, symbol,
'order book'))
# we are now live
self.scheduler.schedule_update(self.state, FeedHandlerState.LIVE)
