def __update_orders(self):
if not self.connected:
return
# filters only siis managed orders
src_orders = self._watcher.connector.ws.open_orders("") # "siis_")
# first delete older orders
order_rm_list = []
for k, order in self._orders.items():
found = False
for src_order in src_orders:
src_order_id = src_order['clOrdID'] or src_order['orderID']
if order.order_id == src_order[
'clOrdID'] or order.order_id == src_order['orderID']:
found = True
break
if not found:
order_rm_list.append(order.order_id)
for order_id in order_rm_list:
del self._orders[order_id]
# insert or update active orders
for src_order in src_orders:
found = False
src_order_id = src_order['clOrdID'] or src_order['orderID']
order = self._orders.get(src_order_id)
if order is None:
# insert
order = Order(self, src_order['symbol'])
order.set_order_id(src_order_id)
self._orders[order.order_id] = order
else:
order = self._orders.get(src_order_id)
# logger.info(src_order)
# probably modifier or when leavesQty is update the ordStatus must change
# if src_order['ordStatus'] != "New":
# continue
# update
order.direction = Position.LONG if src_order[
'side'] == 'Buy' else Position.SHORT
# 'orderQty' (ordered qty), 'cumQty' (cumulative done), 'leavesQty' (remaning)
order.quantity = src_order.get('leavesQty',
src_order.get('orderQty', 0))
if src_order.get('transactTime'):
order.transact_time = self._parse_datetime(
src_order.get('transactTime')).timestamp()
if src_order['ordType'] == "Market":
order.order_type = Order.ORDER_MARKET
elif src_order['ordType'] == "Limit":
order.order_type = Order.ORDER_LIMIT
order.price = src_order.get('price')
elif src_order['ordType'] == "Stop":
order.order_type = Order.ORDER_STOP
order.stop_price = src_order.get('stopPx')
elif src_order['ordType'] == "StopLimit":
order.order_type = Order.ORDER_STOP_LIMIT
order.price = src_order.get('price')
order.stop_price = src_order.get('stopPx')
elif src_order['ordType'] == "MarketIfTouched":
order.order_type = Order.ORDER_TAKE_PROFIT
order.stop_price = src_order.get('stopPx')
elif src_order['ordType'] == "LimitIfTouched":
order.order_type = Order.ORDER_TAKE_PROFIT_LIMIT
order.price = src_order.get('price')
order.stop_price = src_order.get('stopPx')
if src_order['timeInForce'] == 'GoodTillCancel':
order.time_in_force = Order.TIME_IN_FORCE_GTC
elif src_order['timeInForce'] == 'ImmediateOrCancel':
order.time_in_force = Order.TIME_IN_FORCE_IOC
elif src_order['timeInForce'] == 'FillOrKill':
order.time_in_force = Order.TIME_IN_FORCE_FOK
else:
order.time_in_force = Order.TIME_IN_FORCE_GTC
# triggered, ordRejReason, currency
# @todo
# execution options
exec_inst = src_order['execInst'].split(',')
# taker or maker fee
if 'ParticipateDoNotInitiate' in exec_inst:
order.post_only = True
else:
order.post_only = False
# close reduce only
if 'Close' in exec_inst:
# close only order (must be used with reduce only, only reduce a position, and close opposites orders)
order.close_only = True
else:
order.close_only = False
# close reduce only
if 'ReduceOnly' in exec_inst:
# reduce only order (only reduce a position)
order.reduce_only = True
else:
order.redeuce_only = False
# execution price
if 'LastPrice' in exec_inst:
order.price_type = Order.PRICE_LAST
elif 'IndexPrice' in exec_inst:
order.price_type = Order.PRICE_MARK
elif 'MarkPrice' in exec_inst:
order.price_type = Order.PRICE_INDEX
def __fetch_orders(self, signals=False):
"""
This is the synchronous REST fetching, but prefer the WS asynchronous and live one.
Mainly used for initial fetching.
"""
try:
open_orders = self._watcher.connector.open_orders()
except Exception as e:
logger.error("__fetch_orders: %s" % repr(e))
raise
orders = {}
for data in open_orders:
market = self.market(data['symbol'])
if data['status'] == 'NEW': # might be...
order = Order(self, data['symbol'])
order.set_order_id(data['orderId'])
order.quantity = data['origQty']
order.executed = data['executedQty']
order.direction = Order.LONG if data[
'side'] == 'BUY' else Order.SHORT
if data['type'] == 'LIMIT':
order.order_type = Order.ORDER_LIMIT
elif data['type'] == 'MARKET':
order.order_type = Order.ORDER_MARKET
elif data['type'] == 'STOP_LOSS_LIMIT':
order.order_type = Order.ORDER_STOP_LIMIT
order.close_only = True
elif data['type'] == 'TAKE_PROFIT_LIMIT':
order.order_type = Order.ORDER_LIMIT
order.close_only = True
order.order_price = data['price']
order.stop_loss = data['stopPrice']
order.created_time = data['time']
order.transact_time = data['updateTime']
if data['timeInForce'] == 'GTC':
order.time_in_force = Order.TIME_IN_FORCE_GTC
elif data['timeInForce'] == 'IOC':
order.time_in_force = Order.TIME_IN_FORCE_IOC
elif data['timeInForce'] == 'FOK':
order.time_in_force = Order.TIME_IN_FORCE_FOK
else:
order.time_in_force = Order.TIME_IN_FORCE_GTC
# "icebergQty": "0.0" # @todo a day when I'll be rich
orders[order.order_id] = order
if signals:
# deleted (for signals if no WS)
deleted_list = self._orders.keys() - orders.keys()
# @todo
# created (for signals if no WS)
created_list = orders.keys() - self._orders.keys()
# @todo
self._orders = orders
def close_position(self, position_id, market=True, limit_price=None):
if not self._activity:
return False
position = self._positions.get(position_id)
if position is None or not position.is_opened():
return False
if not self.has_market(position.symbol):
logger.error(
"%s does not support market %s on close position %s !" %
(self.name, position.symbol, position.position_id))
return False
ref_order_id = "siis_" + base64.b64encode(
uuid.uuid4().bytes).decode('utf8').rstrip('=\n')
# keep for might be useless in this case
order.set_ref_order_id(ref_order_id)
order = Order(self, position.symbol)
order.set_position_id(position.position_id)
order.quantity = position.quantity
order.direction = -position.direction # neg direction
postdict = {
'symbol': order.symbol,
'clOrdID': ref_order_id,
'execInst': 'Close',
# 'execInst': 'ReduceOnly,Close' # @todo why rejected with ReduceOnly ?
}
# short mean negative quantity
if order.direction == Position.SHORT:
qty = -qty
# fully close (using Close and need 'side' when qty is not defined)
# qty = None
# order type
if market:
order.order_type = Order.ORDER_MARKET
postdict['ordType'] = "Market"
postdict['orderQty'] = qty
else:
order.order_type = Order.ORDER_LIMIT
order.price = limit_price
postdict['ordType'] = "Limit"
postdict['price'] = order.price
postdict['orderQty'] = qty
if qty is None:
postdict['side'] = "Buy" if order.direction > 0 else "Sell"
try:
result = self._watcher.connector.request(path="order",
postdict=postdict,
verb='POST',
max_retries=15)
except Exception as e:
logger.error(str(e))
return False
if result and result.get('ordRejReason'):
logger.error(
"%s rejected closing order %s from %s %s - cause : %s !" %
(self.name, order.direction_to_str(), order.quantity,
order.symbol, result['ordRejReason']))
return False
# store the order with its order id
order.set_order_id(result['orderID'])
# and store the order
self._orders[order.order_id] = order
# set position closing until we get confirmation on a next update
position.closing(limit_price)
return True
def on_order_traded(self, market_id, data, ref_order_id):
"""
Order update, trade order in that case, is always successed by an asset update signal.
Binance order modification is not possible, need cancel and recreate.
@note Consume 1 API credit to get the asset quote price at the time of the trade.
"""
market = self._markets.get(data['symbol'])
if market is None:
# not interested by this market
return
base_asset = self.__get_or_add_asset(market.base)
quote_asset = self.__get_or_add_asset(market.quote)
quote_market = None
order = self._orders.get(data['id'])
if order is None:
# not found (might not occurs)
order = Order(self, data['symbol'])
order.set_order_id(data['id'])
# its might be the creation timestamp but it will be the trade execution
order.created_time = data['timestamp']
order.direction = data['direction']
order.order_type = data['type']
order.time_in_force = data['time-in-force']
order.quantity = data['quantity']
order.order_price = data['order-price']
order.stop_loss = data['stop-loss']
self._orders[data['id']] = order
order.executed += data['filled']
if data['trade-id']:
# same asset used for commission
buy_or_sell = data['direction'] == Order.LONG
# base details in the trade order
base_trade_qty = data['filled']
base_exec_price = data['exec-price']
# price of the quote asset expressed in prefered quote at time of the trade (need a REST call)
quote_trade_qty = data[
'quote-transacted'] # or base_trade_qty * base_exec_price
quote_exec_price = 1.0
if quote_asset.quote and quote_asset.symbol != quote_asset.quote:
# quote price to be fetched
if self._watcher.has_instrument(quote_asset.symbol +
quote_asset.quote):
# direct, and get the related market
quote_market = self._markets.get(quote_asset.symbol +
quote_asset.quote)
quote_exec_price = self.history_price(
quote_asset.symbol + quote_asset.quote,
data['timestamp'])
elif self._watcher.has_instrument(quote_asset.quote +
quote_asset.symbol):
# indirect, but cannot have the market
quote_exec_price = 1.0 / self.history_price(
quote_asset.quote + quote_asset.symbol,
data['timestamp'])
# base asset
self.__update_asset(order.order_type, base_asset, market,
data['trade-id'], base_exec_price,
base_trade_qty, buy_or_sell, data['timestamp'])
# quote asset
self.__update_asset(order.order_type, quote_asset, quote_market,
None, quote_exec_price, quote_trade_qty,
not buy_or_sell, data['timestamp'])
# commission asset
if data['commission-asset'] == base_asset.symbol:
self.__update_asset(Order.ORDER_MARKET, base_asset, market,
None, base_exec_price,
data['commission-amount'], False,
data['timestamp'])
else:
commission_asset = self.__get_or_add_asset(
data['commission-asset'])
commission_asset_market = None
quote_exec_price = 1.0
if commission_asset.quote and commission_asset.symbol != commission_asset.quote:
# commission asset price to be fetched
if self._watcher.has_instrument(commission_asset.symbol +
commission_asset.quote):
# direct, and get the related market
commission_asset_market = self.market(
commission_asset.symbol + commission_asset.quote)
quote_exec_price = commission_asset_market.price
elif self._watcher.has_instrument(commission_asset.quote +
commission_asset.symbol):
# indirect, but cannot have the market
quote_exec_price = 1.0 / self.history_price(
commission_asset.quote + commission_asset.symbol,
data['timestamp'])
self.__update_asset(Order.ORDER_MARKET, commission_asset,
commission_asset_market, None,
quote_exec_price,
data['commission-amount'], False,
data['timestamp'])
