class BitMEX(object):
"""BitMEX API Connector."""
def __init__(self,
base_url=None,
symbol=None,
apiKey=None,
apiSecret=None,
orderIDPrefix='mm_bitmex_',
shouldWSAuth=True,
postOnly=False,
timeout=7):
"""Init connector."""
self.logger = logging.getLogger('root')
self.base_url = base_url
self.symbol = symbol
self.postOnly = postOnly
if (apiKey is None):
raise Exception(
"Please set an API key and Secret to get started. See " +
"https://github.com/BitMEX/sample-market-maker/#getting-started for more information."
)
self.apiKey = apiKey
self.apiSecret = apiSecret
if len(orderIDPrefix) > 13:
raise ValueError(
"settings.ORDERID_PREFIX must be at most 13 characters long!")
self.orderIDPrefix = orderIDPrefix
self.retries = 0 # initialize counter
# Prepare HTTPS session
self.session = requests.Session()
# These headers are always sent
self.session.headers.update(
{'user-agent': 'liquidbot-' + constants.VERSION})
self.session.headers.update({'content-type': 'application/json'})
self.session.headers.update({'accept': 'application/json'})
# Create websocket for streaming data
self.ws = BitMEXWebsocket()
self.ws.connect(base_url, symbol, shouldAuth=shouldWSAuth)
self.timeout = timeout
def __del__(self):
self.exit()
def exit(self):
self.ws.exit()
#
# Public methods
#
def ticker_data(self, symbol=None):
"""Get ticker data."""
if symbol is None:
symbol = self.symbol
return self.ws.get_ticker(symbol)
def instrument(self, symbol):
"""Get an instrument's details."""
return self.ws.get_instrument(symbol)
def instruments(self, filter=None):
query = {}
if filter is not None:
query['filter'] = json.dumps(filter)
return self._curl_bitmex(path='instrument', query=query, verb='GET')
def market_depth(self, symbol):
"""Get market depth / orderbook."""
return self.ws.market_depth(symbol)
def recent_trades(self):
"""Get recent trades.
Returns
-------
A list of dicts:
{u'amount': 60,
u'date': 1306775375,
u'price': 8.7401099999999996,
u'tid': u'93842'},
"""
return self.ws.recent_trades()
#
# Authentication required methods
#
def authentication_required(fn):
"""Annotation for methods that require auth."""
def wrapped(self, *args, **kwargs):
if not (self.apiKey):
msg = "You must be authenticated to use this method"
raise errors.AuthenticationError(msg)
else:
return fn(self, *args, **kwargs)
return wrapped
@authentication_required
def funds(self):
"""Get your current balance."""
return self.ws.funds()
@authentication_required
def position(self, symbol):
"""Get your open position."""
return self.ws.position(symbol)
@authentication_required
def isolate_margin(self, symbol, leverage, rethrow_errors=False):
"""Set the leverage on an isolated margin position"""
path = "position/leverage"
postdict = {'symbol': symbol, 'leverage': leverage}
return self._curl_bitmex(path=path,
postdict=postdict,
verb="POST",
rethrow_errors=rethrow_errors)
@authentication_required
def delta(self):
return self.position(self.symbol)['homeNotional']
@authentication_required
def buy(self, quantity, price):
"""Place a buy order.
Returns order object. ID: orderID
"""
return self.place_order(quantity, price)
@authentication_required
def sell(self, quantity, price):
"""Place a sell order.
Returns order object. ID: orderID
"""
return self.place_order(-quantity, price)
@authentication_required
def place_order(self, quantity, price):
"""Place an order."""
if price < 0:
raise Exception("Price must be positive.")
endpoint = "order"
# Generate a unique clOrdID with our prefix so we can identify it.
clOrdID = self.orderIDPrefix + base64.b64encode(
uuid.uuid4().bytes).decode('utf8').rstrip('=\n')
postdict = {
'symbol': self.symbol,
'orderQty': quantity,
'price': price,
'clOrdID': clOrdID
}
return self._curl_bitmex(path=endpoint, postdict=postdict, verb="POST")
@authentication_required
def amend_bulk_orders(self, orders):
"""Amend multiple orders."""
# Note rethrow; if this fails, we want to catch it and re-tick
return self._curl_bitmex(path='order/bulk',
postdict={'orders': orders},
verb='PUT',
rethrow_errors=True)
@authentication_required
def create_bulk_orders(self, orders):
"""Create multiple orders."""
for order in orders:
order['clOrdID'] = self.orderIDPrefix + base64.b64encode(
uuid.uuid4().bytes).decode('utf8').rstrip('=\n')
order['symbol'] = self.symbol
if self.postOnly:
order['execInst'] = 'ParticipateDoNotInitiate'
return self._curl_bitmex(path='order/bulk',
postdict={'orders': orders},
verb='POST')
@authentication_required
def open_orders(self):
"""Get open orders."""
return self.ws.open_orders(self.orderIDPrefix)
@authentication_required
def http_open_orders(self):
"""Get open orders via HTTP. Used on close to ensure we catch them all."""
path = "order"
orders = self._curl_bitmex(path=path,
query={
'filter':
json.dumps({
'ordStatus.isTerminated': False,
'symbol': self.symbol
}),
'count':
500
},
verb="GET")
# Only return orders that start with our clOrdID prefix.
return [
o for o in orders
if str(o['clOrdID']).startswith(self.orderIDPrefix)
]
@authentication_required
def cancel(self, orderID):
"""Cancel an existing order."""
path = "order"
postdict = {
'orderID': orderID,
}
return self._curl_bitmex(path=path, postdict=postdict, verb="DELETE")
@authentication_required
def withdraw(self, amount, fee, address):
path = "user/requestWithdrawal"
postdict = {
'amount': amount,
'fee': fee,
'currency': 'XBt',
'address': address
}
return self._curl_bitmex(path=path,
postdict=postdict,
verb="POST",
max_retries=0)
def _curl_bitmex(self,
path,
query=None,
postdict=None,
timeout=None,
verb=None,
rethrow_errors=False,
max_retries=None):
"""Send a request to BitMEX Servers."""
# Handle URL
url = self.base_url + path
if timeout is None:
timeout = self.timeout
# Default to POST if data is attached, GET otherwise
if not verb:
verb = 'POST' if postdict else 'GET'
# By default don't retry POST or PUT. Retrying GET/DELETE is okay because they are idempotent.
# In the future we could allow retrying PUT, so long as 'leavesQty' is not used (not idempotent),
# or you could change the clOrdID (set {"clOrdID": "new", "origClOrdID": "old"}) so that an amend
# can't erroneously be applied twice.
if max_retries is None:
max_retries = 0 if verb in ['POST', 'PUT'] else 3
# Auth: API Key/Secret
auth = APIKeyAuthWithExpires(self.apiKey, self.apiSecret)
def exit_or_throw(e):
if rethrow_errors:
raise e
else:
exit(1)
def retry():
self.retries += 1
if self.retries > max_retries:
raise Exception("Max retries on %s (%s) hit, raising." %
(path, json.dumps(postdict or '')))
return self._curl_bitmex(path, query, postdict, timeout, verb,
rethrow_errors, max_retries)
# Make the request
response = None
try:
self.logger.info("sending req to %s: %s" %
(url, json.dumps(postdict or query or '')))
req = requests.Request(verb,
url,
json=postdict,
auth=auth,
params=query)
prepped = self.session.prepare_request(req)
response = self.session.send(prepped, timeout=timeout)
# Make non-200s throw
response.raise_for_status()
except requests.exceptions.HTTPError as e:
if response is None:
raise e
# 401 - Auth error. This is fatal.
if response.status_code == 401:
self.logger.error(
"API Key or Secret incorrect, please check and restart.")
self.logger.error("Error: " + response.text)
if postdict:
self.logger.error(postdict)
# Always exit, even if rethrow_errors, because this is fatal
exit(1)
# 404, can be thrown if order canceled or does not exist.
elif response.status_code == 404:
if verb == 'DELETE':
self.logger.error("Order not found: %s" %
postdict['orderID'])
return
self.logger.error("Unable to contact the BitMEX API (404). " +
"Request: %s \n %s" %
(url, json.dumps(postdict)))
exit_or_throw(e)
# 429, ratelimit; cancel orders & wait until X-RateLimit-Reset
elif response.status_code == 429:
self.logger.error(
"Ratelimited on current request. Sleeping, then trying again. Try fewer "
+
"order pairs or contact [email protected] to raise your limits. "
+ "Request: %s \n %s" % (url, json.dumps(postdict)))
# Figure out how long we need to wait.
ratelimit_reset = response.headers['X-RateLimit-Reset']
to_sleep = int(ratelimit_reset) - int(time.time())
reset_str = datetime.datetime.fromtimestamp(
int(ratelimit_reset)).strftime('%X')
# We're ratelimited, and we may be waiting for a long time. Cancel orders.
self.logger.warning(
"Canceling all known orders in the meantime.")
self.cancel([o['orderID'] for o in self.open_orders()])
self.logger.error(
"Your ratelimit will reset at %s. Sleeping for %d seconds."
% (reset_str, to_sleep))
time.sleep(to_sleep)
# Retry the request.
return retry()
# 503 - BitMEX temporary downtime, likely due to a deploy. Try again
elif response.status_code == 503:
self.logger.warning(
"Unable to contact the BitMEX API (503), retrying. " +
"Request: %s \n %s" % (url, json.dumps(postdict)))
time.sleep(3)
return retry()
elif response.status_code == 400:
error = response.json()['error']
message = error['message'].lower() if error else ''
# Duplicate clOrdID: that's fine, probably a deploy, go get the order(s) and return it
if 'duplicate clordid' in message:
orders = postdict[
'orders'] if 'orders' in postdict else postdict
IDs = json.dumps(
{'clOrdID': [order['clOrdID'] for order in orders]})
orderResults = self._curl_bitmex('/order',
query={'filter': IDs},
verb='GET')
for i, order in enumerate(orderResults):
if (order['orderQty'] != abs(postdict['orderQty'])
or order['side'] !=
('Buy' if postdict['orderQty'] > 0 else 'Sell')
or order['price'] != postdict['price']
or order['symbol'] != postdict['symbol']):
raise Exception(
'Attempted to recover from duplicate clOrdID, but order returned from API '
+
'did not match POST.\nPOST data: %s\nReturned order: %s'
% (json.dumps(orders[i]), json.dumps(order)))
# All good
return orderResults
elif 'insufficient available balance' in message:
self.logger.error('Account out of funds. The message: %s' %
error['message'])
exit_or_throw(Exception('Insufficient Funds'))
# If we haven't returned or re-raised yet, we get here.
self.logger.error("Unhandled Error: %s: %s" % (e, response.text))
self.logger.error("Endpoint was: %s %s: %s" %
(verb, path, json.dumps(postdict)))
exit_or_throw(e)
except requests.exceptions.Timeout as e:
# Timeout, re-run this request
self.logger.warning("Timed out on request: %s (%s), retrying..." %
(path, json.dumps(postdict or '')))
return retry()
except requests.exceptions.ConnectionError as e:
self.logger.warning(
"Unable to contact the BitMEX API (%s). Please check the URL. Retrying. "
+ "Request: %s %s \n %s" % (e, url, json.dumps(postdict)))
time.sleep(1)
return retry()
# Reset retry counter on success
self.retries = 0
return response.json()
class BitMEX(object):
"""BitMEX API Connector."""
def __init__(self, base_url=None, symbol=None, login=None, password=None, otpToken=None,
apiKey=None, apiSecret=None, orderIDPrefix='mm_bitmex_'):
"""Init connector."""
self.logger = logging.getLogger('root')
self.base_url = base_url
self.symbol = symbol
self.token = None
self.login = login
self.password = password
self.otpToken = otpToken
self.apiKey = apiKey
self.apiSecret = apiSecret
if len(orderIDPrefix) > 13:
raise ValueError("settings.ORDERID_PREFIX must be at most 13 characters long!")
self.orderIDPrefix = orderIDPrefix
# Prepare HTTPS session
self.session = requests.Session()
# These headers are always sent
self.session.headers.update({'user-agent': 'liquidbot-' + constants.VERSION})
# Create websocket for streaming data
self.ws = BitMEXWebsocket(base_url, symbol)
#
# Public methods
#
def ticker_data(self):
"""Get ticker data."""
return self.ws.get_ticker()
def get_instrument(self):
"""Get an instrument's details."""
instrument = self.ws.get_instrument()
if instrument["state"] != "Open":
self.logger.error("The instrument %s is no longer open. State: %s" % (self.symbol, instrument["state"]))
exit(1)
return instrument
def market_depth(self):
"""Get market depth / orderbook."""
return self.ws.market_depth()
def recent_trades(self):
"""Get recent trades.
Returns
-------
A list of dicts:
{u'amount': 60,
u'date': 1306775375,
u'price': 8.7401099999999996,
u'tid': u'93842'},
"""
return self.ws.recent_trades()
#
# Authentication required methods
#
def authenticate(self):
"""Set BitMEX authentication information."""
if self.apiKey:
return
loginResponse = self._curl_bitmex(
api="user/login",
postdict={'email': self.login, 'password': self.password, 'token': self.otpToken})
self.token = loginResponse['id']
self.session.headers.update({'access-token': self.token})
def authentication_required(function):
"""Annotation for methods that require auth."""
def wrapped(self, *args, **kwargs):
if not (self.token or self.apiKey):
msg = "You must be authenticated to use this method"
raise errors.AuthenticationError, msg
else:
return function(self, *args, **kwargs)
return wrapped
@authentication_required
def funds(self):
"""Get your current balance."""
return self.ws.funds()
@authentication_required
def buy(self, quantity, price):
"""Place a buy order.
Returns order object. ID: orderID
"""
return self.place_order(quantity, price)
@authentication_required
def sell(self, quantity, price):
"""Place a sell order.
Returns order object. ID: orderID
"""
return self.place_order(-quantity, price)
@authentication_required
def place_order(self, quantity, price):
"""Place an order."""
if price < 0:
raise Exception("Price must be positive.")
endpoint = "order"
# Generate a unique clOrdID with our prefix so we can identify it.
clOrdID = self.orderIDPrefix + uuid.uuid4().bytes.encode('base64').rstrip('=\n')
postdict = {
'symbol': self.symbol,
'quantity': quantity,
'price': price,
'clOrdID': clOrdID
}
return self._curl_bitmex(api=endpoint, postdict=postdict, verb="POST")
@authentication_required
def open_orders(self):
"""Get open orders."""
return self.ws.open_orders(self.orderIDPrefix)
@authentication_required
def http_open_orders(self):
"""Get open orders via HTTP. Used on close to ensure we catch them all."""
api = "order"
orders = self._curl_bitmex(
api=api,
query={'filter': json.dumps({'ordStatus.isTerminated': False, 'symbol': self.symbol})},
verb="GET"
)
# Only return orders that start with our clOrdID prefix.
return [o for o in orders if str(o['clOrdID']).startswith(self.orderIDPrefix)]
@authentication_required
def cancel(self, orderID):
"""Cancel an existing order."""
api = "order"
postdict = {
'orderID': orderID,
}
return self._curl_bitmex(api=api, postdict=postdict, verb="DELETE")
def _curl_bitmex(self, api, query=None, postdict=None, timeout=3, verb=None):
"""Send a request to BitMEX Servers."""
# Handle URL
url = self.base_url + api
# Default to POST if data is attached, GET otherwise
if not verb:
verb = 'POST' if postdict else 'GET'
# Auth: Use Access Token by default, API Key/Secret if provided
auth = AccessTokenAuth(self.token)
if self.apiKey:
auth = APIKeyAuthWithExpires(self.apiKey, self.apiSecret)
# Make the request
try:
req = requests.Request(verb, url, data=postdict, auth=auth, params=query)
prepped = self.session.prepare_request(req)
response = self.session.send(prepped, timeout=timeout)
# Make non-200s throw
response.raise_for_status()
except requests.exceptions.HTTPError, e:
# 401 - Auth error. Re-auth and re-run this request.
if response.status_code == 401:
if self.token is None:
self.logger.error("Login information or API Key incorrect, please check and restart.")
self.logger.error("Error: " + response.text)
if postdict:
self.logger.error(postdict)
exit(1)
self.logger.warning("Token expired, reauthenticating...")
sleep(1)
self.authenticate()
return self._curl_bitmex(api, query, postdict, timeout, verb)
# 404, can be thrown if order canceled does not exist.
elif response.status_code == 404:
if verb == 'DELETE':
self.logger.error("Order not found: %s" % postdict['orderID'])
return
self.logger.error("Unable to contact the BitMEX API (404). " +
"Request: %s \n %s" % (url, json.dumps(postdict)))
exit(1)
# 429, ratelimit
elif response.status_code == 429:
self.logger.error("Ratelimited on current request. Sleeping, then trying again. Try fewer " +
"order pairs or contact [email protected] to raise your limits. " +
"Request: %s \n %s" % (url, json.dumps(postdict)))
sleep(1)
return self._curl_bitmex(api, query, postdict, timeout, verb)
# 503 - BitMEX temporary downtime, likely due to a deploy. Try again
elif response.status_code == 503:
self.logger.warning("Unable to contact the BitMEX API (503), retrying. " +
"Request: %s \n %s" % (url, json.dumps(postdict)))
sleep(1)
return self._curl_bitmex(api, query, postdict, timeout, verb)
# Unknown Error
else:
self.logger.error("Unhandled Error: %s: %s %s" % (e, e.message, json.dumps(response.json(), indent=4)))
self.logger.error("Endpoint was: %s %s" % (verb, api))
exit(1)
except requests.exceptions.Timeout, e:
# Timeout, re-run this request
self.logger.warning("Timed out, retrying...")
return self._curl_bitmex(api, query, postdict, timeout, verb)
class BitMEX(object):
"""BitMEX API Connector."""
def __init__(self,
base_url=None,
symbol=None,
login=None,
password=None,
otpToken=None,
apiKey=None,
apiSecret=None,
orderIDPrefix='mm_bitmex_'):
"""Init connector."""
self.logger = logging.getLogger('root')
self.base_url = base_url
self.symbol = symbol
self.token = None
self.login = login
self.password = password
self.otpToken = otpToken
self.apiKey = apiKey
self.apiSecret = apiSecret
if len(orderIDPrefix) > 13:
raise ValueError(
"settings.ORDERID_PREFIX must be at most 13 characters long!")
self.orderIDPrefix = orderIDPrefix
# Prepare HTTPS session
self.session = requests.Session()
# These headers are always sent
self.session.headers.update(
{'user-agent': 'liquidbot-' + constants.VERSION})
# Create websocket for streaming data
self.ws = BitMEXWebsocket(base_url, symbol)
#
# Public methods
#
def ticker_data(self):
"""Get ticker data."""
return self.ws.get_ticker()
def get_instrument(self):
"""Get an instrument's details."""
instrument = self.ws.get_instrument()
if instrument["state"] != "Open":
self.logger.error(
"The instrument %s is no longer open. State: %s" %
(self.symbol, instrument["state"]))
exit(1)
return instrument
def market_depth(self):
"""Get market depth / orderbook."""
return self.ws.market_depth()
def recent_trades(self):
"""Get recent trades.
Returns
-------
A list of dicts:
{u'amount': 60,
u'date': 1306775375,
u'price': 8.7401099999999996,
u'tid': u'93842'},
"""
return self.ws.recent_trades()
#
# Authentication required methods
#
def authenticate(self):
"""Set BitMEX authentication information."""
if self.apiKey:
return
loginResponse = self._curl_bitmex(api="user/login",
postdict={
'email': self.login,
'password': self.password,
'token': self.otpToken
})
self.token = loginResponse['id']
self.session.headers.update({'access-token': self.token})
def authentication_required(function):
"""Annotation for methods that require auth."""
def wrapped(self, *args, **kwargs):
if not (self.token or self.apiKey):
msg = "You must be authenticated to use this method"
raise errors.AuthenticationError, msg
else:
return function(self, *args, **kwargs)
return wrapped
@authentication_required
def funds(self):
"""Get your current balance."""
return self.ws.funds()
@authentication_required
def buy(self, quantity, price):
"""Place a buy order.
Returns order object. ID: orderID
"""
return self.place_order(quantity, price)
@authentication_required
def sell(self, quantity, price):
"""Place a sell order.
Returns order object. ID: orderID
"""
return self.place_order(-quantity, price)
@authentication_required
def place_order(self, quantity, price):
"""Place an order."""
if price < 0:
raise Exception("Price must be positive.")
endpoint = "order"
# Generate a unique clOrdID with our prefix so we can identify it.
clOrdID = self.orderIDPrefix + uuid.uuid4().bytes.encode(
'base64').rstrip('=\n')
postdict = {
'symbol': self.symbol,
'quantity': quantity,
'price': price,
'clOrdID': clOrdID
}
return self._curl_bitmex(api=endpoint, postdict=postdict, verb="POST")
@authentication_required
def open_orders(self):
"""Get open orders."""
return self.ws.open_orders(self.orderIDPrefix)
@authentication_required
def http_open_orders(self):
"""Get open orders via HTTP. Used on close to ensure we catch them all."""
api = "order"
orders = self._curl_bitmex(api=api,
query={
'filter':
json.dumps({
'ordStatus.isTerminated': False,
'symbol': self.symbol
})
},
verb="GET")
# Only return orders that start with our clOrdID prefix.
return [
o for o in orders
if str(o['clOrdID']).startswith(self.orderIDPrefix)
]
@authentication_required
def cancel(self, orderID):
"""Cancel an existing order."""
api = "order"
postdict = {
'orderID': orderID,
}
return self._curl_bitmex(api=api, postdict=postdict, verb="DELETE")
def _curl_bitmex(self,
api,
query=None,
postdict=None,
timeout=3,
verb=None):
"""Send a request to BitMEX Servers."""
# Handle URL
url = self.base_url + api
# Default to POST if data is attached, GET otherwise
if not verb:
verb = 'POST' if postdict else 'GET'
# Auth: Use Access Token by default, API Key/Secret if provided
auth = AccessTokenAuth(self.token)
if self.apiKey:
auth = APIKeyAuthWithExpires(self.apiKey, self.apiSecret)
# Make the request
try:
req = requests.Request(verb,
url,
data=postdict,
auth=auth,
params=query)
prepped = self.session.prepare_request(req)
response = self.session.send(prepped, timeout=timeout)
# Make non-200s throw
response.raise_for_status()
except requests.exceptions.HTTPError, e:
# 401 - Auth error. Re-auth and re-run this request.
if response.status_code == 401:
if self.token is None:
self.logger.error(
"Login information or API Key incorrect, please check and restart."
)
self.logger.error("Error: " + response.text)
if postdict:
self.logger.error(postdict)
exit(1)
self.logger.warning("Token expired, reauthenticating...")
sleep(1)
self.authenticate()
return self._curl_bitmex(api, query, postdict, timeout, verb)
# 404, can be thrown if order canceled does not exist.
elif response.status_code == 404:
if verb == 'DELETE':
self.logger.error("Order not found: %s" %
postdict['orderID'])
return
self.logger.error("Unable to contact the BitMEX API (404). " +
"Request: %s \n %s" %
(url, json.dumps(postdict)))
exit(1)
# 429, ratelimit
elif response.status_code == 429:
self.logger.error(
"Ratelimited on current request. Sleeping, then trying again. Try fewer "
+
"order pairs or contact [email protected] to raise your limits. "
+ "Request: %s \n %s" % (url, json.dumps(postdict)))
sleep(1)
return self._curl_bitmex(api, query, postdict, timeout, verb)
# 503 - BitMEX temporary downtime, likely due to a deploy. Try again
elif response.status_code == 503:
self.logger.warning(
"Unable to contact the BitMEX API (503), retrying. " +
"Request: %s \n %s" % (url, json.dumps(postdict)))
sleep(1)
return self._curl_bitmex(api, query, postdict, timeout, verb)
# Unknown Error
else:
self.logger.error(
"Unhandled Error: %s: %s %s" %
(e, e.message, json.dumps(response.json(), indent=4)))
self.logger.error("Endpoint was: %s %s" % (verb, api))
exit(1)
except requests.exceptions.Timeout, e:
# Timeout, re-run this request
self.logger.warning("Timed out, retrying...")
return self._curl_bitmex(api, query, postdict, timeout, verb)