def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
api_key=None, api_secret=None)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
while(ws.ws.sock.connected):
logger.info("Ticker: %s" % ws.get_ticker())
if ws.api_key:
logger.info("Funds: %s" % ws.funds())
logger.info("Market Depth: %s" % ws.market_depth())
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
sleep(10)
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add an auth method. You can use login/password
# or api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBT24H",
login="******", password="******", api_key=None, api_secret=None)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
while(ws.ws.sock.connected):
logger.info("Ticker: %s" % ws.get_ticker())
logger.info("Funds: %s" % ws.funds())
logger.info("Market Depth: %s" % ws.market_depth())
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
sleep(10)
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
api_key=None, api_secret=None)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
while(ws.ws.sock.connected):
logger.info("Ticker: %s" % ws.get_ticker())
if ws.config['api_key']:
logger.info("Funds: %s" % ws.funds())
logger.info("Market Depth: %s" % ws.market_depth())
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
sleep(10)
def update_mkt():
ws_mkt = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
api_key=None, api_secret=None)
while (ws_mkt.ws.sock.connected):
market=ws_mkt.market_depth()
market_order=dict()
market_order["symbol"]=[]
market_order["id"]=[]
market_order["side"]=[]
market_order["size"]=[]
market_order["price"]=[]
for i in market:
market_order["symbol"].append(i["symbol"])
market_order["id"].append(i["id"])
market_order["side"].append(i["side"])
market_order["size"].append(i["size"])
market_order["price"].append(i["price"])
db.mkt.update_one({"_id":"market"},{"$set":market_order})
def run():
logger = setup_logger()
config = configparser.ConfigParser()
config.read('config/config.ini')
ws = BitMEXWebsocket(endpoint=config['bitmex']['endpoint'], symbol="XBTUSD",
api_key=config['bitmex']['api_key'], api_secret=config['bitmex']['api_secret'])
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
while(ws.ws.sock.connected):
logger.info("Ticker: %s" % ws.get_ticker())
if ws.api_key:
logger.info("Funds: %s" % ws.funds())
logger.info("Market Depth: %s" % ws.market_depth())
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
sleep(10)
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(
endpoint="wss://testnet.bitmex.com/realtime",
symbol="XBTUSD",
api_key="wwvS30igJDo6Ksxa0h2EP1Eq",
api_secret="-DOHRIUObpSQilqyr2y18YcTRi5NWFIV95du4i8rG4VveOBI")
logger.info("Instrument data: {}".format(ws.get_instrument()))
# Run forever
while (ws.ws.sock.connected):
logger.info("Ticker: %s" % ws.get_ticker())
if ws.config['api_key']:
logger.info("Funds: %s" % ws.funds())
logger.info("Market Depth: %s" % ws.market_depth())
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
sleep(10)
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add an auth method. You can use login/password
# or api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1",
symbol="XBT24H",
login="******",
password="******",
api_key=None,
api_secret=None)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
while (ws.ws.sock.connected):
logger.info("Ticker: %s" % ws.get_ticker())
logger.info("Funds: %s" % ws.funds())
logger.info("Market Depth: %s" % ws.market_depth())
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
sleep(10)
class BitMexWS(object):
"""
适合订阅数据
"""
def __init__(self, api_key=None, api_secret=None, symbol="XBTUSD"):
endpoint = "https://testnet.bitmex.com/api/v1"
if api_key:
endpoint = "https://www.bitmex.com/api/v1"
self.ws = BitMEXWebsocket(endpoint=endpoint,
symbol=symbol,
api_key=api_key,
api_secret=api_secret)
def run(self):
logger = self.setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
logger.info("Instrument data: %s" % self.ws.get_instrument())
# Run forever
while self.ws.ws.sock.connected:
logger.info("Ticker: %s" % self.ws.get_ticker())
if self.ws.api_key:
logger.info("Funds: %s" % self.ws.funds())
logger.info("Market Depth: %s" % self.ws.market_depth())
logger.info("Recent Trades: %s\n\n" % self.ws.recent_trades())
sleep(10)
def setup_logger(self):
# Prints logger info to terminal
logger = logging.getLogger()
logger.setLevel(logging.INFO) # Change this to DEBUG if you want a lot more info
ch = logging.StreamHandler()
# create formatter
formatter = logging.Formatter("%(asctime)s - %(name)s - %(levelname)s - %(message)s")
# add formatter to ch
ch.setFormatter(formatter)
logger.addHandler(ch)
return logger
def run():
if "BITMEX_API_KEY" not in os.environ:
print("BITMEX_API_KEY env var must be set")
exit(1)
if "BITMEX_API_SECRET" not in os.environ:
print("BITMEX_API_SECRET env var must be set")
exit(1)
bq = BigQuery(table="XBTUSD_orderbook", dataset="bitmex", schema=schema)
logger = setup_logger()
ws = BitMEXWebsocket(endpoint="https://www.bitmex.com/api/v1",
symbol="XBTUSD",
api_key=os.environ.get('BITMEX_API_KEY'),
api_secret=os.environ.get('BITMEX_API_SECRET'))
while (ws.ws.sock.connected):
if ws.api_key:
rows_to_insert = ws.market_depth()
errors = bq.client.insert_rows(bq.tbl, rows_to_insert)
if errors != []:
print(errors)
def is_executed(self, order_info):
symbol = order_info['symbol']
side = order_info['side']
price = None
#check if the order is limit order
if 'price' in order_info:
price = order_info['price']
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1",
symbol=symbol,
api_key=self.api_key,
api_secret=self.api_secret)
for order in ws.market_depth():
# checking existed orders in market glass for deal
if side == 'Buy' and order['side'] == "Sell" and price == order[
'price'] and self.accumulated_sum >= price:
return True
elif side == 'Sell' and order['side'] == 'Buy' and price == order[
'price']:
return True
return False
class Future:
def __init__(self, apiconfpth=kfpth):
f = open(apiconfpth, 'r')
lines = f.readlines()
f.close()
apikey = lines[0].replace('\r', '').replace('\n', '')
secretkey = lines[1].replace('\r', '').replace('\n', '')
self.client = bitmex.bitmex(test=True,
api_key=apikey,
api_secret=secretkey)
# https://www.bitmex.com/realtime
# https://www.bitmex.com/api/v1
self.ws = BitMEXWebsocket(
endpoint="https://testnet.bitmex.com/realtime",
symbol="XBTUSD",
api_key=None,
api_secret=None)
self.logger = self.setup_logger()
self.logger.info("Instrument data: %s" % self.ws.get_instrument())
AlarmPrice.initAlarmObj(self.ws)
def startAlarm(self, price):
AlarmPrice.startAlarm(price)
def stopAlarm(self):
AlarmPrice.stopAlarm()
def isAlarmWork(self):
return AlarmPrice.isWork()
def setup_logger(self):
# Prints logger info to terminal
logger = logging.getLogger()
logger.setLevel(
logging.INFO) # Change this to DEBUG if you want a lot more info
ch = logging.StreamHandler()
# create formatter
formatter = logging.Formatter(
"%(asctime)s - %(name)s - %(levelname)s - %(message)s")
# add formatter to ch
ch.setFormatter(formatter)
logger.addHandler(ch)
return logger
#期货下单
def future_trade(self,
symbol,
contractType,
price='',
amount='',
tradeType='',
matchPrice='',
leverRate=''):
if symbol == 'XBT':
if contractType == 'XBTUSD':
return self.future_trade_xbtusd(price, amount, tradeType)
else:
print('合约交易类型%s不可用:' % (contractType))
else:
print('市场类型%s不可用:' % (symbol))
res = None
return res
def future_trade_xbtusd(self, price, amount, tradeType):
res = None
tmpprice = '%.1f' % (float(price))
print('-----------------------')
print(self.client.Order.__dict__)
print(dir(self.client.Order))
if tradeType == '1': #开多
print('开多:', tmpprice, amount)
res = self.client.Order.Order_new(symbol='XBTUSD',
orderQty=int(amount),
price=float(tmpprice)).result()
elif tradeType == '3': #平多
print('平多:', tmpprice, amount)
res = self.client.Order.Order_new(symbol='XBTUSD',
orderQty=-int(amount),
execInst='Close',
price=float(tmpprice)).result()
elif tradeType == '2': #开空
print('开空:', tmpprice, amount)
res = self.client.Order.Order_new(symbol='XBTUSD',
orderQty=-int(amount),
price=float(tmpprice)).result()
elif tradeType == '4': #平空
print('平空:', tmpprice, amount)
#Order_new
res = self.client.Order.Order_new(symbol='XBTUSD',
orderQty=int(amount),
execInst='Close',
price=float(tmpprice)).result()
else:
print('tradeType,下单类型设置错误:', tradeType)
return res[0]
#OKCoin期货市场深度信息
def future_depth(self, symbol, contractType, size):
if symbol == 'XBT':
if contractType == 'XBTUSD':
return self.future_depth_xbtusd(size)
else:
print('合约交易类型%s不可用:' % (contractType))
else:
print('市场类型%s不可用:' % (symbol))
return None
def future_depth_xbtusd(self, size):
if self.ws.ws.sock.connected:
depthdat = self.ws.market_depth()
# logger.info("Market Depth: %s" % depthdat)
print(type(depthdat), len(depthdat))
sells = []
buys = []
for d in depthdat:
if d['symbol'] == 'XBTUSD':
if d['side'] == 'Buy':
buys.append([d['price'], d['size']])
elif d['side'] == 'Sell':
sells.append([d['price'], d['size']])
sells.sort()
backsells = sells[:size]
print(backsells)
print('----------')
buys.sort(reverse=True)
backbuys = buys[:size]
print(backbuys)
return backbuys, backsells[::-1]
else:
print('websocket连接错误')
# self.ws.ws.sock.connect()
return None, None
#期货取消所有定单订单
def future_cancel(self, symbol, contractType, orderId):
res = None
if orderId == '' or (not orderId):
res = self.client.Order.Order_cancelAll().result()
print(res)
else:
res = self.client.Order.Order_cancel(orderId).result()
print(res)
return res
#期货获取订单信息
def future_orderinfo(self, symbol, contractType, orderId, status,
currentPage, pageLength):
pass
# FUTURE_ORDERINFO = "/api/v1/future_order_info.do?"
# params = {
# 'api_key':self.__apikey,
# 'symbol':symbol,
# 'contract_type':contractType,
# 'order_id':orderId,
# 'status':status,
# 'current_page':currentPage,
# 'page_length':pageLength
# }
# params['sign'] = buildMySign(params,self.__secretkey)
# return httpPost(self.__url,FUTURE_ORDERINFO,params)
#-------------
#OKCOIN期货行情信息
def future_ticker(self, symbol, contractType):
pass
# FUTURE_TICKER_RESOURCE = "/api/v1/future_ticker.do"
# params = ''
# if symbol:
# params += '&symbol=' + symbol if params else 'symbol=' +symbol
# if contractType:
# params += '&contract_type=' + contractType if params else 'contract_type=' +symbol
# return httpGet(self.__url,FUTURE_TICKER_RESOURCE,params)
#OKCoin期货交易记录信息
def future_trades(self, symbol, contractType):
pass
# FUTURE_TRADES_RESOURCE = "/api/v1/future_trades.do"
# params = ''
# if symbol:
# params += '&symbol=' + symbol if params else 'symbol=' +symbol
# if contractType:
# params += '&contract_type=' + contractType if params else 'contract_type=' +symbol
# return httpGet(self.__url,FUTURE_TRADES_RESOURCE,params)
#OKCoin期货指数
def future_index(self, symbol):
pass
# FUTURE_INDEX = "/api/v1/future_index.do"
# params=''
# if symbol:
# params = 'symbol=' +symbol
# return httpGet(self.__url,FUTURE_INDEX,params)
#获取美元人民币汇率
def exchange_rate(self):
pass
# EXCHANGE_RATE = "/api/v1/exchange_rate.do"
# return httpGet(self.__url,EXCHANGE_RATE,'')
#获取预估交割价
def future_estimated_price(self, symbol):
pass
# FUTURE_ESTIMATED_PRICE = "/api/v1/future_estimated_price.do"
# params=''
# if symbol:
# params = 'symbol=' +symbol
# return httpGet(self.__url,FUTURE_ESTIMATED_PRICE,params)
#期货全仓账户信息
def future_userinfo(self):
pass
# FUTURE_USERINFO = "/api/v1/future_userinfo.do?"
# params ={}
# params['api_key'] = self.__apikey
# params['sign'] = buildMySign(params,self.__secretkey)
# return httpPost(self.__url,FUTURE_USERINFO,params)
#期货全仓持仓信息
def future_position(self, symbol, contractType):
pass
# FUTURE_POSITION = "/api/v1/future_position.do?"
# params = {
# 'api_key':self.__apikey,
# 'symbol':symbol,
# 'contract_type':contractType
# }
# params['sign'] = buildMySign(params,self.__secretkey)
# return httpPost(self.__url,FUTURE_POSITION,params)
#期货批量下单
def future_batchTrade(self, symbol, contractType, orders_data, leverRate):
pass
# FUTURE_BATCH_TRADE = "/api/v1/future_batch_trade.do?"
# params = {
# 'api_key':self.__apikey,
# 'symbol':symbol,
# 'contract_type':contractType,
# 'orders_data':orders_data,
# 'lever_rate':leverRate
# }
# params['sign'] = buildMySign(params,self.__secretkey)
# return httpPost(self.__url,FUTURE_BATCH_TRADE,params)
#期货逐仓账户信息
def future_userinfo_4fix(self):
pass
# FUTURE_INFO_4FIX = "/api/v1/future_userinfo_4fix.do?"
# params = {'api_key':self.__apikey}
# params['sign'] = buildMySign(params,self.__secretkey)
# return httpPost(self.__url,FUTURE_INFO_4FIX,params)
#期货逐仓持仓信息
def future_position_4fix(self, symbol, contractType, type1):
pass
from bitmex_websocket import BitMEXWebsocket
ws = BitMEXWebsocket(endpoint="wss://www.bitmex.com/realtime", symbol="XBTUSD")
order_book = ws.market_depth()
buy_order = {};
sell_order = {};
sorted_order = sorted(order_book, key=lambda order: order['price'])
print("\n")
for order in sorted_order:
side = order['side']
size = order['size']
price = order['price']
print(side, price, size)
if(side == "Buy"):
buy_order[price] = size
elif(side == "Sell"):
sell_order[price] = size
print("\n")
print(buy_order.keys())
def algo_run(self):
# get prices of futures with http or we can do it with websocket, now I chose http protocol
XBTM20_price = self.client.Trade.Trade_get(
symbol='XBTM20').result()[0][0]['price']
XBTU20_price = self.client.Trade.Trade_get(
symbol='XBTU20').result()[0][0]['price']
# fixed middle spread
mid_spred = (XBTU20_price - XBTM20_price) / 2
# websocket for XBTM20
ws_XBTM20 = BitMEXWebsocket(
endpoint="https://testnet.bitmex.com/api/v1",
symbol="XBTM20",
api_key=self.api_key,
api_secret=self.api_secret)
# websocket for XBTU20
ws_XBTU20 = BitMEXWebsocket(
endpoint="https://testnet.bitmex.com/api/v1",
symbol="XBTU20",
api_key=self.api_key,
api_secret=self.api_secret)
while ws_XBTM20.ws.sock.connected and ws_XBTU20.ws.sock.connected:
# finding the best bid price for XBTM20 in the market glass
best_bid_XBTM20_price = 0
depths = ws_XBTM20.market_depth()
for depth in depths:
if depth['side'] == 'Buy':
best_bid_XBTM20_price = max(depth['price'],
best_bid_XBTM20_price)
# finding the best ask price for XBTM20 in the market glass
best_ask_XBTM20_price = 1e10
for depth in depths:
if depth['side'] == 'Sell':
best_ask_XBTM20_price = min(depth['price'],
best_ask_XBTM20_price)
# Если открытая позиция на XBTM20 >= Максимальный размер накопленной позиции,
# перестать квотировать Limit Buy order. В противном случае квотировать Buy
# сторону по условиям 100% времени.
if self.orders_XBTM20 * self.inventory <= best_ask_XBTM20_price:
# stop quoting the Limit Buy order
self.isBuyXBTM20 = False
else:
# quoting the Limit Buy order
self.isBuyXBTM20 = True
# Если открытая позиция на XBTM20 <= -Максимальный размер накопленной позиции,
# перестать квотировать Limit Sell order. В противном случае квотировать Sell
# сторону по условиям 100% времени.
if -self.orders_XBTM20 * self.inventory >= best_bid_XBTM20_price:
# stop quoting the Limit Sell order
self.isSellXBTM20 = False
else:
# quoting the Limit Sell order
self.isSellXBTM20 = True
if self.isSellXBTM20:
# ------------ sell limit order XBTM20 --------------
# finding best ask price for XBTU20 in market glass
best_ask_XBTU20_price = 1e10
for depth in ws_XBTU20.market_depth():
if depth['side'] == 'Sell':
best_ask_XBTU20_price = min(depth['price'],
best_ask_XBTU20_price)
# using following formula
# best ask price XBTU20 - limit price XBTM20 = mid_spred - 5
limit_price_XBTM20 = best_ask_XBTU20_price - mid_spred + 5
sell_order_info_XBTM20 = {
'symbol': 'XBTM20',
'price': round(limit_price_XBTM20),
'orderQty': 1,
'side': 'Sell'
}
self.place_order(sell_order_info_XBTM20)
if self.is_executed(sell_order_info_XBTM20):
self.accumulated_sum += sell_order_info_XBTM20['price']
self.orders_XBTM20 -= 1
# ---------------------------------------------------
if self.isBuyXBTM20:
# ------------ buy limit order XBTM20 --------------
# finding best bid price for XBTU20 in market glass
best_bid_XBTU20_price = 0
for depth in ws_XBTU20.market_depth():
if depth['side'] == 'Buy':
best_bid_XBTU20_price = max(depth['price'],
best_bid_XBTU20_price)
# using following formula
# best bid price XBTU20 - limit price XBTM20 = mid_spred - 5
limit_price_XBTM20 = best_bid_XBTU20_price - mid_spred + 5
buy_order_info_XBTM20 = {
'symbol': 'XBTM20',
'price': round(limit_price_XBTM20),
'orderQty': 1,
'side': 'Buy'
}
self.place_order(buy_order_info_XBTM20)
if self.is_executed(buy_order_info_XBTM20):
self.accumulated_sum -= buy_order_info_XBTM20['price']
self.orders_XBTM20 += 1
# ---------------------------------------------------
print("OK")
sleep(10)
class Main():
def __init__(self):
self.ws = BitMEXWebsocket(
endpoint="wss://www.bitmex.com/realtime",
symbol="XBTUSD",
api_key='68_LZNeK1m7TEwnksVTe_7ig',
api_secret='wKJXpjr6Y28BNDF4G97TBevkzLG0HVOurFDBn2dx42Sf_Aga')
self.client = MongoClient('mongodb://localhost:27017/')
self.db = self.client.main_database
self.order_book = self.db.orderbook
self.position = self.db.position
self.balance = self.db.balance
#uncomment these 3 methods to check out the db
#to see orderbooks
#self.check_db(self.find_all_orderbook())
#to see position
#self.check_db(self.find_all_positions())
#to see balance
#self.check_db(self.find_all_balance())
self.__on_open()
self.fetch_data()
def check_db(self, objects):
for object in objects:
self.logger(object)
def logger(self, object):
print(object)
def find_all_positions(self):
# Returns a list
return self.position.find({})
def find_all_balance(self):
# Returns a list
return self.balance.find({})
def find_all_orderbook(self):
# Returns a list
return self.order_book.find({})
def list_db_collections(self):
return self.db.list_collection_names()
def __on_open(self):
# Called when the WS opens.
self.logger("Websocket Opened.")
def __on_close(self):
# Called on websocket close.
self.logger('Websocket Closed')
def fetch_data(self):
# Balance
funds = self.ws.funds()
# Position
positions = self.ws.recent_trades()
# Order Book
orderbook = self.ws.market_depth()
self.__on_close(funds, positions, orderbook)
def __on_open(self):
'''Called when the WS opens.'''
self.logger("Websocket Opened.")
def __on_close(self, funds, positions, orderbook):
'''Called on websocket close.'''
# --- SAVE TO DB ---- #
self.balance.insert_one(funds)
for position in positions:
self.position.insert_one(position)
for trade in orderbook:
self.order_book.insert_one(trade)
# --- SAVE TO DB ---- #
self.logger('Websocket Closed')
pyclient = pymongo.MongoClient("mongodb://*****:*****@localhost:27017/")
pydb = pyclient["deribit"]
from bitmex_websocket import BitMEXWebsocket
from time import sleep
first = True
import calendar;
import time
trdMatchIDs = []
while True:
ws = BitMEXWebsocket(endpoint="https://www.bitmex.com/api/v1", symbol="XBTUSD", api_key=api_key, api_secret=api_secret)
try:
while(ws.ws.sock.connected):
depth = (ws.market_depth())
asks = []
bids = []
for bidask in depth:
if bidask['side'] == 'Buy':
bids.append(bidask)
else:
asks.append(bidask)
bidsnew = sorted(bids, key=lambda k: k['price'])
asksnew = sorted(asks, key=lambda k: k['price'])
bidsarr = []
asksarr = []
for i in range(0, 9):
bidsarr.append(bidsnew[(i +1 ) *-1])
asksarr.append(asksnew[i])
Z17_buffer1 = np.zeros(Nbuffer)
diff_buffer1 = np.zeros(Nbuffer)
diff_buffer2 = np.zeros(Nbuffer)
long_buffer1 = np.zeros(Nlong)
long_buffer2 = np.zeros(Nlong)
trade_buffer_Z17 = np.zeros(Ntrade)
trade_buffer_XBT = np.zeros(Ntrade)
long_std = 0.0
logging.basicConfig(filename='myTrade.log', level=logging.INFO)
logging.info("############ Date ############: %s" %
time.strftime("%Y:%m:%d:%H:%M:%S"))
# realtime market info.
depth25USD = wsUSD.market_depth()
depth25Z17 = wsZ17.market_depth()
# Begin Trading
while (1):
iter = iter + 1
[Z17_price1, Z17_tradeType1] = bit_compute(amount_usd,
depth25Z17) # buy Z17
Z17_buffer1[iter % Nbuffer] = Z17_price1
std1 = np.std(Z17_buffer1)
[Z17_price2, Z17_tradeType2] = bit_compute(-amount_usd,
depth25Z17) # sell Z17
Z17_buffer2[iter % Nbuffer] = Z17_price2
std2 = np.std(Z17_buffer2)
