async def _funding(self, msg: dict, pair: str, timestamp: float):
if 'funding_rate' in msg:
f = Funding(
self.id,
pair,
None,
msg['funding_rate'],
self.timestamp_normalize(msg['next_funding_rate_time']),
self.timestamp_normalize(msg['time']),
predicted_rate=msg['funding_rate_prediction'],
raw=msg
)
await self.callback(FUNDING, f, timestamp)
oi = msg['openInterest']
if pair in self._open_interest_cache and oi == self._open_interest_cache[pair]:
return
self._open_interest_cache[pair] = oi
o = OpenInterest(
self.id,
pair,
oi,
self.timestamp_normalize(msg['time']),
raw=msg
)
await self.callback(OPEN_INTEREST, o, timestamp)
async def _open_interest(self, msg: dict, timestamp: float):
"""
{
'arg': {
'channel': 'open-interest',
'instId': 'BTC-USDT-SWAP
},
'data': [
{
'instId': 'BTC-USDT-SWAP',
'instType': 'SWAP',
'oi':'565474',
'oiCcy': '5654.74',
'ts': '1630338003010'
}
]
}
"""
symbol = self.exchange_symbol_to_std_symbol(msg['arg']['instId'])
for update in msg['data']:
oi = OpenInterest(self.id,
symbol,
Decimal(update['oi']),
self.timestamp_normalize(int(update['ts'])),
raw=update)
await self.callback(OPEN_INTEREST, oi, timestamp)
async def _open_interest(self, msg: dict, timestamp: float):
"""
{
"openInterest": "10659.509",
"symbol": "BTCUSDT",
"time": 1589437530011 // Transaction time
}
"""
pair = msg['symbol']
oi = msg['openInterest']
if oi != self._open_interest_cache.get(pair, None):
o = OpenInterest(self.id,
self.exchange_symbol_to_std_symbol(pair),
Decimal(oi),
self.timestamp_normalize(msg['time']),
raw=msg)
await self.callback(OPEN_INTEREST, o, timestamp)
self._open_interest_cache[pair] = oi
async def _open_interest(self, pairs: Iterable):
"""
{
"success": true,
"result": {
"volume": 1000.23,
"nextFundingRate": 0.00025,
"nextFundingTime": "2019-03-29T03:00:00+00:00",
"expirationPrice": 3992.1,
"predictedExpirationPrice": 3993.6,
"strikePrice": 8182.35,
"openInterest": 21124.583
}
}
"""
while True:
for pair in pairs:
# OI only for perp and futures, so check for / in pair name indicating spot
if '/' in pair:
continue
end_point = f"https://ftx.com/api/futures/{pair}/stats"
data = await self.http_conn.read(end_point)
received = time()
data = json.loads(data, parse_float=Decimal)
if 'result' in data:
oi = data['result']['openInterest']
if oi != self._open_interest_cache.get(pair, None):
o = OpenInterest(
self.id,
self.exchange_symbol_to_std_symbol(pair),
oi,
None,
raw=data)
await self.callback(OPEN_INTEREST, o, received)
self._open_interest_cache[pair] = oi
await asyncio.sleep(1)
await asyncio.sleep(60)
async def _instrument_info(self, msg: dict, timestamp: float):
"""
### Snapshot type update
{
"topic": "instrument_info.100ms.BTCUSD",
"type": "snapshot",
"data": {
"id": 1,
"symbol": "BTCUSD", //instrument name
"last_price_e4": 81165000, //the latest price
"last_tick_direction": "ZeroPlusTick", //the direction of last tick:PlusTick,ZeroPlusTick,MinusTick,
//ZeroMinusTick
"prev_price_24h_e4": 81585000, //the price of prev 24h
"price_24h_pcnt_e6": -5148, //the current last price percentage change from prev 24h price
"high_price_24h_e4": 82900000, //the highest price of prev 24h
"low_price_24h_e4": 79655000, //the lowest price of prev 24h
"prev_price_1h_e4": 81395000, //the price of prev 1h
"price_1h_pcnt_e6": -2825, //the current last price percentage change from prev 1h price
"mark_price_e4": 81178500, //mark price
"index_price_e4": 81172800, //index price
"open_interest": 154418471, //open interest quantity - Attention, the update is not
//immediate - slowest update is 1 minute
"open_value_e8": 1997561103030, //open value quantity - Attention, the update is not
//immediate - the slowest update is 1 minute
"total_turnover_e8": 2029370141961401, //total turnover
"turnover_24h_e8": 9072939873591, //24h turnover
"total_volume": 175654418740, //total volume
"volume_24h": 735865248, //24h volume
"funding_rate_e6": 100, //funding rate
"predicted_funding_rate_e6": 100, //predicted funding rate
"cross_seq": 1053192577, //sequence
"created_at": "2018-11-14T16:33:26Z",
"updated_at": "2020-01-12T18:25:16Z",
"next_funding_time": "2020-01-13T00:00:00Z", //next funding time
//the rest time to settle funding fee
"countdown_hour": 6 //the remaining time to settle the funding fee
},
"cross_seq": 1053192634,
"timestamp_e6": 1578853524091081 //the timestamp when this information was produced
}
### Delta type update
{
"topic": "instrument_info.100ms.BTCUSD",
"type": "delta",
"data": {
"delete": [],
"update": [
{
"id": 1,
"symbol": "BTCUSD",
"prev_price_24h_e4": 81565000,
"price_24h_pcnt_e6": -4904,
"open_value_e8": 2000479681106,
"total_turnover_e8": 2029370495672976,
"turnover_24h_e8": 9066215468687,
"volume_24h": 735316391,
"cross_seq": 1053192657,
"created_at": "2018-11-14T16:33:26Z",
"updated_at": "2020-01-12T18:25:25Z"
}
],
"insert": []
},
"cross_seq": 1053192657,
"timestamp_e6": 1578853525691123
}
"""
update_type = msg['type']
if update_type == 'snapshot':
updates = [msg['data']]
else:
updates = msg['data']['update']
for info in updates:
if msg['topic'] in self._instrument_info_cache and self._instrument_info_cache[msg['topic']] == updates:
continue
else:
self._instrument_info_cache[msg['topic']] = updates
ts = int(msg['timestamp_e6']) / 1_000_000
if 'open_interest' in info:
oi = OpenInterest(
self.id,
self.exchange_symbol_to_std_symbol(info['symbol']),
Decimal(info['open_interest']),
ts,
raw=info
)
await self.callback(OPEN_INTEREST, oi, timestamp)
if 'index_price_e4' in info:
i = Index(
self.id,
self.exchange_symbol_to_std_symbol(info['symbol']),
Decimal(info['index_price_e4']) * Decimal('1e-4'),
ts,
raw=info
)
await self.callback(INDEX, i, timestamp)
if 'funding_rate_e6' in info:
f = Funding(
self.id,
self.exchange_symbol_to_std_symbol(info['symbol']),
None,
Decimal(info['funding_rate_e6']) * Decimal('1e-6'),
info['next_funding_time'].timestamp(),
ts,
predicted_rate=Decimal(info['predicted_funding_rate_e6']) * Decimal('1e-6'),
raw=info
)
await self.callback(FUNDING, f, timestamp)
async def _instrument(self, msg: dict, timestamp: float):
"""
Example instrument data
{
'table':'instrument',
'action':'partial',
'keys':[
'symbol'
],
'types':{
'symbol':'symbol',
'rootSymbol':'symbol',
'state':'symbol',
'typ':'symbol',
'listing':'timestamp',
'front':'timestamp',
'expiry':'timestamp',
'settle':'timestamp',
'relistInterval':'timespan',
'inverseLeg':'symbol',
'sellLeg':'symbol',
'buyLeg':'symbol',
'optionStrikePcnt':'float',
'optionStrikeRound':'float',
'optionStrikePrice':'float',
'optionMultiplier':'float',
'positionCurrency':'symbol',
'underlying':'symbol',
'quoteCurrency':'symbol',
'underlyingSymbol':'symbol',
'reference':'symbol',
'referenceSymbol':'symbol',
'calcInterval':'timespan',
'publishInterval':'timespan',
'publishTime':'timespan',
'maxOrderQty':'long',
'maxPrice':'float',
'lotSize':'long',
'tickSize':'float',
'multiplier':'long',
'settlCurrency':'symbol',
'underlyingToPositionMultiplier':'long',
'underlyingToSettleMultiplier':'long',
'quoteToSettleMultiplier':'long',
'isQuanto':'boolean',
'isInverse':'boolean',
'initMargin':'float',
'maintMargin':'float',
'riskLimit':'long',
'riskStep':'long',
'limit':'float',
'capped':'boolean',
'taxed':'boolean',
'deleverage':'boolean',
'makerFee':'float',
'takerFee':'float',
'settlementFee':'float',
'insuranceFee':'float',
'fundingBaseSymbol':'symbol',
'fundingQuoteSymbol':'symbol',
'fundingPremiumSymbol':'symbol',
'fundingTimestamp':'timestamp',
'fundingInterval':'timespan',
'fundingRate':'float',
'indicativeFundingRate':'float',
'rebalanceTimestamp':'timestamp',
'rebalanceInterval':'timespan',
'openingTimestamp':'timestamp',
'closingTimestamp':'timestamp',
'sessionInterval':'timespan',
'prevClosePrice':'float',
'limitDownPrice':'float',
'limitUpPrice':'float',
'bankruptLimitDownPrice':'float',
'bankruptLimitUpPrice':'float',
'prevTotalVolume':'long',
'totalVolume':'long',
'volume':'long',
'volume24h':'long',
'prevTotalTurnover':'long',
'totalTurnover':'long',
'turnover':'long',
'turnover24h':'long',
'homeNotional24h':'float',
'foreignNotional24h':'float',
'prevPrice24h':'float',
'vwap':'float',
'highPrice':'float',
'lowPrice':'float',
'lastPrice':'float',
'lastPriceProtected':'float',
'lastTickDirection':'symbol',
'lastChangePcnt':'float',
'bidPrice':'float',
'midPrice':'float',
'askPrice':'float',
'impactBidPrice':'float',
'impactMidPrice':'float',
'impactAskPrice':'float',
'hasLiquidity':'boolean',
'openInterest':'long',
'openValue':'long',
'fairMethod':'symbol',
'fairBasisRate':'float',
'fairBasis':'float',
'fairPrice':'float',
'markMethod':'symbol',
'markPrice':'float',
'indicativeTaxRate':'float',
'indicativeSettlePrice':'float',
'optionUnderlyingPrice':'float',
'settledPrice':'float',
'timestamp':'timestamp'
},
'foreignKeys':{
'inverseLeg':'instrument',
'sellLeg':'instrument',
'buyLeg':'instrument'
},
'attributes':{
'symbol':'unique'
},
'filter':{
'symbol':'XBTUSD'
},
'data':[
{
'symbol':'XBTUSD',
'rootSymbol':'XBT',
'state':'Open',
'typ':'FFWCSX',
'listing':'2016-05-13T12:00:00.000Z',
'front':'2016-05-13T12:00:00.000Z',
'expiry':None,
'settle':None,
'relistInterval':None,
'inverseLeg':'',
'sellLeg':'',
'buyLeg':'',
'optionStrikePcnt':None,
'optionStrikeRound':None,
'optionStrikePrice':None,
'optionMultiplier':None,
'positionCurrency':'USD',
'underlying':'XBT',
'quoteCurrency':'USD',
'underlyingSymbol':'XBT=',
'reference':'BMEX',
'referenceSymbol':'.BXBT',
'calcInterval':None,
'publishInterval':None,
'publishTime':None,
'maxOrderQty':10000000,
'maxPrice':1000000,
'lotSize':1,
'tickSize':Decimal( '0.5' ),
'multiplier':-100000000,
'settlCurrency':'XBt',
'underlyingToPositionMultiplier':None,
'underlyingToSettleMultiplier':-100000000,
'quoteToSettleMultiplier':None,
'isQuanto':False,
'isInverse':True,
'initMargin':Decimal( '0.01' ),
'maintMargin':Decimal( '0.005' ),
'riskLimit':20000000000,
'riskStep':10000000000,
'limit':None,
'capped':False,
'taxed':True,
'deleverage':True,
'makerFee':Decimal( '-0.00025' ),
'takerFee':Decimal( '0.00075' ),
'settlementFee':0,
'insuranceFee':0,
'fundingBaseSymbol':'.XBTBON8H',
'fundingQuoteSymbol':'.USDBON8H',
'fundingPremiumSymbol':'.XBTUSDPI8H',
'fundingTimestamp':'2020-02-02T04:00:00.000Z',
'fundingInterval':'2000-01-01T08:00:00.000Z',
'fundingRate':Decimal( '0.000106' ),
'indicativeFundingRate':Decimal( '0.0001' ),
'rebalanceTimestamp':None,
'rebalanceInterval':None,
'openingTimestamp':'2020-02-02T00:00:00.000Z',
'closingTimestamp':'2020-02-02T01:00:00.000Z',
'sessionInterval':'2000-01-01T01:00:00.000Z',
'prevClosePrice':Decimal( '9340.63' ),
'limitDownPrice':None,
'limitUpPrice':None,
'bankruptLimitDownPrice':None,
'bankruptLimitUpPrice':None,
'prevTotalVolume':1999389257669,
'totalVolume':1999420432348,
'volume':31174679,
'volume24h':1605909209,
'prevTotalTurnover':27967114248663460,
'totalTurnover':27967447182062520,
'turnover':332933399058,
'turnover24h':17126993087717,
'homeNotional24h':Decimal( '171269.9308771703' ),
'foreignNotional24h':1605909209,
'prevPrice24h':9348,
'vwap':Decimal( '9377.3443' ),
'highPrice':9464,
'lowPrice':Decimal( '9287.5' ),
'lastPrice':9352,
'lastPriceProtected':9352,
'lastTickDirection':'ZeroMinusTick',
'lastChangePcnt':Decimal( '0.0004' ),
'bidPrice':9352,
'midPrice':Decimal( '9352.25' ),
'askPrice':Decimal( '9352.5' ),
'impactBidPrice':Decimal( '9351.9125' ),
'impactMidPrice':Decimal( '9352.25' ),
'impactAskPrice':Decimal( '9352.7871' ),
'hasLiquidity':True,
'openInterest':983043322,
'openValue':10518563545400,
'fairMethod':'FundingRate',
'fairBasisRate':Decimal( '0.11607' ),
'fairBasis':Decimal( '0.43' ),
'fairPrice':Decimal( '9345.36' ),
'markMethod':'FairPrice',
'markPrice':Decimal( '9345.36' ),
'indicativeTaxRate':0,
'indicativeSettlePrice':Decimal( '9344.93' ),
'optionUnderlyingPrice':None,
'settledPrice':None,
'timestamp':'2020-02-02T00:30:43.772Z'
}
]
}
"""
for data in msg['data']:
if 'openInterest' in data:
ts = self.timestamp_normalize(data['timestamp'])
oi = OpenInterest(self.id, self.exchange_symbol_to_std_symbol(data['symbol']), Decimal(data['openInterest']), ts, raw=data)
await self.callback(OPEN_INTEREST, oi, timestamp)
async def _ticker(self, msg: dict, timestamp: float):
'''
{
"params" : {
"data" : {
"timestamp" : 1550652954406,
"stats" : {
"volume" : null,
"low" : null,
"high" : null
},
"state" : "open",
"settlement_price" : 3960.14,
"open_interest" : 0.12759952124659626,
"min_price" : 3943.21,
"max_price" : 3982.84,
"mark_price" : 3940.06,
"last_price" : 3906,
"instrument_name" : "BTC-PERPETUAL",
"index_price" : 3918.51,
"funding_8h" : 0.01520525,
"current_funding" : 0.00499954,
"best_bid_price" : 3914.97,
"best_bid_amount" : 40,
"best_ask_price" : 3996.61,
"best_ask_amount" : 50
},
"channel" : "ticker.BTC-PERPETUAL.raw"
},
"method" : "subscription",
"jsonrpc" : "2.0"}
'''
pair = self.exchange_symbol_to_std_symbol(
msg['params']['data']['instrument_name'])
ts = self.timestamp_normalize(msg['params']['data']['timestamp'])
t = Ticker(self.id,
pair,
Decimal(msg["params"]["data"]['best_bid_price']),
Decimal(msg["params"]["data"]['best_ask_price']),
ts,
raw=msg)
await self.callback(TICKER, t, timestamp)
if "current_funding" in msg["params"]["data"] and "funding_8h" in msg[
"params"]["data"]:
f = Funding(self.id,
pair,
Decimal(msg['params']['data']['mark_price']),
Decimal(msg["params"]["data"]["current_funding"]),
None,
ts,
raw=msg)
await self.callback(FUNDING, f, timestamp)
oi = msg['params']['data']['open_interest']
if pair in self._open_interest_cache and oi == self._open_interest_cache[
pair]:
return
self._open_interest_cache[pair] = oi
o = OpenInterest(self.id, pair, Decimal(oi), ts, raw=msg)
await self.callback(OPEN_INTEREST, o, timestamp)