def __init__(self, exchange_name, ticker, delay=1000):
threading.Thread.__init__(self)
self.exchange_name = exchange_name
self.ticker = ticker
self.api = exchanges.get_exchange(exchange_name)
self.delay = delay
self.runloop = True
def exchange(exchange_list):
results = []
for en in exchange_list:
try:
e = exchanges.get_exchange(en.lower())
except:
results.append("Uknown exchange %s" % en)
continue
results.append("%s:\n" % en)
for ul in e.get_supported_underlyings():
bid = e.get_quote(ul, 'bid')
ask = e.get_quote(ul, 'ask')
last = e.get_quote(ul, 'last')
if bid == 0 or ask == 0:
spread = 1
else:
spread = (ask - bid) / ((ask + bid) / 2)
if last > 1:
results.append(
"%s: Last trade %.2f. Market %.2f/ %.2f (%.1f%% wide)" %
(ul, last, bid, ask, spread * 100))
else:
results.append(
"%s: Last trade %.3g. Market %.3g / %.3g (%.1f%% wide)" %
(ul, last, bid, ask, spread * 100))
results.append("--------------")
return results
def __init__(self, exchange_name, ticker, delay=1000):
threading.Thread.__init__(self)
self.exchange_name = exchange_name
self.ticker = ticker
self.api = exchanges.get_exchange(exchange_name)
self.delay = delay
self.runloop = True
def bitmex(fut):
if fut[:3] == 'XBT':
exch = ['gdax', 'bitstamp']
spot = 'BTCUSD'
else:
exch = ['poloniex']
spot = fut[:3] + 'BTC'
fut_stream = bm.get_stream(fut)
if fut_stream == None:
fut_stream = bm.init_symbol(fut)
fut_bid = bm.get_quote(fut, 'bid')
fut_ask = bm.get_quote(fut, 'ask')
if fut_bid == None or fut_ask == None:
message = "Something went wrong, check future code"
return message
spot_bid = 0
spot_ask = 0
i = 0
for en in exch:
e = exchanges.get_exchange(en)
spot_bid += e.get_quote(spot, 'bid')
spot_ask += e.get_quote(spot, 'ask')
i += 1
spot_bid = float(spot_bid / i)
spot_ask = float(spot_ask / i)
basis_bid = fut_bid - spot_ask
basis_ask = fut_ask - spot_bid
spot_mid = (spot_bid + spot_ask) / 2
fut_mid = (fut_ask + fut_bid) / 2
basis_mid = (basis_ask + basis_bid) / 2
if basis_ask < 0:
basis_premium = 100 * basis_ask / spot_mid
else:
basis_premium = 100 * basis_bid / spot_mid
if spot_bid > 1:
message = "Spot %s price is %.2f: %.2f / %.2f" % (
spot, spot_mid, spot_bid, spot_ask) + '\n'
message += "Fut %s price is %.2f: %.2f / %.2f" % (
fut, fut_mid, fut_bid, fut_ask) + '\n'
message += "Basis is %.2f: %.2f / %.2f. Premium of %.1f%%" % (
basis_mid, basis_bid, basis_ask, basis_premium)
else:
message = "Spot %s price is %.4g: %.4g / %.4g" % (
spot, spot_mid, spot_bid, spot_ask) + '\n'
message += "Fut %s price is %.4g: %.4g / %.4g" % (
fut, fut_mid, fut_bid, fut_ask) + '\n'
message += "Basis is %.4g: %.4g / %.4g. Premium of %.1f%%" % (
basis_mid, basis_bid, basis_ask, basis_premium)
return message
def fx(underlying, exchange, cross_ccy):
FORCCY = underlying[:3].upper()
DOMCCY = underlying[-3:].upper()
if cross_ccy in ('USD', 'EUR', 'JPY'):
FORPAIR = DOMCCY + cross_ccy
DOMPAIR = FORCCY + cross_ccy
else:
FORPAIR = cross_ccy + FORCCY
DOMPAIR = cross_ccy + DOMCCY
if exchange == "all":
forExchanges = exchanges.get_exchanges_list_for_underlying(FORPAIR)
domExchanges = exchanges.get_exchanges_list_for_underlying(DOMPAIR)
intersectExchanges = list(set(forExchanges).intersection(domExchanges))
elif exchange.lower() not in exchanges.get_exchanges_list():
return ['Unsupported exchange %s' % exchange]
else:
if (FORPAIR in exchanges.get_exchange(
exchange.lower()).get_supported_underlyings()) and (
DOMPAIR in exchanges.get_exchange(
exchange.lower()).get_supported_underlyings()):
intersectExchanges = [exchange]
else:
return [
"Exchange %s does not support %s and %s" %
(exchange, FORPAIR, DOMPAIR)
]
results = []
if cross_ccy in ('USD', 'EUR', 'JPY'):
e = exchanges.get_exchange(intersectExchanges[0].lower())
fxRate = float(e.get_quote(underlying, 'last'))
results.append('%s rate for %s is %.5g' %
(intersectExchanges[0], underlying, fxRate))
else:
url = 'http://www.apilayer.net/api/live?access_key=' + CL_API_KEY + '¤cies=' + FORCCY + ',' + DOMCCY
r = requests.get(url)
r.raise_for_status()
j = r.json()
if j['success']:
domOfficialRate = r.json()['quotes']['USD' + DOMCCY]
forOfficialRate = r.json()['quotes']['USD' + FORCCY]
fxRate = domOfficialRate / forOfficialRate
results.append('Currency Layer %s FX rate is %.5g' %
(underlying, fxRate))
else:
fxRate = 0
results.append('Could not retrieve %s FX rate from CurrencyLayer' %
underlying)
results.append('Using %s as the cross currency: %s and %s' %
(cross_ccy.upper(), FORPAIR, DOMPAIR))
for exch in intersectExchanges:
e = exchanges.get_exchange(exch.lower())
try:
fx_bid = e.get_quote(DOMPAIR, 'bid') / e.get_quote(FORPAIR, 'ask')
fx_ask = e.get_quote(DOMPAIR, 'ask') / e.get_quote(FORPAIR, 'bid')
if fxRate != 0 and (fx_bid > fxRate or fx_ask < fxRate):
if fx_bid > fxRate:
arb = 100 * (float(fx_bid) / fxRate - 1)
else:
arb = 100 * (fxRate / float(fx_ask) - 1)
results.append(
'%s on %s: bid %.5g / %.5g ask. %.2f%% arb vs %.5g official rate'
% (underlying, exch, fx_bid, fx_ask, arb, fxRate))
else:
results.append('%s on %s: bid %.5g / %.5g ask' %
(underlying, exch, fx_bid, fx_ask))
except ZeroDivisionError:
results.append('%s: one of the quotes is worth 0' % exch)
return results
def price(underlying, exchange_list):
if underlying == 'BITCOIN':
underlying = 'BTCUSD'
all_requested = False
if exchange_list == ['all']:
all_requested = True
exchange_list = exchanges.get_exchanges_list_for_underlying(underlying)
if exchange_list == []:
return ['No exchange support %s' % underlying]
bestbid = 0.00000001
bestask = 1000000000
bestspread = 100
bestbid_exch = exchange_list[0]
bestask_exch = exchange_list[0]
bestspread_exch = exchange_list[0]
results = []
i = 0
for exchange_name in exchange_list:
if exchange_name.lower() in exchanges.exchange_list.keys():
exchange = exchanges.get_exchange(exchange_name.lower())
if underlying in exchange.get_supported_underlyings():
bid = exchange.get_quote(underlying, 'bid')
ask = exchange.get_quote(underlying, 'ask')
try:
price = (bid + ask) / 2
spread = 100 * (ask - bid) / price
if not all_requested or spread < 3.5:
if bid > bestbid:
bestbid = bid
bestbid_exch = exchange_name
if ask < bestask:
bestask = ask
bestask_exch = exchange_name
if spread < bestspread:
bestspread = spread
bestspread_exch = exchange_name
i = i + 1
if price > 1:
results.append(
"%s %s price is %.2f: %.2f / %.2f (%.2f%% wide)" %
(exchange_name, underlying, price, bid, ask,
spread))
else:
results.append(
"%s %s price is %.4g: %.4g / %.4g (%.2f%% wide)" %
(exchange_name, underlying, price, bid, ask,
spread))
except:
results.append("%s price update failed" % exchange_name)
else:
results.append('%s not supported for %s' %
(underlying, exchange_name))
else:
results.append("Unknown exchange: %s" % exchange_name)
if i >= 2:
spread = 100 * (bestask / bestbid - 1)
if price > 1:
results.append(
"Max bid is on %s: %.2f\nMin offer is on %s: %.2f.\nBest spread is on %s: %.2f%%\nAggregated price is %.1f%% wide (negative means arbitrageable)"
% (bestbid_exch, bestbid, bestask_exch, bestask,
bestspread_exch, bestspread, spread))
else:
results.append(
"Max bid is on %s: %.4g\nMin offer is on %s: %.4g.\nBest spread is on %s: %.2f%%\nAggregated price is %.1f%% wide (negative means arbitrageable)"
% (bestbid_exch, bestbid, bestask_exch, bestask,
bestspread_exch, bestspread, spread))
return results
import exchanges
import requests
import math
logging.basicConfig(
format='%(asctime)s - %(name)s - %(levelname)s-%(message)s',
level=logging.INFO)
logger = logging.getLogger(__name__)
BOTNAME = '@BotName_Bot'
TOKEN = 'TOKEN'
CL_API_KEY = 'CLAPIKEY'
millnames = ['', ' k', ' mio', ' bio', ' trillion']
bm = exchanges.get_exchange('bitmex')
def millify(n):
try:
n = float(n)
except:
n = 0
millidx = max(
0,
min(
len(millnames) - 1,
int(math.floor(0 if n == 0 else math.log10(abs(n)) / 3))))
return '{:.1f}{}'.format(n / 10**(3 * millidx), millnames[millidx])
import exchanges
print(exchanges.get_exchanges_list())
print(exchanges.get_underlyings_list())
print(exchanges.get_exchanges_list_for_underlying('ETHBTC'))
# exchanges.get_all_quotes(['XRPBTC'])
for en in ['kraken', 'bitfinex', 'bittrex']:
e = exchanges.get_exchange(en)
print('== %s ==' % en)
for u in e.get_supported_underlyings():
print(u)
bid = e.get_quote(u, 'bid')
ask = e.get_quote(u, 'ask')
print('[%s, %s]' % (bid, ask))