def __init__(self,
probit_api_key: str,
probit_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain="com"
):
"""
:param probit_api_key: The API key to connect to private ProBit APIs.
:param probit_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
self._domain = domain
super().__init__()
self._trading_required = trading_required
self._trading_pairs = trading_pairs
self._probit_auth = ProbitAuth(probit_api_key, probit_secret_key, domain=domain)
self._order_book_tracker = ProbitOrderBookTracker(trading_pairs=trading_pairs, domain=domain)
self._user_stream_tracker = ProbitUserStreamTracker(self._probit_auth, trading_pairs, domain=domain)
self._ev_loop = asyncio.get_event_loop()
self._shared_client = None
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._in_flight_orders = {} # Dict[client_order_id:str, ProbitInFlightOrder]
self._order_not_found_records = {} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, TradingRule]
self._last_poll_timestamp = 0
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
class ProbitExchange(ExchangeBase):
"""
ProbitExchange connects with Probit exchange and provides order book pricing, user account tracking and
trading functionality.
"""
API_CALL_TIMEOUT = 10.0
SHORT_POLL_INTERVAL = 5.0
UPDATE_ORDER_STATUS_MIN_INTERVAL = 10.0
LONG_POLL_INTERVAL = 120.0
@classmethod
def logger(cls) -> HummingbotLogger:
global ctce_logger
if ctce_logger is None:
ctce_logger = logging.getLogger(__name__)
return ctce_logger
def __init__(self,
probit_api_key: str,
probit_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True
):
"""
:param probit_api_key: The API key to connect to private Probit APIs.
:param probit_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
super().__init__()
self._trading_required = trading_required
self._probit_auth = ProbitAuth(probit_api_key, probit_secret_key)
self._order_book_tracker = ProbitOrderBookTracker(trading_pairs=trading_pairs)
self._user_stream_tracker = ProbitUserStreamTracker(self._probit_auth, trading_pairs)
self._ev_loop = asyncio.get_event_loop()
self._shared_client = None
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._in_flight_orders = {} # Dict[client_order_id:str, ProbitInFlightOrder]
self._order_not_found_records = {} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, TradingRule]
self._status_polling_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
@property
def name(self) -> str:
return "probit"
@property
def order_books(self) -> Dict[str, OrderBook]:
return self._order_book_tracker.order_books
@property
def trading_rules(self) -> Dict[str, TradingRule]:
return self._trading_rules
@property
def in_flight_orders(self) -> Dict[str, ProbitInFlightOrder]:
return self._in_flight_orders
@property
def status_dict(self) -> Dict[str, bool]:
"""
A dictionary of statuses of various connector's components.
"""
return {
"order_books_initialized": self._order_book_tracker.ready,
"account_balance": len(self._account_balances) > 0 if self._trading_required else True,
"trading_rule_initialized": len(self._trading_rules) > 0,
"user_stream_initialized":
self._user_stream_tracker.data_source.last_recv_time > 0 if self._trading_required else True,
}
@property
def ready(self) -> bool:
"""
:return True when all statuses pass, this might take 5-10 seconds for all the connector's components and
services to be ready.
"""
return all(self.status_dict.values())
@property
def limit_orders(self) -> List[LimitOrder]:
return [
in_flight_order.to_limit_order()
for in_flight_order in self._in_flight_orders.values()
]
@property
def tracking_states(self) -> Dict[str, any]:
"""
:return active in-flight orders in json format, is used to save in sqlite db.
"""
return {
key: value.to_json()
for key, value in self._in_flight_orders.items()
if not value.is_done
}
def restore_tracking_states(self, saved_states: Dict[str, any]):
"""
Restore in-flight orders from saved tracking states, this is st the connector can pick up on where it left off
when it disconnects.
:param saved_states: The saved tracking_states.
"""
self._in_flight_orders.update({
key: ProbitInFlightOrder.from_json(value)
for key, value in saved_states.items()
})
def supported_order_types(self) -> List[OrderType]:
"""
:return a list of OrderType supported by this connector.
Note that Market order type is no longer required and will not be used.
"""
return [OrderType.LIMIT, OrderType.LIMIT_MAKER]
def start(self, clock: Clock, timestamp: float):
"""
This function is called automatically by the clock.
"""
super().start(clock, timestamp)
def stop(self, clock: Clock):
"""
This function is called automatically by the clock.
"""
super().stop(clock)
async def start_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
It starts tracking order book, polling trading rules,
updating statuses and tracking user data.
"""
self._order_book_tracker.start()
self._trading_rules_polling_task = safe_ensure_future(self._trading_rules_polling_loop())
if self._trading_required:
self._status_polling_task = safe_ensure_future(self._status_polling_loop())
self._user_stream_tracker_task = safe_ensure_future(self._user_stream_tracker.start())
self._user_stream_event_listener_task = safe_ensure_future(self._user_stream_event_listener())
async def stop_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
"""
self._order_book_tracker.stop()
if self._status_polling_task is not None:
self._status_polling_task.cancel()
self._status_polling_task = None
if self._trading_rules_polling_task is not None:
self._trading_rules_polling_task.cancel()
self._trading_rules_polling_task = None
if self._status_polling_task is not None:
self._status_polling_task.cancel()
self._status_polling_task = None
if self._user_stream_tracker_task is not None:
self._user_stream_tracker_task.cancel()
self._user_stream_tracker_task = None
if self._user_stream_event_listener_task is not None:
self._user_stream_event_listener_task.cancel()
self._user_stream_event_listener_task = None
async def check_network(self) -> NetworkStatus:
"""
This function is required by NetworkIterator base class and is called periodically to check
the network connection. Simply ping the network (or call any light weight public API).
"""
try:
# since there is no ping endpoint, the lowest rate call is to get BTC-USDT ticker
await self._api_request("get", "time")
except asyncio.CancelledError:
raise
except Exception:
return NetworkStatus.NOT_CONNECTED
return NetworkStatus.CONNECTED
async def _http_client(self) -> aiohttp.ClientSession:
"""
:returns Shared client session instance
"""
if self._shared_client is None:
self._shared_client = aiohttp.ClientSession()
return self._shared_client
async def _trading_rules_polling_loop(self):
"""
Periodically update trading rule.
"""
while True:
try:
await self._update_trading_rules()
await asyncio.sleep(60)
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().network(f"Unexpected error while fetching trading rules. Error: {str(e)}",
exc_info=True,
app_warning_msg="Could not fetch new trading rules from Probit. "
"Check network connection.")
await asyncio.sleep(0.5)
async def _update_trading_rules(self):
market_info = await self._api_request("get", path_url="market")
self._trading_rules.clear()
self._trading_rules = self._format_trading_rules(market_info)
def _format_trading_rules(self, market_info: Dict[str, Any]) -> Dict[str, TradingRule]:
"""
Converts json API response into a dictionary of trading rules.
:param market_info: The json API response
:return A dictionary of trading rules.
Response Example:
{
data: [
{
"id":"BCH-BTC",
"base_currency_id":"BCH",
"quote_currency_id":"BTC",
"min_price":"0.00000001",
"max_price":"9999999999999999",
"price_increment":"0.00000001",
"min_quantity":"0.00000001",
"max_quantity":"9999999999999999",
"quantity_precision":8,
"min_cost":"0",
"max_cost":"9999999999999999",
"cost_precision": 8
}
]
}
"""
result = {}
for rule in market_info["data"]:
try:
trading_pair = probit_utils.convert_from_exchange_trading_pair(rule["id"])
quantity_decimals = Decimal(str(rule["quantity_precision"]))
# E.g. a price decimal of 2 means 0.01 incremental.
price_step = Decimal(str(rule["price_increment"]))
quantity_step = Decimal("1") / Decimal(str(math.pow(10, quantity_decimals)))
result[trading_pair] = TradingRule(trading_pair,
min_price_increment=price_step,
min_base_amount_increment=quantity_step)
except Exception:
self.logger().error(f"Error parsing the trading pair rule {rule}. Skipping.", exc_info=True)
return result
async def _api_request(self,
method: str,
path_url: str,
params: Dict[str, Any] = {},
is_auth_required: bool = False) -> Dict[str, Any]:
"""
Sends an aiohttp request and waits for a response.
:param method: The HTTP method, e.g. get or post
:param path_url: The path url or the API end point
:param is_auth_required: Whether an authentication is required, when True the function will add encrypted
signature to the request.
:returns A response in json format.
"""
url = f"{Constants.REST_URL}/{path_url}"
client = await self._http_client()
if is_auth_required:
headers = await self._probit_auth.get_headers()
else:
headers = {"Content-Type": "application/json"}
if method == "get":
response = await client.get(url, headers=headers)
elif method == "post":
post_json = json.dumps(params)
response = await client.post(url, data=post_json, headers=headers)
else:
raise NotImplementedError
try:
parsed_response = json.loads(await response.text())
except Exception as e:
raise IOError(f"Error parsing data from {url}. Error: {str(e)}")
if response.status == 400:
params["error"] = f"Error fetching data from {url}. HTTP status is {response.status}. Message: {parsed_response}"
raise FileNotFoundError(params)
if response.status != 200:
raise IOError(f"Error fetching data from {url}. HTTP status is {response.status}. Message: {parsed_response}")
# print(f"REQUEST: {method} {path_url} {params}")
# print(f"RESPONSE: {parsed_response}")
return parsed_response
def get_order_price_quantum(self, trading_pair: str, price: Decimal):
"""
Returns a price step, a minimum price increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return trading_rule.min_price_increment
def get_order_size_quantum(self, trading_pair: str, order_size: Decimal):
"""
Returns an order amount step, a minimum amount increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return Decimal(trading_rule.min_base_amount_increment)
def get_order_book(self, trading_pair: str) -> OrderBook:
if trading_pair not in self._order_book_tracker.order_books:
raise ValueError(f"No order book exists for '{trading_pair}'.")
return self._order_book_tracker.order_books[trading_pair]
def buy(self, trading_pair: str, amount: Decimal, order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN, **kwargs) -> str:
"""
Buys an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for BuyOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to buy from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
order_id: str = probit_utils.get_new_client_order_id(True, trading_pair)
safe_ensure_future(self._create_order(TradeType.BUY, order_id, trading_pair, amount, order_type, price))
return order_id
def sell(self, trading_pair: str, amount: Decimal, order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN, **kwargs) -> str:
"""
Sells an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for SellOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to sell from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
order_id: str = probit_utils.get_new_client_order_id(False, trading_pair)
safe_ensure_future(self._create_order(TradeType.SELL, order_id, trading_pair, amount, order_type, price))
return order_id
def cancel(self, trading_pair: str, order_id: str):
"""
Cancel an order. This function returns immediately.
To get the cancellation result, you'll have to wait for OrderCancelledEvent.
:param trading_pair: The market (e.g. BTC-USDT) of the order.
:param order_id: The internal order id (also called client_order_id)
"""
safe_ensure_future(self._execute_cancel(trading_pair, order_id))
return order_id
async def _create_order(self,
trade_type: TradeType,
order_id: str,
trading_pair: str,
amount: Decimal,
order_type: OrderType,
price: Decimal):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param order_type: The order type
:param price: The order price
"""
if not order_type.is_limit_type():
raise Exception(f"Unsupported order type: {order_type}")
trading_rule = self._trading_rules[trading_pair]
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(trading_pair, price)
if amount < trading_rule.min_order_size:
raise ValueError(f"Buy order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}.")
api_params = {"market_id": probit_utils.convert_to_exchange_trading_pair(trading_pair),
"side": trade_type.name.lower(),
"type": "limit",
"time_in_force": "gtc",
"limit_price": f"{price:f}",
"quantity": f"{amount:f}",
"client_order_id": order_id
}
self.start_tracking_order(order_id,
None,
trading_pair,
trade_type,
price,
amount,
order_type
)
try:
order_result = await self._api_request("post", "new_order", api_params, True)
exchange_order_id = str(order_result["data"]["id"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.exchange_order_id = exchange_order_id
event_tag = MarketEvent.BuyOrderCreated if trade_type is TradeType.BUY else MarketEvent.SellOrderCreated
event_class = BuyOrderCreatedEvent if trade_type is TradeType.BUY else SellOrderCreatedEvent
self.trigger_event(event_tag,
event_class(
self.current_timestamp,
order_type,
trading_pair,
amount,
price,
order_id
))
except asyncio.CancelledError:
raise
except Exception as e:
self.stop_tracking_order(order_id)
self.logger().network(
f"Error submitting {trade_type.name} {order_type.name} order to Probit for "
f"{amount} {trading_pair} "
f"{price}.",
exc_info=True,
app_warning_msg=str(e)
)
self.trigger_event(MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id, order_type))
def start_tracking_order(self,
order_id: str,
exchange_order_id: str,
trading_pair: str,
trade_type: TradeType,
price: Decimal,
amount: Decimal,
order_type: OrderType):
"""
Starts tracking an order by simply adding it into _in_flight_orders dictionary.
"""
self._in_flight_orders[order_id] = ProbitInFlightOrder(
client_order_id=order_id,
exchange_order_id=exchange_order_id,
trading_pair=trading_pair,
order_type=order_type,
trade_type=trade_type,
price=price,
amount=amount
)
def stop_tracking_order(self, order_id: str):
"""
Stops tracking an order by simply removing it from _in_flight_orders dictionary.
"""
if order_id in self._in_flight_orders:
del self._in_flight_orders[order_id]
async def _execute_cancel(self, trading_pair: str, order_id: str, wait_for_status: bool = False) -> str:
"""
Executes order cancellation process by first calling cancel-order API. The API result doesn't confirm whether
the cancellation is successful, it simply states it receives the request.
:param trading_pair: The market trading pair
:param order_id: The internal order id
:param wait_for_status: Whether to wait for the cancellation result, this is done by waiting for
order.last_state to change to CANCELED
"""
try:
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is None:
raise ValueError(f"Failed to cancel order - {order_id}. Order not found.")
if tracked_order.exchange_order_id is None:
await tracked_order.get_exchange_order_id()
ex_order_id = tracked_order.exchange_order_id
result = await self._api_request(
"post",
"cancel_order",
{"market_id": probit_utils.convert_to_exchange_trading_pair(trading_pair),
"order_id": ex_order_id,
"client_order_id": order_id},
True
)
if result.get("data") is not None:
data = result.get("data")
if data.get("status") == "cancelled":
data["client_order_id"] = order_id
self._process_order_message(data)
elif wait_for_status:
from hummingbot.core.utils.async_utils import wait_til
await wait_til(lambda: tracked_order.is_cancelled)
return order_id
except asyncio.CancelledError:
raise
except Exception as e:
if isinstance(e, FileNotFoundError):
self.logger().info(f"{order_id} already cancelled")
self._process_order_message({
"client_order_id": order_id,
"status": "cancelled"
})
else:
self.logger().network(
f"Failed to cancel order {order_id}: {str(e)}",
exc_info=True,
app_warning_msg=f"Failed to cancel the order {order_id} on Probit. "
f"Check API key and network connection."
)
async def _status_polling_loop(self):
"""
Periodically update user balances and order status via REST API. This serves as a fallback measure for web
socket API updates.
"""
while True:
try:
self._poll_notifier = asyncio.Event()
await self._poll_notifier.wait()
await safe_gather(
self._update_balances(),
self._update_order_status(),
)
self._last_poll_timestamp = self.current_timestamp
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().error(str(e), exc_info=True)
self.logger().network("Unexpected error while fetching account updates.",
exc_info=True,
app_warning_msg="Could not fetch account updates from Probit. "
"Check API key and network connection.")
await asyncio.sleep(0.5)
async def _update_balances(self):
"""
Calls REST API to update total and available balances.
"""
local_asset_names = set(self._account_balances.keys())
remote_asset_names = set()
balance_info = await self._api_request("get", "balance", {}, True)
for balance in balance_info["data"]:
asset_name = balance["currency_id"]
self._account_available_balances[asset_name] = Decimal(str(balance["available"]))
self._account_balances[asset_name] = Decimal(str(balance["total"]))
remote_asset_names.add(asset_name)
asset_names_to_remove = local_asset_names.difference(remote_asset_names)
for asset_name in asset_names_to_remove:
del self._account_available_balances[asset_name]
del self._account_balances[asset_name]
async def _update_order_status(self):
"""
Calls REST API to get status update for each in-flight order.
"""
last_tick = self._last_poll_timestamp / self.UPDATE_ORDER_STATUS_MIN_INTERVAL
current_tick = self.current_timestamp / self.UPDATE_ORDER_STATUS_MIN_INTERVAL
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
tasks = []
for tracked_order in tracked_orders:
order_id = await tracked_order.get_exchange_order_id()
market_id = probit_utils.convert_to_exchange_trading_pair(tracked_order.trading_pair)
param = {
"market_id": market_id,
"order_id": order_id,
"client_order_id": tracked_order.client_order_id,
}
url = "order?market_id=" + market_id + "&order_id=" + order_id
tasks.append(self._api_request("get", url, param, True))
self.logger().debug(f"Polling for order status updates of {len(tasks)} orders.")
update_results = await safe_gather(*tasks, return_exceptions=True)
for update_result in update_results:
if isinstance(update_result, FileNotFoundError) and update_result.args is not None and update_result.args[0] is not None:
client_order_id = update_result.args[0]["client_order_id"]
self.logger().info(f"{client_order_id} already cancelled")
self._process_order_message({
"client_order_id": client_order_id,
"status": "cancelled"
})
continue
if isinstance(update_result, Exception):
raise update_result
if "data" not in update_result:
self.logger().info(f"_update_order_status data not in resp: {update_result}")
continue
# for trade_msg in update_result["result"]["trade_list"]:
# await self._process_trade_message(trade_msg)
self._process_order_message(update_result["data"][0])
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
"""
client_order_id = order_msg["client_order_id"]
if client_order_id not in self._in_flight_orders:
return
tracked_order = self._in_flight_orders[client_order_id]
# Update order execution status
tracked_order.last_state = order_msg["status"].upper()
if tracked_order.is_cancelled:
self.logger().info(f"Successfully cancelled order {client_order_id}.")
self.trigger_event(MarketEvent.OrderCancelled,
OrderCancelledEvent(
self.current_timestamp,
client_order_id))
tracked_order.cancelled_event.set()
self.stop_tracking_order(client_order_id)
elif tracked_order.is_failure:
self.logger().info(f"The market order {client_order_id} has failed according to order status API.")
self.trigger_event(MarketEvent.OrderFailure,
MarketOrderFailureEvent(
self.current_timestamp,
client_order_id,
tracked_order.order_type
))
self.stop_tracking_order(client_order_id)
async def _process_trade_message(self, trade_msg: Dict[str, Any]):
"""
Updates in-flight order and trigger order filled event for trade message received. Triggers order completed
event if the total executed amount equals to the specified order amount.
"""
# I'm not sure why it's needed.
# for order in self._in_flight_orders.values():
# await order.get_exchange_order_id()
track_order = [o for o in self._in_flight_orders.values() if trade_msg["order_id"] == o.exchange_order_id]
if not track_order:
return
tracked_order = track_order[0]
updated = tracked_order.update_with_trade_update(trade_msg)
if not updated:
return
quantity = trade_msg["quantity"] if trade_msg.get("quantity") is not None else "0"
price = trade_msg["price"] if trade_msg.get("price") is not None else "0"
fee_amount = trade_msg["fee_amount"] if trade_msg.get("fee_amount") is not None else "0"
fee_amount = "0" if not fee_amount else fee_amount
self.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.trading_pair,
tracked_order.trade_type,
tracked_order.order_type,
Decimal(price),
Decimal(quantity),
TradeFee(0.0, [(trade_msg["fee_currency_id"], Decimal(fee_amount))]),
exchange_trade_id=trade_msg["order_id"]
)
)
if math.isclose(tracked_order.executed_amount_base, tracked_order.amount) or \
tracked_order.executed_amount_base >= tracked_order.amount:
tracked_order.last_state = "FILLED"
self.logger().info(f"The {tracked_order.trade_type.name} order "
f"{tracked_order.client_order_id} has completed "
f"according to order status API.")
event_tag = MarketEvent.BuyOrderCompleted if tracked_order.trade_type is TradeType.BUY \
else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if tracked_order.trade_type is TradeType.BUY \
else SellOrderCompletedEvent
self.trigger_event(event_tag,
event_class(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.fee_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
tracked_order.fee_paid,
tracked_order.order_type))
self.stop_tracking_order(tracked_order.client_order_id)
async def cancel_all(self, timeout_seconds: float):
"""
Cancels all in-flight orders and waits for cancellation results.
Used by bot's top level stop and exit commands (cancelling outstanding orders on exit)
:param timeout_seconds: The timeout at which the operation will be canceled.
:returns List of CancellationResult which indicates whether each order is successfully cancelled.
"""
incomplete_orders = [o for o in self._in_flight_orders.values() if not o.is_done]
tasks = [self._execute_cancel(o.trading_pair, o.client_order_id, True) for o in incomplete_orders]
order_id_set = set([o.client_order_id for o in incomplete_orders])
successful_cancellations = []
try:
async with timeout(timeout_seconds):
results = await safe_gather(*tasks, return_exceptions=True)
for result in results:
if result is not None and not isinstance(result, Exception):
order_id_set.remove(result)
successful_cancellations.append(CancellationResult(result, True))
except Exception:
self.logger().error("Cancel all failed.", exc_info=True)
self.logger().network(
"Unexpected error cancelling orders.",
exc_info=True,
app_warning_msg="Failed to cancel order on Probit. Check API key and network connection."
)
failed_cancellations = [CancellationResult(oid, False) for oid in order_id_set]
return successful_cancellations + failed_cancellations
def tick(self, timestamp: float):
"""
Is called automatically by the clock for each clock's tick (1 second by default).
It checks if status polling task is due for execution.
"""
now = time.time()
poll_interval = (self.SHORT_POLL_INTERVAL
if now - self._user_stream_tracker.last_recv_time > 60.0
else self.LONG_POLL_INTERVAL)
last_tick = self._last_timestamp / poll_interval
current_tick = timestamp / poll_interval
if current_tick > last_tick:
if not self._poll_notifier.is_set():
self._poll_notifier.set()
self._last_timestamp = timestamp
def get_fee(self,
base_currency: str,
quote_currency: str,
order_type: OrderType,
order_side: TradeType,
amount: Decimal,
price: Decimal = s_decimal_NaN) -> TradeFee:
"""
To get trading fee, this function is simplified by using fee override configuration. Most parameters to this
function are ignore except order_type. Use OrderType.LIMIT_MAKER to specify you want trading fee for
maker order.
"""
is_maker = order_type is OrderType.LIMIT_MAKER
return TradeFee(percent=self.estimate_fee_pct(is_maker))
async def _iter_user_event_queue(self) -> AsyncIterable[Dict[str, any]]:
while True:
try:
yield await self._user_stream_tracker.user_stream.get()
except asyncio.CancelledError:
raise
except Exception:
self.logger().network(
"Unknown error. Retrying after 1 seconds.",
exc_info=True,
app_warning_msg="Could not fetch user events from Probit. Check API key and network connection."
)
await asyncio.sleep(1.0)
async def _user_stream_event_listener(self):
"""
Listens to message in _user_stream_tracker.user_stream queue. The messages are put in by
ProbitAPIUserStreamDataSource.
"""
async for event_message in self._iter_user_event_queue():
try:
if "channel" not in event_message or "data" not in event_message:
continue
channel = event_message["channel"]
if channel == "trade_history":
for trade_msg in event_message["data"]:
await self._process_trade_message(trade_msg)
elif channel == "order_history":
for order_msg in event_message["data"]:
self._process_order_message(order_msg)
elif channel == "balance":
balances = event_message["data"]
for asset_name in balances.keys():
balance_entry = balances[asset_name]
self._account_balances[asset_name] = Decimal(str(balance_entry["total"]))
self._account_available_balances[asset_name] = Decimal(str(balance_entry["available"]))
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error in user stream listener loop.", exc_info=True)
await asyncio.sleep(5.0)
class ProbitExchange(ExchangeBase):
"""
ProbitExchange connects with ProBit exchange and provides order book pricing, user account tracking and
trading functionality.
"""
API_CALL_TIMEOUT = 10.0
SHORT_POLL_INTERVAL = 5.0
UPDATE_ORDER_STATUS_MIN_INTERVAL = 10.0
LONG_POLL_INTERVAL = 120.0
@classmethod
def logger(cls) -> HummingbotLogger:
global probit_logger
if probit_logger is None:
probit_logger = logging.getLogger(__name__)
return probit_logger
def __init__(self,
probit_api_key: str,
probit_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain="com"
):
"""
:param probit_api_key: The API key to connect to private ProBit APIs.
:param probit_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
self._domain = domain
super().__init__()
self._trading_required = trading_required
self._trading_pairs = trading_pairs
self._probit_auth = ProbitAuth(probit_api_key, probit_secret_key, domain=domain)
self._order_book_tracker = ProbitOrderBookTracker(trading_pairs=trading_pairs, domain=domain)
self._user_stream_tracker = ProbitUserStreamTracker(self._probit_auth, trading_pairs, domain=domain)
self._ev_loop = asyncio.get_event_loop()
self._shared_client = None
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._in_flight_orders = {} # Dict[client_order_id:str, ProbitInFlightOrder]
self._order_not_found_records = {} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, TradingRule]
self._last_poll_timestamp = 0
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
@property
def name(self) -> str:
if self._domain == "com":
return CONSTANTS.EXCHANGE_NAME
else:
return f"{CONSTANTS.EXCHANGE_NAME}_{self._domain}"
@property
def order_books(self) -> Dict[str, OrderBook]:
return self._order_book_tracker.order_books
@property
def trading_rules(self) -> Dict[str, TradingRule]:
return self._trading_rules
@property
def in_flight_orders(self) -> Dict[str, ProbitInFlightOrder]:
return self._in_flight_orders
@property
def status_dict(self) -> Dict[str, bool]:
"""
A dictionary of statuses of various connector's components.
"""
return {
"order_books_initialized": self._order_book_tracker.ready,
"account_balance": len(self._account_balances) > 0 if self._trading_required else True,
"trading_rule_initialized": len(self._trading_rules) > 0,
"user_stream_initialized":
self._user_stream_tracker.data_source.last_recv_time > 0 if self._trading_required else True,
}
@property
def ready(self) -> bool:
"""
:return True when all statuses pass, this might take 5-10 seconds for all the connector's components and
services to be ready.
"""
return all(self.status_dict.values())
@property
def limit_orders(self) -> List[LimitOrder]:
return [
in_flight_order.to_limit_order()
for in_flight_order in self._in_flight_orders.values()
]
@property
def tracking_states(self) -> Dict[str, any]:
"""
:return active in-flight orders in json format, is used to save in sqlite db.
"""
return {
key: value.to_json()
for key, value in self._in_flight_orders.items()
if not value.is_done
}
def restore_tracking_states(self, saved_states: Dict[str, any]):
"""
Restore in-flight orders from saved tracking states, this is st the connector can pick up on where it left off
when it disconnects.
:param saved_states: The saved tracking_states.
"""
self._in_flight_orders.update({
key: ProbitInFlightOrder.from_json(value)
for key, value in saved_states.items()
})
def supported_order_types(self) -> List[OrderType]:
"""
:return a list of OrderType supported by this connector.
Note that Market order type is no longer required and will not be used.
"""
return [OrderType.LIMIT, OrderType.LIMIT_MAKER]
def start(self, clock: Clock, timestamp: float):
"""
This function is called automatically by the clock.
"""
super().start(clock, timestamp)
def stop(self, clock: Clock):
"""
This function is called automatically by the clock.
"""
super().stop(clock)
async def start_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
It starts tracking order book, polling trading rules,
updating statuses and tracking user data.
"""
self._order_book_tracker.start()
self._trading_rules_polling_task = safe_ensure_future(self._trading_rules_polling_loop())
if self._trading_required:
self._status_polling_task = safe_ensure_future(self._status_polling_loop())
self._user_stream_tracker_task = safe_ensure_future(self._user_stream_tracker.start())
self._user_stream_event_listener_task = safe_ensure_future(self._user_stream_event_listener())
async def stop_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
"""
self._order_book_tracker.stop()
if self._status_polling_task is not None:
self._status_polling_task.cancel()
self._status_polling_task = None
if self._trading_rules_polling_task is not None:
self._trading_rules_polling_task.cancel()
self._trading_rules_polling_task = None
if self._user_stream_tracker_task is not None:
self._user_stream_tracker_task.cancel()
self._user_stream_tracker_task = None
if self._user_stream_event_listener_task is not None:
self._user_stream_event_listener_task.cancel()
self._user_stream_event_listener_task = None
async def check_network(self) -> NetworkStatus:
"""
This function is required by NetworkIterator base class and is called periodically to check
the network connection. Simply ping the network (or call any light weight public API).
"""
try:
# since there is no ping endpoint, the lowest rate call is to get BTC-USDT ticker
resp = await self._api_request(
method="GET",
path_url=CONSTANTS.TIME_URL
)
if "data" not in resp:
raise
except asyncio.CancelledError:
raise
except Exception:
return NetworkStatus.NOT_CONNECTED
return NetworkStatus.CONNECTED
async def _http_client(self) -> aiohttp.ClientSession:
"""
:returns Shared client session instance
"""
if self._shared_client is None:
self._shared_client = aiohttp.ClientSession()
return self._shared_client
async def _trading_rules_polling_loop(self):
"""
Periodically update trading rule.
"""
while True:
try:
await self._update_trading_rules()
await asyncio.sleep(60)
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().network(f"Unexpected error while fetching trading rules. Error: {str(e)}",
exc_info=True,
app_warning_msg="Could not fetch new trading rules from ProBit. "
"Check network connection.")
await asyncio.sleep(0.5)
async def _update_trading_rules(self):
market_info = await self._api_request(
method="GET",
path_url=CONSTANTS.MARKETS_URL
)
self._trading_rules.clear()
self._trading_rules = self._format_trading_rules(market_info)
def _format_trading_rules(self, market_info: Dict[str, Any]) -> Dict[str, TradingRule]:
"""
Converts json API response into a dictionary of trading rules.
:param market_info: The json API response
:return A dictionary of trading rules.
Response Example:
{
data: [
{
"id":"BCH-BTC",
"base_currency_id":"BCH",
"quote_currency_id":"BTC",
"min_price":"0.00000001",
"max_price":"9999999999999999",
"price_increment":"0.00000001",
"min_quantity":"0.00000001",
"max_quantity":"9999999999999999",
"quantity_precision":8,
"min_cost":"0",
"max_cost":"9999999999999999",
"cost_precision": 8
},
...
]
}
"""
result = {}
for market in market_info["data"]:
try:
trading_pair = market["id"]
quantity_decimals = Decimal(str(market["quantity_precision"]))
quantity_step = Decimal("1") / Decimal(str(math.pow(10, quantity_decimals)))
result[trading_pair] = TradingRule(trading_pair=trading_pair,
min_order_size=Decimal(str(market["min_quantity"])),
max_order_size=Decimal(str(market["max_quantity"])),
min_order_value=Decimal(str(market["min_cost"])),
min_price_increment=Decimal(str(market["price_increment"])),
min_base_amount_increment=quantity_step)
except Exception:
self.logger().error(f"Error parsing the trading pair rule {market}. Skipping.", exc_info=True)
return result
async def _api_request(self,
method: str,
path_url: str,
params: Optional[Dict[str, Any]] = None,
data: Optional[Dict[str, Any]] = None,
is_auth_required: bool = False) -> Dict[str, Any]:
"""
Sends an aiohttp request and waits for a response.
:param method: The HTTP method, e.g. get or post
:param path_url: The path url or the API end point
:param is_auth_required: Whether an authentication is required, when True the function will add encrypted
signature to the request.
:returns A response in json format.
"""
path_url = path_url.format(self._domain)
client = await self._http_client()
try:
if is_auth_required:
headers = await self._probit_auth.get_auth_headers(client)
else:
headers = self._probit_auth.get_headers()
if method == "GET":
response = await client.get(path_url, headers=headers, params=params)
elif method == "POST":
response = await client.post(path_url, headers=headers, data=ujson.dumps(data))
else:
raise NotImplementedError(f"{method} HTTP Method not implemented. ")
parsed_response = await response.json()
except ValueError as e:
self.logger().error(f"{str(e)}")
raise ValueError(f"Error authenticating request {method} {path_url}. Error: {str(e)}")
except Exception as e:
raise IOError(f"Error parsing data from {path_url}. Error: {str(e)}")
if response.status != 200:
raise IOError(f"Error fetching data from {path_url}. HTTP status is {response.status}. "
f"Message: {parsed_response} "
f"Params: {params} "
f"Data: {data}")
return parsed_response
def get_order_price_quantum(self, trading_pair: str, price: Decimal):
"""
Returns a price step, a minimum price increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return trading_rule.min_price_increment
def get_order_size_quantum(self, trading_pair: str, order_size: Decimal):
"""
Returns an order amount step, a minimum amount increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return Decimal(trading_rule.min_base_amount_increment)
def get_order_book(self, trading_pair: str) -> OrderBook:
if trading_pair not in self._order_book_tracker.order_books:
raise ValueError(f"No order book exists for '{trading_pair}'.")
return self._order_book_tracker.order_books[trading_pair]
def buy(self, trading_pair: str, amount: Decimal, order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN, **kwargs) -> str:
"""
Buys an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for BuyOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to buy from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
order_id: str = probit_utils.get_new_client_order_id(True, trading_pair)
safe_ensure_future(self._create_order(TradeType.BUY, order_id, trading_pair, amount, order_type, price))
return order_id
def sell(self, trading_pair: str, amount: Decimal, order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN, **kwargs) -> str:
"""
Sells an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for SellOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to sell from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
order_id: str = probit_utils.get_new_client_order_id(False, trading_pair)
safe_ensure_future(self._create_order(TradeType.SELL, order_id, trading_pair, amount, order_type, price))
return order_id
def cancel(self, trading_pair: str, order_id: str):
"""
Cancel an order. This function returns immediately.
To get the cancellation result, you'll have to wait for OrderCancelledEvent.
:param trading_pair: The market (e.g. BTC-USDT) of the order.
:param order_id: The internal order id (also called client_order_id)
"""
safe_ensure_future(self._execute_cancel(trading_pair, order_id))
return order_id
async def _create_order(self,
trade_type: TradeType,
order_id: str,
trading_pair: str,
amount: Decimal,
order_type: OrderType,
price: Decimal):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param order_type: The order type
:param price: The order price
"""
if not order_type.is_limit_type():
raise Exception(f"Unsupported order type: {order_type}")
trading_rule = self._trading_rules[trading_pair]
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(trading_pair, price)
try:
if amount < trading_rule.min_order_size:
raise ValueError(f"{trade_type.name} order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}.")
order_value: Decimal = amount * price
if order_value < trading_rule.min_order_value:
raise ValueError(f"{trade_type.name} order value {order_value} is lower than the minimum order value "
f"{trading_rule.min_order_value}")
body_params = {
"market_id": trading_pair,
"type": "limit", # ProBit Order Types ["limit", "market"}
"side": trade_type.name.lower(), # ProBit Order Sides ["buy", "sell"]
"time_in_force": "gtc", # gtc = Good-Til-Cancelled
"limit_price": str(price),
"quantity": str(amount),
"client_order_id": order_id
}
self.start_tracking_order(order_id,
None,
trading_pair,
trade_type,
price,
amount,
order_type
)
order_result = await self._api_request(
method="POST",
path_url=CONSTANTS.NEW_ORDER_URL,
data=body_params,
is_auth_required=True
)
exchange_order_id = str(order_result["data"]["id"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.update_exchange_order_id(exchange_order_id)
event_tag = MarketEvent.BuyOrderCreated if trade_type is TradeType.BUY else MarketEvent.SellOrderCreated
event_class = BuyOrderCreatedEvent if trade_type is TradeType.BUY else SellOrderCreatedEvent
self.trigger_event(event_tag,
event_class(
self.current_timestamp,
order_type,
trading_pair,
amount,
price,
order_id
))
except asyncio.CancelledError:
raise
except Exception as e:
self.stop_tracking_order(order_id)
self.logger().network(
f"Error submitting {trade_type.name} {order_type.name} order to ProBit for "
f"{amount} {trading_pair} "
f"{price}.",
exc_info=True,
app_warning_msg=str(e)
)
self.trigger_event(MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id, order_type))
def start_tracking_order(self,
order_id: str,
exchange_order_id: str,
trading_pair: str,
trade_type: TradeType,
price: Decimal,
amount: Decimal,
order_type: OrderType):
"""
Starts tracking an order by simply adding it into _in_flight_orders dictionary.
"""
self._in_flight_orders[order_id] = ProbitInFlightOrder(
client_order_id=order_id,
exchange_order_id=exchange_order_id,
trading_pair=trading_pair,
order_type=order_type,
trade_type=trade_type,
price=price,
amount=amount
)
def stop_tracking_order(self, order_id: str):
"""
Stops tracking an order by simply removing it from _in_flight_orders dictionary.
"""
if order_id in self._in_flight_orders:
del self._in_flight_orders[order_id]
async def _execute_cancel(self, trading_pair: str, order_id: str) -> str:
"""
Executes order cancellation process by first calling cancel-order API. The API result doesn't confirm whether
the cancellation is successful, it simply states it receives the request.
:param trading_pair: The market trading pair
:param order_id: The internal order id
order.last_state to change to CANCELED
"""
try:
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is None:
raise ValueError(f"Failed to cancel order - {order_id}. Order not found.")
if tracked_order.exchange_order_id is None:
await tracked_order.get_exchange_order_id()
ex_order_id = tracked_order.exchange_order_id
body_params = {
"market_id": trading_pair,
"order_id": ex_order_id
}
await self._api_request(
method="POST",
path_url=CONSTANTS.CANCEL_ORDER_URL,
data=body_params,
is_auth_required=True
)
return order_id
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().network(
f"Failed to cancel order {order_id}: {str(e)}",
exc_info=True,
app_warning_msg=f"Failed to cancel the order {order_id} on Probit. "
f"Check API key and network connection."
)
async def _status_polling_loop(self):
"""
Periodically update user balances and order status via REST API. This serves as a fallback measure for web
socket API updates.
"""
while True:
try:
self._poll_notifier = asyncio.Event()
await self._poll_notifier.wait()
await safe_gather(
self._update_balances(),
self._update_order_status(),
)
self._last_poll_timestamp = self.current_timestamp
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().error(str(e), exc_info=True)
self.logger().network("Unexpected error while fetching account updates.",
exc_info=True,
app_warning_msg="Could not fetch account updates from ProBit. "
"Check API key and network connection.")
await asyncio.sleep(0.5)
async def _update_balances(self):
"""
Calls REST API to update total and available balances.
"""
local_asset_names = set(self._account_balances.keys())
remote_asset_names = set()
balance_info = await self._api_request(
method="GET",
path_url=CONSTANTS.BALANCE_URL,
is_auth_required=True
)
for currency in balance_info["data"]:
asset_name = currency["currency_id"]
self._account_available_balances[asset_name] = Decimal(str(currency["available"]))
self._account_balances[asset_name] = Decimal(str(currency["total"]))
remote_asset_names.add(asset_name)
asset_names_to_remove = local_asset_names.difference(remote_asset_names)
for asset_name in asset_names_to_remove:
del self._account_available_balances[asset_name]
del self._account_balances[asset_name]
async def _update_order_status(self):
"""
Calls REST API to get status update for each in-flight order.
"""
last_tick = int(self._last_poll_timestamp / self.UPDATE_ORDER_STATUS_MIN_INTERVAL)
current_tick = int(self.current_timestamp / self.UPDATE_ORDER_STATUS_MIN_INTERVAL)
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
tasks = []
for tracked_order in tracked_orders:
ex_order_id = await tracked_order.get_exchange_order_id()
query_params = {
"market_id": tracked_order.trading_pair,
"order_id": ex_order_id
}
tasks.append(self._api_request(method="GET",
path_url=CONSTANTS.ORDER_URL,
params=query_params,
is_auth_required=True)
)
self.logger().debug(f"Polling for order status updates of {len(tasks)} orders.")
order_results: List[Dict[str, Any]] = await safe_gather(*tasks, return_exceptions=True)
# Retrieve start_time and end_time of the earliest and last order.
# Retrieves all trades between this order creations.
min_order_ts: str = ""
min_ts: float = float("inf")
for order_update in order_results:
if isinstance(order_update, Exception):
raise order_update
# Order Creation Time
for update in order_update["data"]:
order_ts: float = probit_utils.convert_iso_to_epoch(update["time"])
if order_ts < min_ts:
min_order_ts = update["time"]
min_ts = order_ts
trade_history_tasks = []
for trading_pair in self._trading_pairs:
query_params = {
"start_time": min_order_ts,
"end_time": probit_utils.get_iso_time_now(),
"limit": 1000,
"market_id": trading_pair
}
trade_history_tasks.append(self._api_request(
method="GET",
path_url=CONSTANTS.TRADE_HISTORY_URL,
params=query_params,
is_auth_required=True
))
trade_history_results: List[Dict[str, Any]] = await safe_gather(*trade_history_tasks, return_exceptions=True)
for t_pair_history in trade_history_results:
if isinstance(t_pair_history, Exception):
raise t_pair_history
if "data" not in t_pair_history:
self.logger().info(f"Unexpected response from GET /trade_history. 'data' field not in resp: {t_pair_history}")
continue
trade_details: List[Dict[str, Any]] = t_pair_history["data"]
for trade in trade_details:
self._process_trade_message(trade)
for order_update in order_results:
if isinstance(order_update, Exception):
raise order_update
if "data" not in order_update:
self.logger().info(f"Unexpected response from GET /order. 'data' field not in resp: {order_update}")
continue
for order in order_update["data"]:
self._process_order_message(order)
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers trade, cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
"""
client_order_id = order_msg["client_order_id"]
if client_order_id not in self._in_flight_orders:
return
tracked_order = self._in_flight_orders[client_order_id]
# Update order execution status
tracked_order.last_state = order_msg["status"]
# NOTE: In ProBit partially-filled orders will retain "filled" status when canceled.
if tracked_order.is_cancelled or Decimal(str(order_msg["cancelled_quantity"])) > Decimal("0"):
self.logger().info(f"Successfully cancelled order {client_order_id}.")
self.trigger_event(MarketEvent.OrderCancelled,
OrderCancelledEvent(
self.current_timestamp,
client_order_id))
tracked_order.cancelled_event.set()
self.stop_tracking_order(client_order_id)
# NOTE: ProBit does not have a 'fail' order status
# elif tracked_order.is_failure:
# self.logger().info(f"The market order {client_order_id} has failed according to order status API. "
# f"Order Message: {order_msg}")
# self.trigger_event(MarketEvent.OrderFailure,
# MarketOrderFailureEvent(
# self.current_timestamp,
# client_order_id,
# tracked_order.order_type
# ))
# self.stop_tracking_order(client_order_id)
def _process_trade_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and trigger order filled event for trade message received. Triggers order completed
event if the total executed amount equals to the specified order amount.
"""
# Only process trade when trade fees have been accounted for; when trade status is "settled".
if order_msg["status"] != "settled":
return
ex_order_id = order_msg["order_id"]
client_order_id = None
for track_order in self.in_flight_orders.values():
if track_order.exchange_order_id == ex_order_id:
client_order_id = track_order.client_order_id
break
if client_order_id is None:
return
tracked_order = self.in_flight_orders[client_order_id]
updated = tracked_order.update_with_trade_update(order_msg)
if not updated:
return
self.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.trading_pair,
tracked_order.trade_type,
tracked_order.order_type,
Decimal(str(order_msg["price"])),
Decimal(str(order_msg["quantity"])),
TradeFee(0.0, [(order_msg["fee_currency_id"], Decimal(str(order_msg["fee_amount"])))]),
exchange_trade_id=order_msg["id"]
)
)
if math.isclose(tracked_order.executed_amount_base, tracked_order.amount) or \
tracked_order.executed_amount_base >= tracked_order.amount:
tracked_order.last_state = "filled"
self.logger().info(f"The {tracked_order.trade_type.name} order "
f"{tracked_order.client_order_id} has completed "
f"according to order status API.")
event_tag = MarketEvent.BuyOrderCompleted if tracked_order.trade_type is TradeType.BUY \
else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if tracked_order.trade_type is TradeType.BUY \
else SellOrderCompletedEvent
self.trigger_event(event_tag,
event_class(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.fee_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
tracked_order.fee_paid,
tracked_order.order_type,
tracked_order.exchange_order_id))
self.stop_tracking_order(tracked_order.client_order_id)
async def get_open_orders(self) -> List[OpenOrder]:
ret_val = []
for trading_pair in self._trading_pairs:
query_params = {
"market_id": trading_pair
}
result = await self._api_request(
method="GET",
path_url=CONSTANTS.OPEN_ORDER_URL,
params=query_params,
is_auth_required=True
)
if "data" not in result:
self.logger().info(f"Unexpected response from GET {CONSTANTS.OPEN_ORDER_URL}. "
f"Params: {query_params} "
f"Response: {result} ")
for order in result["data"]:
if order["type"] != "limit":
raise Exception(f"Unsupported order type {order['type']}")
ret_val.append(
OpenOrder(
client_order_id=order["client_order_id"],
trading_pair=order["market_id"],
price=Decimal(str(order["limit_price"])),
amount=Decimal(str(order["quantity"])),
executed_amount=Decimal(str(order["quantity"])) - Decimal(str(order["filled_quantity"])),
status=order["status"],
order_type=OrderType.LIMIT,
is_buy=True if order["side"].lower() == "buy" else False,
time=int(probit_utils.convert_iso_to_epoch(order["time"])),
exchange_order_id=order["id"]
)
)
return ret_val
async def cancel_all(self, timeout_seconds: float):
"""
Cancels all in-flight orders and waits for cancellation results.
Used by bot's top level stop and exit commands (cancelling outstanding orders on exit)
:param timeout_seconds: The timeout at which the operation will be canceled.
:returns List of CancellationResult which indicates whether each order is successfully cancelled.
"""
if self._trading_pairs is None:
raise Exception("cancel_all can only be used when trading_pairs are specified.")
cancellation_results = []
try:
# ProBit does not have cancel_all_order endpoint
tasks = []
for tracked_order in self.in_flight_orders.values():
body_params = {
"market_id": tracked_order.trading_pair,
"order_id": tracked_order.exchange_order_id
}
tasks.append(self._api_request(
method="POST",
path_url=CONSTANTS.CANCEL_ORDER_URL,
data=body_params,
is_auth_required=True
))
await safe_gather(*tasks)
open_orders = await self.get_open_orders()
for cl_order_id, tracked_order in self._in_flight_orders.items():
open_order = [o for o in open_orders if o.client_order_id == cl_order_id]
if not open_order:
cancellation_results.append(CancellationResult(cl_order_id, True))
self.trigger_event(MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, cl_order_id))
else:
cancellation_results.append(CancellationResult(cl_order_id, False))
except Exception:
self.logger().network(
"Failed to cancel all orders.",
exc_info=True,
app_warning_msg="Failed to cancel all orders on ProBit. Check API key and network connection."
)
return cancellation_results
def tick(self, timestamp: float):
"""
Is called automatically by the clock for each clock's tick (1 second by default).
It checks if status polling task is due for execution.
"""
now = time.time()
poll_interval = (self.SHORT_POLL_INTERVAL
if now - self._user_stream_tracker.last_recv_time > 60.0
else self.LONG_POLL_INTERVAL)
last_tick = int(self._last_timestamp / poll_interval)
current_tick = int(timestamp / poll_interval)
if current_tick > last_tick:
if not self._poll_notifier.is_set():
self._poll_notifier.set()
self._last_timestamp = timestamp
def get_fee(self,
base_currency: str,
quote_currency: str,
order_type: OrderType,
order_side: TradeType,
amount: Decimal,
price: Decimal = s_decimal_NaN) -> TradeFee:
"""
To get trading fee, this function is simplified by using fee override configuration. Most parameters to this
function are ignore except order_type. Use OrderType.LIMIT_MAKER to specify you want trading fee for
maker order.
"""
is_maker = order_type is OrderType.LIMIT_MAKER
return TradeFee(percent=self.estimate_fee_pct(is_maker))
async def _iter_user_event_queue(self) -> AsyncIterable[Dict[str, any]]:
while True:
try:
yield await self._user_stream_tracker.user_stream.get()
except asyncio.CancelledError:
raise
except Exception:
self.logger().network(
"Unknown error. Retrying after 1 seconds.",
exc_info=True,
app_warning_msg="Could not fetch user events from Probit. Check API key and network connection."
)
await asyncio.sleep(1.0)
async def _user_stream_event_listener(self):
"""
Listens to message in _user_stream_tracker.user_stream queue. The messages are put in by
ProbitAPIUserStreamDataSource.
"""
async for event_message in self._iter_user_event_queue():
try:
if "channel" not in event_message and event_message["channel"] not in CONSTANTS.WS_PRIVATE_CHANNELS:
continue
channel = event_message["channel"]
if channel == "balance":
for asset, balance_details in event_message["data"].items():
self._account_balances[asset] = Decimal(str(balance_details["total"]))
self._account_available_balances[asset] = Decimal(str(balance_details["available"]))
elif channel in ["open_order"]:
for order_update in event_message["data"]:
self._process_order_message(order_update)
elif channel == "trade_history":
for trade_update in event_message["data"]:
self._process_trade_message(trade_update)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error in user stream listener loop.", exc_info=True)
await asyncio.sleep(5.0)
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: ProbitOrderBookTracker = ProbitOrderBookTracker(cls.trading_pairs)
cls.order_book_tracker.start()
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())