def __init__(self, instrument, size, spread):
# Define variables
self.instrument = instrument
self.comision = 0
self.initial_size = size
self.buy_size = size
self.sell_size = size
self.spread = spread
self.tick = 0.001
self.my_order = dict()
self.last_md = None
self.state = States.WAITING_MARKET_DATA
# Initialize the environment
pyRofex.initialize(user="******",
password="******",
account="XXXXXXX",
environment=pyRofex.Environment.REMARKET)
# Initialize Websocket Connection with the handler
pyRofex.init_websocket_connection(
market_data_handler=self.market_data_handler,
order_report_handler=self.order_report_handler)
# Subscribes for Market Data
pyRofex.market_data_subscription(tickers=[self.instrument],
entries=[
pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.OFFERS
])
# Subscribes to receive order report for the default account
pyRofex.order_report_subscription()
def open_connection():
pyRofex.init_websocket_connection(market_data_handler=market_data_handler,
error_handler=error_handler,
exception_handler=exception_handler)
instruments = [args.ticker]
entries = [pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.LAST]
print("Consultando símbolo")
pyRofex.market_data_subscription(tickers=instruments, entries=entries)
pyRofex.market_data_subscription(tickers=["InvalidInstrument"],
entries=entries)
def connect(self, user, password, account, environment):
"""
Implements Connection to ROFEX DMA Server.
(demo = reMarkets; live = ROFEX)
Initializes environment and WebSocket Connection
:param user: User.
:type user: Str.
:param password: User Password.
:type password: Str.
:param account: Account provided by Market Authority.
:type account: Str.
:param environment: Market environment.
:type environment: Str.
"""
clear_screen()
print(dash_line)
message = f'Connecting to {environment} DMA server'
print(message.center(width))
print(dash_line)
if logging.getLevelName('DEBUG') > 1:
logging.debug(
f'ROFEXClient: Starting connection to {environment} DMA Server '
)
try:
# Initialize Environment
pyRofex.initialize(user=user,
password=password,
account=account,
environment=environment)
# Initialize WebSocket Cnnection with Handlers
pyRofex.init_websocket_connection(
market_data_handler=self.market_data_handler,
error_handler=self.error_handler,
exception_handler=self.exception_handler)
except Exception as e:
if logging.getLevelName('DEBUG') > 1:
logging.debug(f'ROFEXClient ERROR: En exception occurred {e}')
error_msg = "\033[0;30;47mERROR: CONNECTION ERROR. Check log file " \
"for detailed error message.\033[1;37;40m"
print(error_msg)
print(dash_line)
# 2-Defines the handlers that will process the messages and exceptions.
def order_report_handler(message):
print("Order Report Message Received: {0}".format(message))
def error_handler(message):
print("Error Message Received: {0}".format(message))
def exception_handler(e):
print("Exception Occurred: {0}".format(e.message))
# 3-Initialize Websocket Connection with the handlers
pyRofex.init_websocket_connection(order_report_handler=order_report_handler,
error_handler=error_handler,
exception_handler=exception_handler)
# 4-Subscribes to receive order report for the default account
pyRofex.order_report_subscription()
# 5-Subscribes to an invalid account
pyRofex.order_report_subscription(account="InvalidAccount")
# 6-Send an order to check that order_report_handler is called
pyRofex.send_order(ticker="DODic19",
side=pyRofex.Side.BUY,
size=10,
order_type=pyRofex.OrderType.MARKET)
# 7-Wait 5 sec then close the connection
def order_report_handler(message):
print("Order Report Message Received: {0}".format(message))
def error_handler(message):
print("Error Message Received: {0}".format(message))
def exception_handler(e):
print("Exception Occurred: {0}".format(e.message))
# Initiate Websocket Connection
pyRofex.init_websocket_connection(market_data_handler=market_data_handler,
error_handler=error_handler,
exception_handler=exception_handler)
# Instruments list to subscribe
instruments = ["RFX20Sep20", "I.RFX20"]
# Uses the MarketDataEntry enum to define the entries we want to subscribe to
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST
]
# Subscribes to receive market data messages **
pyRofex.market_data_subscription(tickers=instruments, entries=entries)
# Subscribes to receive order report messages (default account will be used) **
pyRofex.order_report_subscription()
plt.pause(0.2)
# Defines the handlers that will process the messages
def market_data_handler(message):
global prices
print("Market Data Message Received: {0}".format(message))
last = None if not message["marketData"]["LA"] else message["marketData"]["LA"]["price"]
prices.loc[datetime.fromtimestamp(message["timestamp"]/1000)] = [
message["marketData"]["BI"][0]["price"],
message["marketData"]["OF"][0]["price"],
last
]
# Initialize Websocket Connection with the handlers
pyRofex.init_websocket_connection(market_data_handler=market_data_handler)
# Subscribes to receive market data messages
pyRofex.market_data_subscription(
tickers=[instrument],
entries=[
pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST]
)
while True:
update_plot()
time.sleep(0.5)
def order_report_handler(message):
pass
def order_error_handler(message):
print("Error Message Received: {0}".format(message))
def order_exception_handler(e):
print("Exception Occurred: {0}".format(e.message))
pyRofex.init_websocket_connection(
market_data_handler=market_data_handler,
error_handler=error_handler,
exception_handler=exception_handler,
order_report_handler=order_report_handler,
)
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST, pyRofex.MarketDataEntry.OPENING_PRICE,
pyRofex.MarketDataEntry.CLOSING_PRICE, pyRofex.MarketDataEntry.HIGH_PRICE,
pyRofex.MarketDataEntry.LOW_PRICE, pyRofex.MarketDataEntry.TRADE_VOLUME,
pyRofex.MarketDataEntry.NOMINAL_VOLUME,
pyRofex.MarketDataEntry.TRADE_EFFECTIVE_VOLUME
]
pyRofex.market_data_subscription(tickers=instruments, entries=entries, depth=5)
# pyRofex.order_report_subscription()
print("Iniciando sesion en Remarkets")
try:
pyRofex.initialize(
user=sys.argv[3],
password=sys.argv[5],
account=sys.argv[7],
environment = pyRofex.Environment.REMARKET)
except:
print("Usuario y/o contraseña incorrectos")
sys.exit()
# Inicializo la conexion Websocket
try:
pyRofex.init_websocket_connection()
except:
print("Error al establecer una conexion websocket")
sys.exit()
#Obtengo la MARKET_DATA
print("Consultando simbolo")
md = pyRofex.get_market_data(instrumento, [pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.LAST])
#Check del simbolo
if md["status"] == "ERROR" and md["description"] == "Security {0}:ROFX doesn't exist".format(instrumento):
print("Simbilo invalido")
def iniciar(ticker2, REMARKETS_USER, REMARKET_PASS, REMARKET_ACCOUNT):
def error_handler(message):
print("Simbolo invalido")
def market_data_handler(message):
print("se ha reportado una solicutud al market data")
def exception_handler(e):
print("Exception Ocurred")
def order_report_handler(message):
print("se ha reportado una orden")
print("~$ python challenge.py ", ticker2, " -u ", REMARKETS_USER, " -p ",
REMARKET_PASS)
print("Iniciando sesion en Remarket")
# bloque try/except para autencticacion de password
try:
pyRofex.initialize(user=REMARKETS_USER,
password=REMARKET_PASS,
account=REMARKET_ACCOUNT,
environment=pyRofex.Environment.REMARKET)
except:
print("Error de autenticacion")
print("~$")
print("por favor vuelva a ingresar sus credenciales")
exit()
else:
pyRofex.init_websocket_connection(
market_data_handler=market_data_handler,
error_handler=error_handler,
order_report_handler=order_report_handler,
exception_handler=exception_handler)
print("Consultando simbolo")
md = pyRofex.get_market_data(
ticker=ticker2,
entries=[pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.LAST])
# capturar el key error de market data
try:
lp = md["marketData"]["LA"]["price"]
except KeyError:
print("Símbolo inválido")
else:
lp = md["marketData"]["LA"]["price"]
print("Último precio operado: $", lp)
print("consultando BID")
try:
md["marketData"]["BI"][0]["price"]
except KeyError:
# In this case, replace the constant value of 75.25 by a value that when talking about the September dollar the value is 75.25 in the bid offered.
# But if we talk about another asset (another instrument) this remains at a competitive value for supply / demand.
pyRofex.send_order(ticker=ticker2,
side=pyRofex.Side.BUY,
size=1,
price=lp - 0.91,
order_type=pyRofex.OrderType.LIMIT)
print("No hay Bids Activos")
bido = lp - 0.91
print("ingresando orden :$", bido)
else:
pyRofex.send_order(ticker=ticker2,
side=pyRofex.Side.BUY,
size=1,
price=md["marketData"]["BI"][0]["price"] - 0.01,
order_type=pyRofex.OrderType.LIMIT)
bid = md["marketData"]["BI"][0]["price"]
bido = bid - 0.01
print("Precio de BID: $", bid)
print("ingresando orden :$", bido)
print("cerrando sesion en Remarket")
time.sleep(5)
pyRofex.close_websocket_connection()
print("~$")
