def fetch_market(self, epic):
"""
Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
"""
market_info = self._connector.market(epic)
instrument = market_info['instrument']
snapshot = market_info['snapshot']
dealing_rules = market_info['dealingRules']
market = Market(epic, instrument['marketId'])
# cannot interpret this value because IG want it as it is
market.expiry = instrument['expiry']
# not perfect but IG does not provides this information
if instrument["marketId"].endswith(instrument["currencies"][0]["name"]):
base_symbol = instrument["marketId"][:-len(instrument["currencies"][0]["name"])]
else:
base_symbol = instrument["marketId"]
market.base_exchange_rate = instrument['currencies'][0]['baseExchangeRate'] # "exchangeRate": 0.77
market.one_pip_means = float(instrument['onePipMeans'].split(' ')[0]) # "1 Index Point", "0.0001 USD/EUR"
market.value_per_pip = float(instrument['valueOfOnePip'])
market.contract_size = float(instrument['contractSize'])
market.lot_size = float(instrument['lotSize'])
market.set_base(
base_symbol,
base_symbol,
decimal_place(market.one_pip_means))
if instrument['type'] in ('CURRENCIES'):
pass # quote_precision =
elif instrument['type'] in ('INDICES', 'COMMODITIES', 'SHARES', 'RATES', 'SECTORS'):
pass # quote_precision =
market.set_quote(
instrument["currencies"][0]["name"],
instrument["currencies"][0]['symbol'],
decimal_place(market.one_pip_means))
# "forceOpenAllowed": true,
# "stopsLimitsAllowed": true,
# "controlledRiskAllowed": true,
# "streamingPricesAvailable": true,
if snapshot:
market.is_open = snapshot["marketStatus"] == "TRADEABLE"
market.bid = snapshot['bid']
market.ofr = snapshot['offer']
# "marginFactorUnit": "PERCENTAGE" not avalaible if market is down
if instrument.get('marginFactor') and market.is_open:
market.margin_factor = float(instrument['marginFactor'])
margin_factor = instrument['marginFactor']
elif instrument.get('margin') and market.is_open:
market.margin_factor = 0.1 / float(instrument['margin'])
margin_factor = str(market.margin_factor)
else:
# we don't want this when market is down because it could overwrite the previous stored value
margin_factor = None
if instrument['unit'] == 'AMOUNT':
market.unit_type = Market.UNIT_AMOUNT
elif instrument['unit'] == 'CONTRACTS':
market.unit_type = Market.UNIT_CONTRACTS
elif instrument['unit'] == 'SHARES':
market.unit_type = Market.UNIT_SHARES
# BINARY OPT_* BUNGEE_*
if instrument['type'] == 'CURRENCIES':
market.market_type = Market.TYPE_CURRENCY
elif instrument['type'] == 'INDICES':
market.market_type = Market.TYPE_INDICE
elif instrument['type'] == 'COMMODITIES':
market.market_type = Market.TYPE_COMMODITY
elif instrument['type'] == 'SHARES':
market.market_type = Market.TYPE_STOCK
elif instrument['type'] == 'RATES':
market.market_type = Market.TYPE_RATE
elif instrument['type'] == 'SECTORS':
market.market_type = Market.TYPE_SECTOR
market.trade = Market.TRADE_MARGIN | Market.TRADE_POSITION
market.contract_type = Market.CONTRACT_CFD
# take minDealSize as tick size
market.set_size_limits(dealing_rules["minDealSize"]["value"], 0.0, dealing_rules["minDealSize"]["value"])
# @todo there is some limits in contract size
market.set_notional_limits(0.0, 0.0, 0.0)
# use one pip means for minimum and tick price size
market.set_price_limits(market.one_pip_means, 0.0, market.one_pip_means)
# commission for stocks @todo
commission = "0.0"
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((self.name, epic, market.symbol,
market.market_type, market.unit_type, market.contract_type, # type
market.trade, market.orders, # type
market.base, market.base_display, market.base_precision, # base
market.quote, market.quote_display, market.quote_precision, # quote
market.expiry, int(market.last_update_time * 1000.0), # expiry, timestamp
instrument['lotSize'], instrument['contractSize'], str(market.base_exchange_rate),
instrument['valueOfOnePip'], instrument['onePipMeans'].split(' ')[0], margin_factor,
dealing_rules["minDealSize"]["value"], "0.0", dealing_rules["minDealSize"]["value"], # size limits
"0.0", "0.0", "0.0", # notional limits
"0.0", "0.0", "0.0", # price limits
"0.0", "0.0", commission, commission) # fees
)
# print(market.symbol, market._size_limits, market._price_limits)
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (epic, market))
return market
def fetch_market(self, market_id):
"""
Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
@todo min/max/step/min_notional
"""
instrument = self.connector.ws.get_instrument(market_id)
# funds = self.connector.ws.funds() # to get account base currency (if XBt or XBT)
xbt_usd = self.connector.ws.get_instrument("XBTUSD")
if instrument:
# tickSize is the minimum price increment (0.5USD for XBTUSD)
tradeable = instrument.get('state', 'Closed') == 'Open'
update_time = self._parse_datetime(instrument.get('timestamp')).timestamp()
symbol = instrument.get('symbol', '')
base_symbol = instrument.get('rootSymbol', '')
quote_symbol = symbol[-3:]
# if funds['currency'] == 'XBt':
# # XBt to XBT
# ratio = 1.0 / 100000000.0
# if base_symbol == 'USD':
# # USD is base then convert to XBT
# ratio *= to_base_rate
bid = instrument.get('bidPrice')
ofr = instrument.get('askPrice')
market = Market(market_id, symbol)
# compute base precision from the tick size, example 0.05 => 2
base_precision = -math.floor(math.log10(instrument.get('tickSize', 1.0)))
market.set_base(base_symbol, base_symbol, base_precision)
market.set_quote(quote_symbol, quote_symbol)
# base to XBT
market.base_exchange_rate = 1.0
# base instrument
base_market_id = "XBT" + quote_symbol
base_market = self.connector.ws.get_instrument(base_market_id)
if base_market_id != symbol and base_market:
market.base_exchange_rate = base_market.get('lastPrice', 1.0) / instrument.get('lastPrice', 1.0)
# @todo 'multiplier', 'riskStep', 'riskLimit'
# limits
min_notional = 1.0 # $
if quote_symbol != "USD" and base_market_id != "XBT":
# any contract on futur XBT quote
min_notional = 0.0001
# BCHXBT 'maxOrderQty': 100000000, 'maxPrice': 10, 'lotSize': 1, 'tickSize': 0.0001,
# XBCUSD 'maxOrderQty': 10000000, 'maxPrice': 1000000, 'lotSize': 1, 'tickSize': 0.5,
market.set_size_limits(instrument.get('tickSize', 1.0), instrument.get('maxOrderQty', 0.0), instrument.get('tickSize', 1.0))
market.set_notional_limits(min_notional, instrument.get('maxPrice', 0.0), 0.0)
market.set_price_limits(0.0, 0.0, instrument.get('tickSize', 1.0))
# need to divided by account currency XBt = 100000000
market.margin_factor = instrument.get('initMargin', 1.0)
# market.max_margin_factor = 1.0 / (instrument.get('riskLimit', 1.0) * ratio) # ex: 20000000000 for max leverage 200
# '-' if perpetual else match the regexp and keep the expiry part only
expiry = BitMexWatcher.EXPIRY_RE.match(market_id)
# or instrument.get(expiry') == '2018-12-28T12:00:00.000Z' for Z18 its 28 of month Z (december) and year 2018
if expiry is None:
market.expiry = '-'
else:
market.expiry = expiry.group(2) + expiry.group(3)
market.market_type = Market.TYPE_CRYPTO
market.unit_type = Market.UNIT_CONTRACTS
market.contract_type = Market.CONTRACT_CFD # and FUTUR
market.trade = Market.TRADE_IND_MARGIN
if bid is not None and ofr is not None:
market.bid = bid
market.ofr = ofr
market.last_update_time = update_time
market.lot_size = instrument.get('lotSize', 1.0) # ex: 1.0 for XBTUSD
market.contract_size = 1.0
market.value_per_pip = 1.0
market.one_pip_means = instrument.get('tickSize', 1.0)
# contract_size need to be updated as price changes
# @todo this is wrong... same on update part above
if quote_symbol == 'USD' and base_market_id == symbol: # XBTUSD...
market.contract_size = 1.0 / instrument.get('lastPrice', 1.0)
elif quote_symbol == 'USD' and base_market_id != symbol: # ETHUSD...
market.contract_size = (0.001 * 0.01) * instrument.get('lastPrice', 1.0)
elif base_market and base_market_id != symbol: # ADAZ18...
market.contract_size = 1.0 / instrument.get('lastPrice', 1.0)
market.value_per_pip = market.contract_size / instrument.get('lastPrice', 1.0)
market.maker_fee = instrument.get('makerFee', 0.0)
market.taker_fee = instrument.get('takerFee', 0.0)
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((self.name, market_id, market.symbol,
market.market_type, market.unit_type, market.contract_type, # type
market.trade, market.orders, # type
market.base, market.base_display, market.base_precision, # base
market.quote, market.quote_display, market.quote_precision, # quote
market.expiry, int(market.last_update_time * 1000.0), # expiry, timestamp
str(market.lot_size), str(market.contract_size), str(market.base_exchange_rate),
str(market.value_per_pip), str(market.one_pip_means), str(market.margin_factor),
str(market.min_size), str(market.max_size), str(market.step_size), # size limits
str(market.min_notional), str(market.max_notional), str(market.step_notional), # notional limits
str(market.min_price), str(market.max_price), str(market.tick_price), # price limits
str(market.maker_fee), str(market.taker_fee), str(market.maker_commission), str(market.taker_commission)) # fees
)
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (market_id, market))
return market
def fetch_market(self, market_id):
"""
Fetch and cache it. It rarely changes.
"""
symbol = self._symbols_data.get(market_id)
ticker = self._tickers_data.get(market_id)
account = self._acount_data
market = None
if symbol and ticker and account:
market = Market(symbol['symbol'], symbol['symbol'])
market.is_open = symbol['status'] == "TRADING"
market.expiry = '-'
base_asset = symbol['baseAsset']
market.set_base(base_asset, base_asset,
symbol['baseAssetPrecision'])
quote_asset = symbol['quoteAsset']
market.set_quote(quote_asset,
symbol.get('quoteAssetUnit', quote_asset),
symbol['quotePrecision'])
# tick size at the base asset precision
market.one_pip_means = math.pow(10.0,
-symbol['baseAssetPrecision'])
market.value_per_pip = 1.0
market.contract_size = 1.0
market.lot_size = 1.0
# @todo add margin support
market.margin_factor = 1.0
size_limits = ["1.0", "0.0", "1.0"]
notional_limits = ["1.0", "0.0", "0.0"]
price_limits = ["0.0", "0.0", "0.0"]
# size min/max/step
for afilter in symbol["filters"]:
if afilter['filterType'] == "LOT_SIZE":
size_limits = [
afilter['minQty'], afilter['maxQty'],
afilter['stepSize']
]
elif afilter['filterType'] == "MIN_NOTIONAL":
notional_limits[0] = afilter['minNotional']
elif afilter['filterType'] == "PRICE_FILTER":
price_limits = [
afilter['minPrice'], afilter['maxPrice'],
afilter['tickSize']
]
market.set_size_limits(float(size_limits[0]),
float(size_limits[1]),
float(size_limits[2]))
market.set_price_limits(float(price_limits[0]),
float(price_limits[1]),
float(price_limits[2]))
market.set_notional_limits(float(notional_limits[0]), 0.0, 0.0)
market.unit_type = Market.UNIT_AMOUNT
market.market_type = Market.TYPE_CRYPTO
market.contract_type = Market.CONTRACT_SPOT
market.trade = 0
if symbol.get('isSpotTradingAllowed', False):
market.trade |= Market.TRADE_ASSET
if symbol.get('isMarginTradingAllowed', False):
market.trade |= Market.TRADE_IND_MARGIN
# @todo orders capacities
# symbol['orderTypes'] in ['LIMIT', 'LIMIT_MAKER', 'MARKET', 'STOP_LOSS_LIMIT', 'TAKE_PROFIT_LIMIT']
# market.orders =
if symbol.get('ocoAllowed', False):
market.orders |= Market.ORDER_ONE_CANCEL_OTHER
market.maker_fee = account['makerCommission'] * 0.0001
market.taker_fee = account['takerCommission'] * 0.0001
# market.buyer_commission = account['buyerCommission']
# market.seller_commission = account['sellerCommission']
# only order book can give us bid/ofr
market.bid = float(ticker['price'])
market.ofr = float(ticker['price'])
mid_price = float(ticker['price'])
if quote_asset != self.BASE_QUOTE:
if self._tickers_data.get(quote_asset + self.BASE_QUOTE):
market.base_exchange_rate = float(
self._tickers_data.get(quote_asset + self.BASE_QUOTE,
{'price', '1.0'})['price'])
elif self._tickers_data.get(self.BASE_QUOTE + quote_asset):
market.base_exchange_rate = 1.0 / float(
self._tickers_data.get(self.BASE_QUOTE + quote_asset,
{'price', '1.0'})['price'])
else:
market.base_exchange_rate = 1.0
else:
market.base_exchange_rate = 1.0
market.contract_size = 1.0 / mid_price
market.value_per_pip = market.contract_size / mid_price
# volume 24h
# in client.get_ticker but cost is 40 for any symbols then wait it at all-tickets WS event
# vol24_base = ticker24h('volume')
# vol24_quote = ticker24h('quoteVolume')
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name,
(market_id, market))
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((
self.name,
market.market_id,
market.symbol,
market.market_type,
market.unit_type,
market.contract_type, # type
market.trade,
market.orders, # type
market.base,
market.base_display,
market.base_precision, # base
market.quote,
market.quote_display,
market.quote_precision, # quote
market.expiry,
int(market.last_update_time * 1000.0), # expiry, timestamp
str(market.lot_size),
str(market.contract_size),
str(market.base_exchange_rate),
str(market.value_per_pip),
str(market.one_pip_means),
'-',
*size_limits,
*notional_limits,
*price_limits,
str(market.maker_fee),
str(market.taker_fee),
str(market.maker_commission),
str(market.taker_commission)))
return market
