def __fetch_orders(self, signals=False):
"""
This is the synchronous REST fetching, but prefer the WS asynchronous and live one.
Mainly used for initial fetching.
"""
try:
open_orders = self._watcher.connector.open_orders()
except Exception as e:
logger.error("__fetch_orders: %s" % repr(e))
raise
orders = {}
for data in open_orders:
market = self.market(data['symbol'])
if data['status'] == 'NEW': # might be...
order = Order(self, data['symbol'])
order.set_order_id(data['orderId'])
order.quantity = data['origQty']
order.executed = data['executedQty']
order.direction = Order.LONG if data[
'side'] == 'BUY' else Order.SHORT
if data['type'] == 'LIMIT':
order.order_type = Order.ORDER_LIMIT
elif data['type'] == 'MARKET':
order.order_type = Order.ORDER_MARKET
elif data['type'] == 'STOP_LOSS_LIMIT':
order.order_type = Order.ORDER_STOP_LIMIT
order.close_only = True
elif data['type'] == 'TAKE_PROFIT_LIMIT':
order.order_type = Order.ORDER_LIMIT
order.close_only = True
order.order_price = data['price']
order.stop_loss = data['stopPrice']
order.created_time = data['time']
order.transact_time = data['updateTime']
if data['timeInForce'] == 'GTC':
order.time_in_force = Order.TIME_IN_FORCE_GTC
elif data['timeInForce'] == 'IOC':
order.time_in_force = Order.TIME_IN_FORCE_IOC
elif data['timeInForce'] == 'FOK':
order.time_in_force = Order.TIME_IN_FORCE_FOK
else:
order.time_in_force = Order.TIME_IN_FORCE_GTC
# "icebergQty": "0.0" # @todo a day when I'll be rich
orders[order.order_id] = order
if signals:
# deleted (for signals if no WS)
deleted_list = self._orders.keys() - orders.keys()
# @todo
# created (for signals if no WS)
created_list = orders.keys() - self._orders.keys()
# @todo
self._orders = orders
def on_order_traded(self, market_id, data, ref_order_id):
"""
Order update, trade order in that case, is always successed by an asset update signal.
Binance order modification is not possible, need cancel and recreate.
@note Consume 1 API credit to get the asset quote price at the time of the trade.
"""
market = self._markets.get(data['symbol'])
if market is None:
# not interested by this market
return
base_asset = self.__get_or_add_asset(market.base)
quote_asset = self.__get_or_add_asset(market.quote)
quote_market = None
order = self._orders.get(data['id'])
if order is None:
# not found (might not occurs)
order = Order(self, data['symbol'])
order.set_order_id(data['id'])
# its might be the creation timestamp but it will be the trade execution
order.created_time = data['timestamp']
order.direction = data['direction']
order.order_type = data['type']
order.time_in_force = data['time-in-force']
order.quantity = data['quantity']
order.order_price = data['order-price']
order.stop_loss = data['stop-loss']
self._orders[data['id']] = order
order.executed += data['filled']
if data['trade-id']:
# same asset used for commission
buy_or_sell = data['direction'] == Order.LONG
# base details in the trade order
base_trade_qty = data['filled']
base_exec_price = data['exec-price']
# price of the quote asset expressed in prefered quote at time of the trade (need a REST call)
quote_trade_qty = data[
'quote-transacted'] # or base_trade_qty * base_exec_price
quote_exec_price = 1.0
if quote_asset.quote and quote_asset.symbol != quote_asset.quote:
# quote price to be fetched
if self._watcher.has_instrument(quote_asset.symbol +
quote_asset.quote):
# direct, and get the related market
quote_market = self._markets.get(quote_asset.symbol +
quote_asset.quote)
quote_exec_price = self.history_price(
quote_asset.symbol + quote_asset.quote,
data['timestamp'])
elif self._watcher.has_instrument(quote_asset.quote +
quote_asset.symbol):
# indirect, but cannot have the market
quote_exec_price = 1.0 / self.history_price(
quote_asset.quote + quote_asset.symbol,
data['timestamp'])
# base asset
self.__update_asset(order.order_type, base_asset, market,
data['trade-id'], base_exec_price,
base_trade_qty, buy_or_sell, data['timestamp'])
# quote asset
self.__update_asset(order.order_type, quote_asset, quote_market,
None, quote_exec_price, quote_trade_qty,
not buy_or_sell, data['timestamp'])
# commission asset
if data['commission-asset'] == base_asset.symbol:
self.__update_asset(Order.ORDER_MARKET, base_asset, market,
None, base_exec_price,
data['commission-amount'], False,
data['timestamp'])
else:
commission_asset = self.__get_or_add_asset(
data['commission-asset'])
commission_asset_market = None
quote_exec_price = 1.0
if commission_asset.quote and commission_asset.symbol != commission_asset.quote:
# commission asset price to be fetched
if self._watcher.has_instrument(commission_asset.symbol +
commission_asset.quote):
# direct, and get the related market
commission_asset_market = self.market(
commission_asset.symbol + commission_asset.quote)
quote_exec_price = commission_asset_market.price
elif self._watcher.has_instrument(commission_asset.quote +
commission_asset.symbol):
# indirect, but cannot have the market
quote_exec_price = 1.0 / self.history_price(
commission_asset.quote + commission_asset.symbol,
data['timestamp'])
self.__update_asset(Order.ORDER_MARKET, commission_asset,
commission_asset_market, None,
quote_exec_price,
data['commission-amount'], False,
data['timestamp'])
