def from_dict(values: Dict[str, Any], quantity_key: str, price_key: str = 'price', price: Decimal = None,
futures: bool = False) -> 'Order':
if price is None:
price = parse_decimal(values[price_key])
quantity = parse_decimal(values[quantity_key])
order_list_id = values['orderListId'] if values.get('orderListId', -1) != -1 else None
return Order(values['symbol'], values['side'], values['type'], values['status'], values['orderId'],
order_list_id, quantity, price, futures)
def process_api_spot_message(self, msg: dict) -> None:
if msg['e'] == 'executionReport':
order_list_id = msg['g'] if msg['g'] != -1 else None
order = Order(symbol=msg['s'],
side=msg['S'],
order_type=msg['o'],
status=msg['X'],
order_id=msg['i'],
order_list_id=order_list_id,
quantity=parse_decimal(msg['l']),
price=parse_decimal(msg['L']))
self._process_api_order(order)
def process_api_futures_message(self, message: dict) -> None:
if message['data']['e'] == 'ORDER_TRADE_UPDATE':
msg = message['data']['o']
order = Order(symbol=msg['s'],
side=msg['S'],
order_type=msg['o'],
original_type=msg['ot'],
status=msg['X'],
order_id=msg['i'],
order_list_id=None,
quantity=parse_decimal(msg['l']),
price=parse_decimal(msg['L']),
futures=True)
self._process_api_order(order)
def _check_is_empty(self, symbol: str) -> None:
positions = self._client.futures_position_information(symbol=symbol)
assert len(positions) == 1
assert parse_decimal(positions[0]['positionAmt']) == Decimal(
0), f'{symbol} has open future position'
assert len(self._client.futures_get_open_orders(
symbol=symbol)) == 0, f'{symbol} has open future order'
def _get_last_buy_order(self, symbol: str) -> Optional[Order]:
api_orders = self._client.get_all_orders(symbol=symbol)
api_orders.sort(key=lambda o: o['updateTime'], reverse=True)
for info in api_orders:
if info['side'] == Order.SIDE_BUY and info[
'status'] == Order.STATUS_FILLED:
# price is zero in original response
price = parse_decimal(
info['cummulativeQuoteQty']) / parse_decimal(
info['executedQty'])
return Order.from_dict(info,
price=price,
quantity_key='executedQty')
else:
return None
def market_sell(self, symbol: str, quantity: Decimal) -> Order:
info = self._client.order_market_sell(
symbol=symbol,
quantity=quantity,
)
if info['status'] != Order.STATUS_FILLED:
sleep(1)
info = self._client.get_order(symbol=info['symbol'],
orderId=info['orderId'])
# price is zero in original response
price = parse_decimal(info['cummulativeQuoteQty']) / parse_decimal(
info['executedQty'])
order = Order.from_dict(info, price=price, quantity_key='executedQty')
assert order.status == Order.STATUS_FILLED, f'Got {order.status}'
return order
def get_sell_order_pnl(self, sell_order: Order) -> Optional[Decimal]:
assert sell_order.side == Order.SIDE_SELL
assert sell_order.status == Order.STATUS_FILLED
trades = self._client.futures_account_trades(symbol=sell_order.symbol)
pln = [
parse_decimal(info['realizedPnl']) for info in trades
if info['orderId'] == sell_order.order_id
]
return pln[0] if len(pln) != 0 else None
def _symbol_infos(self) -> Dict[str, SymbolInfo]:
if len(self.__symbol_infos) == 0:
all_info = self._client.futures_exchange_info()
for info in all_info['symbols']:
symbol = info['symbol']
min_notional = [
parse_decimal(f['notional']) for f in info['filters']
if f['filterType'] == 'MIN_NOTIONAL'
][0]
self.__symbol_infos[symbol] = SymbolInfo(
int(info['quantityPrecision']),
int(info['pricePrecision']), min_notional)
return self.__symbol_infos
def get_symbol_info(self, symbol: str) -> SymbolInfo:
if symbol not in self._symbol_infos:
info = self._client.get_symbol_info(symbol=symbol)
quantity_precision, price_precision, min_notional = None, None, None
def parse(key: str) -> int:
return int(round(-math.log(Decimal(f[key]), 10), 0))
for f in info['filters']:
if f['filterType'] == 'LOT_SIZE':
quantity_precision = parse('stepSize')
elif f['filterType'] == 'PRICE_FILTER':
price_precision = parse('tickSize')
elif f['filterType'] == 'MIN_NOTIONAL':
min_notional = parse_decimal(f['minNotional'])
assert quantity_precision is not None and price_precision is not None and min_notional is not None
self._symbol_infos[symbol] = SymbolInfo(quantity_precision,
price_precision,
min_notional)
return self._symbol_infos[symbol]
def get_current_price(self, symbol: str) -> Decimal:
info = self._client.get_symbol_ticker(symbol=symbol)
return parse_decimal(info['price'])
def get_open_position_quantity(self, symbol: str) -> Decimal:
info = self._client.futures_position_information(symbol=symbol)
assert len(info) == 1
return parse_decimal(info[0]['positionAmt'])