class KrakenFetcher(Fetcher):
"""
Kraken market data fetcher.
"""
TF_MAP = {
60: '1m',
180: '3m',
300: '5m',
900: '15m',
1800: '30m',
3600: '1h',
7200: '2h',
14400: '4h',
21600: '6h',
28800: '8h',
43200: '12h',
86400: '1d',
259200: '3d',
604800: '1w',
2592000: '1M'
}
def __init__(self, service):
super().__init__("kraken.com", service)
self._connector = None
def connect(self):
super().connect()
try:
identity = self.service.identity(self._name)
if identity:
if not self._connector:
self._connector = Connector(
self.service,
identity.get('api-key'),
identity.get('api-secret'),
identity.get('host'))
if not self._connector.connected:
self._connector.connect(use_ws=False)
#
# instruments
#
# get all products symbols
self._available_instruments = set()
# @todo
# instruments = self._connector.client.get_products().get('data', [])
# for instrument in instruments:
# self._available_instruments.add(instrument['symbol'])
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
def disconnect(self):
super().disconnect()
try:
if self._connector:
self._connector.disconnect()
self._connector = None
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
@property
def connector(self):
return self._connector
@property
def connected(self):
return self._connector is not None and self._connector.connected
@property
def authenticated(self):
return self._connector and self._connector.authenticated
def fetch_trades(self, market_id, from_date=None, to_date=None, n_last=None):
pass
def fetch_candles(self, market_id, timeframe, from_date=None, to_date=None, n_last=None):
pass
class BinanceWatcher(Watcher):
"""
Binance market watcher using REST + WS.
@ref https://github.com/binance-exchange/binance-official-api-docs/blob/master/margin-api.md
@todo Margin trading, get position from REST API + WS events.
@todo Finish order book events.
@todo Update base_exchange_rate as price change.
@todo Once a market is not longer found (market update) we could remove it from watched list,
and even have a special signal to strategy, and remove the subscriber, and markets data from watcher and trader
"""
BASE_QUOTE = 'BTC'
REV_TF_MAP = {
'1m': 60,
'3m': 180,
'5m': 300,
'15m': 900,
'30m': 1800,
'1h': 3600,
'2h': 7200,
'4h': 14400,
'6h': 21600,
'8h': 28800,
'12h': 43200,
'1d': 86400,
'3d': 259200,
'1w': 604800,
'1M': 2592000
}
def __init__(self, service):
super().__init__("binance.com", service,
Watcher.WATCHER_PRICE_AND_VOLUME)
self._connector = None
self._depths = {} # depth chart per symbol tuple (last_id, bids, ofrs)
self._acount_data = {}
self._symbols_data = {}
self._tickers_data = {}
self._last_trade_id = {}
self.__configured_symbols = set() # cache for configured symbols set
self.__matching_symbols = set() # cache for matching symbols
self._multiplex_handler = None # WS multiple instruments
self._multiplex_handlers = {} # WS instruments per instrument
self._tickers_handler = None # WS all tickers
self._user_data_handler = None # WS user data
def connect(self):
super().connect()
with self._mutex:
try:
self._ready = False
self._connecting = True
identity = self.service.identity(self._name)
if identity:
if not self._connector:
self._connector = Connector(
self.service, identity.get('account-id', ""),
identity.get('api-key'),
identity.get('api-secret'), identity.get('host'))
if not self._connector.connected or not self._connector.ws_connected:
self._connector.connect()
if self._connector and self._connector.connected:
#
# instruments
#
# get all products symbols
self._available_instruments = set()
instruments = self._connector.client.get_products(
).get('data', [])
configured_symbols = self.configured_symbols()
matching_symbols = self.matching_symbols_set(
configured_symbols, [
instrument['symbol']
for instrument in instruments
])
# cache them
self.__configured_symbols = configured_symbols
self.__matching_symbols = matching_symbols
# prefetch all markets data with a single request to avoid one per market
self.__prefetch_markets()
for instrument in instruments:
self._available_instruments.add(
instrument['symbol'])
# all tickers
self._tickers_handler = self._connector.ws.start_ticker_socket(
self.__on_tickers_data)
# userdata
self._user_data_handler = self._connector.ws.start_user_socket(
self.__on_user_data)
# and start ws manager if necessarry
try:
self._connector.ws.start()
except RuntimeError:
logger.debug("%s WS already started..." %
(self.name))
# once market are init
self._ready = True
self._connecting = False
logger.debug("%s connection successed" % (self.name))
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
if self._connector and self._connector.connected and self._ready:
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name,
time.time())
def disconnect(self):
super().disconnect()
logger.debug("%s disconnecting..." % (self.name))
with self._mutex:
try:
if self._connector:
self._connector.disconnect()
self._connector = None
# reset WS handlers
self._multiplex_handler = None
self._multiplex_handlers = {}
self._tickers_handler = None
self._user_data_handler = None
self._ready = False
logger.debug("%s disconnected" % (self.name))
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
@property
def connector(self):
return self._connector
@property
def connected(self):
return self._connector is not None and self._connector.connected and self._connector.ws_connected
@property
def authenticated(self):
return self._connector and self._connector.authenticated
def pre_update(self):
if not self._connecting and not self._ready:
reconnect = False
with self._mutex:
if not self._ready or self._connector is None or not self._connector.connected or not self._connector.ws_connected:
# cleanup
self._ready = False
self._connector = None
reconnect = True
if reconnect:
time.sleep(2)
self.connect()
return
#
# instruments
#
def subscribe(self,
market_id,
timeframe,
ohlc_depths=None,
order_book_depth=None):
result = False
with self._mutex:
try:
if market_id in self.__matching_symbols:
multiplex = []
# live data
symbol = market_id.lower()
# depth - order book
# multiplex.append(symbol + '@depth')
# aggreged trade
multiplex.append(symbol + '@aggTrade')
# not used : ohlc (1m, 5m, 1h), prefer rebuild ourself using aggreged trades
# multiplex.append('{}@kline_{}'.format(symbol, '1m')) # '5m' '1h'...
# fetch from 1M to 1W
if self._initial_fetch:
logger.info("%s prefetch for %s" %
(self.name, market_id))
self.fetch_and_generate(market_id, Instrument.TF_1M,
3 * self.DEFAULT_PREFETCH_SIZE,
Instrument.TF_3M)
self.fetch_and_generate(market_id, Instrument.TF_5M,
self.DEFAULT_PREFETCH_SIZE,
None)
self.fetch_and_generate(market_id, Instrument.TF_15M,
2 * self.DEFAULT_PREFETCH_SIZE,
Instrument.TF_30M)
self.fetch_and_generate(market_id, Instrument.TF_1H,
4 * self.DEFAULT_PREFETCH_SIZE,
Instrument.TF_4H)
self.fetch_and_generate(market_id, Instrument.TF_1D,
7 * self.DEFAULT_PREFETCH_SIZE,
Instrument.TF_1W)
# one more watched instrument
self.insert_watched_instrument(market_id, [0])
# trade+depth
self._multiplex_handlers[
market_id] = self._connector.ws.start_multiplex_socket(
multiplex, self.__on_multiplex_data)
result = True
except Exception as e:
error_logger.error(repr(e))
return result
def unsubscribe(self, market_id, timeframe):
with self._mutex:
if market_id in self._multiplex_handlers:
self._multiplex_handlers[market_id].close()
del self._multiplex_handlers[market_id]
return True
return False
#
# processing
#
def update(self):
if not super().update():
return False
if not self.connected:
return False
#
# ohlc close/open
#
with self._mutex:
self.update_from_tick()
#
# market info update (each 4h)
#
if time.time(
) - self._last_market_update >= BinanceWatcher.UPDATE_MARKET_INFO_DELAY: # only once per 4h
try:
logger.info("%s update market info" % self.name)
self.update_markets_info()
self._last_market_update = time.time()
except Exception as e:
error_logger.error("update_update_markets_info %s" % str(e))
return True
def post_update(self):
super().post_update()
time.sleep(0.0005)
def post_run(self):
super().post_run()
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
def fetch_order_book(self, market_id):
# get_orderbook_tickers
# get_order_book(market_id)
pass
#
# protected
#
def __prefetch_markets(self):
symbols = self._connector.client.get_exchange_info().get('symbols', [])
tickers = self._connector.client.get_all_tickers()
self._acount_data = self._connector.client.get_account()
self._symbols_data = {}
self._tickers_data = {}
for symbol in symbols:
self._symbols_data[symbol['symbol']] = symbol
for ticker in tickers:
self._tickers_data[ticker['symbol']] = ticker
def __on_tickers_data(self, data):
# market data instrument by symbol
for ticker in data:
symbol = ticker['s']
last_trade_id = ticker['L']
if last_trade_id != self._last_trade_id.get(symbol, 0):
self._last_trade_id[symbol] = last_trade_id
last_update_time = ticker['C'] * 0.001
bid = float(ticker['b'])
ofr = float(ticker['a'])
vol24_base = float(ticker['v']) if ticker['v'] else 0.0
vol24_quote = float(ticker['q']) if ticker['q'] else 0.0
# @todo compute base_exchange_rate
# 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_data = (symbol, last_update_time > 0, last_update_time,
bid, ofr, None, None, None, vol24_base,
vol24_quote)
self.service.notify(Signal.SIGNAL_MARKET_DATA, self.name,
market_data)
def __on_depth_data(self, data):
# @todo using binance.DepthCache
return
if data['e'] == 'depthUpdate':
symbol = data['s']
if symbol not in self._depths:
# initial snapshot of the order book from REST API
initial = self._connector.client.get_order_book(symbol=symbol,
limit=100)
bids = {}
asks = {}
for bid in initial['bids']:
bids[bid[0]] = bid[1]
for ask in initial['asks']:
asks[ask[0]] = ask[1]
self._depths[symbol] = [
initial.get('lastUpdateId', 0), bids, asks
]
depth = self._depths[symbol]
# The first processed should have U <= lastUpdateId+1 AND u >= lastUpdateId+1
if data['u'] <= depth[0] or data['U'] >= depth[0]:
# drop event if older than the last snapshot
return
if data['U'] != depth[0] + 1:
logger.warning(
"Watcher %s, there is a gap into depth data for symbol %s"
% (self._name, symbol))
for bid in data['b']:
# if data['U'] <= depth[0]+1 and data['u'] >= depth[0]+1:
if bid[1] == 0:
del depth[1][bid[0]] # remove at price
else:
depth[2][bid[0]] = bid[1] # price : volume
for ask in data['a']:
if ask[1] == 0:
del depth[2][ask[0]]
else:
depth[2][ask[0]] = ask[1]
# last processed id, next must be +1
depth[0] = data['u']
# self.service.notify(Signal.SIGNAL_ORDER_BOOK, self.name, (symbol, depth[1], depth[2]))
def __on_multiplex_data(self, data):
"""
Intercepts ticker all, depth for followed symbols.
Klines are generated from tickers data. Its a prefered way to recuce network traffic and API usage.
"""
if not data.get('stream'):
return
if data['stream'].endswith('@aggTrade'):
self.__on_trade_data(data['data'])
elif data['stream'].endswith('@depth'):
self.__on_depth_data(data['data'])
elif '@kline_' in data['stream']:
self.__on_kline_data(data['data'])
# elif data['stream'] == '!ticker@arr':
# self.__on_tickers_data(data['data'])
def __on_trade_data(self, data):
event_type = data.get('e', "")
if event_type == "aggTrade":
symbol = data['s']
trade_time = data['T'] * 0.001
# trade_id = data['t']
# buyer_maker = data['m']
price = float(data['p'])
vol = float(data['q'])
bid = price
ofr = price
tick = (trade_time, bid, ofr, vol)
self.service.notify(Signal.SIGNAL_TICK_DATA, self.name,
(symbol, tick))
if not self._read_only and self._store_trade:
Database.inst().store_market_trade(
(self.name, symbol, int(data['T']), data['p'], data['p'],
data['q']))
for tf in Watcher.STORED_TIMEFRAMES:
# generate candle per timeframe
candle = None
with self._mutex:
candle = self.update_ohlc(symbol, tf, trade_time, bid, ofr,
vol)
if candle is not None:
self.service.notify(Signal.SIGNAL_CANDLE_DATA, self.name,
(symbol, candle))
def __on_kline_data(self, data):
event_type = data.get('e', '')
if event_type == 'kline':
k = data['k']
symbol = k['s']
timestamp = k['t'] * 0.001
tf = self.REV_TF_MAP[k['i']]
candle = Candle(timestamp, tf)
# only price, no spread
candle.set_bid_ohlc(float(k['o']), float(k['h']), float(k['l']),
float(k['c']))
candle.set_ofr_ohlc(float(k['o']), float(k['h']), float(k['l']),
float(k['c']))
candle.set_volume(float(k['v']))
candle.set_consolidated(k['x'])
self.service.notify(Signal.SIGNAL_CANDLE_DATA, self.name,
(symbol, candle))
if k['x'] and not self._read_only:
# write only consolidated candles. values are string its perfect
Database.inst().store_market_ohlc(
(self.name, symbol, int(k['t']), tf, k['o'], k['h'],
k['l'], k['c'], k['o'], k['h'], k['l'], k['c'], k['v']))
def __on_user_data(self, data):
"""
@ref https://github.com/binance-exchange/binance-official-api-docs/blob/master/user-data-stream.md#web-socket-payloads
@todo Soon support of margin trading.
"""
event_type = data.get('e', '')
if event_type == 'executionReport':
exec_logger.info("binance.com executionReport %s", str(data))
event_timestamp = float(data['E']) * 0.001
symbol = data['s']
cid = data['c']
reason = ""
side = ''
quantity = 0
partially = 0
if data['x'] == 'REJECTED': # and data['X'] == '?':
client_order_id = str(data['c'])
reason = ""
if data['r'] == 'INSUFFICIENT_BALANCE':
reason = 'insufficient balance'
self.service.notify(Signal.SIGNAL_ORDER_REJECTED, self.name,
(symbol, client_order_id))
elif (data['x'] == 'TRADE') and (data['X'] == 'FILLED' or data['X']
== 'PARTIALLY_FILLED'):
order_id = str(data['i'])
client_order_id = str(data['c'])
timestamp = float(data['T']) * 0.001 # transaction time
price = None
stop_price = None
if data['o'] == 'LIMIT':
order_type = Order.ORDER_LIMIT
price = float(data['p'])
elif data['o'] == 'MARKET':
order_type = Order.ORDER_MARKET
elif data['o'] == 'STOP_LOSS':
order_type = Order.ORDER_STOP
stop_price = float(data['P'])
elif data['o'] == 'STOP_LOSS_LIMIT':
order_type = Order.ORDER_STOP_LIMIT
price = float(data['p'])
stop_price = float(data['P'])
elif data['o'] == 'TAKE_PROFIT':
order_type = Order.ORDER_TAKE_PROFIT
stop_price = float(data['P'])
elif data['o'] == 'TAKE_PROFIT_LIMIT':
order_type = Order.ORDER_TAKE_PROFIT_LIMIT
price = float(data['p'])
stop_price = float(data['P'])
elif data['o'] == 'LIMIT_MAKER':
order_type = Order.ORDER_LIMIT
price = float(data['p'])
else:
order_type = Order.ORDER_LIMIT
if data['f'] == 'GTC':
time_in_force = Order.TIME_IN_FORCE_GTC
elif data['f'] == 'IOC':
time_in_force = Order.TIME_IN_FORCE_IOC
elif data['f'] == 'FOK':
time_in_force = Order.TIME_IN_FORCE_FOK
else:
time_in_force = Order.TIME_IN_FORCE_GTC
order = {
'id': order_id,
'symbol': symbol,
'type': order_type,
'trade-id': str(data['t']),
'direction':
Order.LONG if data['S'] == 'BUY' else Order.SHORT,
'timestamp': timestamp,
'quantity': float(data['q']),
'price': price,
'stop-price': stop_price,
'exec-price': float(data['L']),
'filled': float(data['l']),
'cumulative-filled': float(data['z']),
'quote-transacted':
float(data['Y']
), # similar as float(data['Z']) for cumulative
'stop-loss': None,
'take-profit': None,
'time-in-force': time_in_force,
'commission-amount': float(data['n']),
'commission-asset': data['N'],
'maker': data[
'm'], # trade execution over or counter the market : true if maker, false if taker
'fully-filled': data['X'] ==
'FILLED' # fully filled status else its partially
}
self.service.notify(Signal.SIGNAL_ORDER_TRADED, self.name,
(symbol, order, client_order_id))
elif data['x'] == 'NEW' and data['X'] == 'NEW':
order_id = str(data['i'])
timestamp = float(data['O']) * 0.001 # order creation time
client_order_id = str(data['c'])
iceberg_qty = float(data['F'])
price = None
stop_price = None
if data['o'] == 'LIMIT':
order_type = Order.ORDER_LIMIT
price = float(data['p'])
elif data['o'] == 'MARKET':
order_type = Order.ORDER_MARKET
elif data['o'] == 'STOP_LOSS':
order_type = Order.ORDER_STOP
stop_price = float(data['P'])
elif data['o'] == 'STOP_LOSS_LIMIT':
order_type = Order.ORDER_STOP_LIMIT
price = float(data['p'])
stop_price = float(data['P'])
elif data['o'] == 'TAKE_PROFIT':
order_type = Order.ORDER_TAKE_PROFIT
stop_price = float(data['P'])
elif data['o'] == 'TAKE_PROFIT_LIMIT':
order_type = Order.ORDER_TAKE_PROFIT_LIMIT
price = float(data['p'])
stop_price = float(data['P'])
elif data['o'] == 'LIMIT_MAKER':
order_type = Order.ORDER_LIMIT
price = float(data['p'])
else:
order_type = Order.ORDER_LIMIT
if data['f'] == 'GTC':
time_in_force = Order.TIME_IN_FORCE_GTC
elif data['f'] == 'IOC':
time_in_force = Order.TIME_IN_FORCE_IOC
elif data['f'] == 'FOK':
time_in_force = Order.TIME_IN_FORCE_FOK
else:
time_in_force = Order.TIME_IN_FORCE_GTC
order = {
'id': order_id,
'symbol': symbol,
'direction':
Order.LONG if data['S'] == 'BUY' else Order.SHORT,
'type': order_type,
'timestamp': event_timestamp,
'quantity': float(data['q']),
'price': price,
'stop-price': stop_price,
'time-in-force': time_in_force,
'stop-loss': None,
'take-profit': None
}
self.service.notify(Signal.SIGNAL_ORDER_OPENED, self.name,
(symbol, order, client_order_id))
elif data['x'] == 'CANCELED' and data['X'] == 'CANCELED':
order_id = str(data['i'])
org_client_order_id = data['C']
self.service.notify(Signal.SIGNAL_ORDER_CANCELED, self.name,
(symbol, order_id, org_client_order_id))
elif data['x'] == 'EXPIRED' and data['X'] == 'EXPIRED':
order_id = str(data['i'])
self.service.notify(Signal.SIGNAL_ORDER_DELETED, self.name,
(symbol, order_id, ""))
elif data['x'] == 'REPLACED' or data['X'] == 'REPLACED':
pass # nothing to do (currently unused)
elif event_type == 'outboundAccountInfo':
event_timestamp = float(data['E']) * 0.001
# balances
for balance in data['B']:
asset_name = balance['a']
free = balance['f']
locked = balance['l']
# asset updated
self.service.notify(Signal.SIGNAL_ASSET_UPDATED, self.name,
(asset_name, float(locked), float(free)))
#
# miscs
#
def price_history(self, market_id, timestamp):
"""
Retrieve the historical price for a specific market id.
"""
try:
d = self.connector.price_for_at(market_id, timestamp)
return (float(d[0][1]) + float(d[0][4]) + float(d[0][3])) / 3.0
except Exception as e:
logger.error("Cannot found price history for %s at %s" %
(market_id, datetime.fromtimestamp(
timestamp).strftime('%Y-%m-%d %H:%M:%S')))
return None
def update_markets_info(self):
"""
Update market info.
"""
self.__prefetch_markets()
for market_id in self._watched_instruments:
market = self.fetch_market(market_id)
if market is None:
# can be a removed market, signal its closed
market_data = (market_id, False, time.time(), None, None, None,
None, None, None, None)
elif market.is_open:
# market exists and tradable
market_data = (market_id, market.is_open,
market.last_update_time, market.bid, market.ofr,
market.base_exchange_rate, market.contract_size,
market.value_per_pip, market.vol24h_base,
market.vol24h_quote)
else:
# market exists but closed
market_data = (market_id, market.is_open,
market.last_update_time, None, None, None, None,
None, None, None)
self.service.notify(Signal.SIGNAL_MARKET_DATA, self.name,
market_data)
def fetch_candles(self,
market_id,
timeframe,
from_date=None,
to_date=None,
n_last=None):
TF_MAP = {
60: '1m',
180: '3m',
300: '5m',
900: '15m',
1800: '30m',
3600: '1h',
7200: '2h',
14400: '4h',
21600: '6h',
28800: '8h',
43200: '12h',
86400: '1d',
259200: '3d',
604800: '1w',
2592000: '1M'
}
if timeframe not in TF_MAP:
logger.error("Watcher %s does not support timeframe %s" %
(self.name, timeframe))
return
candles = []
tf = TF_MAP[timeframe]
try:
candles = self._connector.client.get_historical_klines(
market_id, tf, int(from_date.timestamp() * 1000),
int(to_date.timestamp() * 1000))
except Exception as e:
logger.error(
"Watcher %s cannot retrieve candles %s on market %s (%s)" %
(self.name, tf, market_id, str(e)))
count = 0
for candle in candles:
count += 1
# (timestamp, open bid, high bid, low bid, close bid, open ofr, high ofr, low ofr, close ofr, volume)
yield ((candle[0], candle[1], candle[2], candle[3], candle[4],
candle[1], candle[2], candle[3], candle[4], candle[5]))
class BinanceFetcher(Fetcher):
"""
Binance market data fetcher.
"""
TF_MAP = {
60: '1m',
180: '3m',
300: '5m',
900: '15m',
1800: '30m',
3600: '1h',
7200: '2h',
14400: '4h',
21600: '6h',
28800: '8h',
43200: '12h',
86400: '1d',
259200: '3d',
604800: '1w',
2592000: '1M'
}
def __init__(self, service):
super().__init__("binance.com", service)
self._connector = None
def connect(self):
super().connect()
try:
identity = self.service.identity(self._name)
if identity:
if not self._connector:
self._connector = Connector(self.service,
identity.get('api-key'),
identity.get('api-secret'),
identity.get('host'))
if not self._connector.connected:
self._connector.connect(use_ws=False)
#
# instruments
#
# get all products symbols
self._available_instruments = set()
instruments = self._connector.client.get_products().get(
'data', [])
for instrument in instruments:
self._available_instruments.add(instrument['symbol'])
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
def disconnect(self):
super().disconnect()
try:
if self._connector:
self._connector.disconnect()
self._connector = None
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
@property
def connector(self):
return self._connector
@property
def connected(self):
return self._connector is not None and self._connector.connected
@property
def authenticated(self):
return self._connector and self._connector.authenticated
def fetch_trades(self,
market_id,
from_date=None,
to_date=None,
n_last=None):
trades = []
# get all trades and append them into a file
try:
trades = self._connector.client.aggregate_trade_iter(
market_id,
start_str=int(from_date.timestamp() * 1000),
end_str=int(to_date.timestamp() * 1000))
except Exception as e:
logger.error(
"Fetcher %s cannot retrieve aggregated trades on market %s" %
(self.name, market_id))
count = 0
for trade in trades:
count += 1
# timestamp, bid, ofr, volume
yield ((trade['T'], trade['p'], trade['p'], trade['q']))
logger.info(
"Fetcher %s has retrieved on market %s %s aggregated trades" %
(self.name, market_id, count))
def fetch_candles(self,
market_id,
timeframe,
from_date=None,
to_date=None,
n_last=None):
if timeframe not in self.TF_MAP:
logger.error("Fetcher %s does not support timeframe %s" %
(self.name, timeframe))
return
candles = []
tf = self.TF_MAP[timeframe]
try:
candles = self._connector.client.get_historical_klines(
market_id, tf, int(from_date.timestamp() * 1000),
int(to_date.timestamp() * 1000))
except:
logger.error("Fetcher %s cannot retrieve candles %s on market %s" %
(self.name, tf, market_id))
count = 0
for candle in candles:
count += 1
# (timestamp, open bid, high bid, low bid, close bid, open ofr, high ofr, low ofr, close ofr, volume)
yield ((candle[0], candle[1], candle[2], candle[3], candle[4],
candle[1], candle[2], candle[3], candle[4], candle[5]))
logger.info(
"Fetcher %s has retrieved on market %s %s candles for timeframe %s"
% (self.name, market_id, count, tf))