class KrakenWatcher(Watcher):
"""
Kraken market watcher using REST + WS.
@todo complete
"""
def __init__(self, service):
super().__init__("kraken.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._assets = {}
self._instruments = {}
self._wsname_lookup = {}
def connect(self):
super().connect()
try:
self.lock()
self._ready = False
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 or not self._connector.ws_connected:
self._connector.connect()
# assets
self._assets = self._connector.assets()
# {'ADA': {'aclass': 'currency', 'altname': 'ADA', 'decimals': 8, 'display_decimals': 6}, 'ATOM': {'aclass': 'currency', 'altname': 'ATOM', 'decimals': 8, 'display_decimals': 6}, 'BAT': {'aclass': 'currency', 'altname': 'BAT', 'decimals': 10, 'display_decimals': 5}, 'BCH': {'aclass': 'currency', 'altname': 'BCH', 'decimals': 10, 'display_decimals': 5}, 'BSV': {'aclass': 'currency', 'altname': 'BSV', 'decimals': 10, 'display_decimals': 5}, 'DASH': {'aclass': 'currency', 'altname': 'DASH', 'decimals': 10, 'display_decimals': 5}, 'EOS': {'aclass': 'currency', 'altname': 'EOS', 'decimals': 10, 'display_decimals': 5}, 'GNO': {'aclass': 'currency', 'altname': 'GNO', 'decimals': 10, 'display_decimals': 5}, 'KFEE': {'aclass': 'currency', 'altname': 'FEE', 'decimals': 2, 'display_decimals': 2}, 'QTUM': {'aclass': 'currency', 'altname': 'QTUM', 'decimals': 10, 'display_decimals': 6}, 'USDT': {'aclass': 'currency', 'altname': 'USDT', 'decimals': 8, 'display_decimals': 4}, 'WAVES': {'aclass': 'currency', 'altname': 'WAVES', 'decimals': 10, 'display_decimals': 5}, 'XETC': {'aclass': 'currency', 'altname': 'ETC', 'decimals': 10, 'display_decimals': 5}, 'XETH': {'aclass': 'currency', 'altname': 'ETH', 'decimals': 10, 'display_decimals': 5}, 'XLTC': {'aclass': 'currency', 'altname': 'LTC', 'decimals': 10, 'display_decimals': 5}, 'XMLN': {'aclass': 'currency', 'altname': 'MLN', 'decimals': 10, 'display_decimals': 5}, 'XREP': {'aclass': 'currency', 'altname': 'REP', 'decimals': 10, 'display_decimals': 5}, 'XTZ': {'aclass': 'currency', 'altname': 'XTZ', 'decimals': 8, 'display_decimals': 5}, 'XXBT': {'aclass': 'currency', 'altname': 'XBT', 'decimals': 10, 'display_decimals': 5}, 'XXDG': {'aclass': 'currency', 'altname': 'XDG', 'decimals': 8, 'display_decimals': 2}, 'XXLM': {'aclass': 'currency', 'altname': 'XLM', 'decimals': 8, 'display_decimals': 5}, 'XXMR': {'aclass': 'currency', 'altname': 'XMR', 'decimals': 10, 'display_decimals': 5}, 'XXRP': {'aclass': 'currency', 'altname': 'XRP', 'decimals': 8, 'display_decimals': 5}, 'XZEC': {'aclass': 'currency', 'altname': 'ZEC', 'decimals': 10, 'display_decimals': 5}, 'ZCAD': {'aclass': 'currency', 'altname': 'CAD', 'decimals': 4, 'display_decimals': 2}, 'ZEUR': {'aclass': 'currency', 'altname': 'EUR', 'decimals': 4, 'display_decimals': 2}, 'ZGBP': {'aclass': 'currency', 'altname': 'GBP', 'decimals': 4, 'display_decimals': 2}, 'ZJPY': {'aclass': 'currency', 'altname': 'JPY', 'decimals': 2, 'display_decimals': 0}, 'ZUSD': {'aclass': 'currency', 'altname': 'USD', 'decimals': 4, 'display_decimals': 2}}
for asset_name, details in self._assets.items():
pass
# {'aclass': 'currency', 'altname': 'ADA', 'decimals': 8, 'display_decimals': 6},
#
# instruments
#
# get all products symbols
self._available_instruments = set()
# prefetch all markets data with a single request to avoid one per market
self.__prefetch_markets()
instruments = self._instruments
configured_symbols = self.configured_symbols()
matching_symbols = self.matching_symbols_set(
configured_symbols, [
instrument
for instrument in list(self._instruments.keys())
])
pairs = []
for market_id, instrument in instruments.items():
self._available_instruments.add(market_id)
# and watch it if configured or any
if market_id in matching_symbols:
# live data
pairs.append(instrument['wsname'])
self._wsname_lookup[instrument['wsname']] = market_id
# one more watched instrument
self.insert_watched_instrument(market_id, [0])
if pairs:
self._connector.ws.subscribe_public(
subscription={'name': 'ticker'},
pair=pairs,
callback=self.__on_ticker_data)
self._connector.ws.subscribe_public(
subscription={'name': 'trade'},
pair=pairs,
callback=self.__on_trade_data)
# @todo see later
# self._connector.ws.subscribe_public(
# subscription={
# 'name': 'book'
# },
# pair=pairs,
# depth=10, # 10 25 100 500 1000
# callback=self.__on_depth_data
# )
# and start ws manager
self._connector.ws.start()
# once market are init
self._ready = True
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
finally:
self.unlock()
if self._ready and self._connector and self._connector.connected:
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name,
time.time())
def disconnect(self):
super().disconnect()
try:
self.lock()
if self._connector:
self._connector.disconnect()
self._connector = None
self._ready = False
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
finally:
self.unlock()
@property
def connector(self):
return self._connector
@property
def connected(self):
return elf._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._ready or self._connector is None or not self._connector.connected or not self._connector.ws_connected:
# retry in 2 second
self._ready = False
self._connector = None
time.sleep(2)
self.connect()
return
def update(self):
if not super().update():
return False
if not self.connected:
return False
#
# ohlc close/open
#
self.lock()
self.update_from_tick()
self.unlock()
#
# market info update (each 4h)
#
if time.time(
) - self._last_market_update >= KrakenWatcher.UPDATE_MARKET_INFO_DELAY: # only once per 4h
self.update_markets_info()
self._last_market_update = time.time()
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.
"""
instrument = self._instruments.get(market_id)
market = None
if instrument:
market = Market(market_id, instrument['altname'])
market.is_open = True
market.expiry = '-'
# "wsname":"XBT\/USD"
# wsname = WebSocket pair name (if available)
# pair_decimals = scaling decimal places for pair
# lot_decimals = scaling decimal places for volume
# lot_multiplier = amount to multiply lot volume by to get currency volume
# "aclass_base":"currency"
base_asset = instrument['base'] # XXBT
market.set_base(base_asset, base_asset,
instrument['pair_decimals'])
# "aclass_quote":"currency"
quote_asset = instrument['quote'] # ZUSD
market.set_quote(quote_asset, quote_asset,
instrument['lot_decimals']) # 8
# tick size at the base asset precision
market.one_pip_means = math.pow(10.0,
-instrument['pair_decimals']) # 1
market.value_per_pip = 1.0
market.contract_size = 1.0
market.lot_size = 1.0 # "lot":"unit", "lot_multiplier":1
# "margin_call":80, "margin_stop":40
# margin_call = margin call level
# margin_stop = stop-out/liquidation margin level
leverages = set(instrument.get('leverage_buy', []))
leverages.intersection(set(instrument.get('leverage_sell', [])))
market.margin_factor = 1.0 / max(leverages)
market.set_leverages(leverages)
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 @todo using lot_decimals / pair_decimals
# for afilter in instrument["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']]
# if float(size_limits[2]) < 1:
# size_limits[2] = str(float(size_limits[2])) # * 10)
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)
# "lot":"unit"
market.unit_type = Market.UNIT_AMOUNT
market.market_type = Market.TYPE_CRYPTO
market.trade = Market.TRADE_ASSET
market.contract_type = Market.CONTRACT_SPOT
# @todo add a copy with
market.trade = Market.TRADE_MARGIN
market.contract_type = Market.CONTRACT_FUTUR
# orders capacities
market.orders = Order.ORDER_LIMIT | Order.ORDER_MARKET | Order.ORDER_STOP | Order.ORDER_TAKE_PROFIT
# "fees":[[0,0.26],[50000,0.24],[100000,0.22],[250000,0.2],[500000,0.18],[1000000,0.16],[2500000,0.14],[5000000,0.12],[10000000,0.1]],
# "fees_maker":[[0,0.16],[50000,0.14],[100000,0.12],[250000,0.1],[500000,0.08],[1000000,0.06],[2500000,0.04],[5000000,0.02],[10000000,0]],
# market.maker_fee = account['makerCommission'] * 0.0001
# market.taker_fee = account['takerCommission'] * 0.0001
# 'fee_volume_currency': 'ZUSD'
# fee_volume_currency = volume discount currency
# 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 : not have here
# 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)))
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name,
(market_id, market))
return market
def fetch_order_book(self, market_id):
# https://api.kraken.com/0/public/Depth
pass
#
# protected
#
def __prefetch_markets(self):
self._assets = self._connector.assets()
self._instruments = self._connector.instruments()
def __on_depth_data(self, data):
# @ref https://www.kraken.com/en-us/features/websocket-api#message-book
pass
def __on_ticker_data(self, data):
if isinstance(data, list) and data[2] == "ticker":
market_id = self._wsname_lookup.get(data[3])
base_asset, quote_asset = data[3].split('/')
if not market_id:
return
last_update_time = time.time()
ticker = data[1]
bid = float(ticker['b'][0])
ofr = float(ticker['a'][0])
vol24_base = float(ticker['v'][0])
vol24_quote = float(ticker['v'][0]) * float(ticker['p'][0])
# @todo compute base_exchange_rate
if quote_asset != self.account.currency:
if quote_asset in self._assets:
pass # @todo direct or indirect
else:
market.base_exchange_rate = 1.0 # could be EURUSD... but we don't have
else:
market.base_exchange_rate = 1.0
market_data = (market_id, 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)
elif isinstance(data, dict):
if data['event'] == "subscriptionStatus" and data[
'channelName'] == "ticker":
# @todo register channelID...
# {'channelID': 93, 'channelName': 'trade', 'event': 'subscriptionStatus', 'pair': 'ETH/USD', 'status': 'subscribed', 'subscription': {'name': 'ticker'}}
pass
def __on_trade_data(self, data):
if isinstance(data, list) and data[2] == "trade":
market_id = self._wsname_lookup.get(data[3])
if not market_id:
return
for trade in data[1]:
bid = float(trade[0])
ofr = float(trade[0])
vol = float(trade[1])
trade_time = float(trade[2])
# side = trade[3]
tick = (trade_time, bid, ofr, vol)
# store for generation of OHLCs
self.lock()
self._last_tick[market_id] = tick
self.unlock()
self.service.notify(Signal.SIGNAL_TICK_DATA, self.name,
(market_id, tick))
if not self._read_only:
Database.inst().store_market_trade(
(self.name, market_id, int(trade_time * 1000.0),
trade[0], trade[0], trade[1]))
for tf in Watcher.STORED_TIMEFRAMES:
# generate candle per timeframe
self.lock()
candle = self.update_ohlc(market_id, tf, trade_time, bid,
ofr, vol)
self.unlock()
if candle is not None:
self.service.notify(Signal.SIGNAL_CANDLE_DATA,
self.name, (market_id, candle))
elif isinstance(data, dict):
if data['event'] == "subscriptionStatus" and data[
'channelName'] == "trade":
# @todo register channelID...
# {'channelID': 93, 'channelName': 'trade', 'event': 'subscriptionStatus', 'pair': 'ETH/USD', 'status': 'subscribed', 'subscription': {'name': 'trade'}}
pass
def __on_kline_data(self, data):
pass
def __on_user_data(self, data):
pass
#
# miscs
#
def price_history(self, market_id, timestamp):
"""
Retrieve the historical price for a specific market id.
"""
pass
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_open:
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_data = (market_id, market.is_open,
market.last_update_time, 0.0, 0.0, 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):
pass # @todo
class KrakenWatcher(Watcher):
"""
Kraken market watcher using REST + WS.
@todo create order, cancel order, position info
@todo contract_size, value_per_pip, base_exchange_rate (initials and updates)
@todo fee from 30 day traded volume
@todo order book WS
"""
BASE_QUOTE = "ZUSD"
TF_MAP = {
60: 1, # 1m
300: 5, # 5m
900: 15, # 15m
1800: 30, # 30m
3600: 60, # 1h
14400: 240, # 4h
86400.0: 1440, # 1d
# 604800: 10080, # 1w (not allowed because starts on thuesday)
# 1296000: 21600 # 15d
}
def __init__(self, service):
super().__init__("kraken.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.__ws_symbols = set() # cache for matching symbols WS names
self._assets = {}
self._instruments = {}
self._wsname_lookup = {}
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:
#
# assets
#
self._assets = self._connector.assets()
for asset_name, details in self._assets.items():
# {'aclass': 'currency', 'altname': 'ADA', 'decimals': 8, 'display_decimals': 6},
pass
#
# instruments
#
# get all products symbols
self._available_instruments = set()
# prefetch all markets data with a single request to avoid one per market
self.__prefetch_markets()
instruments = self._instruments
configured_symbols = self.configured_symbols()
matching_symbols = self.matching_symbols_set(
configured_symbols, [
instrument for instrument in list(
self._instruments.keys())
])
# cache them
self.__configured_symbols = configured_symbols
self.__matching_symbols = matching_symbols
for market_id, instrument in instruments.items():
self._available_instruments.add(market_id)
#
# user data
#
ws_token = self._connector.get_ws_token()
if ws_token and ws_token.get('token'):
self._connector.ws.subscribe_private(
subscription={
'name': 'ownTrades',
'token': ws_token['token']
},
callback=self.__on_own_trades)
self._connector.ws.subscribe_private(
subscription={
'name': 'openOrders',
'token': ws_token['token']
},
callback=self.__on_open_orders)
# 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:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
if self._ready and self._connector and self._connector.connected:
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name,
time.time())
def disconnect(self):
super().disconnect()
with self._mutex:
try:
if self._connector:
self._connector.disconnect()
self._connector = None
self._ready = False
except Exception as e:
error_logger.error(repr(e))
traceback_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
#
# instruments
#
def subscribe(self,
market_id,
timeframe,
ohlc_depths=None,
order_book_depth=None):
result = False
with self._mutex:
try:
if market_id not in self.__matching_symbols:
return False
instrument = self._instruments.get(market_id)
if not instrument:
return False
pairs = []
# live data
pairs.append(instrument['wsname'])
self._wsname_lookup[instrument['wsname']] = market_id
# fetch from 1m to 1w
if self._initial_fetch:
self.fetch_and_generate(market_id, Instrument.TF_1M,
self.DEFAULT_PREFETCH_SIZE * 3,
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,
self.DEFAULT_PREFETCH_SIZE * 2,
Instrument.TF_30M)
self.fetch_and_generate(market_id, Instrument.TF_1H,
self.DEFAULT_PREFETCH_SIZE * 2,
Instrument.TF_2H)
self.fetch_and_generate(market_id, Instrument.TF_4H,
self.DEFAULT_PREFETCH_SIZE, None)
self.fetch_and_generate(market_id, Instrument.TF_1D,
self.DEFAULT_PREFETCH_SIZE * 7,
Instrument.TF_1W)
logger.info("%s prefetch for %s" % (self.name, market_id))
# one more watched instrument
self.insert_watched_instrument(market_id, [0])
if pairs:
self._connector.ws.subscribe_public(
subscription={'name': 'ticker'},
pair=pairs,
callback=self.__on_ticker_data)
self._connector.ws.subscribe_public(
subscription={'name': 'trade'},
pair=pairs,
callback=self.__on_trade_data)
if order_book_depth and order_book_depth in (10, 25, 100,
500, 1000):
self._connector.ws.subscribe_public(
subscription={'name': 'book'},
pair=pairs,
depth=order_book_depth,
callback=self.__on_depth_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 pre_update(self):
if not self._ready or self._connector is None or not self._connector.connected or not self._connector.ws_connected:
# retry in 2 second
self._ready = False
self._connector = None
time.sleep(2)
self.connect()
return
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 >= KrakenWatcher.UPDATE_MARKET_INFO_DELAY: # only once per 4h
try:
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.
"""
instrument = self._instruments.get(market_id)
market = None
if instrument:
market = Market(market_id, instrument['altname'])
market.is_open = True
market.expiry = '-'
# "wsname":"XBT\/USD"
# wsname = WebSocket pair name (if available)
# pair_decimals = scaling decimal places for pair
# lot_decimals = scaling decimal places for volume
# lot_multiplier = amount to multiply lot volume by to get currency volume
# "aclass_base":"currency"
base_asset = instrument['base'] # XXBT
market.set_base(base_asset, base_asset,
instrument['pair_decimals'])
# "aclass_quote":"currency"
quote_asset = instrument['quote'] # ZUSD
market.set_quote(quote_asset, quote_asset,
instrument['lot_decimals']) # 8
# tick size at the base asset precision
market.one_pip_means = math.pow(10.0,
-instrument['pair_decimals']) # 1
market.value_per_pip = 1.0
market.contract_size = 1.0
market.lot_size = 1.0 # "lot":"unit", "lot_multiplier":1
# "margin_call":80, "margin_stop":40
# margin_call = margin call level
# margin_stop = stop-out/liquidation margin level
leverages = set(instrument.get('leverage_buy', []))
leverages.intersection(set(instrument.get('leverage_sell', [])))
market.margin_factor = 1.0 / max(leverages) if len(
leverages) > 0 else 1.0
market.set_leverages(leverages)
size_limit = self._size_limits.get(instrument['altname'], {})
min_size = size_limit.get('min-size', 1.0)
size_limits = [str(min_size), "0.0", str(min_size)]
notional_limits = ["0.0", "0.0", "0.0"]
price_limits = ["0.0", "0.0", "0.0"]
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)
# "lot":"unit"
market.unit_type = Market.UNIT_AMOUNT
market.market_type = Market.TYPE_CRYPTO
market.contract_type = Market.CONTRACT_SPOT
market.trade = Market.TRADE_ASSET
if leverages:
market.trade |= Market.TRADE_MARGIN
market.trade |= Market.TRADE_FIFO
# orders capacities
market.orders = Order.ORDER_LIMIT | Order.ORDER_MARKET | Order.ORDER_STOP | Order.ORDER_TAKE_PROFIT
# @todo take the first but it might depends of the traded volume per 30 days, then request volume window to got it
# "fees":[[0,0.26],[50000,0.24],[100000,0.22],[250000,0.2],[500000,0.18],[1000000,0.16],[2500000,0.14],[5000000,0.12],[10000000,0.1]],
# "fees_maker":[[0,0.16],[50000,0.14],[100000,0.12],[250000,0.1],[500000,0.08],[1000000,0.06],[2500000,0.04],[5000000,0.02],[10000000,0]],
fees = instrument.get('fees', [])
fees_maker = instrument.get('fees_maker', [])
if fees:
market.taker_fee = round(fees[0][1] * 0.01, 6)
if fees_maker:
market.maker_fee = round(fees_maker[0][1] * 0.01, 6)
if instrument.get('fee_volume_currency'):
market.fee_currency = instrument['fee_volume_currency']
if quote_asset != self.BASE_QUOTE:
# from XXBTZUSD / XXBTZEUR ...
# @todo
pass
# 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
# @todo contract_size
# market.contract_size = 1.0 / mid_price
# market.value_per_pip = market.contract_size / mid_price
# volume 24h : not have here
# 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):
# https://api.kraken.com/0/public/Depth
pass
#
# protected
#
def __prefetch_markets(self):
# size limits from conf
self._size_limits = self.service.watcher_config(self._name).get(
"size-limits", {})
self._assets = self._connector.assets()
self._instruments = self._connector.instruments()
def __on_depth_data(self, data):
# @ref https://www.kraken.com/en-us/features/websocket-api#message-book
pass
def __on_ticker_data(self, data):
if isinstance(data, list) and data[2] == "ticker":
market_id = self._wsname_lookup.get(data[3])
base_asset, quote_asset = data[3].split('/')
if not market_id:
return
last_update_time = time.time()
ticker = data[1]
bid = float(ticker['b'][0])
ofr = float(ticker['a'][0])
vol24_base = float(ticker['v'][0])
vol24_quote = float(ticker['v'][0]) * float(ticker['p'][0])
# compute base_exchange_rate (its always over primary account currency)
# @todo
# if quote_asset != self.BASE_QUOTE:
# if quote_asset in self._assets:
# pass # @todo direct or indirect
# else:
# market.base_exchange_rate = 1.0 # could be EURUSD... but we don't have
# else:
# market.base_exchange_rate = 1.0
if bid > 0.0 and ofr > 0.0:
market_data = (market_id, 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)
elif isinstance(data, dict):
if data['event'] == "subscriptionStatus" and data[
'channelName'] == "ticker":
# @todo register channelID...
# {'channelID': 93, 'channelName': 'trade', 'event': 'subscriptionStatus', 'pair': 'ETH/USD', 'status': 'subscribed', 'subscription': {'name': 'ticker'}}
pass
def __on_trade_data(self, data):
if isinstance(data, list) and data[2] == "trade":
market_id = self._wsname_lookup.get(data[3])
if not market_id:
return
for trade in data[1]:
bid = float(trade[0])
ofr = float(trade[0])
vol = float(trade[1])
trade_time = float(trade[2])
# side = trade[3]
tick = (trade_time, bid, ofr, vol)
# store for generation of OHLCs
self.service.notify(Signal.SIGNAL_TICK_DATA, self.name,
(market_id, tick))
if not self._read_only and self._store_trade:
Database.inst().store_market_trade(
(self.name, market_id, int(trade_time * 1000.0),
trade[0], trade[0], trade[1]))
for tf in Watcher.STORED_TIMEFRAMES:
# generate candle per timeframe
with self._mutex:
candle = self.update_ohlc(market_id, tf, trade_time,
bid, ofr, vol)
if candle is not None:
self.service.notify(Signal.SIGNAL_CANDLE_DATA,
self.name, (market_id, candle))
elif isinstance(data, dict):
if data['event'] == "subscriptionStatus" and data[
'channelName'] == "trade":
# @todo register channelID...
# {'channelID': 93, 'channelName': 'trade', 'event': 'subscriptionStatus', 'pair': 'ETH/USD', 'status': 'subscribed', 'subscription': {'name': 'trade'}}
pass
def __on_kline_data(self, data):
pass
def __on_own_trades(self, data):
pass
def __on_open_orders(self, data):
pass
#
# miscs
#
def price_history(self, market_id, timestamp):
"""
Retrieve the historical price for a specific market id.
"""
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_open:
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_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):
if timeframe not in self.TF_MAP:
logger.error("Watcher %s does not support timeframe %s" %
(self.name, timeframe))
return
candles = []
# second timeframe to kraken interval
interval = self.TF_MAP[timeframe]
try:
candles = self._connector.get_historical_candles(
market_id, interval, from_date, to_date)
except Exception as e:
logger.error("Watcher %s cannot retrieve candles %s on market %s" %
(self.name, interval, market_id))
error_logger.error(traceback.format_exc())
count = 0
for candle in candles:
count += 1
# store (timestamp, open bid, high bid, low bid, close bid, open ofr, high ofr, low ofr, close ofr, volume)
if candle[0] is not None and candle[1] is not None and candle[
2] is not None and candle[3] is not None:
yield ((candle[0], candle[1], candle[2], candle[3], candle[4],
candle[1], candle[2], candle[3], candle[4], candle[5]))
logger.info(
"Watcher %s has retrieved on market %s %s candles for timeframe %s"
% (self.name, market_id, count, interval))
class KrakenWatcher(Watcher):
"""
Kraken market watcher using REST + WS.
@todo create order, cancel order, position info
@todo contract_size, value_per_pip, base_exchange_rate (initials and updates)
@todo fee from 30 day traded volume
@todo order book WS
"""
BASE_QUOTE = "ZUSD"
TF_MAP = {
60: 1, # 1m
300: 5, # 5m
900: 15, # 15m
1800: 30, # 30m
3600: 60, # 1h
14400: 240, # 4h
86400.0: 1440, # 1d
# 604800: 10080, # 1w (not allowed because starts on thuesday)
# 1296000: 21600 # 15d
}
def __init__(self, service):
super().__init__("kraken.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.__ws_symbols = set() # cache for matching symbols WS names
self._reconnect_user_ws = False
self._assets = {}
self._instruments = {}
self._wsname_lookup = {}
self._ws_own_trades = {'status': False, 'version': "0", 'ping': 0.0, 'subscribed': False}
self._ws_open_orders = {'status': False, 'version': "0", 'ping': 0.0, 'subscribed': False}
self._last_ws_hearbeat = 0.0
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:
#
# assets and instruments
#
# get all products symbols
self._available_instruments = set()
# prefetch all markets data with a single request to avoid one per market
self.__prefetch_markets()
for asset_name, details in self._assets.items():
# {'aclass': 'currency', 'altname': 'ADA', 'decimals': 8, 'display_decimals': 6},
pass
instruments = self._instruments
configured_symbols = self.configured_symbols()
matching_symbols = self.matching_symbols_set(configured_symbols, [instrument for instrument in list(self._instruments.keys())])
# cache them
self.__configured_symbols = configured_symbols
self.__matching_symbols = matching_symbols
for market_id, instrument in instruments.items():
self._available_instruments.add(market_id)
#
# user data
#
ws_token = self._connector.get_ws_token()
if ws_token and ws_token.get('token'):
self._connector.ws.subscribe_private(
subscription={
'name': 'ownTrades',
'token': ws_token['token']
},
callback=self.__on_own_trades
)
self._connector.ws.subscribe_private(
subscription={
'name': 'openOrders',
'token': ws_token['token']
},
callback=self.__on_open_orders
)
# 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:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
if self._ready and self._connector and self._connector.connected:
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name, time.time())
def disconnect(self):
super().disconnect()
with self._mutex:
try:
if self._connector:
self._connector.disconnect()
self._connector = None
self._ready = False
except Exception as e:
error_logger.error(repr(e))
traceback_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
#
# instruments
#
def subscribe(self, market_id, timeframe, ohlc_depths=None, order_book_depth=None):
result = False
with self._mutex:
try:
if market_id not in self.__matching_symbols:
return False
instrument = self._instruments.get(market_id)
if not instrument:
return False
pairs = []
# live data
pairs.append(instrument['wsname'])
self._wsname_lookup[instrument['wsname']] = market_id
# fetch from 1m to 1w
if self._initial_fetch:
self.fetch_and_generate(market_id, Instrument.TF_1M, self.DEFAULT_PREFETCH_SIZE*3, 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, self.DEFAULT_PREFETCH_SIZE*2, Instrument.TF_30M)
self.fetch_and_generate(market_id, Instrument.TF_1H, self.DEFAULT_PREFETCH_SIZE*2, Instrument.TF_2H)
self.fetch_and_generate(market_id, Instrument.TF_4H, self.DEFAULT_PREFETCH_SIZE, None)
self.fetch_and_generate(market_id, Instrument.TF_1D, self.DEFAULT_PREFETCH_SIZE*7, Instrument.TF_1W)
logger.info("%s prefetch for %s" % (self.name, market_id))
# one more watched instrument
self.insert_watched_instrument(market_id, [0])
if pairs:
self._connector.ws.subscribe_public(
subscription={
'name': 'ticker'
},
pair=pairs,
callback=self.__on_ticker_data
)
self._connector.ws.subscribe_public(
subscription={
'name': 'trade'
},
pair=pairs,
callback=self.__on_trade_data
)
if order_book_depth and order_book_depth in (10, 25, 100, 500, 1000):
self._connector.ws.subscribe_public(
subscription={
'name': 'book'
},
pair=pairs,
depth=order_book_depth,
callback=self.__on_depth_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 pre_update(self):
if not self._ready or self._connector is None or not self._connector.connected or not self._connector.ws_connected:
# retry in 2 second
self._ready = False
self._connector = None
time.sleep(2)
self.connect()
return
def update(self):
if not super().update():
return False
if not self.connected:
return False
if 0:#self._reconnect_user_ws:
ws_token = self._connector.get_ws_token()
self._connector.ws.stop_socket('ownTrades')
self._connector.ws.stop_socket('openOrders')
if ws_token and ws_token.get('token'):
self._connector.ws.subscribe_private(
subscription={
'name': 'ownTrades',
'token': ws_token['token']
},
callback=self.__on_own_trades
)
self._connector.ws.subscribe_private(
subscription={
'name': 'openOrders',
'token': ws_token['token']
},
callback=self.__on_open_orders
)
self._reconnect_user_ws = False
#
# ohlc close/open
#
with self._mutex:
self.update_from_tick()
#
# market info update (each 4h)
#
if time.time() - self._last_market_update >= KrakenWatcher.UPDATE_MARKET_INFO_DELAY: # only once per 4h
try:
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.
"""
instrument = self._instruments.get(market_id)
market = None
if instrument:
market = Market(market_id, instrument['altname'])
market.is_open = True
market.expiry = '-'
# "wsname":"XBT\/USD"
# wsname = WebSocket pair name (if available)
# pair_decimals = scaling decimal places for pair
# lot_decimals = scaling decimal places for volume
# lot_multiplier = amount to multiply lot volume by to get currency volume
# "aclass_base":"currency"
base_asset = instrument['base'] # XXBT
market.set_base(base_asset, base_asset, instrument['pair_decimals'])
# "aclass_quote":"currency"
quote_asset = instrument['quote'] # ZUSD
market.set_quote(quote_asset, quote_asset, instrument['lot_decimals']) # 8
# tick size at the base asset precision
market.one_pip_means = math.pow(10.0, -instrument['pair_decimals']) # 1
market.value_per_pip = 1.0
market.contract_size = 1.0
market.lot_size = 1.0 # "lot":"unit", "lot_multiplier":1
# "margin_call":80, "margin_stop":40
# margin_call = margin call level
# margin_stop = stop-out/liquidation margin level
leverages = set(instrument.get('leverage_buy', []))
leverages.intersection(set(instrument.get('leverage_sell', [])))
market.margin_factor = 1.0 / max(leverages) if len(leverages) > 0 else 1.0
market.set_leverages(leverages)
size_limit = self._size_limits.get(instrument['altname'], {})
min_size = size_limit.get('min-size', 1.0)
size_limits = [str(min_size), "0.0", str(min_size)]
notional_limits = ["0.0", "0.0", "0.0"]
price_limits = ["0.0", "0.0", "0.0"]
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)
# "lot":"unit"
market.unit_type = Market.UNIT_AMOUNT
market.market_type = Market.TYPE_CRYPTO
market.contract_type = Market.CONTRACT_SPOT
market.trade = Market.TRADE_ASSET
if leverages:
market.trade |= Market.TRADE_MARGIN
market.trade |= Market.TRADE_FIFO
# orders capacities
market.orders = Order.ORDER_LIMIT | Order.ORDER_MARKET | Order.ORDER_STOP | Order.ORDER_TAKE_PROFIT
# @todo take the first but it might depends of the traded volume per 30 days, then request volume window to got it
# "fees":[[0,0.26],[50000,0.24],[100000,0.22],[250000,0.2],[500000,0.18],[1000000,0.16],[2500000,0.14],[5000000,0.12],[10000000,0.1]],
# "fees_maker":[[0,0.16],[50000,0.14],[100000,0.12],[250000,0.1],[500000,0.08],[1000000,0.06],[2500000,0.04],[5000000,0.02],[10000000,0]],
fees = instrument.get('fees', [])
fees_maker = instrument.get('fees_maker', [])
if fees:
market.taker_fee = round(fees[0][1] * 0.01, 6)
if fees_maker:
market.maker_fee = round(fees_maker[0][1] * 0.01, 6)
if instrument.get('fee_volume_currency'):
market.fee_currency = instrument['fee_volume_currency']
if quote_asset != self.BASE_QUOTE:
# from XXBTZUSD / XXBTZEUR ...
# @todo
pass
# 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
# @todo contract_size
# market.contract_size = 1.0 / mid_price
# market.value_per_pip = market.contract_size / mid_price
# volume 24h : not have here
# 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):
# https://api.kraken.com/0/public/Depth
pass
#
# protected
#
def __prefetch_markets(self):
# size limits from conf
self._size_limits = self.service.watcher_config(self._name).get("size-limits", {})
self._assets = self._connector.assets()
self._instruments = self._connector.instruments()
def __on_depth_data(self, data):
# @ref https://www.kraken.com/en-us/features/websocket-api#message-book
pass
def __on_ticker_data(self, data):
if isinstance(data, list) and data[2] == "ticker":
market_id = self._wsname_lookup.get(data[3])
base_asset, quote_asset = data[3].split('/')
if not market_id:
return
last_update_time = time.time()
ticker = data[1]
bid = float(ticker['b'][0])
ofr = float(ticker['a'][0])
vol24_base = float(ticker['v'][0])
vol24_quote = float(ticker['v'][0]) * float(ticker['p'][0])
# compute base_exchange_rate (its always over primary account currency)
# @todo
# if quote_asset != self.BASE_QUOTE:
# if quote_asset in self._assets:
# pass # @todo direct or indirect
# else:
# market.base_exchange_rate = 1.0 # could be EURUSD... but we don't have
# else:
# market.base_exchange_rate = 1.0
if bid > 0.0 and ofr > 0.0:
market_data = (market_id, 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)
elif isinstance(data, dict):
if data['event'] == "subscriptionStatus":
if data['status'] == "subscribed" and data['channelName'] == "ticker":
# @todo register channelID...
# {'channelID': 93, 'channelName': 'trade', 'event': 'subscriptionStatus', 'pair': 'ETH/USD', 'status': 'subscribed', 'subscription': {'name': 'ticker'}}
pass
def __on_trade_data(self, data):
if isinstance(data, list) and data[2] == "trade":
market_id = self._wsname_lookup.get(data[3])
if not market_id:
return
for trade in data[1]:
bid = float(trade[0])
ofr = float(trade[0])
vol = float(trade[1])
trade_time = float(trade[2])
# side = trade[3]
tick = (trade_time, bid, ofr, vol)
# store for generation of OHLCs
self.service.notify(Signal.SIGNAL_TICK_DATA, self.name, (market_id, tick))
if not self._read_only and self._store_trade:
Database.inst().store_market_trade((self.name, market_id, int(trade_time*1000.0), trade[0], trade[0], trade[1]))
for tf in Watcher.STORED_TIMEFRAMES:
# generate candle per timeframe
with self._mutex:
candle = self.update_ohlc(market_id, tf, trade_time, bid, ofr, vol)
if candle is not None:
self.service.notify(Signal.SIGNAL_CANDLE_DATA, self.name, (market_id, candle))
elif isinstance(data, dict):
if data['event'] == "subscriptionStatus":
if data['status'] == "subscribed" and data['channelName'] == "trade":
# @todo register channelID...
# {'channelID': 93, 'channelName': 'trade', 'event': 'subscriptionStatus', 'pair': 'ETH/USD', 'status': 'subscribed', 'subscription': {'name': 'trade'}}
pass
def __on_kline_data(self, data):
pass
def __on_own_trades(self, data):
if isinstance(data, list) and data[1] == "ownTrades":
# [{'xxxx-yyyy-zzzz': {'cost': '110.15956', 'fee': '0.28642', 'margin': '22.03191', 'ordertxid': 'xxxx-yyyy-zzzz', 'ordertype': 'market', 'pair': 'XBT/EUR', 'posstatus': 'Closing',
# 'postxid': 'xxxx-yyyy-zzzz', 'price': '7343.97067', 'time': '1571773989.359761', 'type': 'buy', 'vol': '0.01500000'}},
# {'xxxx-yyyy-zzzz': {'cost': '110.58150', 'fee': '0.29857', 'margin': '22.11630', 'ordertxid': 'xxxx-yyyy-zzzz', 'ordertype': 'market', 'pair': 'XBT/EUR', 'posstatus': 'Opened',
# 'postxid': 'xxxx-yyyy-zzzz', 'price': '7372.10000', 'time': '1571725122.392658', 'type': 'sell', 'vol': '0.01500000'}}]
for entry in data[0]:
txid = list(entry.keys())[0]
trade = list(entry.values())[0]
exec_logger.info("kraken.com ownTrades : %s - %s" % (txid, trade))
market_id = self._wsname_lookup.get(trade['pair'])
# base_asset, quote_asset = trade['pair'].split('/')
if not market_id:
continue
timestamp = float(trade['time'])
order_id = trade['ordertxid']
position_id = trade['postxid']
side = Order.LONG if trade['type'] == "buy" else Order.SHORT
# cost, fee, vol, margin, orderType
posstatus = trade.get('posstatus', "")
if posstatus == 'Closing':
pass
# 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 posstatus == 'Opened':
pass
# 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))
else:
pass
elif isinstance(data, dict):
if data['event'] == 'heartBeat':
self._ws_own_trades['ping'] = time.time()
elif data['event'] == 'systemStatus':
# {'connectionID': 000, 'event': 'systemStatus', 'status': 'online', 'version': '0.2.0'}
self._ws_own_trades['status'] = data['status'] == "online"
self._ws_own_trades['version'] = data['version']
elif data['event'] == "subscriptionStatus":
if data['status'] == "error":
error_logger.error("%s - %s" % (data['errorMessage'], data['name']))
self._ws_own_trades['status'] = False
self._reconnect_user_ws = True
elif data['status'] == "subscribed" and data['channelName'] == "ownTrades":
self._ws_own_trades['subscribed'] = True
def __on_open_orders(self, data):
if isinstance(data, list) and data[1] == "openOrders":
# [{'xxxx-yyyy-zzzz': {'avg_price': '0.00000', 'cost': '0.00000', 'descr': {'close': None, 'leverage': None, 'order': 'sell 9.99355396 LTC/EUR @ limit 56.15000',
# 'ordertype': 'limit', 'pair': 'LTC/EUR', 'price': '56.15000', 'price2': '0.00000', 'type': 'sell'}, 'expiretm': None, 'fee': '0.00000', 'limitprice': '0.00000',
# 'misc': '', 'oflags': 'fciq', 'opentm': '1573672059.209149', 'refid': None, 'starttm': None, 'status': 'open', 'stopprice': '0.00000', 'userref': 0,
# 'vol': '9.99355396', 'vol_exec': '0.00000000'}}
for entry in data[0]:
order_id = list(entry.keys())[0]
order = list(entry.values())[0]
exec_logger.info("kraken.com openOrders : %s - %s" % (order_id, order))
status = order.get("status", "")
if status == "open":
ref_order_id = order.get('refid')
pass
elif status == "closed":
pass
elif status == "updated":
pass
elif status == "deleted":
pass
elif isinstance(data, dict):
if data['event'] == 'heartBeat':
self._ws_open_orders['ping'] = time.time()
elif data['event'] == 'systemStatus':
# {'connectionID': 000, 'event': 'systemStatus', 'status': 'online', 'version': '0.2.0'}
self._ws_open_orders['status'] = data['status'] == "online"
self._ws_open_orders['version'] = data['version']
elif data['event'] == "subscriptionStatus":
if data['status'] == "error":
error_logger.error("%s - %s" % (data['errorMessage'], data['name']))
self._ws_open_orders['status'] = False
self._reconnect_user_ws = True
elif data['status'] == "subscribed" and data['channelName'] == "openOrders":
self._ws_open_orders['subscribed'] = True
#
# miscs
#
def price_history(self, market_id, timestamp):
"""
Retrieve the historical price for a specific market id.
"""
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_open:
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_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):
if timeframe not in self.TF_MAP:
logger.error("Watcher %s does not support timeframe %s" % (self.name, timeframe))
return
candles = []
# second timeframe to kraken interval
interval = self.TF_MAP[timeframe]
try:
candles = self._connector.get_historical_candles(market_id, interval, from_date, to_date)
except Exception as e:
logger.error("Watcher %s cannot retrieve candles %s on market %s" % (self.name, interval, market_id))
error_logger.error(traceback.format_exc())
count = 0
for candle in candles:
count += 1
# store (timestamp, open bid, high bid, low bid, close bid, open ofr, high ofr, low ofr, close ofr, volume)
if candle[0] is not None and candle[1] is not None and candle[2] is not None and candle[3] is not None:
yield((candle[0], candle[1], candle[2], candle[3], candle[4], candle[1], candle[2], candle[3], candle[4], candle[5]))
logger.info("Watcher %s has retrieved on market %s %s candles for timeframe %s" % (self.name, market_id, count, interval))