def __init__(self,
altmarkets_api_key: str,
altmarkets_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True
):
"""
:param altmarkets_api_key: The API key to connect to private AltMarkets.io APIs.
:param altmarkets_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
super().__init__()
self._trading_required = trading_required
self._trading_pairs = trading_pairs
self._altmarkets_auth = AltmarketsAuth(altmarkets_api_key, altmarkets_secret_key)
self._order_book_tracker = AltmarketsOrderBookTracker(trading_pairs=trading_pairs)
self._user_stream_tracker = AltmarketsUserStreamTracker(self._altmarkets_auth, trading_pairs)
self._ev_loop = asyncio.get_event_loop()
self._shared_client = None
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._in_flight_orders = {} # Dict[client_order_id:str, AltmarketsInFlightOrder]
self._order_not_found_records = {} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, TradingRule]
self._status_polling_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
self._throttler = Throttler(rate_limit = (10.0, 6.5))
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.trading_pairs = ["BTC-USD"]
cls.user_stream_tracker: AltmarketsUserStreamTracker = AltmarketsUserStreamTracker(
altmarkets_auth=AltmarketsAuth(cls.api_key, cls.api_secret),
trading_pairs=cls.trading_pairs)
cls.user_stream_tracker_task: asyncio.Task = safe_ensure_future(
cls.user_stream_tracker.start())
class AltmarketsExchange(ExchangeBase):
"""
AltmarketsExchange connects with AltMarkets.io exchange and provides order book pricing, user account tracking and
trading functionality.
"""
ORDER_NOT_EXIST_CONFIRMATION_COUNT = 3
ORDER_NOT_EXIST_CANCEL_COUNT = 2
ORDER_NOT_CREATED_ID_COUNT = 3
@classmethod
def logger(cls) -> HummingbotLogger:
global ctce_logger
if ctce_logger is None:
ctce_logger = logging.getLogger(__name__)
return ctce_logger
def __init__(self,
client_config_map: "ClientConfigAdapter",
altmarkets_api_key: str,
altmarkets_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True):
"""
:param altmarkets_api_key: The API key to connect to private AltMarkets.io APIs.
:param altmarkets_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
super().__init__(client_config_map)
self._trading_required = trading_required
self._trading_pairs = trading_pairs
self._throttler = AsyncThrottler(
Constants.RATE_LIMITS, self._client_config.rate_limits_share_pct)
self._altmarkets_auth = AltmarketsAuth(altmarkets_api_key,
altmarkets_secret_key)
self._set_order_book_tracker(
AltmarketsOrderBookTracker(throttler=self._throttler,
trading_pairs=trading_pairs))
self._user_stream_tracker = AltmarketsUserStreamTracker(
throttler=self._throttler,
altmarkets_auth=self._altmarkets_auth,
trading_pairs=trading_pairs)
self._ev_loop = asyncio.get_event_loop()
self._shared_client = None
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._in_flight_orders = {
} # Dict[client_order_id:str, AltmarketsInFlightOrder]
self._order_not_found_records = {
} # Dict[client_order_id:str, count:int]
self._order_not_created_records = {
} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, TradingRule]
self._status_polling_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
@property
def name(self) -> str:
return "altmarkets"
@property
def order_books(self) -> Dict[str, OrderBook]:
return self.order_book_tracker.order_books
@property
def trading_rules(self) -> Dict[str, TradingRule]:
return self._trading_rules
@property
def in_flight_orders(self) -> Dict[str, AltmarketsInFlightOrder]:
return self._in_flight_orders
@property
def status_dict(self) -> Dict[str, bool]:
"""
A dictionary of statuses of various connector's components.
"""
return {
"order_books_initialized":
self.order_book_tracker.ready,
"account_balance":
len(self._account_balances) > 0
if self._trading_required else True,
"trading_rule_initialized":
len(self._trading_rules) > 0,
"user_stream_initialized":
self._user_stream_tracker.data_source.last_recv_time > 0
if self._trading_required else True,
}
@property
def ready(self) -> bool:
"""
:return True when all statuses pass, this might take 5-10 seconds for all the connector's components and
services to be ready.
"""
return all(self.status_dict.values())
@property
def limit_orders(self) -> List[LimitOrder]:
return [
in_flight_order.to_limit_order()
for in_flight_order in self._in_flight_orders.values()
]
@property
def tracking_states(self) -> Dict[str, any]:
"""
:return active in-flight orders in json format, is used to save in sqlite db.
"""
return {
key: value.to_json()
for key, value in self._in_flight_orders.items()
if not value.is_done
}
def _sleep_time(self, delay: int = 0):
"""
Function created to enable patching during unit tests execution.
"""
return delay
def restore_tracking_states(self, saved_states: Dict[str, any]):
"""
Restore in-flight orders from saved tracking states, this is st the connector can pick up on where it left off
when it disconnects.
:param saved_states: The saved tracking_states.
"""
self._in_flight_orders.update({
key: AltmarketsInFlightOrder.from_json(value)
for key, value in saved_states.items()
})
def supported_order_types(self) -> List[OrderType]:
"""
:return a list of OrderType supported by this connector.
Note that Market order type is no longer required and will not be used.
"""
return [OrderType.LIMIT, OrderType.MARKET]
def start(self, clock: Clock, timestamp: float):
"""
This function is called automatically by the clock.
"""
if self._poll_notifier.is_set():
self._poll_notifier.clear()
super().start(clock, timestamp)
def stop(self, clock: Clock):
"""
This function is called automatically by the clock.
"""
super().stop(clock)
async def start_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
It starts tracking order book, polling trading rules,
updating statuses and tracking user data.
"""
self.order_book_tracker.start()
self._trading_rules_polling_task = safe_ensure_future(
self._trading_rules_polling_loop())
if self._trading_required:
self._status_polling_task = safe_ensure_future(
self._status_polling_loop())
self._user_stream_tracker_task = safe_ensure_future(
self._user_stream_tracker.start())
self._user_stream_event_listener_task = safe_ensure_future(
self._user_stream_event_listener())
async def stop_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
"""
# Resets timestamps for status_polling_task
self._last_poll_timestamp = 0
self._last_timestamp = 0
self.order_book_tracker.stop()
if self._status_polling_task is not None:
self._status_polling_task.cancel()
self._status_polling_task = None
if self._trading_rules_polling_task is not None:
self._trading_rules_polling_task.cancel()
self._trading_rules_polling_task = None
if self._status_polling_task is not None:
self._status_polling_task.cancel()
self._status_polling_task = None
if self._user_stream_tracker_task is not None:
self._user_stream_tracker_task.cancel()
self._user_stream_tracker_task = None
if self._user_stream_event_listener_task is not None:
self._user_stream_event_listener_task.cancel()
self._user_stream_event_listener_task = None
async def check_network(self) -> NetworkStatus:
"""
This function is required by NetworkIterator base class and is called periodically to check
the network connection. Simply ping the network (or call any light weight public API).
"""
try:
await self._api_request(
method="GET", endpoint=Constants.ENDPOINT['NETWORK_CHECK'])
except asyncio.CancelledError:
raise
except Exception:
return NetworkStatus.NOT_CONNECTED
return NetworkStatus.CONNECTED
async def _http_client(self) -> aiohttp.ClientSession:
"""
:returns Shared client session instance
"""
if self._shared_client is None:
self._shared_client = aiohttp.ClientSession()
return self._shared_client
async def _trading_rules_polling_loop(self):
"""
Periodically update trading rule.
"""
while True:
try:
await self._update_trading_rules()
await asyncio.sleep(Constants.INTERVAL_TRADING_RULES)
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().network(
f"Unexpected error while fetching trading rules. Error: {str(e)}",
exc_info=True,
app_warning_msg=(
"Could not fetch new trading rules from "
f"{Constants.EXCHANGE_NAME}. Check network connection."
))
await asyncio.sleep(0.5)
async def _update_trading_rules(self):
symbols_info = await self._api_request(
"GET", endpoint=Constants.ENDPOINT['SYMBOL'])
self._trading_rules.clear()
self._trading_rules = self._format_trading_rules(symbols_info)
def _format_trading_rules(
self, symbols_info: Dict[str, Any]) -> Dict[str, TradingRule]:
"""
Converts json API response into a dictionary of trading rules.
:param symbols_info: The json API response
:return A dictionary of trading rules.
Response Example:
[
{
id: "btcusdt",
name: "BTC/USDT",
base_unit: "btc",
quote_unit: "usdt",
min_price: "0.01",
max_price: "200000.0",
min_amount: "0.00000001",
amount_precision: 8,
price_precision: 2,
state: "enabled"
}
]
"""
result = {}
for rule in symbols_info:
try:
trading_pair = convert_from_exchange_trading_pair(rule["id"])
min_amount = Decimal(rule["min_amount"])
min_notional = min(
Decimal(rule["min_price"]) * min_amount,
Decimal("0.00000001"))
result[trading_pair] = TradingRule(
trading_pair,
min_order_size=min_amount,
min_base_amount_increment=Decimal(
f"1e-{rule['amount_precision']}"),
min_notional_size=min_notional,
min_price_increment=Decimal(
f"1e-{rule['price_precision']}"))
except Exception:
self.logger().error(
f"Error parsing the trading pair rule {rule}. Skipping.",
exc_info=True)
return result
async def _api_request(self,
method: str,
endpoint: str,
params: Optional[Dict[str, Any]] = None,
is_auth_required: bool = False,
try_count: int = 0,
limit_id: Optional[str] = None,
disable_retries: bool = False):
"""
Sends an aiohttp request and waits for a response.
:param method: The HTTP method, e.g. get or post
:param endpoint: The path url or the API end point
:param params: Additional get/post parameters
:param is_auth_required: Whether an authentication is required, when True the function will add encrypted
signature to the request.
:returns A response in json format.
"""
shared_client = await self._http_client()
parsed_response = await http_utils.api_call_with_retries(
method=method,
endpoint=endpoint,
auth_headers=self._altmarkets_auth.get_headers
if is_auth_required else None,
params=params,
shared_client=shared_client,
throttler=self._throttler,
limit_id=limit_id or endpoint,
try_count=try_count,
logger=self.logger(),
disable_retries=disable_retries)
if "errors" in parsed_response or "error" in parsed_response:
parsed_response['errors'] = parsed_response.get(
'errors', parsed_response.get('error'))
raise AltmarketsAPIError(parsed_response)
return parsed_response
def get_order_price_quantum(self, trading_pair: str, price: Decimal):
"""
Returns a price step, a minimum price increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return trading_rule.min_price_increment
def get_order_size_quantum(self, trading_pair: str, order_size: Decimal):
"""
Returns an order amount step, a minimum amount increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return Decimal(trading_rule.min_base_amount_increment)
def get_order_book(self, trading_pair: str) -> OrderBook:
if trading_pair not in self.order_book_tracker.order_books:
raise ValueError(f"No order book exists for '{trading_pair}'.")
return self.order_book_tracker.order_books[trading_pair]
def buy(self,
trading_pair: str,
amount: Decimal,
order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN,
**kwargs) -> str:
"""
Buys an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for BuyOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to buy from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
order_id: str = get_new_client_order_id(True, trading_pair)
safe_ensure_future(
self._create_order(TradeType.BUY, order_id, trading_pair, amount,
order_type, price))
return order_id
def sell(self,
trading_pair: str,
amount: Decimal,
order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN,
**kwargs) -> str:
"""
Sells an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for SellOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to sell from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
order_id: str = get_new_client_order_id(False, trading_pair)
safe_ensure_future(
self._create_order(TradeType.SELL, order_id, trading_pair, amount,
order_type, price))
return order_id
def cancel(self, trading_pair: str, order_id: str):
"""
Cancel an order. This function returns immediately.
To get the cancellation result, you'll have to wait for OrderCancelledEvent.
:param trading_pair: The market (e.g. BTC-USDT) of the order.
:param order_id: The internal order id (also called client_order_id)
"""
safe_ensure_future(self._execute_cancel(trading_pair, order_id))
return order_id
async def _create_order(self, trade_type: TradeType, order_id: str,
trading_pair: str, amount: Decimal,
order_type: OrderType, price: Decimal):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param order_type: The order type
:param price: The order price
"""
trading_rule = self._trading_rules[trading_pair]
try:
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(
trading_pair, s_decimal_0 if math.isnan(price) else price)
if amount < trading_rule.min_order_size:
raise ValueError(
f"Buy order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}.")
order_type_str = order_type.name.lower().split("_")[0]
api_params = {
"market": convert_to_exchange_trading_pair(trading_pair),
"side": trade_type.name.lower(),
"ord_type": order_type_str,
# "price": f"{price:f}",
"client_id": order_id,
"volume": f"{amount:f}",
}
if order_type is not OrderType.MARKET:
api_params['price'] = f"{price:f}"
# if order_type is OrderType.LIMIT_MAKER:
# api_params["postOnly"] = "true"
self.start_tracking_order(order_id, None, trading_pair, trade_type,
price, amount, order_type)
order_result = await self._api_request(
"POST",
Constants.ENDPOINT["ORDER_CREATE"],
params=api_params,
is_auth_required=True,
limit_id=Constants.RL_ID_ORDER_CREATE,
disable_retries=True)
exchange_order_id = str(order_result["id"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(
f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.update_exchange_order_id(exchange_order_id)
else:
raise Exception('Order not tracked.')
if trade_type is TradeType.BUY:
event_tag = MarketEvent.BuyOrderCreated
event_cls = BuyOrderCreatedEvent
else:
event_tag = MarketEvent.SellOrderCreated
event_cls = SellOrderCreatedEvent
self.trigger_event(
event_tag,
event_cls(self.current_timestamp, order_type, trading_pair,
amount, price, order_id, exchange_order_id))
except asyncio.CancelledError:
raise
except Exception as e:
if isinstance(e, AltmarketsAPIError):
error_reason = e.error_payload.get('error', {}).get(
'message', e.error_payload.get('errors'))
else:
error_reason = e
if error_reason and "upstream connect error" not in str(
error_reason):
self.stop_tracking_order(order_id)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
else:
self._order_not_created_records[order_id] = 0
self.logger().network(
f"Error submitting {trade_type.name} {order_type.name} order to {Constants.EXCHANGE_NAME} for "
f"{amount} {trading_pair} {price} - {error_reason}.",
exc_info=True,
app_warning_msg=
(f"Error submitting order to {Constants.EXCHANGE_NAME} - {error_reason}."
))
def start_tracking_order(self, order_id: str, exchange_order_id: str,
trading_pair: str, trade_type: TradeType,
price: Decimal, amount: Decimal,
order_type: OrderType):
"""
Starts tracking an order by simply adding it into _in_flight_orders dictionary.
"""
self._in_flight_orders[order_id] = AltmarketsInFlightOrder(
client_order_id=order_id,
exchange_order_id=exchange_order_id,
trading_pair=trading_pair,
order_type=order_type,
trade_type=trade_type,
price=price,
amount=amount,
creation_timestamp=self.current_timestamp)
def stop_tracking_order(self, order_id: str):
"""
Stops tracking an order by simply removing it from _in_flight_orders dictionary.
"""
if order_id in self._in_flight_orders:
del self._in_flight_orders[order_id]
if order_id in self._order_not_found_records:
del self._order_not_found_records[order_id]
if order_id in self._order_not_created_records:
del self._order_not_created_records[order_id]
async def _execute_cancel(self, trading_pair: str,
order_id: str) -> CancellationResult:
"""
Executes order cancellation process by first calling cancel-order API. The API result doesn't confirm whether
the cancellation is successful, it simply states it receives the request.
:param trading_pair: The market trading pair (Unused during cancel on AltMarkets.io)
:param order_id: The internal order id
order.last_state to change to CANCELED
"""
order_state, errors_found = None, {}
try:
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is None:
self.logger().warning(
f"Failed to cancel order {order_id}. Order not found in inflight orders."
)
elif not tracked_order.is_local:
if tracked_order.exchange_order_id is None:
try:
async with timeout(6):
await tracked_order.get_exchange_order_id()
except Exception:
order_state = "reject"
exchange_order_id = tracked_order.exchange_order_id
response = await self._api_request(
"POST",
Constants.ENDPOINT["ORDER_DELETE"].format(
id=exchange_order_id),
is_auth_required=True,
limit_id=Constants.RL_ID_ORDER_DELETE)
if isinstance(response, dict):
order_state = response.get("state", None)
except asyncio.CancelledError:
raise
except asyncio.TimeoutError:
self.logger().info(
f"The order {order_id} could not be canceled due to a timeout."
" The action will be retried later.")
errors_found = {"message": "Timeout during order cancelation"}
except AltmarketsAPIError as e:
errors_found = e.error_payload.get('errors', e.error_payload)
if isinstance(errors_found, dict):
order_state = errors_found.get("state", None)
if order_state is None or 'market.order.invaild_id_or_uuid' in errors_found:
self._order_not_found_records[
order_id] = self._order_not_found_records.get(order_id,
0) + 1
if order_state in Constants.ORDER_STATES['CANCEL_WAIT'] or \
self._order_not_found_records.get(order_id, 0) >= self.ORDER_NOT_EXIST_CANCEL_COUNT:
self.logger().info(
f"Successfully canceled order {order_id} on {Constants.EXCHANGE_NAME}."
)
self.stop_tracking_order(order_id)
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, order_id))
tracked_order.cancelled_event.set()
return CancellationResult(order_id, True)
else:
if not tracked_order or not tracked_order.is_local:
err_msg = errors_found.get(
'message', errors_found) if isinstance(
errors_found, dict) else errors_found
self.logger().network(
f"Failed to cancel order - {order_id}: {err_msg}",
exc_info=True,
app_warning_msg=
f"Failed to cancel the order {order_id} on {Constants.EXCHANGE_NAME}. "
f"Check API key and network connection.")
return CancellationResult(order_id, False)
async def _status_polling_loop(self):
"""
Periodically update user balances and order status via REST API. This serves as a fallback measure for web
socket API updates.
"""
while True:
try:
await self._poll_notifier.wait()
await safe_gather(
self._update_balances(),
self._update_order_status(),
)
self._last_poll_timestamp = self.current_timestamp
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().error(str(e), exc_info=True)
warn_msg = (
f"Could not fetch account updates from {Constants.EXCHANGE_NAME}. "
"Check API key and network connection.")
self.logger().network(
"Unexpected error while fetching account updates.",
exc_info=True,
app_warning_msg=warn_msg)
await asyncio.sleep(0.5)
finally:
self._poll_notifier = asyncio.Event()
async def _update_balances(self):
"""
Calls REST API to update total and available balances.
"""
local_asset_names = set(self._account_balances.keys())
remote_asset_names = set()
account_info = await self._api_request(
"GET", Constants.ENDPOINT["USER_BALANCES"], is_auth_required=True)
for account in account_info:
asset_name = account["currency"].upper()
self._account_available_balances[asset_name] = Decimal(
str(account["balance"]))
self._account_balances[asset_name] = Decimal(str(
account["locked"])) + Decimal(str(account["balance"]))
remote_asset_names.add(asset_name)
asset_names_to_remove = local_asset_names.difference(
remote_asset_names)
for asset_name in asset_names_to_remove:
del self._account_available_balances[asset_name]
del self._account_balances[asset_name]
def stop_tracking_order_exceed_not_found_limit(
self, tracked_order: AltmarketsInFlightOrder):
"""
Increments and checks if the tracked order has exceed the ORDER_NOT_EXIST_CONFIRMATION_COUNT limit.
If true, Triggers a MarketOrderFailureEvent and stops tracking the order.
"""
client_order_id = tracked_order.client_order_id
self._order_not_found_records[
client_order_id] = self._order_not_found_records.get(
client_order_id, 0) + 1
if self._order_not_found_records[
client_order_id] >= self.ORDER_NOT_EXIST_CONFIRMATION_COUNT:
# Wait until the order not found error have repeated a few times before actually treating
# it as failed. See: https://github.com/CoinAlpha/hummingbot/issues/601
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
tracked_order.last_state = "fail"
self.stop_tracking_order(client_order_id)
async def _process_stuck_order(self, tracked_order):
order_id = tracked_order.client_order_id
open_orders = await self.get_open_orders()
matched_orders = [
order for order in open_orders
if str(order.client_order_id) == str(order_id)
]
if len(matched_orders) == 1:
tracked_order.update_exchange_order_id(
str(matched_orders[0].exchange_order_id))
del self._order_not_created_records[order_id]
return
self._order_not_created_records[
order_id] = self._order_not_created_records.get(order_id, 0) + 1
if self._order_not_created_records[
order_id] >= self.ORDER_NOT_CREATED_ID_COUNT:
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
tracked_order.order_type))
tracked_order.last_state = "fail"
self.stop_tracking_order(order_id)
async def _update_order_status(self):
"""
Calls REST API to get status update for each in-flight order.
"""
last_tick = int(self._last_poll_timestamp /
Constants.UPDATE_ORDER_STATUS_INTERVAL)
current_tick = int(self.current_timestamp /
Constants.UPDATE_ORDER_STATUS_INTERVAL)
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
tasks = []
for tracked_order in tracked_orders:
if tracked_order.exchange_order_id is None:
# Try waiting for the ID once
try:
async with timeout(self._sleep_time(5)):
await tracked_order.get_exchange_order_id()
except Exception:
pass
# Dispatch future to query open orders for the ID
safe_ensure_future(
self._process_stuck_order(tracked_order))
# Try waiting for ID again, skip it for now if failed.
try:
async with timeout(self._sleep_time(8)):
await tracked_order.get_exchange_order_id()
except Exception:
continue
exchange_order_id = tracked_order.exchange_order_id
tasks.append(
self._api_request(
"GET",
Constants.ENDPOINT["ORDER_STATUS"].format(
id=exchange_order_id),
is_auth_required=True,
limit_id=Constants.RL_ID_ORDER_STATUS))
self.logger().debug(
f"Polling for order status updates of {len(tasks)} orders.")
responses = await safe_gather(*tasks, return_exceptions=True)
for response, tracked_order in zip(responses, tracked_orders):
if isinstance(response, AltmarketsAPIError):
err = response.error_payload.get('errors',
response.error_payload)
if "record.not_found" in err:
self.stop_tracking_order_exceed_not_found_limit(
tracked_order=tracked_order)
else:
continue
elif "id" not in response:
self.logger().info(
f"_update_order_status order id not in resp: {response}"
)
continue
else:
self._process_order_message(response)
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
Example Order:
{
"id": 9401,
"market": "rogerbtc",
"kind": "ask",
"side": "sell",
"ord_type": "limit",
"price": "0.00000099",
"avg_price": "0.00000099",
"state": "wait",
"origin_volume": "7000.0",
"remaining_volume": "2810.1",
"executed_volume": "4189.9",
"at": 1596481983,
"created_at": 1596481983,
"updated_at": 1596553643,
"trades_count": 272
}
"""
exchange_order_id = str(order_msg["id"])
tracked_orders = list(self._in_flight_orders.values())
track_order = [
o for o in tracked_orders
if exchange_order_id == o.exchange_order_id
]
if not track_order:
return
tracked_order = track_order[0]
# Estimate fee
order_msg["trade_fee"] = self.estimate_fee_pct(
tracked_order.order_type is OrderType.LIMIT_MAKER)
try:
updated = tracked_order.update_with_order_update(order_msg)
except Exception as e:
self.logger().error(
f"Error in order update for {tracked_order.exchange_order_id}. Message: {order_msg}\n{e}"
)
traceback.print_exc()
raise e
if updated:
safe_ensure_future(
self._trigger_order_fill(tracked_order, order_msg))
if tracked_order.is_cancelled:
self.logger().info(
f"Successfully canceled order {tracked_order.client_order_id}."
)
self.stop_tracking_order(tracked_order.client_order_id)
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp,
tracked_order.client_order_id))
tracked_order.cancelled_event.set()
elif tracked_order.is_failure:
self.logger().info(
f"The market order {tracked_order.client_order_id} has failed according to order status API. "
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.order_type))
tracked_order.last_state = "fail"
self.stop_tracking_order(tracked_order.client_order_id)
async def _process_trade_message(self, trade_msg: Dict[str, Any]):
"""
Updates in-flight order and trigger order filled event for trade message received. Triggers order completed
event if the total executed amount equals to the specified order amount.
"""
exchange_order_id = str(trade_msg["order_id"])
tracked_orders = list(self._in_flight_orders.values())
for order in tracked_orders:
if order.exchange_order_id is None:
try:
async with timeout(6):
await order.get_exchange_order_id()
except Exception:
pass
track_order = [
o for o in tracked_orders
if exchange_order_id == o.exchange_order_id
]
if not track_order:
return
tracked_order = track_order[0]
# Estimate fee
trade_msg["trade_fee"] = self.estimate_fee_pct(
tracked_order.order_type is OrderType.LIMIT_MAKER)
updated = tracked_order.update_with_trade_update(trade_msg)
if not updated:
return
await self._trigger_order_fill(tracked_order, trade_msg)
def _process_balance_message(self, balance_message: Dict[str, Any]):
asset_name = balance_message["currency"].upper()
self._account_available_balances[asset_name] = Decimal(
str(balance_message["balance"]))
self._account_balances[asset_name] = Decimal(
str(balance_message["locked"])) + Decimal(
str(balance_message["balance"]))
async def _trigger_order_fill(self, tracked_order: AltmarketsInFlightOrder,
update_msg: Dict[str, Any]):
executed_price = Decimal(
str(
update_msg.get("price") if update_msg.get("price") is not None
else update_msg.get("avg_price", "0")))
self.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(
self.current_timestamp, tracked_order.client_order_id,
tracked_order.trading_pair, tracked_order.trade_type,
tracked_order.order_type, executed_price,
tracked_order.executed_amount_base,
AddedToCostTradeFee(percent=update_msg["trade_fee"]),
update_msg.get(
"exchange_trade_id",
update_msg.get("id", update_msg.get("order_id")))))
if math.isclose(tracked_order.executed_amount_base, tracked_order.amount) or \
tracked_order.executed_amount_base >= tracked_order.amount or \
(not tracked_order.is_cancelled and tracked_order.is_done):
tracked_order.last_state = "done"
self.logger().info(
f"The {tracked_order.trade_type.name} order "
f"{tracked_order.client_order_id} has completed "
f"according to order status API.")
event_tag = MarketEvent.BuyOrderCompleted if tracked_order.trade_type is TradeType.BUY \
else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if tracked_order.trade_type is TradeType.BUY \
else SellOrderCompletedEvent
self.trigger_event(
event_tag,
event_class(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
tracked_order.order_type))
self.stop_tracking_order(tracked_order.client_order_id)
async def cancel_all(self,
timeout_seconds: float) -> List[CancellationResult]:
"""
Cancels all in-flight orders and waits for cancellation results.
Used by bot's top level stop and exit commands (cancelling outstanding orders on exit)
:param timeout_seconds: The timeout at which the operation will be canceled.
:returns List of CancellationResult which indicates whether each order is successfully cancelled.
"""
cancel_all_failed = False
if self._trading_pairs is None:
raise Exception(
"cancel_all can only be used when trading_pairs are specified."
)
open_orders = [
o for o in self._in_flight_orders.values() if not o.is_done
]
if len(open_orders) == 0:
return []
tasks = [
self._execute_cancel(o.trading_pair, o.client_order_id)
for o in open_orders
]
cancellation_results = []
try:
async with timeout(timeout_seconds):
cancellation_results = await safe_gather(
*tasks, return_exceptions=False)
except Exception:
cancel_all_failed = True
for cancellation_result in cancellation_results:
if not cancellation_result.success:
cancel_all_failed = True
break
if cancel_all_failed:
self.logger().network(
"Failed to cancel all orders, unexpected error.",
exc_info=True,
app_warning_msg=
(f"Failed to cancel all orders on {Constants.EXCHANGE_NAME}. "
"Check API key and network connection."))
return cancellation_results
def tick(self, timestamp: float):
"""
Is called automatically by the clock for each clock's tick (1 second by default).
It checks if status polling task is due for execution.
"""
now = time.time()
poll_interval = (Constants.SHORT_POLL_INTERVAL if
(not self._user_stream_tracker.is_connected
or now - self._user_stream_tracker.last_recv_time >
Constants.USER_TRACKER_MAX_AGE) else
Constants.LONG_POLL_INTERVAL)
last_tick = int(self._last_timestamp / poll_interval)
current_tick = int(timestamp / poll_interval)
if current_tick > last_tick:
if not self._poll_notifier.is_set():
self._poll_notifier.set()
self._last_timestamp = timestamp
def get_fee(self,
base_currency: str,
quote_currency: str,
order_type: OrderType,
order_side: TradeType,
amount: Decimal,
price: Decimal = s_decimal_NaN,
is_maker: Optional[bool] = None) -> AddedToCostTradeFee:
"""
To get trading fee, this function is simplified by using fee override configuration. Most parameters to this
function are ignore except order_type. Use OrderType.LIMIT_MAKER to specify you want trading fee for
maker order.
"""
is_maker = order_type is OrderType.LIMIT_MAKER
return AddedToCostTradeFee(percent=self.estimate_fee_pct(is_maker))
async def _iter_user_event_queue(self) -> AsyncIterable[Dict[str, any]]:
while True:
try:
yield await self._user_stream_tracker.user_stream.get()
except asyncio.CancelledError:
raise
except Exception:
self.logger().network(
"Unknown error. Retrying after 1 seconds.",
exc_info=True,
app_warning_msg=
(f"Could not fetch user events from {Constants.EXCHANGE_NAME}. "
"Check API key and network connection."))
await asyncio.sleep(1.0)
async def _user_stream_event_listener(self):
"""
Listens to message in _user_stream_tracker.user_stream queue. The messages are put in by
AltmarketsAPIUserStreamDataSource.
"""
async for event_message in self._iter_user_event_queue():
try:
event_methods = [
Constants.WS_METHODS["USER_BALANCES"],
Constants.WS_METHODS["USER_ORDERS"],
Constants.WS_METHODS["USER_TRADES"],
]
for method in list(event_message.keys()):
params: dict = event_message.get(method, None)
if params is None or method not in event_methods:
continue
if method == Constants.WS_METHODS["USER_TRADES"]:
await self._process_trade_message(params)
elif method == Constants.WS_METHODS["USER_ORDERS"]:
self._process_order_message(params)
elif method == Constants.WS_METHODS["USER_BALANCES"]:
self._process_balance_message(params)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error(
"Unexpected error in user stream listener loop.",
exc_info=True)
await asyncio.sleep(5.0)
async def get_open_orders(self) -> List[OpenOrder]:
result = await self._api_request("GET",
Constants.ENDPOINT["USER_ORDERS"],
is_auth_required=True,
limit_id=Constants.RL_ID_USER_ORDERS)
ret_val = []
for order in result:
if order["state"] in Constants.ORDER_STATES['DONE']:
# Skip done orders
continue
exchange_order_id = str(order["id"])
client_order_id = order["client_id"]
if order["ord_type"] != OrderType.LIMIT.name.lower():
self.logger().info(
f"Unsupported order type found: {order['type']}")
# Skip and report non-limit orders
continue
ret_val.append(
OpenOrder(client_order_id=client_order_id,
trading_pair=convert_from_exchange_trading_pair(
order["market"]),
price=Decimal(str(order["price"])),
amount=Decimal(str(order["origin_volume"])),
executed_amount=Decimal(str(
order["executed_volume"])),
status=order["state"],
order_type=OrderType.LIMIT,
is_buy=True if order["side"].lower()
== TradeType.BUY.name.lower() else False,
time=str_date_to_ts(order["created_at"]),
exchange_order_id=exchange_order_id))
return ret_val
async def all_trading_pairs(self) -> List[str]:
# This method should be removed and instead we should implement _initialize_trading_pair_symbol_map
return await AltmarketsAPIOrderBookDataSource.fetch_trading_pairs()
async def get_last_traded_prices(
self, trading_pairs: List[str]) -> Dict[str, float]:
# This method should be removed and instead we should implement _get_last_traded_price
return await AltmarketsAPIOrderBookDataSource.get_last_traded_prices(
trading_pairs=trading_pairs, throttler=self._throttler)