def _match_order(self, order: OrderData, buy_cross_price, sell_cross_price,
buy_best_price, sell_best_price):
direction = order.direction
buy_cross = (direction == EnumOrderDirection.BUY
and order.price >= buy_cross_price)
sell_cross = (direction == EnumOrderDirection.SELL
and order.price <= sell_cross_price)
if buy_cross or sell_cross or order.order_type == EnumOrderType.MARKET:
order.status = EnumOrderStatus.FILLED
order.executed_volume = order.volume
order.order_id = generate_id()
trade = TradeData.from_order(order)
trade.trade_id = generate_id()
if direction == EnumOrderDirection.BUY:
trade.price = min(order.price, buy_best_price)
else:
trade.price = max(order.price, sell_best_price)
trade.commission = trade.price * trade.volume * self.fee_rate
trade.commission_asset = trade.contract.asset_quote
logger.debug('trade matched\n%s', trade.pretty_string())
self.callback(trade)
self.callback(order)
return order.client_order_id
return ''
def match_order(self, order: OrderData):
logger.debug(f'{self} got order {order}')
if EnumOrderStatus.NEW == order.status:
order.status = EnumOrderStatus.FILLED
order.executed_volume = order.volume
order.order_id = generate_id()
trade = TradeData.from_order(order)
trade.trade_id = generate_id()
if trade.direction == EnumOrderDirection.BUY:
trade.price = trade.price * (1 + self.slippage)
else:
trade.price = trade.price * (1 - self.slippage)
trade.commission_asset = order.contract.asset_quote
trade.commission = trade.price * trade.volume * self.fee_rate
self.callback(trade)
self.callback(order)
elif EnumOrderStatus.CANCELLING == order.status:
order.status = EnumOrderStatus.CANCELLED
self.callback(order)
def contract_check(self):
contract = self.contract
volume = self.volume = self.floor(self.volume, contract.lot_size)
price = self.price = self.round(self.price, contract.tick_size)
if contract.contract_type == EnumContractType.SPOT:
notional = abs(volume) * price
else:
notional = abs(volume)
if abs(volume) < contract.min_quantity:
logger.debug(f'Order volume {volume} not reach the min requirement {contract.min_quantity}')
return False
if notional < contract.min_notional:
logger.debug(f'Order notional {notional} not reach the min requirement {contract.min_notional}')
return False
if abs(volume) > contract.max_quantity:
logger.debug(f'Order volume {volume} break the max requirement {contract.max_quantity}')
return False
if notional > contract.max_notional:
logger.debug(f'Order notional {notional} break the max requirement {contract.max_notional}')
return False
if price < contract.min_price:
logger.debug(f'Order price {price} not reach the min requirement {contract.min_price}')
return False
return True
def create_order(self, order: OrderData, params: dict = None):
self.throttle()
self._local_order_manager.on_order(order)
order = copy.copy(order)
contract = self._contracts[order.symbol]
symbol_root = contract.symbol_root
if params is None:
params = {}
try:
price = order.price
if order.order_type == EnumOrderType.MARKET:
price = None
logger.debug('%s sending order %s', self, order.client_order_id)
data = self._exchange.create_order(symbol_root,
self.ORDER_TYPE_MAP[order.order_type],
self.DIRECTION_MAP[order.direction],
order.volume,
price,
params)
if 'status' in data:
status = self.STATUS_MAP_REVERSE[data['status']]
else:
status = EnumOrderStatus.PENDING
order.status = status
order.order_id = data['id']
logger.debug('%s sent order %s successfully with order id %s and status %s ', self, order.client_order_id,
order.order_id, order.status)
except ccxt.InsufficientFunds as e:
order.status = EnumOrderStatus.REJECTED
balance_df = self.fetch_balance()
base_amount = balance_df.loc[contract.symbol_base]
quote_amount = balance_df.loc[contract.symbol_quote]
logger.warn(
"Insufficient balance for order: %s\n%s\n%s", e.args, order,
f'There was only {contract.symbol_base} \n'
f'{base_amount} \n'
f'and {quote_amount} \n'
f'{contract.symbol_quote} \n'
f'in the balance. '
)
except ccxt.InvalidOrder as e:
order.status = EnumOrderStatus.REJECTED
logger.warn("InvalidOrder error: %s\n%s", e.args, order)
except ccxt.ExchangeError as e:
logger.warn("Exchange error: %s\n%s", e.args, order)
order.status = EnumOrderStatus.REJECTED
except ccxt.NetworkError as e:
logger.warn("Network error: %s\n%s", e.args, order)
order.status = EnumOrderStatus.ERROR
except requests.HTTPError as e:
logger.warn("Http error: %s\n%s", e.args, order)
order.status = EnumOrderStatus.ERROR
self._local_order_manager.on_order(order)
self.on_order(order)
return order
def _process_order_request(self, order: OrderData):
exchange = order.contract.exchange
if exchange in self._gateway_dict:
gateway = self._gateway_dict[exchange]
logger.debug('%s send %s', gateway, order)
gateway.send_order(order)
else:
logger.info("No such %s gateway exist", exchange)
def fetch_bars(self, symbol, freq, start_date, end_date=None, return_df=False):
symbol_root = self.contracts[symbol].symbol_root
if end_date is None:
now = datetime.datetime.utcnow()
end_date = start_date + TIME_INTERVAL_MAP[freq] * (self.N_LIMIT_BAR - 1)
end_date = min(end_date, now - TIME_INTERVAL_MAP[freq])
start_timestamp = int(calendar.timegm(start_date.timetuple()) * 1000)
end_timestamp = int(calendar.timegm(end_date.timetuple()) * 1000)
time_delta = int(TIME_INTERVAL_MAP[freq].total_seconds() * 1000)
ohlcv_list = []
while start_timestamp <= end_timestamp:
self.throttle()
ohlcv = self._exchange.fetch_ohlcv(symbol_root, freq, start_timestamp, self.N_LIMIT_BAR)
if ohlcv is not None and len(ohlcv):
ohlcv_list.extend(ohlcv)
actual_last_timestamp = ohlcv[-1][0]
logger.debug('download {symbol}:{freq} from [{start} ~~ {end}]'.format(
symbol=symbol,
freq=freq,
start=datetime.datetime.fromtimestamp(start_timestamp / 1000),
end=datetime.datetime.fromtimestamp(actual_last_timestamp / 1000),
))
expect_last_timestamp = start_timestamp + (self.N_LIMIT_BAR - 1) * time_delta
next_timestamp = max(actual_last_timestamp, expect_last_timestamp) + time_delta
start_timestamp = next_timestamp
else:
break
# transform into data frame:
# 1. check data duplication
# 2. constrain data in giver date range
# 3. timestamp -> datetime
bar_df = pd.DataFrame(ohlcv_list, columns=['datetime', 'open', 'high', 'low', 'close', 'volume'])
bar_list = []
if len(bar_df):
non_duplicate_index = ~bar_df['datetime'].duplicated()
date_range_index = bar_df['datetime'] <= end_timestamp
filter_index = non_duplicate_index & date_range_index
bar_df = bar_df[filter_index]
bar_df['datetime'] = pd.to_datetime(bar_df['datetime'], unit='ms')
bar_df['frequency'] = freq
bar_df['symbol'] = symbol
if return_df:
return bar_df
ohlcv_records = bar_df.to_dict('records')
for record in ohlcv_records:
bar = BarData.from_dict(record)
bar_list.append(bar)
return bar_list
def match_order(self, order: OrderData):
if EnumOrderStatus.NEW == order.status:
self._order_container_dict[order.symbol].add(order)
order.status = EnumOrderStatus.PENDING
order.order_id = generate_id()
self.callback(order)
elif EnumOrderStatus.CANCELLING == order.status:
self._order_container_dict[order.symbol].remove_by_id(
order.client_order_id)
order.status = EnumOrderStatus.CANCELLED
self.callback(order)
logger.debug('order %s cancelled', order.client_order_id)
def fetch_order_status(self, order: OrderData):
self.throttle()
logger.debug('fetch status for order %s', order)
symbol = order.symbol
symbol_root = self.contracts[symbol].symbol_root
order_id = order.order_id
data = self._exchange.fetch_order(order_id, symbol_root)
order_status = copy.copy(order)
order_status.status = self.STATUS_MAP_REVERSE[data['status']]
order_status.executed_volume = data['filled']
return order_status
def on_packet(self, packet: dict):
if 'type' in packet:
name = packet['type']
if name in self._callback_dict:
callback = self._callback_dict[name]
callback(packet)
elif name == 'ping':
pass
else:
logger.debug(
"%s received data without corresponding callback: %s",
self, packet)
else:
logger.debug("%s received other data: %s", self, packet)
def _save(self, base_data: BaseData):
if isinstance(base_data, OrderData):
self.save_order(base_data)
elif isinstance(base_data, TradeData):
self.save_trade(base_data)
elif isinstance(base_data, PositionData):
self.save_position(base_data)
elif isinstance(base_data, BalanceData):
self.save_balance(base_data)
elif isinstance(base_data, PnLData):
self.save_pnl(base_data)
else:
raise TypeError(
'Not an expect data to store, got {}'.format(base_data))
logger.debug('save {} to database'.format(base_data))
def on_order_status(self, order: OrderData):
client_order_id = order.client_order_id
if order.is_closed():
if client_order_id in self._order_frozen_dict:
asset, amount = self._order_frozen_dict[client_order_id]
balance = self._get_balance(asset)
balance.frozen_amount -= amount
del self._order_frozen_dict[client_order_id]
logger.debug('%s unfreeze %.6f amount of %s by order %s', self,
amount, asset, order.client_order_id)
else:
if client_order_id not in self._order_frozen_dict:
symbol = order.symbol
order_type = order.order_type
if order_type in ORIGIN_ORDER_TYPES:
asset, amount = self._get_position(symbol).frozen_by_order(
order)
balance = self._get_balance(asset)
balance.frozen_amount += amount
self._order_frozen_dict[order.client_order_id] = (asset,
amount)
logger.debug('%s freeze %.6f amount of %s by order %s',
self, amount, asset, order.client_order_id)
def cancel_order(self, order_cancel: OrderData):
self.throttle()
self._local_order_manager.on_order(order_cancel)
order_id = order_cancel.order_id
contract = self._contracts[order_cancel.symbol]
symbol_root = contract.symbol_root
logger.debug('%s cancel order %s', self, order_cancel.client_order_id)
try:
self._exchange.cancel_order(order_id, symbol_root)
logger.debug('%s canceled order %s successfully', self, order_cancel.client_order_id)
order_cancel.status = EnumOrderStatus.CANCELLED
except ccxt.errors.OrderNotFound as e:
logger.info("Order already been closed or cancelled before: %s\n%s", e.args, order_cancel)
order_status = self.fetch_order_status(order_cancel)
order_cancel.on_order(order_status)
except ccxt.errors.NetworkError as e:
logger.info("Network error: %s\n%s", e.args, order_cancel)
order_cancel.status = EnumOrderStatus.CANCEL_ERROR
self._local_order_manager.on_order(order_cancel)
self.on_order(order_cancel)
return order_cancel
def on_user_stream(self, data):
if data['e'] == 'executionReport':
logger.debug(f'{self} received raw data {data}')
if data['C'] != 'null':
cli_id = data['C']
else:
cli_id = data['c']
order = self.api.oms.clone(cli_id)
if order is None:
return
order.order_id = str(data['i'])
order.executed_volume = float(data['z'])
order.executed_notional = float(data['Z'])
order.status = STATUS_MAP_REVERSE[data['X']]
if float(data['l']):
trade = TradeData.from_order(order)
trade.trade_id = str(data['t'])
trade.price = float(data['L'])
trade.volume = float(data['l'])
trade.commission = float(data['n'])
trade.commission_asset = '.'.join((data['N'], self.TAG))
trade.datetime = datetime.datetime.utcfromtimestamp(data['E'] /
1000.0)
trade.strategy_id = order.strategy_id
trade.client_order_id = order.client_order_id
contract = trade.contract
if trade.commission != 0 and trade.commission_asset == 'BNB.BNC':
if (trade.commission_asset != contract.asset_base) and \
(trade.commission_asset != contract.asset_quote):
commission_trade = trade.copy()
commission_trade.commission = 0.0
commission_trade.symbol = 'BNB' + contract.symbol_quote + '.BNC'
commission_trade.direction = EnumOrderDirection.SELL
notional = trade.volume * trade.price * 0.00075
commission_trade.price = notional / trade.commission
commission_trade.volume = notional / commission_trade.price
commission_trade.trade_id = generate_id()
self.api.on_trade(commission_trade)
trade.commission_asset = contract.asset_quote
trade.commission = notional
self.api.on_trade(trade)
logger.debug("%s: receive %s", self, trade)
self.api.on_order(order)
if order.is_closed():
self.api.oms.pop(order.client_order_id)
logger.debug("%s: receive %s", self, order)
def cancel_order(self, client_order_id):
if not self._trading_mode:
logger.info(
'Cancel request not send, Reason: %s is in trading state %s',
self, self._trading_mode)
return
if client_order_id not in self._working_order_dict:
logger.debug(
'Cancel request not send, Reason: order %s is not in working order list',
client_order_id)
return
working_order = self._working_order_dict[client_order_id]
if working_order.is_closed():
logger.info(
'Cancel request not send, Reason: order %s is already finished with status %s',
working_order.client_order_id, working_order.status)
return
if working_order.status == EnumOrderStatus.CANCELLING:
logger.debug(
'Cancel request not send, Reason: order %s has been sent before',
client_order_id)
return
if not working_order.order_id:
logger.info(
'Cancel request not send, Reason: order %s is not alive in exchange yet (no order id)',
client_order_id)
return
cancel_req = copy.copy(working_order)
cancel_req.status = EnumOrderStatus.CANCELLING
logger.debug('%s cancel order with client order id %s', self,
client_order_id)
self.broker.send_order(cancel_req)
def send_order(self, order: OrderData):
logger.debug(f'{self} plan to send {order.pretty_string()}')
self._send_order_impl(copy.copy(order))
def on_trade(self, trade: TradeData):
super(AlgorithmTemplate, self).on_trade(trade)
logger.debug(f'{self} receive new execution volume {trade.volume}')
trade_notional = trade.volume * trade.price
self.target_order.executed_volume += trade.volume
self.target_order.executed_notional += trade_notional
def add(self, order: OrderData):
if order.client_order_id not in self._order_dict:
self._count += 1
self._order_dict[order.client_order_id] = order
logger.debug('order %s created in matcher', order.client_order_id)