def test_invalid_trade(self):
buy = createBuy()
# Orders shouldn't should only fill to opposing side
assert not Trade.create(buy, buy)
# Order shouldn't match if the prices don't intersect
assert not Trade.create(buy, createSell(price=101))
def create(self):
"""Create a trade from the instance created by the constructor"""
Trade.create(
user_one=self.user_one,
user_two=self.user_two,
book_one=self.book_one,
book_two=self.book_two,
status=self.status
)
def create_trade(user_one=None, user_two=None, book_one=None,
book_two=None, status="processing"):
"""Static method to create trade."""
Trade.create(
user_one=user_one,
user_two=user_two,
book_one=book_one,
book_two=book_two,
status=status
)
def test_partially_filled(self):
# Same size orders should fill each other completely
buy = createBuy(quantity=200)
sell = createSell()
trade = Trade.create(buy, sell)
assert trade
assert trade.quantity == sell.quantity
assert buy.unfilled() == 100
assert sell.unfilled() == 0
sell = createSell(quantity=300)
trade = Trade.create(buy, sell)
assert trade
assert trade.quantity == 100
assert buy.unfilled() == 0
assert sell.unfilled() == 200
def sell(currency):
symbol = '{}{}'.format(currency, CURRENCY)
balance = get_balance(currency)
quantity = get_quantity(currency)
if quantity > 0:
info = client.get_symbol_info(symbol=symbol)
stepSize = float(info['filters'][2]['stepSize'])
precision = int(round(-math.log(stepSize, 10), 0))
if quantity >= balance:
quantity = balance
order = client.create_order(symbol=symbol,
side=Client.SIDE_SELL,
type=Client.ORDER_TYPE_MARKET,
quantity=round_down(quantity, precision))
print(order)
quantity = 0
fee = 0
for fill in order['fills']:
fee += float(fill['commission'])
quantity += float(fill['qty'])
price = float(order['fills'][0]['price'])
total = float(order['cummulativeQuoteQty'])
total = total - fee
now = datetime.now()
Trade.create(currency=currency,
quantity=quantity,
price=price,
fee=fee,
total=total,
type='sell',
date=now,
epoch=now.timestamp(),
test=False)
if TELEGRAM_TOKEN and TELEGRAM_PRIVATE_CHAT_ID:
send_private_telegram('{} {} SOLD FOR {}{}'.format(
quantity, currency, round(total, 2), CURRENCY))
def on_trade(self, msg):
if not self.is_ready:
self.process_later.append(msg)
return
trade = {
"price": msg.get('MDEntryPx'),
"symbol": msg.get('Symbol'),
"size": msg.get('MDEntrySize'),
"trade_date": msg.get('MDEntryDate'),
"trade_time": msg.get('MDEntryTime'),
"order_id": msg.get('OrderID'),
"side": msg.get('Side'),
"counter_order_id": msg.get('SecondaryOrderID'),
"id": msg.get('TradeID'),
"buyer_id": msg.get('MDEntryBuyerID'),
"seller_id": msg.get('MDEntrySellerID'),
"buyer_username": msg.get('MDEntryBuyer'),
"seller_username": msg.get('MDEntrySeller'),
}
Trade.create(self.db_session, trade)
# BTC BRL
price_currency = self.symbol[3:]
size_currency = self.symbol[:3]
if price_currency not in self.volume_dict:
self.volume_dict[price_currency] = 0
if size_currency not in self.volume_dict:
self.volume_dict[size_currency] = 0
volume_price = int(
msg.get('MDEntryPx') *
msg.get('MDEntrySize') /
1.e8)
volume_size = msg.get('MDEntrySize')
self.volume_dict[price_currency] += volume_price
self.volume_dict[size_currency] += volume_size
self.volume_dict['MDEntryType'] = '4'
signal_publish_md_status('MD_STATUS', self.volume_dict)
self.inst_status.push_trade(trade)
def on_trade(self, msg):
if not self.is_ready:
self.process_later.append(msg)
return
trade = {
"price": msg.get('MDEntryPx'),
"symbol": msg.get('Symbol'),
"size": msg.get('MDEntrySize'),
"trade_date": msg.get('MDEntryDate'),
"trade_time": msg.get('MDEntryTime'),
"order_id": msg.get('OrderID'),
"side": msg.get('Side'),
"counter_order_id": msg.get('SecondaryOrderID'),
"id": msg.get('TradeID'),
"buyer_id": msg.get('MDEntryBuyerID'),
"seller_id": msg.get('MDEntrySellerID'),
"buyer_username": msg.get('MDEntryBuyer'),
"seller_username": msg.get('MDEntrySeller'),
}
Trade.create(self.db_session, trade)
# BTC BRL
price_currency = self.symbol[3:]
size_currency = self.symbol[:3]
if price_currency not in self.volume_dict:
self.volume_dict[price_currency] = 0
if size_currency not in self.volume_dict:
self.volume_dict[size_currency] = 0
volume_price = int(
msg.get('MDEntryPx') * msg.get('MDEntrySize') / 1.e8)
volume_size = msg.get('MDEntrySize')
self.volume_dict[price_currency] += volume_price
self.volume_dict[size_currency] += volume_size
self.volume_dict['MDEntryType'] = '4'
signal_publish_md_status('MD_STATUS', self.volume_dict)
self.inst_status.push_trade(trade)
def buy(currency, input=ORDER_INPUT):
symbol = '{}{}'.format(currency, CURRENCY)
order_price = float(input)
trades = client.get_recent_trades(symbol=symbol)
price = float(trades[0]['price'])
quantity = order_price / price
info = client.get_symbol_info(symbol=symbol)
stepSize = float(info['filters'][2]['stepSize'])
precision = int(round(-math.log(stepSize, 10), 0))
order = client.create_order(symbol=symbol,
side=Client.SIDE_BUY,
type=Client.ORDER_TYPE_MARKET,
quantity=(round(quantity, precision)))
print(order)
quantity = 0
commission = 0
for fill in order['fills']:
commission += float(fill['commission'])
quantity += float(fill['qty'])
quantity = quantity - commission
price = float(order['fills'][0]['price'])
total = float(order['cummulativeQuoteQty'])
fee = commission * price
now = datetime.now()
Trade.create(currency=currency,
quantity=quantity,
price=price,
fee=fee,
total=total,
type='buy',
date=now,
epoch=now.timestamp(),
test=False)
if TELEGRAM_TOKEN and TELEGRAM_PRIVATE_CHAT_ID:
send_private_telegram('{} {} BOUGHT FOR {}{}'.format(
quantity, currency, round(total, 2), CURRENCY))
def test_sell(symbol, ticker):
quantity = get_currency_wallet_value(symbol, test=True)
if quantity > 0:
print('{}: SELLING {}{} at {}{} => {}{}'.format(
ticker.datetime, quantity, symbol, ticker.price, CURRENCY,
(quantity * ticker.price), CURRENCY))
price = ticker.price
sale = price * quantity
fee = (sale / 100) * 0.1
total = sale - fee
Trade.create(currency=symbol,
quantity=quantity,
price=ticker.price,
fee=fee,
total=total,
type='sell',
date=ticker.datetime,
epoch=ticker.epoch,
test=True)
def test_buy(symbol, ticker):
order_price = float(ORDER_INPUT)
price = float(ticker.price)
quantity = order_price / price
print('{}: BUYING {}{} at {}{} => {}{}'.format(ticker.datetime, quantity,
symbol, price, CURRENCY,
(quantity * price),
CURRENCY))
# TODO: Fix correct calculations
fee_currency = (quantity / 100) * 0.1
quantity = quantity - fee_currency
fee = fee_currency * price
total = order_price + fee
Trade.create(currency=symbol,
quantity=quantity,
price=price,
fee=fee,
total=total,
type='buy',
date=ticker.datetime,
epoch=ticker.epoch,
test=True)
def exit_entire_trade(self):
quantity_to_sell = 0
total_return = 0
for entry in self.current_entries:
if "exit" not in self.current_entries[entry]:
quantity_to_sell += self.current_entries[entry]['entry'][
'quantity']
self.current_entries[entry]['exit'] = {
"price": self.bid,
"quantity":
self.current_entries[entry]['entry']['quantity'],
"dt": datetime.datetime.now()
}
entry_price = self.current_entries[entry]['entry']['price']
exit_price = self.current_entries[entry]['exit']['price']
trade = Trade.create(
bot_name=self.name,
quantity=self.current_entries[entry]['entry']['quantity'],
first_trade_time=self.current_entries[0]['entry']['dt'],
entry_time=self.current_entries[entry]['entry']['dt'],
exit_time=self.current_entries[entry]['exit']['dt'],
entry_price=self.current_entries[entry]['entry']['price'],
exit_price=self.current_entries[entry]['exit']['price'],
target_entry=self.lower_resistance_level,
target_exit=self.upper_resistance_level,
entry_level=entry,
)
total_return += (exit_price / entry_price - 1)
dollar_return = quantity_to_sell * (total_return - 0.0015)
self.twilio.message(
"Entered @ {}\nExited @ {}\nAverage Return {}\nTotal Return {}".
format(self.current_entries[0]['entry']['price'], self.bid,
(total_return / len(self.current_entries)), dollar_return))
self.current_entries = {}
self.last_order = self.binance_api.market_sell(self.pair,
quantity_to_sell)
self.locked_resistance_levels = False
def __init__(self, opt, instance_name):
self.options = opt
self.instance_name = instance_name
handlers = [
(r'/', WebSocketHandler), (r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)',
RestApiHandler)
]
settings = dict(cookie_secret='cookie_secret')
tornado.web.Application.__init__(self, handlers, **settings)
self.allowed_origins = json.loads(self.options.allowed_origins)
self.allow_all_origins = self.allowed_origins[0] == '*'
input_log_file_handler = logging.handlers.TimedRotatingFileHandler(
os.path.expanduser(self.options.gateway_log), when='MIDNIGHT')
formatter = logging.Formatter('%(asctime)s - %(message)s')
input_log_file_handler.setFormatter(formatter)
self.replay_logger = logging.getLogger(self.instance_name)
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
ch = logging.StreamHandler(sys.stdout)
ch.setLevel(logging.DEBUG)
ch.setFormatter(
logging.Formatter(
'%(asctime)s - %(name)s - %(levelname)s - %(message)s'))
self.replay_logger.addHandler(ch)
self.replay_logger.info('START')
self.log_start_data()
self.update_tor_nodes()
from models import Base, db_bootstrap
db_engine = self.options.sqlalchemy_engine + ':///' +\
os.path.expanduser(self.options.sqlalchemy_connection_string)
engine = create_engine(db_engine, echo=self.options.db_echo)
Base.metadata.create_all(engine)
self.db_session = scoped_session(sessionmaker(bind=engine))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(self.options.trade_in)
self.application_trade_client = TradeClient(self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
self.security_list = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in self.security_list.get('Instruments'):
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(self.zmq_context,
self.options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id(self.db_session)
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_id'] = trade[5]
msg['seller_id'] = trade[6]
msg['buyer_username'] = trade[7]
msg['seller_username'] = trade[8]
msg['created'] = trade[9]
msg['trade_date'] = trade[9][:10]
msg['trade_time'] = trade[9][11:]
msg['order_id'] = trade[10]
msg['counter_order_id'] = trade[11]
Trade.create(self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[t.symbol].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade, 30000)
self.heart_beat_timer.start()
self.update_tor_nodes_timer = tornado.ioloop.PeriodicCallback(
self.update_tor_nodes, 3600000)
self.update_tor_nodes_timer.start()
def match(self, session, order, order_matcher_disabled=False):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
number_of_filled_counter_market_orders = 0
if not order_matcher_disabled:
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
if not order.leaves_qty > 0:
break
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty( counter_order.leaves_qty )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching against the counter_order
executed_qty = order.match( counter_order, order.leaves_qty)
if counter_order.type == '1': # Market Order
executed_price = order.price
number_of_filled_counter_market_orders += 1
else:
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(session,
'1' if order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty( qty_to_cancel_from_order )
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(session,
'1' if counter_order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty( qty_to_cancel_from_counter_order )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute( executed_qty, executed_price )
counter_order.execute(executed_qty, executed_price )
trade = Trade.create(session, order, counter_order, self.symbol, executed_qty, executed_price )
trades_to_publish.append(trade)
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, rpt_counter_order.toJson() ) )
def generate_email_subject_and_body( session, order, trade ):
from json import dumps
from pyblinktrade.json_encoder import JsonEncoder
from models import Currency
qty_currency = order.symbol[:3]
formatted_qty = Currency.format_number( session, qty_currency, trade.size / 1.e8 )
price_currency = order.symbol[3:]
formatted_price = Currency.format_number( session, price_currency, trade.price / 1.e8 )
formatted_total_price = Currency.format_number( session, price_currency, trade.size/1.e8 * trade.price/1.e8 )
email_subject = 'E'
email_template = "order-execution"
email_params = {
'username': order.user.username,
'order_id': order.id,
'trade_id': trade.id,
'side': order.side,
'executed_when': trade.created,
'qty': formatted_qty,
'price': formatted_price,
'total': formatted_total_price
}
return email_subject, email_template, dumps(email_params, cls=JsonEncoder)
email_data = generate_email_subject_and_body(session, order, trade)
UserEmail.create( session = session,
user_id = order.account_id,
broker_id = order.broker_id,
subject = email_data[0],
template= email_data[1],
language= order.email_lang,
params = email_data[2])
email_data = generate_email_subject_and_body(session, counter_order, trade)
UserEmail.create( session = session,
user_id = counter_order.account_id,
broker_id = counter_order.broker_id,
subject = email_data[0],
template= email_data[1],
language= counter_order.email_lang,
params = email_data[2])
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.leaves_qty > 0:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.leaves_qty > 0:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert( insert_pos, order )
if order.type == '2': # Limited orders go to the book.
MarketDataPublisher.publish_new_order( self.symbol, md_entry_type , insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
TradeApplication.instance().publish( user_id, execution_report )
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0: execution_counter-1]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - 1 - number_of_filled_counter_market_orders,
other_side[0] )
else:
del other_side[0: execution_counter]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - number_of_filled_counter_market_orders )
if trades_to_publish:
MarketDataPublisher.publish_trades(self.symbol, trades_to_publish)
return ""
def match(self, session, order, order_matcher_disabled=False):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
number_of_filled_counter_market_orders = 0
if not order_matcher_disabled:
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
if not order.leaves_qty > 0:
break
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty( counter_order.leaves_qty )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching against the counter_order
executed_qty = order.match( counter_order, order.leaves_qty)
if counter_order.type == '1': # Market Order
executed_price = order.price
number_of_filled_counter_market_orders += 1
else:
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(session,
'1' if order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty( qty_to_cancel_from_order )
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(session,
'1' if counter_order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty( qty_to_cancel_from_counter_order )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute( executed_qty, executed_price )
counter_order.execute(executed_qty, executed_price )
trade = Trade.create(session, order, counter_order, self.symbol, executed_qty, executed_price )
trades_to_publish.append(trade)
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, rpt_counter_order.toJson() ) )
def generate_email_subject_and_body( session, order, trade ):
from json import dumps
from pyblinktrade.json_encoder import JsonEncoder
from models import Currency
qty_currency = order.symbol[:3]
formatted_qty = Currency.format_number( session, qty_currency, trade.size / 1.e8 )
price_currency = order.symbol[3:]
formatted_price = Currency.format_number( session, price_currency, trade.price / 1.e8 )
formatted_total_price = Currency.format_number( session, price_currency, trade.size/1.e8 * trade.price/1.e8 )
email_subject = 'E'
email_template = "order-execution"
email_params = {
'username': order.user.username,
'order_id': order.id,
'trade_id': trade.id,
'side': order.side,
'executed_when': trade.created,
'qty': formatted_qty,
'price': formatted_price,
'total': formatted_total_price
}
return email_subject, email_template, dumps(email_params, cls=JsonEncoder)
email_data = generate_email_subject_and_body(session, counter_order, trade)
UserEmail.create( session = session,
user_id = counter_order.account_id,
broker_id = counter_order.broker_id,
subject = email_data[0],
template= email_data[1],
language= counter_order.email_lang,
params = email_data[2])
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.leaves_qty > 0:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.leaves_qty > 0:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert( insert_pos, order )
if order.type == '2': # Limited orders go to the book.
MarketDataPublisher.publish_new_order( self.symbol, md_entry_type , insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
TradeApplication.instance().publish( user_id, execution_report )
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0: execution_counter-1]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - 1 - number_of_filled_counter_market_orders,
other_side[0] )
else:
del other_side[0: execution_counter]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - number_of_filled_counter_market_orders )
if trades_to_publish:
MarketDataPublisher.publish_trades(self.symbol, trades_to_publish)
return ""
def __init__(self, opt):
handlers = [
(r'/', WebSocketHandler), (r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)',
RestApiHandler)
]
settings = dict(cookie_secret='cookie_secret')
tornado.web.Application.__init__(self, handlers, **settings)
self.replay_logger = logging.getLogger("REPLAY")
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
self.replay_logger.info('START')
self.log_start_data()
from models import ENGINE, db_bootstrap
self.db_session = scoped_session(sessionmaker(bind=ENGINE))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(opt.trade_in)
self.application_trade_client = TradeClient(self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
instruments = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in instruments:
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(self.zmq_context,
options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id()
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_username'] = trade[5]
msg['seller_username'] = trade[6]
msg['created'] = trade[7]
msg['trade_date'] = trade[7][:10]
msg['trade_time'] = trade[7][11:]
msg['order_id'] = trade[8]
msg['counter_order_id'] = trade[9]
Trade.create(self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[t.symbol].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade, 30000)
self.heart_beat_timer.start()
def __init__(self, opt, instance_name):
self.options = opt
self.instance_name = instance_name
handlers = [
(r'/', WebSocketHandler),
(r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)', RestApiHandler)
]
settings = dict(
cookie_secret='cookie_secret'
)
tornado.web.Application.__init__(self, handlers, **settings)
self.allowed_origins = json.loads(self.options.allowed_origins)
self.allow_all_origins = self.allowed_origins[0] == '*'
input_log_file_handler = logging.handlers.TimedRotatingFileHandler(
os.path.expanduser(self.options.gateway_log), when='MIDNIGHT')
formatter = logging.Formatter('%(asctime)s - %(message)s')
input_log_file_handler.setFormatter(formatter)
self.replay_logger = logging.getLogger(self.instance_name)
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
ch = logging.StreamHandler(sys.stdout)
ch.setLevel(logging.DEBUG)
ch.setFormatter(logging.Formatter('%(asctime)s - %(name)s - %(levelname)s - %(message)s'))
self.replay_logger.addHandler(ch)
self.replay_logger.info('START')
self.log_start_data()
from models import Base, db_bootstrap
db_engine = self.options.sqlalchemy_engine + ':///' +\
os.path.expanduser(self.options.sqlalchemy_connection_string)
engine = create_engine( db_engine, echo=self.options.db_echo)
Base.metadata.create_all(engine)
self.db_session = scoped_session(sessionmaker(bind=engine))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(self.options.trade_in)
self.application_trade_client = TradeClient(
self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
self.security_list = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in self.security_list.get('Instruments'):
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(
self.zmq_context,
self.options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id(self.db_session)
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_id'] = trade[5]
msg['seller_id'] = trade[6]
msg['buyer_username'] = trade[7]
msg['seller_username'] = trade[8]
msg['created'] = trade[9]
msg['trade_date'] = trade[9][:10]
msg['trade_time'] = trade[9][11:]
msg['order_id'] = trade[10]
msg['counter_order_id'] = trade[11]
Trade.create( self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[ t.symbol ].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade,
30000)
self.heart_beat_timer.start()
def __init__(self, opt):
handlers = [
(r'/', WebSocketHandler),
(r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)', RestApiHandler)
]
settings = dict(
cookie_secret='cookie_secret'
)
tornado.web.Application.__init__(self, handlers, **settings)
self.replay_logger = logging.getLogger("REPLAY")
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
self.replay_logger.info('START')
self.log_start_data()
from models import ENGINE, db_bootstrap
self.db_session = scoped_session(sessionmaker(bind=ENGINE))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(opt.trade_in)
self.application_trade_client = TradeClient(
self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
instruments = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in instruments:
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(
self.zmq_context,
options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id()
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_username'] = trade[5]
msg['seller_username'] = trade[6]
msg['created'] = trade[7]
msg['trade_date'] = trade[7][:10]
msg['trade_time'] = trade[7][11:]
msg['order_id'] = trade[8]
msg['counter_order_id'] = trade[9]
Trade.create( self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[ t.symbol ].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade,
30000)
self.heart_beat_timer.start()
