def get_market_qty(self, ticker):
# TODO implement
ticker_entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS
]
full_book = pyRofex.get_market_data(ticker, ticker_entries)
market_qty = float(
full_book.get('marketData').get('OF')[0].get('size'))
return market_qty
def market_data_handler(message):
global quoting_price
global quoting_qty
global order_sent
try:
ticker = message.get('instrumentId').get('symbol')
ticker_entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS
]
if ticker:
full_book = pyRofex.get_market_data(ticker,
ticker_entries,
depth=10)
# trade_history = pyRofex.get_trade_history(ticker, dt.date(2020, 1, 1), dt.date.today())
# trade_history_df = pd.DataFrame.from_dict(trade_history.get('trades')).drop('servertime', axis=1)
# trade_history_df = trade_history_df[['symbol', 'price', 'size', 'datetime']]
# print(f"Trade History {ticker}")
# print(pprint.pprint(trade_history_df))
print(f"Full book for {ticker}")
print(pprint.pprint(full_book.get('marketData')))
market_price = float(
full_book.get('marketData').get('BI')[0].get('price'))
quoting_price = market_price + 0.05
market_qty = int(
full_book.get('marketData').get('OF')[0].get('size'))
quoting_qty = market_qty
if order_sent < 1:
send_buy_order("GGALOct20", quoting_price, quoting_qty)
order_sent += 1
"""
print(message.get('instrumentId'))
instrument_df = pd.DataFrame(message)
bid_series = message.get('marketData').get('BI')
bid_series = pd.DataFrame.from_dict(bid_series)
ask_series = message.get('marketData').get('OF')
ask_series = pd.DataFrame.from_dict(ask_series)
print(bid_series)
print(ask_series)
print(instrument_df)
"""
except Exception:
traceback.print_exc()
def get_ingresar_orden(self, buy):
cont = 0
self.print('Consultando BID')
try:
md = pyRofex.get_market_data(
ticker=self.date_symbol,
entries=[pyRofex.MarketDataEntry.BIDS])
except Exception as e:
self.print('Error al buscar BIDs : {}'.format(e))
logging.error('Error al buscar BIDs : {}'.format(e))
if md["marketData"]["BI"][0]["price"]:
self.print('Precio de BID: ${}'.format(
str(round(md["marketData"]["BI"][0]["price"],
2)).replace('.', ',')))
entrada = round(
float(md["marketData"]["BI"][0]["price"]) - 0.01, 2)
else:
self.print('No hay BIDs activos')
entrada = float(buy)
order = pyRofex.send_order(ticker=self.date_symbol,
side=pyRofex.Side.BUY,
size=1,
price=entrada,
order_type=pyRofex.OrderType.LIMIT)
if order['status'] == 'ERROR':
self.print('Error al realizar una órden: {}'.format(
order['description']))
return False
order_status = pyRofex.get_order_status(order["order"]["clientId"])
while True:
if order_status["order"]['status'] == 'NEW':
self.print('Ingresando orden a ${}'.format(entrada))
return True
else:
# TODO: control de errores para otros posibles estados
time.sleep(1)
cont += 1
if cont == self.timeout:
self.print('Orden cancelada por TIMEOUT')
return False
def get_last_price(self):
try:
lp = pyRofex.get_market_data(ticker=self.date_symbol,
entries=[
pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.LAST
])
except Exception as e:
self.print('Error al buscar último precio : {}'.format(e))
if lp['status'] != 'ERROR':
self.print('Último precio operado: ${}'.format(
str(round(lp["marketData"]["LA"]["price"],
2)).replace('.', ',')))
return lp["marketData"]["LA"]["price"]
elif lp['description'][-18:] == "ROFX doesn't exist":
self.print('Símbolo inválido')
return False
else:
# otro tipo de error
self.print('Error al buscar último precio')
return False
@author: agarcia20
"""
import pyRofex
import json
# Set the the parameter for the REMARKET environment
pyRofex.initialize(user="******",
password="******",
account="REM3328",
environment=pyRofex.Environment.REMARKET)
# Gets all segments
#p = pyRofex.get_segments()
#print(json.dumps(p, indent=1))
# Gets available instruments list
#p = pyRofex.get_all_instruments()
#print(json.dumps(p, indent=1))
# Gets detailed instruments list
#p = pyRofex.get_detailed_instruments()
#print(json.dumps(p, indent=1))
# Makes a request to the Rest API and get the last price
# Use the MarketDataEntry enum to specify the data
p = pyRofex.get_market_data(ticker="I.RFX20",
entries=[pyRofex.MarketDataEntry.LAST])
#p = pyRofex.get_market_data(ticker="I.RFX20")
print(json.dumps(p, indent=1))
# 1-Initialize the environment
pyRofex.initialize(user="******",
password="******",
account="XXXXXXX",
environment=pyRofex.Environment.REMARKET)
# 2-Set the instrument to use
instrument = "DODic19"
# 3-Get the two Best Bids and Best Offers for the instrument (using depth parameter)
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST
]
market_data = pyRofex.get_market_data(instrument, entries, depth=2)
print("Market Data Response for {0}: {1}".format(instrument, market_data))
# 4-Get all available entries for the instrument
entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST, pyRofex.MarketDataEntry.CLOSING_PRICE,
pyRofex.MarketDataEntry.OPENING_PRICE, pyRofex.MarketDataEntry.HIGH_PRICE,
pyRofex.MarketDataEntry.LOW_PRICE,
pyRofex.MarketDataEntry.SETTLEMENT_PRICE,
pyRofex.MarketDataEntry.NOMINAL_VOLUME,
pyRofex.MarketDataEntry.TRADE_EFFECTIVE_VOLUME,
pyRofex.MarketDataEntry.TRADE_VOLUME, pyRofex.MarketDataEntry.OPEN_INTEREST
]
market_data = pyRofex.get_market_data(instrument, entries)
4-Check the order status
5-If order status is PENDING_NEW then we keep checking the status until the market accept or reject the order
6-If the status is NEW, cancel the order
"""
import time
import pyRofex
# 1-Initialize the environment
pyRofex.initialize(user="******",
password="******",
account="XXXXXXX",
environment=pyRofex.Environment.REMARKET)
# 2-Get the best bid offer in the market for DODic19
md = pyRofex.get_market_data(ticker="DODic19",
entries=[pyRofex.MarketDataEntry.BIDS])
# Print the response
print("Market Data Response: {0}".format(md))
# 3-Send a Buy Limit Order for DODic19 with the same price as the best bid
order = pyRofex.send_order(ticker="DODic19",
side=pyRofex.Side.BUY,
size=10,
price=md["marketData"]["BI"][0]["price"],
order_type=pyRofex.OrderType.LIMIT)
# Print the response
print("Send Order Response: {0}".format(order))
# 4-Check the order status
sys.exit()
# Inicializo la conexion Websocket
try:
pyRofex.init_websocket_connection()
except:
print("Error al establecer una conexion websocket")
sys.exit()
#Obtengo la MARKET_DATA
print("Consultando simbolo")
md = pyRofex.get_market_data(instrumento, [pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.LAST])
#Check del simbolo
if md["status"] == "ERROR" and md["description"] == "Security {0}:ROFX doesn't exist".format(instrumento):
print("Simbilo invalido")
logout()
try:
print("Ultimo precio operado: ${0}".format(md["marketData"]["LA"]["price"]))
except:
print("Ultimo precio operado: None")
#CONSULTO EL PRECIO DEL BID
print("Consultando BID")
def iniciar(ticker2, REMARKETS_USER, REMARKET_PASS, REMARKET_ACCOUNT):
def error_handler(message):
print("Simbolo invalido")
def market_data_handler(message):
print("se ha reportado una solicutud al market data")
def exception_handler(e):
print("Exception Ocurred")
def order_report_handler(message):
print("se ha reportado una orden")
print("~$ python challenge.py ", ticker2, " -u ", REMARKETS_USER, " -p ",
REMARKET_PASS)
print("Iniciando sesion en Remarket")
# bloque try/except para autencticacion de password
try:
pyRofex.initialize(user=REMARKETS_USER,
password=REMARKET_PASS,
account=REMARKET_ACCOUNT,
environment=pyRofex.Environment.REMARKET)
except:
print("Error de autenticacion")
print("~$")
print("por favor vuelva a ingresar sus credenciales")
exit()
else:
pyRofex.init_websocket_connection(
market_data_handler=market_data_handler,
error_handler=error_handler,
order_report_handler=order_report_handler,
exception_handler=exception_handler)
print("Consultando simbolo")
md = pyRofex.get_market_data(
ticker=ticker2,
entries=[pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.LAST])
# capturar el key error de market data
try:
lp = md["marketData"]["LA"]["price"]
except KeyError:
print("Símbolo inválido")
else:
lp = md["marketData"]["LA"]["price"]
print("Último precio operado: $", lp)
print("consultando BID")
try:
md["marketData"]["BI"][0]["price"]
except KeyError:
# In this case, replace the constant value of 75.25 by a value that when talking about the September dollar the value is 75.25 in the bid offered.
# But if we talk about another asset (another instrument) this remains at a competitive value for supply / demand.
pyRofex.send_order(ticker=ticker2,
side=pyRofex.Side.BUY,
size=1,
price=lp - 0.91,
order_type=pyRofex.OrderType.LIMIT)
print("No hay Bids Activos")
bido = lp - 0.91
print("ingresando orden :$", bido)
else:
pyRofex.send_order(ticker=ticker2,
side=pyRofex.Side.BUY,
size=1,
price=md["marketData"]["BI"][0]["price"] - 0.01,
order_type=pyRofex.OrderType.LIMIT)
bid = md["marketData"]["BI"][0]["price"]
bido = bid - 0.01
print("Precio de BID: $", bid)
print("ingresando orden :$", bido)
print("cerrando sesion en Remarket")
time.sleep(5)
pyRofex.close_websocket_connection()
print("~$")
def process_market_data_message(self, message):
"""
TODO Later this should evaluate every possible action triggerd by specific MarketData messages
Prints book and MarketData for each updated Ticker whenever the market changes.
:param message: Message received. Comes as a JSON.
:type message: Dict.
"""
try:
ticker = message.get('instrumentId').get('symbol')
ticker_entries = [
pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS
]
full_book = pyRofex.get_market_data(ticker,
ticker_entries,
depth=10)
if len(full_book.get('marketData').get('BI')) !=0\
and len(full_book.get('marketData').get('OF')) != 0:
bid_book = full_book.get('marketData').get('BI')
bid_book_df = pd.DataFrame().from_dict(bid_book)
bid_book_df.columns = ['BP', 'BS']
ask_book = full_book.get('marketData').get('OF')
ask_book_df = pd.DataFrame().from_dict(ask_book)
ask_book_df.columns = ['OP', 'OS']
last_trade = [message.get('marketData').get('LA')]
full_book_df = pd.concat([bid_book_df, ask_book_df], axis=1)
full_book_df = full_book_df[['BS', 'BP', 'OP', 'OS']]
full_book_df.fillna(0, inplace=True)
lk.acquire()
print(dash_line)
msg_centered = f"{ticker} - MarketData".ljust(width, ' ')
md_header = f"\033[0;30;47m{msg_centered}\033[1;37;40m"
print(md_header)
print(" BID ASK")
print(full_book_df)
print("\nTop:", full_book_df['BS'].iloc[0],
full_book_df['BP'].iloc[0], full_book_df['OP'].iloc[0],
full_book_df['OS'].iloc[0])
lk.release()
else:
empty_MD = pd.DataFrame.from_dict({
'BS': [0],
'BP': [0],
'OP': [0],
'OS': [0]
})
lk.acquire()
print(dash_line)
print(f"----------- {ticker} - MarketData ".ljust(width, '-'))
print(" BID ASK")
print(empty_MD)
lk.release()
except Exception:
traceback.print_exc()
pass
# Obtenemos una lista de los instrumentos y contamos cuantos son
instruments = pyRofex.get_all_instruments()
print("Número de instrumentos:: {0}".format(len(instruments['instruments'])))
# Obtenemos una lista detallada e imprimimos detalles:
detailed = pyRofex.get_detailed_instruments()
for i in range(5):
print("#### DETALLE para {0}: {1}".format(detailed['instruments'][i]['instrumentId']['symbol'],
detailed['instruments'][i]))
print("#### FIN DE DETALLE ####")
#%% ########### MARKET DATA #############
# Realiza un pedido a la API Rest para obtener el último precio, bids y offers del instrumento
entries = [pyRofex.MarketDataEntry.BIDS, pyRofex.MarketDataEntry.OFFERS, pyRofex.MarketDataEntry.LAST]
ticker = "DONov20"
market_data = pyRofex.get_market_data(ticker=ticker,entries=entries, depth=5)
print("Respuesta al pedido de market data para {0}: {1}".format(ticker, market_data))
#%%
# Obtener toda la info del instrumento:
entries = [
pyRofex.MarketDataEntry.BIDS,
pyRofex.MarketDataEntry.OFFERS,
pyRofex.MarketDataEntry.LAST,
pyRofex.MarketDataEntry.CLOSING_PRICE,
pyRofex.MarketDataEntry.OPENING_PRICE,
pyRofex.MarketDataEntry.HIGH_PRICE,
pyRofex.MarketDataEntry.LOW_PRICE,
pyRofex.MarketDataEntry.SETTLEMENT_PRICE,
pyRofex.MarketDataEntry.NOMINAL_VOLUME,
def get_market_data(self, ticker, entries):
""" retrieve market data"""
return pyRofex.get_market_data(ticker, entries, depth=2)
user = args.U
password = args.P
account = args.A
try:
print("Iniciando Sesion en Remarkets")
pyRofex.initialize(user=user,
password=password,
account=account,
environment=pyRofex.Environment.REMARKET)
#consulto el ultimo precio del ticker
print("Consultando Simbolo", ticker)
UPO = pyRofex.get_market_data(ticker=ticker,
entries=[pyRofex.MarketDataEntry.LAST])
if UPO["status"] == "ERROR":
print("Ticker invalido")
print("Cerrando sesión en Remarkets")
pyRofex.close_websocket_connection()
else:
if UPO["marketData"]["LA"] == None:
print("No hay ultimo precio operado")
else:
print("Ultimo Precio Operado", UPO["marketData"]["LA"]['price'])
print("Consultando BID")
#consulto la ultima oferta
