def on_message(self, raw_message): if not self.trade_client.isConnected(): return try: req_msg = JsonMessage(raw_message) except InvalidMessageException as e: self.write_message( '{"MsgType":"ERROR", "Description":"Invalid message", "Detail": "' + str(e) + '"}') self.application.unregister_connection(self) self.trade_client.close() self.close() return if req_msg.isUserRequest(): if req_msg.has('Password'): raw_message = raw_message.replace(req_msg.get('Password'), '*') if req_msg.has('NewPassword'): raw_message = raw_message.replace(req_msg.get('NewPassword'), '*') self.application.log('IN', self.trade_client.connection_id ,raw_message ) else: self.application.log('IN', self.trade_client.connection_id, raw_message ) if req_msg.isTestRequest() or req_msg.isHeartbeat(): dt = datetime.datetime.now() response_msg = { 'MsgType' : '0', 'TestReqID' : req_msg.get('TestReqID'), 'ServerTimestamp' : int(mktime(dt.timetuple()) + dt.microsecond/1000.0 ) } sendTime = req_msg.get('SendTime') if sendTime: response_msg['SendTime'] = sendTime self.write_message(str(json.dumps(response_msg, cls=JsonEncoder))) return if req_msg.isTradeHistoryRequest(): # Trade History request self.on_trade_history_request(req_msg) return if req_msg.isMarketDataRequest(): # Market Data Request self.on_market_data_request(req_msg) if not self.trade_client.isConnected(): self.application.log('DEBUG', self.trade_client.connection_id, 'not self.trade_client.isConnected()' ) self.application.unregister_connection(self) self.trade_client.close() self.close() return if req_msg.isSecurityStatusRequest(): self.on_security_status_request(req_msg) return if req_msg.isDepositRequest(): if not req_msg.get('DepositMethodID') and not req_msg.get('DepositID'): currency = req_msg.get('Currency') secret = uuid.uuid4().hex callback_url = self.application.options.callback_url + secret hot_wallet = self.get_broker_wallet('hot', currency) cold_wallet = self.get_broker_wallet('cold', currency) if not hot_wallet and not cold_wallet: return if not hot_wallet and cold_wallet: dest_wallet = cold_wallet elif hot_wallet and not cold_wallet: dest_wallet = hot_wallet else: # 62.5% of all deposits go to the cold wallet, and 37.5% go to the hot wallet dest_wallet = hot_wallet if secret[0] in ('0','1','2','3','4','5','6','7','8','9'): dest_wallet = cold_wallet if not dest_wallet: return parameters = urllib.urlencode({ 'method': 'create', 'address': dest_wallet, 'callback': callback_url, 'currency': currency }) try: url_payment_processor = self.application.options.url_payment_processor + '?' + parameters self.application.log('DEBUG', self.trade_client.connection_id, "invoking..." + url_payment_processor ) response = urllib2.urlopen(url_payment_processor) data = json.load(response) self.application.log('DEBUG', self.trade_client.connection_id, str(data) ) req_msg.set('InputAddress', data['input_address']) req_msg.set('Destination', data['destination']) req_msg.set('Secret', secret) except urllib2.HTTPError as e: out_message = json.dumps({ 'MsgType': 'ERROR', 'ReqID': req_msg.get('DepositReqID'), 'Description': 'Blockchain.info is not available at this moment, please try again within few minutes', 'Detail': str(e) }) self.write_message(out_message) return except Exception as e: out_message = json.dumps({ 'MsgType': 'ERROR', 'ReqID': req_msg.get('DepositReqID'), 'Description': 'Error retrieving a new deposit address from Blockchain.info. Please, try again', 'Detail': str(e) }) self.write_message(out_message) return try: resp_message = self.trade_client.sendMessage(req_msg) if resp_message: self.write_message(resp_message.raw_message) if resp_message and resp_message.isUserResponse(): self.user_response = resp_message if not self.trade_client.isConnected(): self.application.log('DEBUG', self.trade_client.connection_id, 'not self.trade_client.isConnected()' ) self.application.unregister_connection(self) self.trade_client.close() self.close() except TradeClientException as e: exception_message = { 'MsgType': 'ERROR', 'Description': 'Invalid message', 'Detail': str(e) } self.write_message(json.dumps(exception_message)) self.application.unregister_connection(self) self.trade_client.close() self.close()
def on_message(self, raw_message): if self.honey_pot_connection: self.application.log('INFO', "HONEY_POT", raw_message) if self.trade_client is None or not self.trade_client.isConnected(): return self.last_message_datetime.append(datetime.now()) message_time_last_second = self.last_message_datetime[-1] - timedelta( seconds=1) for x in xrange(0, len(self.last_message_datetime)): if self.last_message_datetime[x] > message_time_last_second: self.last_message_datetime = self.last_message_datetime[x:] break if len(self.last_message_datetime ) > 15: # higher than 15 messages per second self.application.log( "ERROR", "TOO_MANY_MESSAGES", "Exceed 15 messages per second. [ip=" + self.remote_ip + ",'" + raw_message + "']") self.write_message( '{"MsgType":"ERROR", "Description":"Too many messages per second", "Detail": "16 messages in the last second"}' ) self.application.unregister_connection(self) self.trade_client.close() self.close() return try: req_msg = JsonMessage(raw_message) except InvalidMessageException as e: self.write_message( '{"MsgType":"ERROR", "Description":"Invalid message", "Detail": "' + str(e) + '"}') self.application.unregister_connection(self) self.trade_client.close() self.close() return req_msg.set('RemoteIP', self.remote_ip) if req_msg.isUserRequest(): if req_msg.has('Password'): raw_message = raw_message.replace(req_msg.get('Password'), '*') if req_msg.has('NewPassword'): raw_message = raw_message.replace(req_msg.get('NewPassword'), '*') self.application.log('IN', self.trade_client.connection_id, raw_message) if req_msg.isTestRequest() or req_msg.isHeartbeat(): dt = datetime.now() response_msg = { 'MsgType': '0', 'TestReqID': req_msg.get('TestReqID'), 'ServerTimestamp': int(mktime(dt.timetuple()) + dt.microsecond / 1000.0) } sendTime = req_msg.get('SendTime') if sendTime: response_msg['SendTime'] = sendTime self.write_message(str(json.dumps(response_msg, cls=JsonEncoder))) return if req_msg.isTradeHistoryRequest(): # Trade History request self.on_trade_history_request(req_msg) return if req_msg.isMarketDataRequest(): # Market Data Request self.on_market_data_request(req_msg) if not self.trade_client.isConnected(): self.application.log('DEBUG', self.trade_client.connection_id, 'not self.trade_client.isConnected()') self.application.unregister_connection(self) self.trade_client.close() self.close() return if req_msg.isSecurityStatusRequest(): self.on_security_status_request(req_msg) return if req_msg.isDepositRequest(): if not req_msg.get('DepositMethodID') and not req_msg.get( 'DepositID'): currency = req_msg.get('Currency') secret = uuid.uuid4().hex callback_url = self.application.options.callback_url + secret hot_wallet = self.get_broker_wallet('hot', currency) cold_wallet = self.get_broker_wallet('cold', currency) if not hot_wallet and not cold_wallet: return if not hot_wallet and cold_wallet: dest_wallet = cold_wallet elif hot_wallet and not cold_wallet: dest_wallet = hot_wallet else: # 62.5% of all deposits go to the cold wallet, and 37.5% go to the hot wallet dest_wallet = hot_wallet if secret[0] in ('0', '1', '2', '3', '4', '5', '6', '7', '8', '9'): dest_wallet = cold_wallet if not dest_wallet: return parameters = urllib.urlencode({ 'method': 'create', 'address': dest_wallet, 'callback': callback_url, 'currency': currency }) try: url_payment_processor = self.application.options.url_payment_processor + '?' + parameters self.application.log('DEBUG', self.trade_client.connection_id, "invoking..." + url_payment_processor) response = urllib2.urlopen(url_payment_processor) data = json.load(response) self.application.log('DEBUG', self.trade_client.connection_id, str(data)) req_msg.set('InputAddress', data['input_address']) req_msg.set('Destination', data['destination']) req_msg.set('Secret', secret) except urllib2.HTTPError as e: out_message = json.dumps({ 'MsgType': 'ERROR', 'ReqID': req_msg.get('DepositReqID'), 'Description': 'Blockchain.info is not available at this moment, please try again within few minutes', 'Detail': str(e) }) self.write_message(out_message) return except Exception as e: out_message = json.dumps({ 'MsgType': 'ERROR', 'ReqID': req_msg.get('DepositReqID'), 'Description': 'Error retrieving a new deposit address from Blockchain.info. Please, try again', 'Detail': str(e) }) self.write_message(out_message) return try: resp_message = self.trade_client.sendMessage(req_msg) if resp_message: self.write_message(resp_message.raw_message) if resp_message and resp_message.isUserResponse(): self.user_response = resp_message if self.is_user_logged(): self.application.log('LOGIN_OK', self.trade_client.connection_id, raw_message) #TODO: Request open order list #self.trade_client. else: self.application.log('LOGIN_FAILED', self.trade_client.connection_id, raw_message) if not self.trade_client.isConnected(): self.application.log('DEBUG', self.trade_client.connection_id, 'not self.trade_client.isConnected()') self.application.unregister_connection(self) self.trade_client.close() self.close() except TradeClientException as e: exception_message = { 'MsgType': 'ERROR', 'Description': 'Invalid message', 'Detail': str(e) } self.write_message(json.dumps(exception_message)) self.application.unregister_connection(self) self.trade_client.close() self.close()
def run(self): from pyblinktrade.message import JsonMessage, InvalidMessageException from market_data_publisher import MarketDataPublisher from execution import OrderMatcher from models import Order orders = self.db_session.query(Order).filter(Order.status.in_(("0", "1"))).order_by(Order.created) for order in orders: OrderMatcher.get(order.symbol).match(self.db_session, order, self.order_matcher_disabled) while True: raw_message = self.input_socket.recv() msg_header = raw_message[:3] session_id = raw_message[4:20] json_raw_message = raw_message[21:].strip() try: msg = None if json_raw_message: try: msg = JsonMessage(json_raw_message) except InvalidMessageException, e: self.log("IN", "TRADE_IN_REQ_ERROR", raw_message) raise InvalidMessageError() # never write passwords in the log file if msg.has("Password"): raw_message = raw_message.replace(msg.get("Password"), "*") if msg.has("NewPassword"): raw_message = raw_message.replace(msg.get("NewPassword"), "*") self.log("IN", "TRADE_IN_REQ", raw_message) if msg: if msg.isMarketDataRequest(): # Market Data Request req_id = msg.get("MDReqID") market_depth = msg.get("MarketDepth") instruments = msg.get("Instruments") entries = msg.get("MDEntryTypes") transact_time = msg.get("TransactTime") timestamp = None if transact_time: timestamp = transact_time else: trade_date = msg.get("TradeDate") if not trade_date: trade_date = time.strftime("%Y%m%d", time.localtime()) self.log("OUT", "TRADEDATE", trade_date) timestamp = datetime.datetime.strptime(trade_date, "%Y%m%d") self.log("OUT", "TIMESTAMP", timestamp) if len(instruments) > 1: raise InvalidMessageError() instrument = instruments[0] om = OrderMatcher.get(instrument) response_message = MarketDataPublisher.generate_md_full_refresh( self.db_session, instrument, market_depth, om, entries, req_id, timestamp ) response_message = "REP," + json.dumps(response_message, cls=JsonEncoder) elif msg.isTradeHistoryRequest(): page = msg.get("Page", 0) page_size = msg.get("PageSize", 100) offset = page * page_size columns = [ "TradeID", "Market", "Side", "Price", "Size", "BuyerID", "SellerID", "BuyerUsername", "SellerUsername", "Created", "OrderId", "CounterOrderID", ] trade_list = MarketDataPublisher.generate_trade_history(self.db_session, page_size, offset) response_message = "REP," + json.dumps( { "MsgType": "U33", # TradeHistoryResponse "TradeHistoryReqID": -1, "Page": page, "PageSize": page_size, "Columns": columns, "TradeHistoryGrp": trade_list, }, cls=JsonEncoder, ) else: response_message = self.session_manager.process_message(msg_header, session_id, msg) else: response_message = self.session_manager.process_message(msg_header, session_id, msg) except TradeRuntimeError, e: self.db_session.rollback() self.session_manager.close_session(session_id) response_message = ( 'ERR,{"MsgType":"ERROR", "Description":"' + e.error_description.replace("'", "") + '", "Detail": ""}' )
def run(self): from pyblinktrade.message import JsonMessage, InvalidMessageException from market_data_publisher import MarketDataPublisher from execution import OrderMatcher from models import Order orders = self.db_session.query(Order).filter( Order.status.in_(("0", "1"))).order_by(Order.created) for order in orders: OrderMatcher.get(order.symbol).match(self.db_session, order, self.order_matcher_disabled) while True: raw_message = self.input_socket.recv() msg_header = raw_message[:3] session_id = raw_message[4:20] json_raw_message = raw_message[21:].strip() try: msg = None if json_raw_message: try: msg = JsonMessage(json_raw_message) except InvalidMessageException, e: self.log('IN', 'TRADE_IN_REQ_ERROR', raw_message) raise InvalidMessageError() # never write passwords in the log file if msg.has('Password'): raw_message = raw_message.replace( msg.get('Password'), '*') if msg.has('NewPassword'): raw_message = raw_message.replace( msg.get('NewPassword'), '*') self.log('IN', 'TRADE_IN_REQ', raw_message) if msg: if msg.isMarketDataRequest(): # Market Data Request req_id = msg.get('MDReqID') market_depth = msg.get('MarketDepth') instruments = msg.get('Instruments') entries = msg.get('MDEntryTypes') transact_time = msg.get('TransactTime') timestamp = None if transact_time: timestamp = transact_time else: trade_date = msg.get('TradeDate') if not trade_date: trade_date = time.strftime( "%Y%m%d", time.localtime()) self.log('OUT', 'TRADEDATE', trade_date) timestamp = datetime.datetime.strptime( trade_date, "%Y%m%d") self.log('OUT', 'TIMESTAMP', timestamp) if len(instruments) > 1: raise InvalidMessageError() instrument = instruments[0] om = OrderMatcher.get(instrument) response_message = MarketDataPublisher.generate_md_full_refresh( self.db_session, instrument, market_depth, om, entries, req_id, timestamp) response_message = 'REP,' + json.dumps( response_message, cls=JsonEncoder) elif msg.isTradeHistoryRequest(): page = msg.get('Page', 0) page_size = msg.get('PageSize', 100) offset = page * page_size columns = [ 'TradeID', 'Market', 'Side', 'Price', 'Size', 'BuyerID', 'SellerID', 'BuyerUsername', 'SellerUsername', 'Created', 'OrderId', 'CounterOrderID' ] trade_list = MarketDataPublisher.generate_trade_history( self.db_session, page_size, offset) response_message = 'REP,' + json.dumps( { 'MsgType': 'U33', # TradeHistoryResponse 'TradeHistoryReqID': -1, 'Page': page, 'PageSize': page_size, 'Columns': columns, 'TradeHistoryGrp': trade_list }, cls=JsonEncoder) else: response_message = self.session_manager.process_message( msg_header, session_id, msg) else: response_message = self.session_manager.process_message( msg_header, session_id, msg) except TradeRuntimeError, e: self.db_session.rollback() self.session_manager.close_session(session_id) response_message = 'ERR,{"MsgType":"ERROR", "Description":"' + e.error_description.replace( "'", "") + '", "Detail": ""}'
def run(self): from pyblinktrade.message import JsonMessage, InvalidMessageException from market_data_publisher import MarketDataPublisher from execution import OrderMatcher from models import Order orders = self.db_session.query(Order).filter(Order.status.in_(("0", "1"))).order_by(Order.created) for order in orders: OrderMatcher.get( order.symbol ).match(self.db_session, order, self.order_matcher_disabled) while True: raw_message = self.input_socket.recv() msg_header = raw_message[:3] session_id = raw_message[4:20] json_raw_message = raw_message[21:].strip() try: msg = None if json_raw_message: try: msg = JsonMessage(json_raw_message) except InvalidMessageException, e: self.log('IN', 'TRADE_IN_REQ_ERROR', raw_message) raise InvalidMessageError() # never write passwords in the log file if msg.has('Password'): raw_message = raw_message.replace(msg.get('Password'), '*') if msg.has('NewPassword'): raw_message = raw_message.replace(msg.get('NewPassword'), '*') self.log('IN', 'TRADE_IN_REQ' ,raw_message ) if msg: if msg.isMarketDataRequest(): # Market Data Request req_id = msg.get('MDReqID') market_depth = msg.get('MarketDepth') instruments = msg.get('Instruments') entries = msg.get('MDEntryTypes') transact_time = msg.get('TransactTime') timestamp = None if transact_time: timestamp = transact_time else: trade_date = msg.get('TradeDate') if not trade_date: trade_date = time.strftime("%Y%m%d", time.localtime()) self.log('OUT', 'TRADEDATE', trade_date) timestamp = datetime.datetime.strptime(trade_date, "%Y%m%d") self.log('OUT', 'TIMESTAMP', timestamp ) if len(instruments) > 1: raise InvalidMessageError() instrument = instruments[0] om = OrderMatcher.get(instrument) response_message = MarketDataPublisher.generate_md_full_refresh( self.db_session, instrument, market_depth, om, entries, req_id, timestamp ) response_message = 'REP,' + json.dumps( response_message , cls=JsonEncoder) elif msg.isTradeHistoryRequest(): page = msg.get('Page', 0) page_size = msg.get('PageSize', 100) offset = page * page_size columns = [ 'TradeID' , 'Market', 'Side', 'Price', 'Size', 'BuyerID' , 'SellerID', 'BuyerUsername' ,'SellerUsername', 'Created', 'OrderId' , 'CounterOrderID'] trade_list = MarketDataPublisher.generate_trade_history(self.db_session, page_size, offset ) response_message = 'REP,' + json.dumps({ 'MsgType' : 'U33', # TradeHistoryResponse 'TradeHistoryReqID' : -1, 'Page' : page, 'PageSize' : page_size, 'Columns' : columns, 'TradeHistoryGrp' : trade_list }, cls=JsonEncoder) else: response_message = self.session_manager.process_message( msg_header, session_id, msg ) else: response_message = self.session_manager.process_message( msg_header, session_id, msg ) except TradeRuntimeError, e: self.db_session.rollback() self.session_manager.close_session(session_id) response_message = 'ERR,{"MsgType":"ERROR", "Description":"' + e.error_description.replace("'", "") + '", "Detail": ""}'
def on_message(self, raw_message): if not self.trade_client.isConnected(): return try: req_msg = JsonMessage(raw_message) except InvalidMessageException as e: self.write_message( '{"MsgType":"ERROR", "Description":"Invalid message", "Detail": "' + str(e) + '"}') self.application.unregister_connection(self) self.trade_client.close() self.close() return req_msg.set('RemoteIP', self.remote_ip) if req_msg.isUserRequest(): if req_msg.has('Password'): raw_message = raw_message.replace(req_msg.get('Password'), '*') if req_msg.has('NewPassword'): raw_message = raw_message.replace(req_msg.get('NewPassword'), '*') self.application.log('IN', self.trade_client.connection_id, raw_message) if req_msg.isTestRequest() or req_msg.isHeartbeat(): dt = datetime.now() response_msg = { 'MsgType': '0', 'TestReqID': req_msg.get('TestReqID'), 'ServerTimestamp': int(mktime(dt.timetuple()) + dt.microsecond / 1000.0) } sendTime = req_msg.get('SendTime') if sendTime: response_msg['SendTime'] = sendTime self.write_message(str(json.dumps(response_msg, cls=JsonEncoder))) return if req_msg.isTradeHistoryRequest(): # Trade History request self.on_trade_history_request(req_msg) return if req_msg.isMarketDataRequest(): # Market Data Request self.on_market_data_request(req_msg) if not self.trade_client.isConnected(): self.application.log('DEBUG', self.trade_client.connection_id, 'not self.trade_client.isConnected()') self.application.unregister_connection(self) self.trade_client.close() self.close() return if req_msg.isSecurityStatusRequest(): self.on_security_status_request(req_msg) return if req_msg.isNewOrderSingle(): if self.last_order_datetime: order_time = datetime.now() order_time_less_one_second = order_time - timedelta( milliseconds=200) # max of 5 orders per second if self.last_order_datetime > order_time_less_one_second: #self.application.log('ORDER_REJECT', self.trade_client.connection_id, raw_message ) reject_message = { "MsgType": "8", "OrderID": None, "ExecID": None, "ExecType": "8", "OrdStatus": "8", "CumQty": 0, "Symbol": req_msg.get("Symbol"), "OrderQty": req_msg.get("Qty"), "LastShares": 0, "LastPx": 0, "Price": req_msg.get("Price"), "TimeInForce": "1", "LeavesQty": 0, "ExecSide": req_msg.get("Side"), "Side": req_msg.get("Side"), "OrdType": req_msg.get("OrdType"), "CxlQty": req_msg.get("Qty"), "ClOrdID": req_msg.get("ClOrdID"), "AvgPx": 0, "OrdRejReason": "Exceeded the maximum number of orders sent per second.", "Volume": 0 } #self.write_message(str(json.dumps(reject_message, cls=JsonEncoder))) #return self.last_order_datetime = datetime.now() if req_msg.isDepositRequest(): if not req_msg.get('DepositMethodID') and not req_msg.get( 'DepositID'): currency = req_msg.get('Currency') secret = uuid.uuid4().hex callback_url = self.application.options.callback_url + secret hot_wallet = self.get_broker_wallet('hot', currency) cold_wallet = self.get_broker_wallet('cold', currency) if not hot_wallet and not cold_wallet: return if not hot_wallet and cold_wallet: dest_wallet = cold_wallet elif hot_wallet and not cold_wallet: dest_wallet = hot_wallet else: # 62.5% of all deposits go to the cold wallet, and 37.5% go to the hot wallet dest_wallet = hot_wallet if secret[0] in ('0', '1', '2', '3', '4', '5', '6', '7', '8', '9'): dest_wallet = cold_wallet if not dest_wallet: return parameters = urllib.urlencode({ 'method': 'create', 'address': dest_wallet, 'callback': callback_url, 'currency': currency }) try: url_payment_processor = self.application.options.url_payment_processor + '?' + parameters self.application.log('DEBUG', self.trade_client.connection_id, "invoking..." + url_payment_processor) response = urllib2.urlopen(url_payment_processor) data = json.load(response) self.application.log('DEBUG', self.trade_client.connection_id, str(data)) req_msg.set('InputAddress', data['input_address']) req_msg.set('Destination', data['destination']) req_msg.set('Secret', secret) except urllib2.HTTPError as e: out_message = json.dumps({ 'MsgType': 'ERROR', 'ReqID': req_msg.get('DepositReqID'), 'Description': 'Blockchain.info is not available at this moment, please try again within few minutes', 'Detail': str(e) }) self.write_message(out_message) return except Exception as e: out_message = json.dumps({ 'MsgType': 'ERROR', 'ReqID': req_msg.get('DepositReqID'), 'Description': 'Error retrieving a new deposit address from Blockchain.info. Please, try again', 'Detail': str(e) }) self.write_message(out_message) return try: resp_message = self.trade_client.sendMessage(req_msg) if resp_message: self.write_message(resp_message.raw_message) if resp_message and resp_message.isUserResponse(): self.user_response = resp_message if self.is_user_logged(): self.application.log('LOGIN_OK', self.trade_client.connection_id, raw_message) #TODO: Request open order list #self.trade_client. else: self.application.log('LOGIN_FAILED', self.trade_client.connection_id, raw_message) if not self.trade_client.isConnected(): self.application.log('DEBUG', self.trade_client.connection_id, 'not self.trade_client.isConnected()') self.application.unregister_connection(self) self.trade_client.close() self.close() except TradeClientException as e: exception_message = { 'MsgType': 'ERROR', 'Description': 'Invalid message', 'Detail': str(e) } self.write_message(json.dumps(exception_message)) self.application.unregister_connection(self) self.trade_client.close() self.close()