def requires(self):
cbp_conn = coinbasepro.PublicClient()
cbp_products_raw = cbp_conn.get_products()
cbp_products = [product['id'] for product in cbp_products_raw]
phemex_conn, phemex_ws = get_phemex_connection()
phemex_products_raw = phemex_conn.get_products()['data']
phemex_products = [
product['symbol'] for product in phemex_products_raw
]
exchanges = {
'PHEMEX': {
'db_prefix': 'PHEMEX',
'supported_products': phemex_products
},
'COINBASEPRO': {
'db_prefix': 'COINBASE_PRO',
'supported_products': cbp_products
}
}
for exchange in exchanges.keys():
db_prefix = exchanges[exchange]['db_prefix']
supported_products = exchanges[exchange]['supported_products']
for db in ['BOOKS', 'TRADES']:
for product in supported_products:
yield AzureBlobUploadTask(
behemoth_path=self.behemoth_path,
storage_account=self.storage_account,
db=f'{db_prefix}_{db}',
product=product,
start_date=self.start_date,
end_date=self.end_date)
def __init__(self,
scheduler: NetworkScheduler,
instrument_cache: InstrumentCache,
instance_id: str = 'prod'):
self.scheduler = scheduler
self.instrument_cache = instrument_cache
(self.phemex,
self.ws_uri) = get_phemex_connection(PublicCredentials(), instance_id)
self.instrument_marks = {}
# timeout in seconds
self.timeout = 60
def __init__(self,
credentials: AuthCredentials,
scheduler: NetworkScheduler,
oms: OrderManagerService,
account: str,
instance_id: str = 'prod'):
super().__init__(OrderFactory(account))
self.oms = oms
self.oe_subscriber = OrderEventSubscriber(credentials, scheduler, oms,
instance_id)
self.oe_subscriber.start()
(self.trading_conn,
ws_uri) = get_phemex_connection(credentials, instance_id)
def __init__(self,
credentials: AuthCredentials,
scheduler: NetworkScheduler,
oms: OrderManagerService,
instance_id: str = 'prod'):
self.auth = PhemexWebsocketAuthenticator(credentials)
self.scheduler = scheduler
self.oms = oms
# timeout in seconds
self.timeout = 60
self.order_events = MutableSignal()
self.scheduler.network.attach(self.order_events)
(self.phemex,
self.ws_uri) = get_phemex_connection(credentials, instance_id)
def __init__(self,
scheduler: NetworkScheduler,
instrument_cache: InstrumentCache,
include_symbol: str = '*',
instance_id: str = 'prod'):
(self.phemex,
self.ws_uri) = get_phemex_connection(PublicCredentials(), instance_id)
# ensure we've initialized PhemexConnection before loading instruments in super()
super().__init__(scheduler, instrument_cache, instance_id)
self.instrument_trades = {}
self.instrument_order_book_events = {}
self.instrument_order_books = {}
self.include_symbol = include_symbol
# timeout in seconds
self.timeout = 60
def __init__(self,
credentials: AuthCredentials,
scheduler: NetworkScheduler,
instrument_cache: InstrumentCache,
account: str,
instance_id: str = 'prod'):
super().__init__(scheduler)
self.auth = PhemexWebsocketAuthenticator(credentials)
self.scheduler = scheduler
self.instrument_cache = instrument_cache
self.account = account
# timeout in seconds
self.timeout = 60
self.order_events = MutableSignal()
self.scheduler.network.attach(self.order_events)
(self.phemex,
self.ws_uri) = get_phemex_connection(credentials, instance_id)
quote_ccy = symbol[3:].upper()
currency_pair = instrument_cache.get_or_create_cryptocurrency_pair(base_ccy, quote_ccy)
instrument_cache.get_or_create_exchange_instrument(symbol, currency_pair.get_instrument(), gemini)
# map all Coinbase Pro products to exchange_instrument table
cbp_client = coinbasepro.PublicClient()
cbp = exch_service.instrument_cache.get_crypto_exchange("COINBASEPRO")
for product in cbp_client.get_products():
symbol = product['id']
base_ccy = product['base_currency']
quote_ccy = product['quote_currency']
currency_pair = instrument_cache.get_or_create_cryptocurrency_pair(base_ccy, quote_ccy)
instrument_cache.get_or_create_exchange_instrument(symbol, currency_pair.get_instrument(), cbp)
# map all Phemex products to exchange_instrument table
(phemex, ws_uri) = get_phemex_connection(PublicCredentials())
products = phemex.get_products()
exchange_code = 'PHEMEX'
for product in products['data']:
symbol = product['symbol']
base_ccy = product['baseCurrency']
quote_ccy = product['quoteCurrency']
price_scale = product['priceScale']
ul_symbol = f'.M{base_ccy}'
ccy_pair = instrument_cache.get_or_create_cryptocurrency_pair(base_ccy, quote_ccy)
ul_instr = ccy_pair.get_instrument()
exchange = instrument_cache.get_crypto_exchange(exchange_code)
instrument_cache.get_or_create_exchange_instrument(ul_symbol, ul_instr, exchange)
future = instrument_cache.get_or_create_perpetual_future(ul_instr)
instr = future.get_instrument()
exch_instrument = instrument_cache.get_or_create_exchange_instrument(symbol, instr, exchange)