def create_coincheck_buy_order(symbol, amount):
exchange_id = exchange.ExchangeId.COINCHECK
client = CcxtClient(exchange_id)
tick = client.fetch_tick()
ask = float(tick.ask)
bid = float(tick.bid)
if amount < 0.005:
n = int(amount * 1000)
amount_buy = 0.007
amount_sell = 0.006
order_info = []
for _ in range(n):
info = create_buy_order(exchange_id, ccxtconst.SYMBOL_BTC_JPY,
amount_buy, ask)
order_info.append(info)
time.sleep(1)
info = create_sell_order(exchange_id, ccxtconst.SYMBOL_BTC_JPY,
amount_sell, bid)
order_info.append(info)
time.sleep(1)
else:
order_info = create_buy_order(exchange_id, symbol, amount, ask)
return order_info
def ping(exchange_id, eff=False):
client = CcxtClient(exchange_id, ccxtconst.SYMBOL_BTC_JPY)
print("PING {}".format(exchange_id.value))
while True:
start_timestamp = datetime.datetime.now()
if not eff:
tick = client.fetch_tick()
else:
tick = client.fetch_eff_tick()
if tick:
end_timestamp = datetime.datetime.now()
ping_time_msec = round(
(end_timestamp - start_timestamp).microseconds / 1000, 2)
print("{} ping {} time={} ms ".format(start_timestamp, exchange_id,
ping_time_msec))
else:
print("{} can't access {}".format(start_timestamp, exchange_id))
time.sleep(1)
def create_bitbank_sell_order(symbol, amount):
exchange_id = exchange.ExchangeId.BITBANK
ex = Exchange(exchange_id, symbol)
client = CcxtClient(exchange_id)
tick = client.fetch_tick()
bid = float(tick.bid)
order_info = ex.order_sell(amount, bid)
return order_info
def create_bitbank_buy_order(symbol, amount):
exchange_id = exchange.ExchangeId.BITBANK
ex = Exchange(exchange_id, symbol)
client = CcxtClient(exchange_id)
tick = client.fetch_tick()
ask = float(tick.ask)
order_info = ex.order_buy(amount, ask)
return order_info
def fetch_ticks(exchange_id, symbol=ccxtconst.SYMBOL_BTC_JPY, eff=False):
client = CcxtClient(exchange_id, symbol)
while True:
time.sleep(exchange.TICK_INTERVAL_SEC)
if not eff:
tick = client.fetch_tick()
else:
tick = client.fetch_eff_tick()
if not tick:
print("no data...")
continue
timestamp = dt.now_timestamp_ms()
tick = Tick(timestamp, int(tick.bid), int(tick.ask))
print(tick)
def get_positions(exchange_id):
client = CcxtClient(exchange_id)
positions = client.get_positions()
# 取得できる情報が多すぎるのて間引く
data = []
for position in positions:
if position["currentQty"] == 0:
continue
output = {
"symbol": position["symbol"],
"timestamp": position["openingTimestamp"],
"size": position["currentQty"],
}
data.append(output)
print(data)
def __init__(self, exchange_id, symbol):
self.__exchange_id = exchange_id
self.__symbol = symbol
self.__queue = Queue()
self.__wsclient = WebsocketClient(self.__queue, exchange_id, symbol)
self.__ccxtclient = CcxtClient(exchange_id, symbol)
self.__logger = get_ccxt_logger()
self.bids = SortedDict()
self.asks = SortedDict()
self.__build_board()
producer_worker = threading.Thread(target=self.__wsclient.fetch_ticks,
daemon=True)
consumer_worker = threading.Thread(target=self.__update_board,
daemon=True)
producer_worker.start()
consumer_worker.start()
def fetch_balance(exchange_id):
client = CcxtClient(exchange_id)
return client.fetch_balance()['total']
def fetch_trades(exchange_id, mode=ccxtconst.TradeMode.NORMAL, since=None):
client = CcxtClient(exchange_id)
return client.fetch_trades(mode, since=since)
def save_ticks():
dir_path = _get_dir_path()
os.mkdir(dir_path)
bf_file_path = _get_file_path(dir_path, exchange.ExchangeId.BITFLYER)
ex1_file_path = _get_file_path(dir_path, exchange.ExchangeId.COINCHECK)
ex2_file_path = _get_file_path(dir_path, exchange.ExchangeId.LIQUID)
bb_file_path = _get_file_path(dir_path, exchange.ExchangeId.BITBANK)
fs_bf = open(bf_file_path, mode='w')
fs_ex1 = open(ex1_file_path, mode='w')
fs_ex2 = open(ex2_file_path, mode='w')
fs_bb = open(bb_file_path, mode='w')
header_string = 'timestamp,bid,ask\n'
fs_bf.write(header_string)
fs_ex1.write(header_string)
fs_ex2.write(header_string)
fs_bb.write(header_string)
client_bf = CcxtClient(exchange.ExchangeId.BITFLYER)
client_ex1 = CcxtClient(exchange.ExchangeId.COINCHECK)
client_ex2 = CcxtClient(exchange.ExchangeId.LIQUID)
client_bb = CcxtClient(exchange.ExchangeId.BITBANK)
try:
for _ in range(1000000):
tick_bf = client_bf.fetch_tick()
tick_ex1 = client_ex1.fetch_tick()
tick_ex2 = client_ex2.fetch_tick()
tick_bb = client_bb.fetch_tick()
if tick_bf and tick_ex1 and tick_ex2 and tick_bb:
output_bf = _format_csv(tick_bf.timestamp, tick_bf.bid,
tick_bf.ask)
output_ex1 = _format_csv(tick_ex1.timestamp, tick_ex1.bid,
tick_ex1.ask)
output_ex2 = _format_csv(tick_ex2.timestamp, tick_ex2.bid,
tick_ex2.ask)
output_bb = _format_csv(tick_bb.timestamp, tick_bb.bid,
tick_bb.ask)
fs_bf.write(output_bf + '\n')
fs_bf.flush()
fs_ex1.write(output_ex1 + '\n')
fs_ex1.flush()
fs_ex2.write(output_ex2 + '\n')
fs_ex2.flush()
fs_bb.write(output_bb + '\n')
fs_bb.flush()
time.sleep(exchange.TICK_INTERVAL_SEC)
else:
time.sleep(10)
finally:
fs_bf.close()
fs_ex1.close()
fs_ex2.close()
fs_bb.close()
class Board():
def __init__(self, exchange_id, symbol):
self.__exchange_id = exchange_id
self.__symbol = symbol
self.__queue = Queue()
self.__wsclient = WebsocketClient(self.__queue, exchange_id, symbol)
self.__ccxtclient = CcxtClient(exchange_id, symbol)
self.__logger = get_ccxt_logger()
self.bids = SortedDict()
self.asks = SortedDict()
self.__build_board()
producer_worker = threading.Thread(target=self.__wsclient.fetch_ticks,
daemon=True)
consumer_worker = threading.Thread(target=self.__update_board,
daemon=True)
producer_worker.start()
consumer_worker.start()
def __append_to_board(self, board, order_list):
if len(order_list) == 0:
return
for order in order_list:
rate = int(float(order[0]))
amount = float(order[1])
if amount != 0:
board[rate] = amount
elif rate in board:
del board[rate]
def __build_board(self):
res = self.__ccxtclient.fetch_order_book()
bids = res["bids"]
asks = res["asks"]
self.__append_to_board(self.bids, bids)
self.__append_to_board(self.asks, asks)
def __update_board(self):
while True:
if not self.__queue.empty():
data = self.__queue.get()
if data.type == WsDataType.TRADES:
self.__remove_order(data)
else:
self.__append_order(data)
self.__queue.task_done()
def __append_order(self, data):
self.__append_to_board(self.bids, data.bids)
self.__append_to_board(self.asks, data.asks)
def __remove_order(self, data):
rate = int(data.rate)
amount = data.amount
side = data.side
if data.side == "sell":
board = self.bids
else:
board = self.asks
if amount != 0:
if rate in board:
board[rate] = float(
Decimal(str(board[rate])) - Decimal(str(amount)))
if board[rate] <= 0:
del board[rate]
elif rate in board:
del board[rate]
rates = []
if side == 'sell':
for k in board.keys()[::-1]:
if k > rate:
rates.append(k)
else:
break
else:
for k in board.keys():
if k < rate:
rates.append(k)
else:
break
for rate in rates:
del board[rate]
def __logging_tick(self, bid, ask):
self.__logger.info('tick bid=%s ask=%s (%s:%s)', bid, ask,
self.__exchange_id.value, self.__symbol)
def get_eff_tick(self, amount=1.0):
bids = self.bids.items()[::-1]
asks = self.asks.items()
if len(bids) == 0 or len(asks) == 0:
return None
bid_total_amount = 0
bid_rate = bids[0][0]
for bid in bids:
bid_total_amount += bid[1]
if bid_total_amount >= amount:
bid_rate = bid[0]
break
ask_total_amount = 0
ask_rate = asks[0][0]
for ask in asks:
ask_total_amount += ask[1]
if ask_total_amount >= amount:
ask_rate = ask[0]
break
self.__logging_tick(bid_rate, ask_rate)
timestamp = dt.now_timestamp_ms()
tick = Tick(self.__exchange_id, timestamp, bid_rate, ask_rate)
return tick
def display(self):
print("=== bids(買い注文) ===")
print(list(self.bids.items()))
print("=== asks(売り注文) ===")
print(list(self.asks.items()))
print()
def _get_tick(self, exchange_id):
c = CcxtClient(exchange_id)
tick = c.fetch_tick()
return tick.bid, tick.ask
class ExchangeTrading(ExchangeBase):
def __init__(self, exchange_id, symbol, demo_mode=False):
self.exchange_id = exchange_id
self.symbol = symbol
self.demo_mode = demo_mode
self.client = CcxtClient(exchange_id, symbol, demo_mode=demo_mode)
def fetch_tick(self, eff=False):
if not eff:
return self.client.fetch_tick()
else:
# 取引が成立しないのでamountを設定しない。
# return self.client.fetch_eff_tick()
return self.client.fetch_eff_tick()
def _format_order_response(self, response, amount, extinfo=None):
info = response["info"]
def _to_json(jpy, btc, rate):
return {
"exchange_id": self.exchange_id.value,
"symbol": self.symbol,
"jpy": format_jpy_float(jpy),
"btc": btc,
"rate": rate
}
if self.exchange_id == exchange.ExchangeId.COINCHECK:
btc = float(amount)
rate = float(extinfo)
if info["order_type"] == "market_buy":
jpy = float(info["market_buy_amount"])
else:
jpy = rate * btc
return _to_json(jpy, btc, rate)
elif self.exchange_id == exchange.ExchangeId.LIQUID:
btc = float(info["quantity"])
rate = float(info["price"])
jpy = rate * btc
return _to_json(jpy, btc, rate)
elif amount and extinfo:
btc = amount
rate = extinfo
jpy = rate * btc
return _to_json(jpy, btc, rate)
else:
return {}
def order_buy(self, amount, extinfo_ask=None):
# coincheckは amountにBTCではなくて、JPYを指定する。
# https://coincheck.com/ja/documents/exchange/api#order-new
if self.exchange_id == exchange.ExchangeId.COINCHECK:
# coincheckでは buyでどうも実際よりも低い値で注文が成立されるので
# 補正値でrequestを出してみる
adjusted_amount = amount + COINCHECK_ORDER_BUY_ADJUST_AMOUNT_BTC
price = int(extinfo_ask * adjusted_amount)
response = self.client.create_market_buy_order(price)
else:
response = self.client.create_market_buy_order(amount)
if self.demo_mode or not response:
return None
else:
return self._format_order_response(response,
amount,
extinfo=extinfo_ask)
def order_sell(self, amount, extinfo_bid=None):
response = self.client.create_market_sell_order(amount)
if self.demo_mode or not response:
return None
else:
return self._format_order_response(response,
amount,
extinfo=extinfo_bid)
def __init__(self, exchange_id, symbol, demo_mode=False):
self.exchange_id = exchange_id
self.symbol = symbol
self.demo_mode = demo_mode
self.client = CcxtClient(exchange_id, symbol, demo_mode=demo_mode)
def fetch_tick(exchange_id, symbol=ccxtconst.SYMBOL_BTC_JPY):
client = CcxtClient(exchange_id, symbol)
return client.fetch_tick()
def fetch_open_orders(exchange_id):
client = CcxtClient(exchange_id)
open_orders = client.fetch_open_orders()
print(open_orders)
def symbols(c, exchange_id):
__exchange_id = exchange.EXCHANGE_ID_DICT[exchange_id]
c = CcxtClient(__exchange_id)
print(c.symbols())
def _get_tick(exchange_id):
c = CcxtClient(exchange_id)
tick = c.fetch_tick()
return tick["bid"], tick["ask"]
