def fetch_market(self, market_id): """ Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all. @todo min/max/step/min_notional """ instrument = self.connector.ws.get_instrument(market_id) # funds = self.connector.ws.funds() # to get account base currency (if XBt or XBT) xbt_usd = self.connector.ws.get_instrument("XBTUSD") if instrument: # tickSize is the minimum price increment (0.5USD for XBTUSD) tradeable = instrument.get('state', 'Closed') == 'Open' update_time = self._parse_datetime(instrument.get('timestamp')).timestamp() symbol = instrument.get('symbol', '') base_symbol = instrument.get('rootSymbol', '') quote_symbol = symbol[-3:] # if funds['currency'] == 'XBt': # # XBt to XBT # ratio = 1.0 / 100000000.0 # if base_symbol == 'USD': # # USD is base then convert to XBT # ratio *= to_base_rate bid = instrument.get('bidPrice') ofr = instrument.get('askPrice') market = Market(market_id, symbol) # compute base precision from the tick size, example 0.05 => 2 base_precision = -math.floor(math.log10(instrument.get('tickSize', 1.0))) market.set_base(base_symbol, base_symbol, base_precision) market.set_quote(quote_symbol, quote_symbol) # base to XBT market.base_exchange_rate = 1.0 # base instrument base_market_id = "XBT" + quote_symbol base_market = self.connector.ws.get_instrument(base_market_id) if base_market_id != symbol and base_market: market.base_exchange_rate = base_market.get('lastPrice', 1.0) / instrument.get('lastPrice', 1.0) # @todo 'multiplier', 'riskStep', 'riskLimit' # limits min_notional = 1.0 # $ if quote_symbol != "USD" and base_market_id != "XBT": # any contract on futur XBT quote min_notional = 0.0001 # BCHXBT 'maxOrderQty': 100000000, 'maxPrice': 10, 'lotSize': 1, 'tickSize': 0.0001, # XBCUSD 'maxOrderQty': 10000000, 'maxPrice': 1000000, 'lotSize': 1, 'tickSize': 0.5, market.set_size_limits(instrument.get('tickSize', 1.0), instrument.get('maxOrderQty', 0.0), instrument.get('tickSize', 1.0)) market.set_notional_limits(min_notional, instrument.get('maxPrice', 0.0), 0.0) market.set_price_limits(0.0, 0.0, instrument.get('tickSize', 1.0)) # need to divided by account currency XBt = 100000000 market.margin_factor = instrument.get('initMargin', 1.0) # market.max_margin_factor = 1.0 / (instrument.get('riskLimit', 1.0) * ratio) # ex: 20000000000 for max leverage 200 # '-' if perpetual else match the regexp and keep the expiry part only expiry = BitMexWatcher.EXPIRY_RE.match(market_id) # or instrument.get(expiry') == '2018-12-28T12:00:00.000Z' for Z18 its 28 of month Z (december) and year 2018 if expiry is None: market.expiry = '-' else: market.expiry = expiry.group(2) + expiry.group(3) market.market_type = Market.TYPE_CRYPTO market.unit_type = Market.UNIT_CONTRACTS market.contract_type = Market.CONTRACT_CFD # and FUTUR market.trade = Market.TRADE_IND_MARGIN if bid is not None and ofr is not None: market.bid = bid market.ofr = ofr market.last_update_time = update_time market.lot_size = instrument.get('lotSize', 1.0) # ex: 1.0 for XBTUSD market.contract_size = 1.0 market.value_per_pip = 1.0 market.one_pip_means = instrument.get('tickSize', 1.0) # contract_size need to be updated as price changes # @todo this is wrong... same on update part above if quote_symbol == 'USD' and base_market_id == symbol: # XBTUSD... market.contract_size = 1.0 / instrument.get('lastPrice', 1.0) elif quote_symbol == 'USD' and base_market_id != symbol: # ETHUSD... market.contract_size = (0.001 * 0.01) * instrument.get('lastPrice', 1.0) elif base_market and base_market_id != symbol: # ADAZ18... market.contract_size = 1.0 / instrument.get('lastPrice', 1.0) market.value_per_pip = market.contract_size / instrument.get('lastPrice', 1.0) market.maker_fee = instrument.get('makerFee', 0.0) market.taker_fee = instrument.get('takerFee', 0.0) # store the last market info to be used for backtesting if not self._read_only: Database.inst().store_market_info((self.name, market_id, market.symbol, market.market_type, market.unit_type, market.contract_type, # type market.trade, market.orders, # type market.base, market.base_display, market.base_precision, # base market.quote, market.quote_display, market.quote_precision, # quote market.expiry, int(market.last_update_time * 1000.0), # expiry, timestamp str(market.lot_size), str(market.contract_size), str(market.base_exchange_rate), str(market.value_per_pip), str(market.one_pip_means), str(market.margin_factor), str(market.min_size), str(market.max_size), str(market.step_size), # size limits str(market.min_notional), str(market.max_notional), str(market.step_notional), # notional limits str(market.min_price), str(market.max_price), str(market.tick_price), # price limits str(market.maker_fee), str(market.taker_fee), str(market.maker_commission), str(market.taker_commission)) # fees ) # notify for strategy self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (market_id, market)) return market
def process_market(self): # # insert market info # with self._mutex: mki = self._pending_market_info_insert self._pending_market_info_insert = [] if mki: try: cursor = self._db.cursor() for mi in mki: if mi[16] is None: # margin factor is unavailable when market is down, so use previous value if available cursor.execute("""SELECT margin_factor FROM market WHERE broker_id = '%s' AND market_id = '%s'""" % (mi[0], mi[1])) row = cursor.fetchone() if row: # replace by previous margin factor from the DB margin_factor = row[0] mi = list(mi) mi[16] = margin_factor else: mi[16] = "1.0" cursor.execute("""INSERT INTO market(broker_id, market_id, symbol, market_type, unit_type, contract_type, trade_type, orders, base, base_display, base_precision, quote, quote_display, quote_precision, expiry, timestamp, lot_size, contract_size, base_exchange_rate, value_per_pip, one_pip_means, margin_factor, min_size, max_size, step_size, min_notional, max_notional, step_notional, min_price, max_price, step_price, maker_fee, taker_fee, maker_commission, taker_commission) VALUES(%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s) ON CONFLICT (broker_id, market_id) DO UPDATE SET symbol = EXCLUDED.symbol, market_type = EXCLUDED.market_type, unit_type = EXCLUDED.unit_type, contract_type = EXCLUDED.contract_type, trade_type = EXCLUDED.trade_type, orders = EXCLUDED.orders, base = EXCLUDED.base, base_display = EXCLUDED.base_display, base_precision = EXCLUDED.base_precision, quote = EXCLUDED.quote, quote_display = EXCLUDED.quote_display, quote_precision = EXCLUDED.quote_precision, expiry = EXCLUDED.expiry, timestamp = EXCLUDED.timestamp, lot_size = EXCLUDED.lot_size, contract_size = EXCLUDED.contract_size, base_exchange_rate = EXCLUDED.base_exchange_rate, value_per_pip = EXCLUDED.value_per_pip, one_pip_means = EXCLUDED.one_pip_means, margin_factor = EXCLUDED.margin_factor, min_size = EXCLUDED.min_size, max_size = EXCLUDED.max_size, step_size = EXCLUDED.step_size, min_notional = EXCLUDED.min_notional, max_notional = EXCLUDED.max_notional, step_notional = EXCLUDED.step_notional, min_price = EXCLUDED.min_price, max_price = EXCLUDED.max_price, step_price = EXCLUDED.step_price, maker_fee = EXCLUDED.maker_fee, taker_fee = EXCLUDED.taker_fee, maker_commission = EXCLUDED.maker_commission, taker_commission = EXCLUDED.taker_commission""", (*mi,)) self._db.commit() except self.psycopg2.OperationalError as e: self.try_reconnect(e) # retry the next time with self._mutex: self._pending_market_info_insert = mki + self._pending_market_info_insert except Exception as e: self.on_error(e) # retry the next time with self._mutex: self._pending_market_info_insert = mki + self._pending_market_info_insert # # select market info # with self._mutex: mis = self._pending_market_info_select self._pending_market_info_select = [] if mis: try: cursor = self._db.cursor() for mi in mis: cursor.execute("""SELECT symbol, market_type, unit_type, contract_type, trade_type, orders, base, base_display, base_precision, quote, quote_display, quote_precision, expiry, timestamp, lot_size, contract_size, base_exchange_rate, value_per_pip, one_pip_means, margin_factor, min_size, max_size, step_size, min_notional, max_notional, step_notional, min_price, max_price, step_price, maker_fee, taker_fee, maker_commission, taker_commission FROM market WHERE broker_id = '%s' AND market_id = '%s'""" % ( mi[1], mi[2])) row = cursor.fetchone() if row: market_info = Market(mi[2], row[0]) market_info.is_open = True market_info.market_type = row[1] market_info.unit_type = row[2] market_info.contract_type = row[3] market_info.trade = row[4] market_info.orders = row[5] market_info.set_base(row[6], row[7], int(row[8])) market_info.set_quote(row[9], row[10], int(row[11])) market_info.expiry = row[12] market_info.last_update_time = row[13] * 0.001 market_info.lot_size = float(row[14]) market_info.contract_size = float(row[15]) market_info.base_exchange_rate = float(row[16]) market_info.value_per_pip = float(row[17]) market_info.one_pip_means = float(row[18]) if row[19] is not None or row[19] is not 'None': if row[19] == '-': # not defined mean 1.0 or no margin market_info.margin_factor = 1.0 else: market_info.margin_factor = float(row[19] or "1.0") market_info.set_size_limits(float(row[20]), float(row[21]), float(row[22])) market_info.set_notional_limits(float(row[23]), float(row[24]), float(row[25])) market_info.set_price_limits(float(row[26]), float(row[27]), float(row[28])) market_info.maker_fee = float(row[29]) market_info.taker_fee = float(row[30]) market_info.maker_commission = float(row[31]) market_info.taker_commission = float(row[32]) else: market_info = None # notify mi[0].notify(Signal.SIGNAL_MARKET_INFO_DATA, mi[1], (mi[2], market_info)) except self.psycopg2.OperationalError as e: self.try_reconnect(e) # retry the next time with self._mutex: self._pending_market_info_select = mis + self._pending_market_info_select except Exception as e: self.on_error(e) # retry the next time with self._mutex: self._pending_market_info_select = mis + self._pending_market_info_select # # select market list # with self._mutex: mls = self._pending_market_list_select self._pending_market_list_select = [] if mls: try: cursor = self._db.cursor() for m in mls: cursor.execute("""SELECT market_id, symbol, base, quote FROM market WHERE broker_id = '%s'""" % (m[1],)) rows = cursor.fetchall() market_list = [] for row in rows: market_list.append(row) # notify m[0].notify(Signal.SIGNAL_MARKET_LIST_DATA, m[1], market_list) except self.psycopg2.OperationalError as e: self.try_reconnect(e) # retry the next time with self._mutex: self._pending_market_list_select = mls + self._pending_market_list_select except Exception as e: self.on_error(e) # retry the next time with self._mutex: self._pending_market_list_select = mls + self._pending_market_list_select