def market_buy(self, symbol: str, amount: Decimal) -> Order:
self._check_is_empty(symbol)
self._set_futures_settings(symbol, self.leverage)
symbol_info = self.get_symbol_info(symbol)
price = self.get_current_price(symbol)
quantity = self._round(amount / price, symbol_info.quantity_precision)
info = self._client.futures_create_order(
side=Order.SIDE_BUY,
type=Order.TYPE_MARKET,
symbol=symbol,
quantity=quantity,
)
if info['status'] != Order.STATUS_FILLED:
sleep(1)
info = self._client.futures_get_order(symbol=info['symbol'],
orderId=info['orderId'])
order = Order.from_dict(info,
quantity_key='executedQty',
price_key='avgPrice',
futures=True)
assert order.status == Order.STATUS_FILLED, f'Got {order.status} status'
return order
def get_oco_sell_orders(self, symbol: str) -> List[Tuple[Order, Order]]:
all_orders = [
Order.from_dict(info, quantity_key='origQty')
for info in self._client.get_open_orders(symbol=symbol)
if info['side'] == Order.SIDE_SELL and info['status'] ==
Order.STATUS_NEW and info['type'] in (Order.TYPE_LIMIT_MAKER,
Order.TYPE_STOP_LOSS_LIMIT)
]
all_orders.sort(key=lambda o: o.type)
grouped: Dict[int, List[Order]] = {}
for order in all_orders:
if order.order_list_id is not None:
grouped.setdefault(order.order_list_id, []).append(order)
oco_orders = []
for orders in grouped.values():
if len(orders) == 2:
limit_maker, stop_loss_limit = orders
assert limit_maker.type == Order.TYPE_LIMIT_MAKER, f'Got {limit_maker.type}'
assert stop_loss_limit.type == Order.TYPE_STOP_LOSS_LIMIT, f'Got {stop_loss_limit.type}'
oco_orders.append((limit_maker, stop_loss_limit))
return oco_orders
def limit_buy(self, symbol: str, price: Decimal, amount: Decimal) -> Order:
symbol_info = self.get_symbol_info(symbol)
quantity = self._round(amount / price, symbol_info.quantity_precision)
info = self._client.order_limit_buy(
symbol=symbol,
price=price,
quantity=quantity,
)
order = Order.from_dict(info, quantity_key='origQty')
assert order.status == Order.STATUS_NEW, f'Got {order.status}'
return order
def process_api_spot_message(self, msg: dict) -> None:
if msg['e'] == 'executionReport':
order_list_id = msg['g'] if msg['g'] != -1 else None
order = Order(symbol=msg['s'],
side=msg['S'],
order_type=msg['o'],
status=msg['X'],
order_id=msg['i'],
order_list_id=order_list_id,
quantity=parse_decimal(msg['l']),
price=parse_decimal(msg['L']))
self._process_api_order(order)
def process_api_futures_message(self, message: dict) -> None:
if message['data']['e'] == 'ORDER_TRADE_UPDATE':
msg = message['data']['o']
order = Order(symbol=msg['s'],
side=msg['S'],
order_type=msg['o'],
original_type=msg['ot'],
status=msg['X'],
order_id=msg['i'],
order_list_id=None,
quantity=parse_decimal(msg['l']),
price=parse_decimal(msg['L']),
futures=True)
self._process_api_order(order)
def _get_last_buy_order(self, symbol: str) -> Optional[Order]:
api_orders = self._client.get_all_orders(symbol=symbol)
api_orders.sort(key=lambda o: o['updateTime'], reverse=True)
for info in api_orders:
if info['side'] == Order.SIDE_BUY and info[
'status'] == Order.STATUS_FILLED:
# price is zero in original response
price = parse_decimal(
info['cummulativeQuoteQty']) / parse_decimal(
info['executedQty'])
return Order.from_dict(info,
price=price,
quantity_key='executedQty')
else:
return None
def limit_buy(self, symbol: str, price: Decimal, amount: Decimal) -> Order:
self._check_is_empty(symbol)
self._set_futures_settings(symbol, self.leverage)
symbol_info = self.get_symbol_info(symbol)
quantity = self._round(amount / price, symbol_info.quantity_precision)
info = self._client.futures_create_order(
side=Order.SIDE_BUY,
type=Order.TYPE_LIMIT,
symbol=symbol,
price=price,
quantity=quantity,
timeInForce=Client.TIME_IN_FORCE_GTC,
)
order = Order.from_dict(info, quantity_key='origQty', futures=True)
assert order.status == Order.STATUS_NEW, f'Got {order.status} status'
return order
def market_sell(self, symbol: str, quantity: Decimal) -> Order:
info = self._client.order_market_sell(
symbol=symbol,
quantity=quantity,
)
if info['status'] != Order.STATUS_FILLED:
sleep(1)
info = self._client.get_order(symbol=info['symbol'],
orderId=info['orderId'])
# price is zero in original response
price = parse_decimal(info['cummulativeQuoteQty']) / parse_decimal(
info['executedQty'])
order = Order.from_dict(info, price=price, quantity_key='executedQty')
assert order.status == Order.STATUS_FILLED, f'Got {order.status}'
return order
def market_sell(self, symbol: str, quantity: Decimal) -> Order:
info = self._client.futures_create_order(
side=Order.SIDE_SELL,
type=Order.TYPE_MARKET,
symbol=symbol,
quantity=quantity,
reduceOnly=True,
)
if info['status'] != Order.STATUS_FILLED:
sleep(1)
info = self._client.futures_get_order(symbol=info['symbol'],
orderId=info['orderId'])
order = Order.from_dict(info,
quantity_key='executedQty',
price_key='avgPrice',
futures=True)
assert order.status == Order.STATUS_FILLED, f'Got {order.status} status'
return order