def _process_order_event_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order event message payload
"""
client_order_id = str(order_msg["ClientOrderId"])
if client_order_id in self.in_flight_orders:
tracked_order = self.in_flight_orders[client_order_id]
was_locally_working = tracked_order.is_locally_working
# Update order execution status
tracked_order.last_state = order_msg["OrderState"]
if was_locally_working and tracked_order.is_working:
self.trigger_order_created_event(tracked_order)
elif tracked_order.is_cancelled:
self.logger().info(
f"Successfully cancelled order {client_order_id}")
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp,
client_order_id))
self.stop_tracking_order(client_order_id)
elif tracked_order.is_failure:
self.logger().info(
f"The market order {client_order_id} has failed according to order status event. "
f"Reason: {order_msg['ChangeReason']}")
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
async def _process_stuck_order(self, tracked_order):
order_id = tracked_order.client_order_id
open_orders = await self.get_open_orders()
matched_orders = [
order for order in open_orders
if str(order.client_order_id) == str(order_id)
]
if len(matched_orders) == 1:
tracked_order.update_exchange_order_id(
str(matched_orders[0].exchange_order_id))
del self._order_not_created_records[order_id]
return
self._order_not_created_records[
order_id] = self._order_not_created_records.get(order_id, 0) + 1
if self._order_not_created_records[
order_id] >= self.ORDER_NOT_CREATED_ID_COUNT:
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
tracked_order.order_type))
tracked_order.last_state = "fail"
self.stop_tracking_order(order_id)
def test_remaining_quantity_updated_after_failed_order_event(self):
self.limit_buy_strategy.logger().setLevel(1)
self.limit_buy_strategy.logger().addHandler(self)
self.clock.add_iterator(self.limit_buy_strategy)
# check no orders are placed before time delay
self.clock.backtest_til(self.start_timestamp)
self.assertEqual(0, len(self.limit_buy_strategy.active_bids))
# one order created after first tick
self.clock.backtest_til(self.start_timestamp +
math.ceil(self.clock_tick_size /
self.order_delay_time))
self.assertEqual(1, len(self.limit_buy_strategy.active_bids))
bid_order: LimitOrder = self.limit_buy_strategy.active_bids[0][1]
self.assertEqual(1, bid_order.quantity)
self.assertEqual(self.limit_buy_strategy._quantity_remaining, 1)
# Simulate order cancel
self.market.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.market.current_timestamp,
bid_order.client_order_id,
OrderType.LIMIT))
self.assertEqual(0, len(self.limit_buy_strategy.active_bids))
self.assertEqual(self.limit_buy_strategy._quantity_remaining, 2)
self.assertTrue(
self._is_logged(
'INFO',
f"Updating status after order fail (id: {bid_order.client_order_id})"
))
async def execute_sell(
self,
order_id: str,
trading_pair: str,
amount: Decimal,
order_type: OrderType,
price: Optional[Decimal] = Decimal("NaN"),
):
try:
await self.execute_order(TradeType.SELL, order_id, trading_pair,
amount, order_type, price)
tracked_order = self.in_flight_orders.get(order_id)
if tracked_order is not None:
self.trigger_event(
SELL_ORDER_CREATED_EVENT,
SellOrderCreatedEvent(
now(),
order_type,
trading_pair,
Decimal(amount),
Decimal(price),
order_id,
tracked_order.creation_timestamp,
),
)
except ValueError as e:
# never tracked, so no need to stop tracking
self.trigger_event(
ORDER_FAILURE_EVENT,
MarketOrderFailureEvent(now(), order_id, order_type))
self.logger().warning(
f"Failed to place {order_id} on bitmex. {str(e)}")
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
"""
exchange_order_id = str(order_msg['id'])
"""
Currently wazirx api are not supporting client_order_id, so looping through
each in flight order and matching exchange order id.
"""
for order in list(self._in_flight_orders.values()):
if str(order.exchange_order_id) == str(exchange_order_id):
client_order_id = order.client_order_id
tracked_order = self._in_flight_orders[client_order_id]
tracked_order.last_state = order_msg["status"]
if tracked_order.is_cancelled:
self.logger().info(
f"Successfully cancelled order {client_order_id}.")
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp,
client_order_id))
tracked_order.cancelled_event.set()
self.stop_tracking_order(client_order_id)
elif tracked_order.is_failure:
self.logger().info(
f"The market order {client_order_id} has failed according to order status API. "
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
"""
client_order_id = order_msg["client_oid"]
if client_order_id not in self._in_flight_orders:
return
tracked_order = self._in_flight_orders[client_order_id]
# Update order execution status
tracked_order.last_state = order_msg["status"]
if tracked_order.is_cancelled:
self.logger().info(
f"Successfully cancelled order {client_order_id}.")
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, client_order_id))
tracked_order.cancelled_event.set()
self.stop_tracking_order(client_order_id)
elif tracked_order.is_failure:
self.logger().info(
f"The market order {client_order_id} has failed according to order status API. "
f"Reason: {crypto_com_utils.get_api_reason(order_msg['reason'])}"
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
async def _update_order_status(self):
"""
Calls REST API to get status update for each in-flight order.
"""
last_tick = int(self._last_poll_timestamp /
CONSTANTS.UPDATE_ORDER_STATUS_INTERVAL)
current_tick = (0 if math.isnan(self.current_timestamp) else int(
self.current_timestamp / CONSTANTS.UPDATE_ORDER_STATUS_INTERVAL))
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
tasks = []
for tracked_order in tracked_orders:
try:
exchange_order_id = await tracked_order.get_exchange_order_id(
)
except asyncio.TimeoutError:
self.logger().network(
f"Skipped order status update for {tracked_order.client_order_id} "
"- waiting for exchange order id.")
continue
trading_pair = convert_to_exchange_trading_pair(
tracked_order.trading_pair)
tasks.append(
self._api_request(
"GET",
CONSTANTS.ORDER_STATUS_PATH_URL.format(
id=exchange_order_id),
params={'currency_pair': trading_pair},
is_auth_required=True,
limit_id=CONSTANTS.ORDER_STATUS_LIMIT_ID))
self.logger().debug(
f"Polling for order status updates of {len(tasks)} orders.")
responses = await safe_gather(*tasks, return_exceptions=True)
for response, tracked_order in zip(responses, tracked_orders):
client_order_id = tracked_order.client_order_id
if isinstance(response, GateIoAPIError):
if response.error_label == 'ORDER_NOT_FOUND':
self._order_not_found_records[client_order_id] = \
self._order_not_found_records.get(client_order_id, 0) + 1
if self._order_not_found_records[
client_order_id] < self.ORDER_NOT_EXIST_CONFIRMATION_COUNT:
# Wait until the order not found error have repeated a few times before actually treating
# it as failed. See: https://github.com/CoinAlpha/hummingbot/issues/601
continue
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
else:
continue
elif "id" not in response:
self.logger().info(
f"_update_order_status id not in resp: {response}")
continue
else:
self._process_order_message(response)
def simulate_order_failed(market_info: MarketTradingPairTuple,
order: Union[LimitOrder, MarketOrder]):
market_info.market.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(
int(time.time() * 1e3), order.client_order_id if isinstance(
order, LimitOrder) else order.order_id, OrderType.LIMIT
if isinstance(order, LimitOrder) else OrderType.MARKET))
def _trigger_failure_event(self, order: InFlightOrder):
self._connector.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(
timestamp=self.current_timestamp,
order_id=order.client_order_id,
order_type=order.order_type,
),
)
async def update_swap_order(self, update_result: Dict[str, any],
tracked_order: UniswapInFlightOrder):
if update_result.get("confirmed", False):
if update_result["receipt"].get("status", 0) == 1:
order_id = await tracked_order.get_exchange_order_id()
gas_used = update_result["receipt"]["gasUsed"]
gas_price = tracked_order.gas_price
fee = Decimal(str(gas_used)) * Decimal(
str(gas_price)) / Decimal(str(1e9))
self.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.trading_pair,
tracked_order.trade_type,
tracked_order.order_type,
Decimal(str(tracked_order.price)),
Decimal(str(tracked_order.amount)),
AddedToCostTradeFee(flat_fees=[
TokenAmount(tracked_order.fee_asset,
Decimal(str(fee)))
]),
exchange_trade_id=order_id))
tracked_order.last_state = "FILLED"
self.logger().info(
f"The {tracked_order.trade_type.name} order "
f"{tracked_order.client_order_id} has completed "
f"according to order status API.")
event_tag = MarketEvent.BuyOrderCompleted if tracked_order.trade_type is TradeType.BUY \
else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if tracked_order.trade_type is TradeType.BUY \
else SellOrderCompletedEvent
self.trigger_event(
event_tag,
event_class(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.fee_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
float(fee), tracked_order.order_type))
self.stop_tracking_order(tracked_order.client_order_id)
else:
self.logger().info(
f"The {tracked_order.type} order {tracked_order.client_order_id} has failed according to order status API. "
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.order_type))
self.stop_tracking_order(tracked_order.client_order_id)
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
Example Order:
{
"id": 9401,
"market": "rogerbtc",
"kind": "ask",
"side": "sell",
"ord_type": "limit",
"price": "0.00000099",
"avg_price": "0.00000099",
"state": "wait",
"origin_volume": "7000.0",
"remaining_volume": "2810.1",
"executed_volume": "4189.9",
"at": 1596481983,
"created_at": 1596481983,
"updated_at": 1596553643,
"trades_count": 272
}
"""
exchange_order_id = str(order_msg["id"])
tracked_orders = list(self._in_flight_orders.values())
track_order = [o for o in tracked_orders if exchange_order_id == o.exchange_order_id]
if not track_order:
return
tracked_order = track_order[0]
# Estimate fee
order_msg["trade_fee"] = self.estimate_fee_pct(tracked_order.order_type is OrderType.LIMIT_MAKER)
try:
updated = tracked_order.update_with_order_update(order_msg)
except Exception as e:
self.logger().error(f"Error in order update for {tracked_order.exchange_order_id}. Message: {order_msg}\n{e}")
traceback.print_exc()
raise e
if updated:
safe_ensure_future(self._trigger_order_fill(tracked_order, order_msg))
if tracked_order.is_cancelled:
self.logger().info(f"Successfully cancelled order {tracked_order.client_order_id}.")
self.stop_tracking_order(tracked_order.client_order_id)
self.trigger_event(MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, tracked_order.client_order_id))
tracked_order.cancelled_event.set()
elif tracked_order.is_failure:
self.logger().info(f"The market order {tracked_order.client_order_id} has failed according to order status API. ")
self.trigger_event(MarketEvent.OrderFailure,
MarketOrderFailureEvent(
self.current_timestamp, tracked_order.client_order_id, tracked_order.order_type))
tracked_order.last_state = "fail"
self.stop_tracking_order(tracked_order.client_order_id)
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
Example Order:
{
"id": "4345613661",
"clientOrderId": "57d5525562c945448e3cbd559bd068c3",
"symbol": "BCCBTC",
"side": "sell",
"status": "new",
"type": "limit",
"timeInForce": "GTC",
"quantity": "0.013",
"price": "0.100000",
"cumQuantity": "0.000",
"postOnly": false,
"createdAt": "2017-10-20T12:17:12.245Z",
"updatedAt": "2017-10-20T12:17:12.245Z",
"reportType": "status"
}
"""
client_order_id = order_msg["clientOrderId"]
if client_order_id not in self._in_flight_orders:
return
tracked_order = self._in_flight_orders[client_order_id]
# Update order execution status
tracked_order.last_state = order_msg["status"]
# update order
tracked_order.executed_amount_base = Decimal(order_msg["cumQuantity"])
tracked_order.executed_amount_quote = Decimal(
order_msg["price"]) * Decimal(order_msg["cumQuantity"])
if tracked_order.is_cancelled:
self.logger().info(
f"Successfully canceled order {client_order_id}.")
self.stop_tracking_order(client_order_id)
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, client_order_id))
tracked_order.cancelled_event.set()
elif tracked_order.is_failure:
self.logger().info(
f"The market order {client_order_id} has failed according to order status API. "
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
async def _update_order_status(self):
"""
Calls REST API to get status update for each in-flight order.
"""
last_tick = int(self._last_poll_timestamp /
Constants.UPDATE_ORDER_STATUS_INTERVAL)
current_tick = int(self.current_timestamp /
Constants.UPDATE_ORDER_STATUS_INTERVAL)
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
tasks = []
for tracked_order in tracked_orders:
# exchange_order_id = await tracked_order.get_exchange_order_id()
order_id = tracked_order.client_order_id
tasks.append(
self._api_request(
"GET",
Constants.ENDPOINT["ORDER_STATUS"].format(id=order_id),
is_auth_required=True))
self.logger().debug(
f"Polling for order status updates of {len(tasks)} orders.")
responses = await safe_gather(*tasks, return_exceptions=True)
for response, tracked_order in zip(responses, tracked_orders):
client_order_id = tracked_order.client_order_id
if isinstance(response, HitbtcAPIError):
err = response.error_payload.get('error',
response.error_payload)
if err.get('code') == 20002:
self._order_not_found_records[client_order_id] = \
self._order_not_found_records.get(client_order_id, 0) + 1
if self._order_not_found_records[
client_order_id] < self.ORDER_NOT_EXIST_CONFIRMATION_COUNT:
# Wait until the order not found error have repeated a few times before actually treating
# it as failed. See: https://github.com/CoinAlpha/hummingbot/issues/601
continue
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
else:
continue
elif "clientOrderId" not in response:
self.logger().info(
f"_update_order_status clientOrderId not in resp: {response}"
)
continue
else:
self._process_order_message(response)
def stop_tracking_order_exceed_not_found_limit(self, tracked_order: AltmarketsInFlightOrder):
"""
Increments and checks if the tracked order has exceed the ORDER_NOT_EXIST_CONFIRMATION_COUNT limit.
If true, Triggers a MarketOrderFailureEvent and stops tracking the order.
"""
client_order_id = tracked_order.client_order_id
self._order_not_found_records[client_order_id] = self._order_not_found_records.get(client_order_id, 0) + 1
if self._order_not_found_records[client_order_id] >= self.ORDER_NOT_EXIST_CONFIRMATION_COUNT:
# Wait until the order not found error have repeated a few times before actually treating
# it as failed. See: https://github.com/CoinAlpha/hummingbot/issues/601
self.trigger_event(MarketEvent.OrderFailure,
MarketOrderFailureEvent(
self.current_timestamp, client_order_id, tracked_order.order_type))
tracked_order.last_state = "fail"
self.stop_tracking_order(client_order_id)
async def _update_order_status(self):
"""
Calls REST API to get status update for each in-flight order.
"""
last_tick = int(self._last_poll_timestamp /
Constants.UPDATE_ORDER_STATUS_INTERVAL)
current_tick = int(self.current_timestamp /
Constants.UPDATE_ORDER_STATUS_INTERVAL)
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
api_params = {
'symbol': None,
'orderSide': None,
'orderStatuses': ["NEW", "PARTIALLY_FILLED"],
'size': 500,
'bookmarkOrderId': None
}
self.logger().debug(
f"Polling for order status updates of {len(tracked_orders)} orders."
)
open_orders = await self._api_request(
"POST",
Constants.ENDPOINT["ORDER_STATUS"],
api_params,
is_auth_required=True)
open_orders_dict = {o['id']: o for o in open_orders}
found_ex_order_ids = list(open_orders_dict.keys())
for tracked_order in tracked_orders:
client_order_id = tracked_order.client_order_id
ex_order_id = tracked_order.exchange_order_id
if ex_order_id not in found_ex_order_ids:
self._order_not_found_records[client_order_id] = \
self._order_not_found_records.get(client_order_id, 0) + 1
if self._order_not_found_records[
client_order_id] < self.ORDER_NOT_EXIST_CONFIRMATION_COUNT:
# Wait until the order is not found a few times before actually treating it as failed.
continue
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
else:
self._process_order_message(open_orders_dict[ex_order_id])
async def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
"""
for order in self._in_flight_orders.values():
await order.get_exchange_order_id()
exchange_order_id = str(order_msg["order_id"])
tracked_orders = list(self._in_flight_orders.values())
tracked_order = [
order for order in tracked_orders
if exchange_order_id == order.exchange_order_id
]
if not tracked_order:
return
tracked_order = tracked_order[0]
client_order_id = tracked_order.client_order_id
# Update order execution status
if "status" in order_msg: # REST API
tracked_order.last_state = CONSTANTS.ORDER_STATUS[int(
order_msg["status"])]
elif "state" in order_msg: # WebSocket
tracked_order.last_state = CONSTANTS.ORDER_STATUS[int(
order_msg["state"])]
if tracked_order.is_cancelled:
self.logger().info(
f"Successfully cancelled order {client_order_id}.")
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, client_order_id))
tracked_order.cancelled_event.set()
self.stop_tracking_order(client_order_id)
elif tracked_order.is_failure:
self.logger().info(
f"The market order {client_order_id} has failed according to order status API. "
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
def _process_order_message(self, order_msg: Dict[str, Any]):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
"""
ex_order_id = order_msg["orderid"]
client_order_id = None
for tracked_order in self.in_flight_orders.values():
if tracked_order.exchange_order_id == ex_order_id:
client_order_id = tracked_order.client_order_id
break
if client_order_id not in self.in_flight_orders:
return
tracked_order: K2InFlightOrder = self.in_flight_orders[client_order_id]
# Update order execution status
tracked_order.last_state = constants.ORDER_STATUS[order_msg["status"]]
if tracked_order.is_cancelled:
self.logger().info(
f"Successfully cancelled order {client_order_id}.")
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, client_order_id))
tracked_order.cancelled_event.set()
self.stop_tracking_order(client_order_id)
elif tracked_order.is_failure:
self.logger().info(
f"The order {client_order_id} has failed according to order status API. "
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
async def _create_order(self, trade_type: TradeType, order_id: str,
trading_pair: str, amount: Decimal,
price: Decimal):
"""
Calls buy or sell API end point to place an order, starts tracking the order and triggers relevant order events.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param price: The order price
"""
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(trading_pair, price)
base, quote = trading_pair.split("-")
gas_price = get_gas_price()
api_params = {
"base": self._token_addresses[base],
"quote": self._token_addresses[quote],
"amount": str(amount),
"maxPrice": str(price),
"maxSwaps": str(self._max_swaps),
"gasPrice": str(gas_price),
}
self.start_tracking_order(order_id, None, trading_pair, trade_type,
price, amount, gas_price)
try:
order_result = await self._api_request(
"post", f"balancer/{trade_type.name.lower()}", api_params)
hash = order_result.get("txHash")
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(
f"Created {trade_type.name} order {order_id} txHash: {hash} "
f"for {amount} {trading_pair}.")
tracked_order.update_exchange_order_id(hash)
tracked_order.gas_price = gas_price
if hash is not None:
tracked_order.fee_asset = "ETH"
tracked_order.executed_amount_base = amount
tracked_order.executed_amount_quote = amount * price
event_tag = MarketEvent.BuyOrderCreated if trade_type is TradeType.BUY else MarketEvent.SellOrderCreated
event_class = BuyOrderCreatedEvent if trade_type is TradeType.BUY else SellOrderCreatedEvent
self.trigger_event(
event_tag,
event_class(self.current_timestamp, OrderType.LIMIT,
trading_pair, amount, price, order_id, hash))
else:
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
OrderType.LIMIT))
except asyncio.CancelledError:
raise
except Exception as e:
self.stop_tracking_order(order_id)
self.logger().network(
f"Error submitting {trade_type.name} order to Balancer for "
f"{amount} {trading_pair} "
f"{price}.",
exc_info=True,
app_warning_msg=str(e))
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
OrderType.LIMIT))
async def _create_order(self, trade_type: TradeType, order_id: str,
trading_pair: str, amount: Decimal,
order_type: OrderType, price: Decimal):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param order_type: The order type
:param price: The order price
"""
if not order_type.is_limit_type():
raise Exception(f"Unsupported order type: {order_type}")
trading_rule = self._trading_rules[trading_pair]
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(trading_pair, price)
if amount < trading_rule.min_order_size:
raise ValueError(
f"Buy order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}.")
api_params = {
"instrument_name":
crypto_com_utils.convert_to_exchange_trading_pair(trading_pair),
"side":
trade_type.name,
"type":
"LIMIT",
"price":
f"{price:f}",
"quantity":
f"{amount:f}",
"client_oid":
order_id
}
if order_type is OrderType.LIMIT_MAKER:
api_params["exec_inst"] = "POST_ONLY"
self.start_tracking_order(order_id, None, trading_pair, trade_type,
price, amount, order_type)
try:
order_result = await self._api_request("post",
"private/create-order",
api_params, True)
exchange_order_id = str(order_result["result"]["order_id"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(
f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.update_exchange_order_id(exchange_order_id)
event_tag = MarketEvent.BuyOrderCreated if trade_type is TradeType.BUY else MarketEvent.SellOrderCreated
event_class = BuyOrderCreatedEvent if trade_type is TradeType.BUY else SellOrderCreatedEvent
self.trigger_event(
event_tag,
event_class(self.current_timestamp, order_type, trading_pair,
amount, price, order_id))
except asyncio.CancelledError:
raise
except Exception as e:
self.stop_tracking_order(order_id)
self.logger().network(
f"Error submitting {trade_type.name} {order_type.name} order to Crypto.com for "
f"{amount} {trading_pair} "
f"{price}.",
exc_info=True,
app_warning_msg=str(e))
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
async def _create_order(self,
trade_type: TradeType,
order_id: str,
trading_pair: str,
amount: Decimal,
price: Decimal = s_decimal_0,
order_type: OrderType = OrderType.MARKET):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param price: The order price
:param order_type: The order type
"""
trading_rule: TradingRule = self._trading_rules[trading_pair]
trading_pair_ids: Dict[
str,
int] = await self._order_book_tracker.data_source.get_instrument_ids(
)
try:
amount: Decimal = self.quantize_order_amount(trading_pair, amount)
if amount < trading_rule.min_order_size:
raise ValueError(
f"{trade_type.name} order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}.")
params = {
"InstrumentId": trading_pair_ids[trading_pair],
"OMSId": 1,
"AccountId": await self.initialized_account_id(),
"ClientOrderId": int(order_id),
"Side": 0 if trade_type == TradeType.BUY else 1,
"Quantity": amount,
"TimeInForce": 1, # GTC
}
if order_type.is_limit_type():
price: Decimal = self.quantize_order_price(trading_pair, price)
params.update({
"OrderType": 2, # Limit
"LimitPrice": price,
})
else:
params.update({
"OrderType": 1 # Market
})
self.start_tracking_order(order_id, None, trading_pair, trade_type,
price, amount, order_type)
send_order_results = await self._api_request(
method="POST",
path_url=CONSTANTS.SEND_ORDER_PATH_URL,
data=params,
is_auth_required=True)
if send_order_results["status"] == "Rejected":
raise ValueError(
f"Order is rejected by the API. "
f"Parameters: {params} Error Msg: {send_order_results['errormsg']}"
)
exchange_order_id = str(send_order_results["OrderId"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(
f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.update_exchange_order_id(exchange_order_id)
except asyncio.CancelledError:
raise
except Exception as e:
self.stop_tracking_order(order_id)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
self.logger().network(
f"Error submitting {trade_type.name} {order_type.name} order to NDAX for "
f"{amount} {trading_pair} {price}. Error: {str(e)}",
exc_info=True,
app_warning_msg="Error submitting order to NDAX. ")
async def _create_order(self, trade_type: TradeType, order_id: str,
trading_pair: str, amount: Decimal,
order_type: OrderType, price: Decimal):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (aka client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param order_type: The order type
:param price: The order price
"""
if not order_type.is_limit_type():
raise Exception(f"Unsupported order type: {order_type}")
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(trading_pair, price)
if amount <= s_decimal_0:
raise ValueError("Order amount must be greater than zero.")
try:
timestamp = ascend_ex_utils.get_ms_timestamp()
api_params = {
"id":
order_id,
"time":
timestamp,
"symbol":
ascend_ex_utils.convert_to_exchange_trading_pair(trading_pair),
"orderPrice":
f"{price:f}",
"orderQty":
f"{amount:f}",
"orderType":
"limit",
"side":
"buy" if trade_type == TradeType.BUY else "sell",
"respInst":
"ACCEPT",
}
self.start_tracking_order(order_id, None, trading_pair, trade_type,
price, amount, order_type)
resp = await self._api_request(method="post",
path_url=CONSTANTS.ORDER_PATH_URL,
data=api_params,
is_auth_required=True,
force_auth_path_url="order")
exchange_order_id = str(resp["data"]["info"]["orderId"])
tracked_order: AscendExInFlightOrder = self._in_flight_orders.get(
order_id)
tracked_order.update_exchange_order_id(exchange_order_id)
if resp["data"]["status"] == "Ack":
# Ack status means the server has received the request
return
tracked_order.update_status(resp["data"]["info"]["status"])
if tracked_order.is_failure:
raise Exception(
f'Failed to create an order, reason: {resp["data"]["info"]["errorCode"]}'
)
self.logger().info(
f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
self.trigger_order_created_event(tracked_order)
except asyncio.CancelledError:
raise
except Exception:
self.stop_tracking_order(order_id)
msg = f"Error submitting {trade_type.name} {order_type.name} order to AscendEx for " \
f"{amount} {trading_pair} " \
f"{price}."
self.logger().network(msg, exc_info=True, app_warning_msg=msg)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
async def _create_order(self, trade_type: TradeType, order_id: str,
trading_pair: str, amount: Decimal,
order_type: OrderType, price: Decimal):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param order_type: The order type
:param price: The order price
"""
trading_rule = self._trading_rules[trading_pair]
try:
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(
trading_pair, s_decimal_0 if math.isnan(price) else price)
if amount < trading_rule.min_order_size:
raise ValueError(
f"Buy order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}.")
order_type_str = order_type.name.lower().split("_")[0]
api_params = {
"market": convert_to_exchange_trading_pair(trading_pair),
"side": trade_type.name.lower(),
"ord_type": order_type_str,
# "price": f"{price:f}",
"client_id": order_id,
"volume": f"{amount:f}",
}
if order_type is not OrderType.MARKET:
api_params['price'] = f"{price:f}"
# if order_type is OrderType.LIMIT_MAKER:
# api_params["postOnly"] = "true"
self.start_tracking_order(order_id, None, trading_pair, trade_type,
price, amount, order_type)
order_result = await self._api_request(
"POST",
Constants.ENDPOINT["ORDER_CREATE"],
params=api_params,
is_auth_required=True,
limit_id=Constants.RL_ID_ORDER_CREATE,
disable_retries=True)
exchange_order_id = str(order_result["id"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(
f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.update_exchange_order_id(exchange_order_id)
else:
raise Exception('Order not tracked.')
if trade_type is TradeType.BUY:
event_tag = MarketEvent.BuyOrderCreated
event_cls = BuyOrderCreatedEvent
else:
event_tag = MarketEvent.SellOrderCreated
event_cls = SellOrderCreatedEvent
self.trigger_event(
event_tag,
event_cls(self.current_timestamp, order_type, trading_pair,
amount, price, order_id, exchange_order_id))
except asyncio.CancelledError:
raise
except Exception as e:
if isinstance(e, AltmarketsAPIError):
error_reason = e.error_payload.get('error', {}).get(
'message', e.error_payload.get('errors'))
else:
error_reason = e
if error_reason and "upstream connect error" not in str(
error_reason):
self.stop_tracking_order(order_id)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
else:
self._order_not_created_records[order_id] = 0
self.logger().network(
f"Error submitting {trade_type.name} {order_type.name} order to {Constants.EXCHANGE_NAME} for "
f"{amount} {trading_pair} {price} - {error_reason}.",
exc_info=True,
app_warning_msg=
(f"Error submitting order to {Constants.EXCHANGE_NAME} - {error_reason}."
))
async def execute_sell(self,
order_id: str,
trading_pair: str,
amount: Decimal,
order_type: OrderType,
price: Optional[Decimal] = s_decimal_0):
trading_rule = self._trading_rules[trading_pair]
if not order_type.is_limit_type():
self.trigger_event(
self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
raise Exception(f"Unsupported order type: {order_type}")
decimal_price = self.quantize_order_price(trading_pair, price)
decimal_amount = self.quantize_order_amount(trading_pair, amount,
decimal_price)
if decimal_price * decimal_amount < trading_rule.min_notional_size:
self.trigger_event(
self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
raise ValueError(
f"Sell order amount {decimal_amount} is lower than the notional size "
)
try:
exchange_order_id = await self.place_order(order_id, trading_pair,
decimal_amount, False,
order_type,
decimal_price)
self.start_tracking_order(order_id=order_id,
exchange_order_id=exchange_order_id,
trading_pair=trading_pair,
order_type=order_type,
trade_type=TradeType.SELL,
price=decimal_price,
amount=decimal_amount)
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(
f"Created {order_type.name.upper()} sell order {order_id} for {decimal_amount} {trading_pair}."
)
self.trigger_event(
self.MARKET_SELL_ORDER_CREATED_EVENT_TAG,
SellOrderCreatedEvent(self.current_timestamp, order_type,
trading_pair, decimal_amount,
decimal_price, order_id))
except asyncio.CancelledError:
raise
except Exception as ex:
self.stop_tracking_order(order_id)
order_type_str = order_type.name.lower()
self.logger().network(
f"Error submitting sell {order_type_str} order to Mexc for "
f"{decimal_amount} {trading_pair} "
f"{decimal_price if order_type is OrderType.LIMIT else ''}."
f"{decimal_price}." + ",ex:" + repr(ex),
exc_info=True,
app_warning_msg=
"Failed to submit sell order to Mexc. Check API key and network connection."
)
self.trigger_event(
self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(self.current_timestamp, order_id,
order_type))
async def _update_order_status(self):
last_tick = int(self._last_poll_timestamp /
self.UPDATE_ORDERS_INTERVAL)
current_tick = int(self.current_timestamp /
self.UPDATE_ORDERS_INTERVAL)
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
for tracked_order in tracked_orders:
try:
exchange_order_id = await tracked_order.get_exchange_order_id(
)
try:
order_update = await self.get_order_status(
exchange_order_id, tracked_order.trading_pair)
except MexcAPIError as ex:
err_code = ex.error_payload.get("error").get(
'err-code')
self.stop_tracking_order(tracked_order.client_order_id)
self.logger().info(
f"The limit order {tracked_order.client_order_id} "
f"has failed according to order status API. - {err_code}"
)
self.trigger_event(
self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.order_type))
continue
if order_update is None:
self.logger().network(
f"Error fetching status update for the order {tracked_order.client_order_id}: "
f"{exchange_order_id}.",
app_warning_msg=
f"Could not fetch updates for the order {tracked_order.client_order_id}. "
f"The order has either been filled or canceled.")
continue
tracked_order.last_state = order_update['state']
order_status = order_update['state']
new_confirmed_amount = Decimal(
order_update['deal_quantity'])
execute_amount_diff = new_confirmed_amount - tracked_order.executed_amount_base
if execute_amount_diff > s_decimal_0:
execute_price = Decimal(
Decimal(order_update['deal_amount']) /
Decimal(order_update['deal_quantity']))
tracked_order.executed_amount_base = Decimal(
order_update['deal_quantity'])
tracked_order.executed_amount_quote = Decimal(
order_update['deal_amount'])
order_filled_event = OrderFilledEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.trading_pair,
tracked_order.trade_type,
tracked_order.order_type,
execute_price,
execute_amount_diff,
self.get_fee(
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.order_type,
tracked_order.trade_type,
execute_amount_diff,
execute_price,
),
exchange_trade_id=exchange_order_id)
self.logger().info(
f"Filled {execute_amount_diff} out of {tracked_order.amount} of the "
f"order {tracked_order.client_order_id}.")
self.trigger_event(self.MARKET_ORDER_FILLED_EVENT_TAG,
order_filled_event)
if order_status == "FILLED":
fee_paid, fee_currency = await self.get_deal_detail_fee(
tracked_order.exchange_order_id)
tracked_order.fee_paid = fee_paid
tracked_order.fee_asset = fee_currency
tracked_order.last_state = order_status
self.stop_tracking_order(tracked_order.client_order_id)
if tracked_order.trade_type is TradeType.BUY:
self.logger().info(
f"The BUY {tracked_order.order_type} order {tracked_order.client_order_id} has completed "
f"according to order delta restful API.")
self.trigger_event(
self.MARKET_BUY_ORDER_COMPLETED_EVENT_TAG,
BuyOrderCompletedEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.fee_asset
or tracked_order.quote_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
tracked_order.fee_paid,
tracked_order.order_type))
elif tracked_order.trade_type is TradeType.SELL:
self.logger().info(
f"The SELL {tracked_order.order_type} order {tracked_order.client_order_id} has completed "
f"according to order delta restful API.")
self.trigger_event(
self.MARKET_SELL_ORDER_COMPLETED_EVENT_TAG,
SellOrderCompletedEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.fee_asset
or tracked_order.quote_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
tracked_order.fee_paid,
tracked_order.order_type))
continue
if order_status == "CANCELED" or order_status == "PARTIALLY_CANCELED":
tracked_order.last_state = order_status
self.stop_tracking_order(tracked_order.client_order_id)
self.logger().info(
f"Order {tracked_order.client_order_id} has been cancelled "
f"according to order delta restful API.")
self.trigger_event(
self.MARKET_ORDER_CANCELLED_EVENT_TAG,
OrderCancelledEvent(self.current_timestamp,
tracked_order.client_order_id))
except Exception as ex:
self.logger().error("_update_order_status error ..." +
repr(ex),
exc_info=True)
async def _create_order(self,
trade_type: TradeType,
order_id: str,
trading_pair: str,
amount: Decimal,
order_type: OrderType,
price: Decimal):
"""
Calls create-order API end point to place an order, starts tracking the order and triggers order created event.
:param trade_type: BUY or SELL
:param order_id: Internal order id (also called client_order_id)
:param trading_pair: The market to place order
:param amount: The order amount (in base token value)
:param order_type: The order type
:param price: The order price
"""
if not order_type.is_limit_type():
raise Exception(f"Unsupported order type: {order_type}")
trading_rule = self._trading_rules[trading_pair]
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(trading_pair, price)
if amount < trading_rule.min_order_size:
raise ValueError(f"Buy order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}.")
order_type_str = order_type.name.lower().split("_")[0]
api_params = {"symbol": convert_to_exchange_trading_pair(trading_pair),
"side": trade_type.name.lower(),
"type": order_type_str,
"price": f"{price:f}",
"quantity": f"{amount:f}",
"clientOrderId": order_id,
# Without strict validate, HitBTC might adjust order prices/sizes.
"strictValidate": "true",
}
if order_type is OrderType.LIMIT_MAKER:
api_params["postOnly"] = "true"
self.start_tracking_order(order_id, None, trading_pair, trade_type, price, amount, order_type)
try:
order_result = await self._api_request("POST", Constants.ENDPOINT["ORDER_CREATE"], api_params, True)
exchange_order_id = str(order_result["id"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(f"Created {order_type.name} {trade_type.name} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.update_exchange_order_id(exchange_order_id)
if trade_type is TradeType.BUY:
event_tag = MarketEvent.BuyOrderCreated
event_cls = BuyOrderCreatedEvent
else:
event_tag = MarketEvent.SellOrderCreated
event_cls = SellOrderCreatedEvent
self.trigger_event(event_tag,
event_cls(self.current_timestamp, order_type, trading_pair, amount, price, order_id))
except asyncio.CancelledError:
raise
except HitbtcAPIError as e:
error_reason = e.error_payload.get('error', {}).get('message')
self.stop_tracking_order(order_id)
self.logger().network(
f"Error submitting {trade_type.name} {order_type.name} order to {Constants.EXCHANGE_NAME} for "
f"{amount} {trading_pair} {price} - {error_reason}.",
exc_info=True,
app_warning_msg=(f"Error submitting order to {Constants.EXCHANGE_NAME} - {error_reason}.")
)
self.trigger_event(MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp, order_id, order_type))
async def _update_order_status(self):
"""
Calls REST API to get status update for each in-flight order.
"""
if len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
tasks = []
for tracked_order in tracked_orders:
order_id = await tracked_order.get_exchange_order_id()
tasks.append(
self._api_request("post", "eth/get-receipt",
{"txHash": order_id}))
update_results = await safe_gather(*tasks, return_exceptions=True)
for update_result in update_results:
self.logger().info(
f"Polling for order status updates of {len(tasks)} orders."
)
if isinstance(update_result, Exception):
raise update_result
if "txHash" not in update_result:
self.logger().info(
f"_update_order_status txHash not in resp: {update_result}"
)
continue
if update_result["confirmed"] is True:
if update_result["receipt"]["status"] == 1:
gas_used = update_result["receipt"]["gasUsed"]
gas_price = tracked_order.gas_price
fee = Decimal(str(gas_used)) * Decimal(
str(gas_price)) / Decimal(str(1e9))
self.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.trading_pair,
tracked_order.trade_type,
tracked_order.order_type,
Decimal(str(tracked_order.price)),
Decimal(str(tracked_order.amount)),
TradeFee(0.0, [(tracked_order.fee_asset,
Decimal(str(fee)))]),
exchange_trade_id=order_id))
tracked_order.last_state = "FILLED"
self.logger().info(
f"The {tracked_order.trade_type.name} order "
f"{tracked_order.client_order_id} has completed "
f"according to order status API.")
event_tag = MarketEvent.BuyOrderCompleted if tracked_order.trade_type is TradeType.BUY \
else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if tracked_order.trade_type is TradeType.BUY \
else SellOrderCompletedEvent
self.trigger_event(
event_tag,
event_class(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
tracked_order.fee_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
float(fee), tracked_order.order_type))
self.stop_tracking_order(tracked_order.client_order_id)
else:
self.logger().info(
f"The market order {tracked_order.client_order_id} has failed according to order status API. "
)
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(
self.current_timestamp,
tracked_order.client_order_id,
tracked_order.order_type))
self.stop_tracking_order(tracked_order.client_order_id)
async def _update_order_status(self):
last_tick = self._last_poll_timestamp / self.UPDATE_ORDER_STATUS_MIN_INTERVAL
current_tick = self.current_timestamp / self.UPDATE_ORDER_STATUS_MIN_INTERVAL
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders = list(self._in_flight_orders.values())
tasks = [self.request(path="/fapi/v1/order",
params={
"symbol": convert_to_exchange_trading_pair(order.trading_pair),
"origClientOrderId": order.client_order_id
},
method=MethodType.GET,
add_timestamp=True,
is_signed=True,
return_err=True)
for order in tracked_orders]
self.logger().debug(f"Polling for order status updates of {len(tasks)} orders.")
results = await safe_gather(*tasks, return_exceptions=True)
for order_update, tracked_order in zip(results, tracked_orders):
client_order_id = tracked_order.client_order_id
if client_order_id not in self._in_flight_orders:
continue
if isinstance(order_update, Exception):
# NO_SUCH_ORDER code
if order_update["code"] == -2013 or order_update["msg"] == "Order does not exist.":
self._order_not_found_records[client_order_id] = \
self._order_not_found_records.get(client_order_id, 0) + 1
if self._order_not_found_records[client_order_id] < self.ORDER_NOT_EXIST_CONFIRMATION_COUNT:
continue
self.trigger_event(
self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(self.current_timestamp, client_order_id, tracked_order.order_type)
)
self.stop_tracking_order(client_order_id)
else:
self.logger().network(f"Error fetching status update for the order {client_order_id}: "
f"{order_update}.")
continue
tracked_order.last_state = order_update.get("status")
order_type = OrderType.LIMIT if order_update.get("type") == "LIMIT" else OrderType.MARKET
executed_amount_base = Decimal(order_update.get("executedQty", "0"))
executed_amount_quote = Decimal(order_update.get("cumQuote", "0"))
if tracked_order.is_done:
if not tracked_order.is_failure:
event_tag = None
event_class = None
if tracked_order.trade_type is TradeType.BUY:
event_tag = self.MARKET_BUY_ORDER_COMPLETED_EVENT_TAG
event_class = BuyOrderCompletedEvent
else:
event_tag = self.MARKET_SELL_ORDER_COMPLETED_EVENT_TAG
event_class = SellOrderCompletedEvent
self.logger().info(f"The {order_type.name.lower()} {tracked_order.trade_type.name.lower()} order {client_order_id} has "
f"completed according to order status API.")
self.trigger_event(event_tag,
event_class(self.current_timestamp,
client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
(tracked_order.fee_asset or tracked_order.base_asset),
executed_amount_base,
executed_amount_quote,
tracked_order.fee_paid,
order_type))
else:
if tracked_order.is_cancelled:
self.logger().info(f"Successfully cancelled order {client_order_id} according to order status API.")
self.trigger_event(self.MARKET_ORDER_CANCELLED_EVENT_TAG,
OrderCancelledEvent(self.current_timestamp,
client_order_id))
else:
self.logger().info(f"The {order_type.name.lower()} order {client_order_id} has failed according to "
f"order status API.")
self.trigger_event(self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
order_type))
self.stop_tracking_order(client_order_id)
async def _user_stream_event_listener(self):
async for event_message in self._iter_user_event_queue():
try:
event_type = event_message.get("e")
if event_type == "ORDER_TRADE_UPDATE":
order_message = event_message.get("o")
client_order_id = order_message.get("c")
# If the order has already been cancelled
if client_order_id not in self._in_flight_orders:
continue
tracked_order = self._in_flight_orders.get(client_order_id)
tracked_order.update_with_execution_report(event_message)
# Execution Type: Trade => Filled
trade_type = TradeType.BUY if order_message.get("S") == "BUY" else TradeType.SELL
if order_message.get("X") in ["PARTIALLY_FILLED", "FILLED"]:
order_filled_event = OrderFilledEvent(
timestamp=event_message.get("E") * 1e-3,
order_id=client_order_id,
trading_pair=convert_from_exchange_trading_pair(order_message.get("s")),
trade_type=trade_type,
order_type=OrderType.LIMIT if order_message.get("o") == "LIMIT" else OrderType.MARKET,
price=Decimal(order_message.get("L")),
amount=Decimal(order_message.get("l")),
trade_fee=self.get_fee(
base_currency=tracked_order.base_asset,
quote_currency=tracked_order.quote_asset,
order_type=tracked_order.order_type,
order_side=trade_type,
amount=Decimal(order_message.get("q")),
price=Decimal(order_message.get("p"))
),
exchange_trade_id=order_message.get("t")
)
self.trigger_event(self.MARKET_ORDER_FILLED_EVENT_TAG, order_filled_event)
if tracked_order.is_done:
if not tracked_order.is_failure:
event_tag = None
event_class = None
if trade_type is TradeType.BUY:
event_tag = self.MARKET_BUY_ORDER_COMPLETED_EVENT_TAG
event_class = BuyOrderCompletedEvent
else:
event_tag = self.MARKET_SELL_ORDER_COMPLETED_EVENT_TAG
event_class = SellOrderCompletedEvent
self.logger().info(f"The {tracked_order.order_type.name.lower()} {trade_type} order {client_order_id} has completed "
f"according to websocket delta.")
self.trigger_event(event_tag,
event_class(self.current_timestamp,
client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset,
(tracked_order.fee_asset or tracked_order.quote_asset),
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
tracked_order.fee_paid,
tracked_order.order_type))
else:
if tracked_order.is_cancelled:
if tracked_order.client_order_id in self._in_flight_orders:
self.logger().info(f"Successfully cancelled order {tracked_order.client_order_id} according to websocket delta.")
self.trigger_event(self.MARKET_ORDER_CANCELLED_EVENT_TAG,
OrderCancelledEvent(self.current_timestamp,
tracked_order.client_order_id))
else:
self.logger().info(f"The {tracked_order.order_type.name.lower()} order {tracked_order.client_order_id} has failed "
f"according to websocket delta.")
self.trigger_event(self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(self.current_timestamp,
tracked_order.client_order_id,
tracked_order.order_type))
self.stop_tracking_order(tracked_order.client_order_id)
elif event_type == "ACCOUNT_UPDATE":
update_data = event_message.get("a", {})
# update balances
for asset in update_data.get("B", []):
asset_name = asset["a"]
self._account_balances[asset_name] = Decimal(asset["wb"])
self._account_available_balances[asset_name] = Decimal(asset["cw"])
# update position
for asset in update_data.get("P", []):
position = self._account_positions.get(f"{asset['s']}{asset['ps']}", None)
if position is not None:
position.update_position(position_side=PositionSide[asset["ps"]],
unrealized_pnl = Decimal(asset["up"]),
entry_price = Decimal(asset["ep"]),
amount = Decimal(asset["pa"]))
else:
await self._update_positions()
elif event_type == "MARGIN_CALL":
positions = event_message.get("p", [])
total_maint_margin_required = 0
# total_pnl = 0
negative_pnls_msg = ""
for position in positions:
existing_position = self._account_positions.get(f"{asset['s']}{asset['ps']}", None)
if existing_position is not None:
existing_position.update_position(position_side=PositionSide[asset["ps"]],
unrealized_pnl = Decimal(asset["up"]),
amount = Decimal(asset["pa"]))
total_maint_margin_required += position.get("mm", 0)
if position.get("up", 0) < 1:
negative_pnls_msg += f"{position.get('s')}: {position.get('up')}, "
self.logger().warning("Margin Call: Your position risk is too high, and you are at risk of "
"liquidation. Close your positions or add additional margin to your wallet.")
self.logger().info(f"Margin Required: {total_maint_margin_required}. Total Unrealized PnL: "
f"{negative_pnls_msg}. Negative PnL assets: {negative_pnls_msg}.")
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().error(f"Unexpected error in user stream listener loop: {e}", exc_info=True)
await asyncio.sleep(5.0)
async def create_order(self,
trade_type: TradeType,
order_id: str,
trading_pair: str,
amount: Decimal,
order_type: OrderType,
position_action: PositionAction,
price: Optional[Decimal] = Decimal("NaN")):
trading_rule: TradingRule = self._trading_rules[trading_pair]
if position_action not in [PositionAction.OPEN, PositionAction.CLOSE]:
raise ValueError("Specify either OPEN_POSITION or CLOSE_POSITION position_action.")
amount = self.quantize_order_amount(trading_pair, amount)
price = self.quantize_order_price(trading_pair, price)
if amount < trading_rule.min_order_size:
raise ValueError(f"Buy order amount {amount} is lower than the minimum order size "
f"{trading_rule.min_order_size}")
order_result = None
api_params = {"symbol": convert_to_exchange_trading_pair(trading_pair),
"side": "BUY" if trade_type is TradeType.BUY else "SELL",
"type": "LIMIT" if order_type is OrderType.LIMIT else "MARKET",
"quantity": f"{amount}",
"newClientOrderId": order_id
}
if order_type == OrderType.LIMIT:
api_params["price"] = f"{price}"
api_params["timeInForce"] = "GTC"
if self._position_mode == PositionMode.HEDGE:
if position_action == PositionAction.OPEN:
api_params["positionSide"] = "LONG" if trade_type is TradeType.BUY else "SHORT"
else:
api_params["positionSide"] = "SHORT" if trade_type is TradeType.BUY else "LONG"
self.start_tracking_order(order_id, "", trading_pair, trade_type, price, amount, order_type)
try:
order_result = await self.request(path="/fapi/v1/order",
params=api_params,
method=MethodType.POST,
add_timestamp = True,
is_signed=True)
exchange_order_id = str(order_result["orderId"])
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is not None:
self.logger().info(f"Created {order_type.name.lower()} {trade_type.name.lower()} order {order_id} for "
f"{amount} {trading_pair}.")
tracked_order.exchange_order_id = exchange_order_id
event_tag = self.MARKET_BUY_ORDER_CREATED_EVENT_TAG if trade_type is TradeType.BUY \
else self.MARKET_SELL_ORDER_CREATED_EVENT_TAG
event_class = BuyOrderCreatedEvent if trade_type is TradeType.BUY else SellOrderCreatedEvent
self.trigger_event(event_tag,
event_class(self.current_timestamp,
order_type,
trading_pair,
amount,
price,
order_id))
return order_result
except asyncio.CancelledError:
raise
except Exception as e:
self.stop_tracking_order(order_id)
self.logger().network(
f"Error submitting order to Binance Perpetuals for {amount} {trading_pair} "
f"{'' if order_type is OrderType.MARKET else price}.",
exc_info=True,
app_warning_msg=str(e)
)
self.trigger_event(self.MARKET_ORDER_FAILURE_EVENT_TAG,
MarketOrderFailureEvent(self.current_timestamp, order_id, order_type))
def _process_order_message(self, order_msg: AscendExOrder):
"""
Updates in-flight order and triggers cancellation or failure event if needed.
:param order_msg: The order response from either REST or web socket API (they are of the same format)
"""
exchange_order_id = order_msg.orderId
client_order_id = None
for in_flight_order in self._in_flight_orders.values():
if in_flight_order.exchange_order_id == exchange_order_id:
client_order_id = in_flight_order.client_order_id
if client_order_id is None:
return
tracked_order: AscendExInFlightOrder = self._in_flight_orders[
client_order_id]
# This could happen for Ack request type when placing new order, we don't know if the order is open until
# we get order status update
if tracked_order.is_locally_new and AscendExInFlightOrder.is_open_status(
order_msg.status):
self.trigger_order_created_event(tracked_order)
tracked_order.update_status(order_msg.status)
if tracked_order.executed_amount_base != Decimal(
order_msg.cumFilledQty):
# Update the relevant order information when there is fill event
new_filled_amount = Decimal(
order_msg.cumFilledQty) - tracked_order.executed_amount_base
new_fee_paid = Decimal(order_msg.cumFee) - tracked_order.fee_paid
tracked_order.executed_amount_base = Decimal(
order_msg.cumFilledQty)
tracked_order.executed_amount_quote = Decimal(
order_msg.avgPx) * tracked_order.executed_amount_base
tracked_order.fee_paid = Decimal(order_msg.cumFee)
tracked_order.fee_asset = order_msg.feeAsset
self.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(
self.current_timestamp, client_order_id,
tracked_order.trading_pair,
tracked_order.trade_type, tracked_order.order_type,
Decimal(order_msg.avgPx), new_filled_amount,
TradeFee(0.0, [(tracked_order.fee_asset, new_fee_paid)]),
exchange_order_id))
if tracked_order.is_cancelled:
self.logger().info(
f"Successfully cancelled order {client_order_id}.")
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp, client_order_id,
exchange_order_id))
tracked_order.cancelled_event.set()
self.stop_tracking_order(client_order_id)
elif tracked_order.is_failure:
self.logger().info(
f"Order {client_order_id} has failed according to order status API. "
f"API order response: {order_msg}")
self.trigger_event(
MarketEvent.OrderFailure,
MarketOrderFailureEvent(self.current_timestamp,
client_order_id,
tracked_order.order_type))
self.stop_tracking_order(client_order_id)
elif tracked_order.is_filled:
event_tag = MarketEvent.BuyOrderCompleted if tracked_order.trade_type is TradeType.BUY else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if tracked_order.trade_type is TradeType.BUY else SellOrderCompletedEvent
self.trigger_event(
event_tag,
event_class(self.current_timestamp, client_order_id,
tracked_order.base_asset,
tracked_order.quote_asset, tracked_order.fee_asset,
tracked_order.executed_amount_base,
tracked_order.executed_amount_quote,
tracked_order.fee_paid, tracked_order.order_type,
exchange_order_id))
self.stop_tracking_order(client_order_id)
