async def _balances(self, msg: str, ts: float):
'''
{
"jsonrpc": "2.0",
"method": "balance",
"params": [
{
"currency": "BTC",
"available": "0.00005821",
"reserved": "0"
},
{
"currency": "DOGE",
"available": "11",
"reserved": "0"
}
]
}
'''
for entry in msg['params']:
b = Balance(self.id,
entry['currency'],
Decimal(entry['available']),
Decimal(entry['reserved']),
raw=entry)
await self.callback(BALANCES, b, ts)
async def balances(self) -> List[Balance]:
data = await self._request('GET', "/accounts", auth=True)
# def __init__(self, exchange, currency, balance, reserved, raw=None):
return [
Balance(self.id,
entry['currency'],
Decimal(entry['balance']),
Decimal(entry['balance']) - Decimal(entry['available']),
raw=entry) for entry in data
]
async def _account(self, msg: dict, symbol: str, timestamp: float):
'''
spot
{
'action': 'snapshot',
'arg': {
'instType': 'spbl',
'channel': 'account',
'instId': 'BTCUSDT_SPBL'
},
'data': []
}
futures
{
'action': 'snapshot',
'arg': {
'instType': 'dmcbl',
'channel': 'account',
'instId': 'BTCUSD_DMCBL'
},
'data': [{
'marginCoin': 'BTC',
'locked': '0.00000000',
'available': '0.00000000',
'maxOpenPosAvailable': '0.00000000',
'maxTransferOut': '0.00000000',
'equity': '0.00000000',
'usdtEquity': '0.000000000000'
},
{
'marginCoin': 'ETH',
'locked': '0.00000000',
'available': '0.00000000',
'maxOpenPosAvailable': '0.00000000',
'maxTransferOut': '0.00000000',
'equity': '0.00000000',
'usdtEquity': '0.000000000000'
}]
}
'''
for entry in msg['data']:
b = Balance(self.id,
symbol,
Decimal(entry['available']),
Decimal(entry['locked']),
raw=entry)
await self.callback(BALANCES, b, timestamp)
async def _account_update(self, msg: dict, timestamp: float):
"""
{
"e": "outboundAccountPosition", //Event type
"E": 1564034571105, //Event Time
"u": 1564034571073, //Time of last account update
"B": [ //Balances Array
{
"a": "ETH", //Asset
"f": "10000.000000", //Free
"l": "0.000000" //Locked
}
]
}
"""
for balance in msg['B']:
b = Balance(self.id,
balance['a'],
Decimal(balance['f']),
Decimal(balance['l']),
raw=msg)
await self.callback(BALANCES, b, timestamp)
async def _account_update(self, msg: dict, timestamp: float):
"""
{
"e": "ACCOUNT_UPDATE", // Event Type
"E": 1564745798939, // Event Time
"T": 1564745798938 , // Transaction
"i": "SfsR", // Account Alias
"a": // Update Data
{
"m":"ORDER", // Event reason type
"B":[ // Balances
{
"a":"BTC", // Asset
"wb":"122624.12345678", // Wallet Balance
"cw":"100.12345678" // Cross Wallet Balance
},
{
"a":"ETH",
"wb":"1.00000000",
"cw":"0.00000000"
}
],
"P":[
{
"s":"BTCUSD_200925", // Symbol
"pa":"0", // Position Amount
"ep":"0.0", // Entry Price
"cr":"200", // (Pre-fee) Accumulated Realized
"up":"0", // Unrealized PnL
"mt":"isolated", // Margin Type
"iw":"0.00000000", // Isolated Wallet (if isolated position)
"ps":"BOTH" // Position Side
},
{
"s":"BTCUSD_200925",
"pa":"20",
"ep":"6563.6",
"cr":"0",
"up":"2850.21200000",
"mt":"isolated",
"iw":"13200.70726908",
"ps":"LONG"
},
{
"s":"BTCUSD_200925",
"pa":"-10",
"ep":"6563.8",
"cr":"-45.04000000",
"up":"-1423.15600000",
"mt":"isolated",
"iw":"6570.42511771",
"ps":"SHORT"
}
]
}
}
"""
for balance in msg['a']['B']:
b = Balance(self.id,
balance['a'],
Decimal(balance['wb']),
None,
raw=msg)
await self.callback(BALANCES, b, timestamp)
for position in msg['a']['P']:
p = Position(self.id,
self.exchange_symbol_to_std_symbol(position['s']),
Decimal(position['pa']),
Decimal(position['ep']),
position['ps'].lower(),
Decimal(position['up']),
self.timestamp_normalize(msg['E']),
raw=msg)
await self.callback(POSITIONS, p, timestamp)
async def _balances(self, msg: dict, timestamp: float):
'''
Futures/Options
{
"channel":"account",
"timestamp":1589031930115,
"data":{
"user_id":"53345",
"currency":"BTC",
"cash_balance":"9999.94981346",
"available_balance":"9999.90496213",
"margin_balance":"9999.94981421",
"initial_margin":"0.04485208",
"maintenance_margin":"0.00000114",
"equity":"10000.00074364",
"pnl":"0.00746583",
"total_delta":"0.06207078",
"account_id":"8",
"mode":"regular",
"session_upl":"0.00081244",
"session_rpl":"0.00000021",
"option_value":"0.05092943",
"option_pnl":"0.00737943",
"option_session_rpl":"0.00000000",
"option_session_upl":"0.00081190",
"option_delta":"0.11279249",
"option_gamma":"0.00002905",
"option_vega":"4.30272923",
"option_theta":"-3.08908220",
"future_pnl":"0.00008640",
"future_session_rpl":"0.00000021",
"future_session_upl":"0.00000054",
"future_session_funding":"0.00000021",
"future_delta":"0.00955630",
"created_at":1588997840512,
"projected_info": {
"projected_initial_margin": "0.97919888",
"projected_maintenance_margin": "0.78335911",
"projected_total_delta": "3.89635553"
}
}
}
Spot
{
'channel': 'account',
'timestamp': 1641516119102,
'data': {
'user_id': '979394',
'balances': [
{
'currency': 'BTC',
'available': '31.02527500',
'frozen': '0.00000000'
},
{
'currency': 'ETH',
'available': '110.00000000',
'frozen': '0.00000000'
}
]
}
}
'''
if 'balances' in msg['data']:
# Spot
for balance in msg['data']['balances']:
b = Balance(self.id,
balance['currency'],
Decimal(balance['available']),
Decimal(balance['frozen']),
raw=msg)
await self.callback(BALANCES, b, timestamp)
else:
b = Balance(self.id,
msg['data']['currency'],
Decimal(msg['data']['cash_balance']),
Decimal(msg['data']['cash_balance']) -
Decimal(msg['data']['available_balance']),
raw=msg)
await self.callback(BALANCES, b, timestamp)
async def _user_channels(self, conn: AsyncConnection, msg: dict,
timestamp: float, subchan: str):
order_status = {
"open": OPEN,
"filled": FILLED,
"rejected": FAILED,
"cancelled": CANCELLED,
"untriggered": OPEN
}
order_types = {
"limit": LIMIT,
"market": MARKET,
"stop_limit": STOP_LIMIT,
"stop_market": STOP_MARKET
}
if 'data' in msg['params']:
data = msg['params']['data']
if subchan == 'portfolio':
'''
{
"params" : {
"data" : {
"total_pl" : 0.00000425,
"session_upl" : 0.00000425,
"session_rpl" : -2e-8,
"projected_maintenance_margin" : 0.00009141,
"projected_initial_margin" : 0.00012542,
"projected_delta_total" : 0.0043,
"portfolio_margining_enabled" : false,
"options_vega" : 0,
"options_value" : 0,
"options_theta" : 0,
"options_session_upl" : 0,
"options_session_rpl" : 0,
"options_pl" : 0,
"options_gamma" : 0,
"options_delta" : 0,
"margin_balance" : 0.2340038,
"maintenance_margin" : 0.00009141,
"initial_margin" : 0.00012542,
"futures_session_upl" : 0.00000425,
"futures_session_rpl" : -2e-8,
"futures_pl" : 0.00000425,
"estimated_liquidation_ratio" : 0.01822795,
"equity" : 0.2340038,
"delta_total" : 0.0043,
"currency" : "BTC",
"balance" : 0.23399957,
"available_withdrawal_funds" : 0.23387415,
"available_funds" : 0.23387838
},
"channel" : "user.portfolio.btc"
},
"method" : "subscription",
"jsonrpc" : "2.0"
}
'''
b = Balance(self.id,
data['currency'],
Decimal(data['balance']),
Decimal(data['balance']) -
Decimal(data['available_withdrawal_funds']),
raw=data)
await self.callback(BALANCES, b, timestamp)
elif subchan == 'orders':
'''
{
"params" : {
"data" : {
"time_in_force" : "good_til_cancelled",
"replaced" : false,
"reduce_only" : false,
"profit_loss" : 0,
"price" : 10502.52,
"post_only" : false,
"original_order_type" : "market",
"order_type" : "limit",
"order_state" : "open",
"order_id" : "5",
"max_show" : 200,
"last_update_timestamp" : 1581507423789,
"label" : "",
"is_liquidation" : false,
"instrument_name" : "BTC-PERPETUAL",
"filled_amount" : 0,
"direction" : "buy",
"creation_timestamp" : 1581507423789,
"commission" : 0,
"average_price" : 0,
"api" : false,
"amount" : 200
},
"channel" : "user.orders.BTC-PERPETUAL.raw"
},
"method" : "subscription",
"jsonrpc" : "2.0"
}
'''
oi = OrderInfo(
self.id,
self.exchange_symbol_to_std_symbol(
data['instrument_name']),
data["order_id"],
BUY if msg["side"] == 'Buy' else SELL,
order_status[data["order_state"]],
order_types[data['order_type']],
Decimal(data['price']),
Decimal(data['filled_amount']),
Decimal(data['amount']) - Decimal(data['cumQuantity']),
self.timestamp_normalize(data["last_update_timestamp"]),
raw=data)
await self.callback(ORDER_INFO, oi, timestamp)
elif subchan == 'trades':
'''
{
"params" : {
"data" : [
{
"trade_seq" : 30289432,
"trade_id" : "48079254",
"timestamp" : 1590484156350,
"tick_direction" : 0,
"state" : "filled",
"self_trade" : false,
"reduce_only" : false,
"price" : 8954,
"post_only" : false,
"order_type" : "market",
"order_id" : "4008965646",
"matching_id" : null,
"mark_price" : 8952.86,
"liquidity" : "T",
"instrument_name" : "BTC-PERPETUAL",
"index_price" : 8956.73,
"fee_currency" : "BTC",
"fee" : 0.00000168,
"direction" : "sell",
"amount" : 20
}]
}
}
'''
for entry in data:
symbol = self.exchange_symbol_to_std_symbol(
entry['instrument_name'])
f = Fill(self.id,
symbol,
SELL if entry['direction'] == 'sell' else BUY,
Decimal(entry['amount']),
Decimal(entry['price']),
Decimal(entry['fee']),
entry['trade_id'],
entry['order_id'],
entry['order_type'],
TAKER if entry['liquidity'] == 'T' else MAKER,
self.timestamp_normalize(entry['timestamp']),
raw=entry)
await self.callback(FILLS, f, timestamp)
else:
LOG.warning("%s: Unknown channel 'user.%s'", conn.uuid,
subchan)
else:
LOG.warning("%s: Unknown message %s'", conn.uuid, msg)
async def _user_data(self, msg: dict, timestamp: float):
'''
snapshot:
{
"accounts":[
{
"accountBalanceEv":100000024,
"accountID":675340001,
"bonusBalanceEv":0,
"currency":"BTC",
"totalUsedBalanceEv":1222,
"userID":67534
}
],
"orders":[
{
"accountID":675340001,
"action":"New",
"actionBy":"ByUser",
"actionTimeNs":1573711481897337000,
"addedSeq":1110523,
"bonusChangedAmountEv":0,
"clOrdID":"uuid-1573711480091",
"closedPnlEv":0,
"closedSize":0,
"code":0,
"cumQty":2,
"cumValueEv":23018,
"curAccBalanceEv":100000005,
"curAssignedPosBalanceEv":0,
"curBonusBalanceEv":0,
"curLeverageEr":0,
"curPosSide":"Buy",
"curPosSize":2,
"curPosTerm":1,
"curPosValueEv":23018,
"curRiskLimitEv":10000000000,
"currency":"BTC",
"cxlRejReason":0,
"displayQty":2,
"execFeeEv":-5,
"execID":"92301512-7a79-5138-b582-ac185223727d",
"execPriceEp":86885000,
"execQty":2,
"execSeq":1131034,
"execStatus":"MakerFill",
"execValueEv":23018,
"feeRateEr":-25000,
"lastLiquidityInd":"AddedLiquidity",
"leavesQty":0,
"leavesValueEv":0,
"message":"No error",
"ordStatus":"Filled",
"ordType":"Limit",
"orderID":"e9a45803-0af8-41b7-9c63-9b7c417715d9",
"orderQty":2,
"pegOffsetValueEp":0,
"priceEp":86885000,
"relatedPosTerm":1,
"relatedReqNum":2,
"side":"Buy",
"stopLossEp":0,
"stopPxEp":0,
"symbol":"BTCUSD",
"takeProfitEp":0,
"timeInForce":"GoodTillCancel",
"tradeType":"Trade",
"transactTimeNs":1573712555309040417,
"userID":67534
},
{
"accountID":675340001,
"action":"New",
"actionBy":"ByUser",
"actionTimeNs":1573711490507067000,
"addedSeq":1110980,
"bonusChangedAmountEv":0,
"clOrdID":"uuid-1573711488668",
"closedPnlEv":0,
"closedSize":0,
"code":0,
"cumQty":3,
"cumValueEv":34530,
"curAccBalanceEv":100000013,
"curAssignedPosBalanceEv":0,
"curBonusBalanceEv":0,
"curLeverageEr":0,
"curPosSide":"Buy",
"curPosSize":5,
"curPosTerm":1,
"curPosValueEv":57548,
"curRiskLimitEv":10000000000,
"currency":"BTC",
"cxlRejReason":0,
"displayQty":3,
"execFeeEv":-8,
"execID":"80899855-5b95-55aa-b84e-8d1052f19886",
"execPriceEp":86880000,
"execQty":3,
"execSeq":1131408,
"execStatus":"MakerFill",
"execValueEv":34530,
"feeRateEr":-25000,
"lastLiquidityInd":"AddedLiquidity",
"leavesQty":0,
"leavesValueEv":0,
"message":"No error",
"ordStatus":"Filled",
"ordType":"Limit",
"orderID":"7e03cd6b-e45e-48d9-8937-8c6628e7a79d",
"orderQty":3,
"pegOffsetValueEp":0,
"priceEp":86880000,
"relatedPosTerm":1,
"relatedReqNum":3,
"side":"Buy",
"stopLossEp":0,
"stopPxEp":0,
"symbol":"BTCUSD",
"takeProfitEp":0,
"timeInForce":"GoodTillCancel",
"tradeType":"Trade",
"transactTimeNs":1573712559100655668,
"userID":67534
},
{
"accountID":675340001,
"action":"New",
"actionBy":"ByUser",
"actionTimeNs":1573711499282604000,
"addedSeq":1111025,
"bonusChangedAmountEv":0,
"clOrdID":"uuid-1573711497265",
"closedPnlEv":0,
"closedSize":0,
"code":0,
"cumQty":4,
"cumValueEv":46048,
"curAccBalanceEv":100000024,
"curAssignedPosBalanceEv":0,
"curBonusBalanceEv":0,
"curLeverageEr":0,
"curPosSide":"Buy",
"curPosSize":9,
"curPosTerm":1,
"curPosValueEv":103596,
"curRiskLimitEv":10000000000,
"currency":"BTC",
"cxlRejReason":0,
"displayQty":4,
"execFeeEv":-11,
"execID":"0be06645-90b8-5abe-8eb0-dca8e852f82f",
"execPriceEp":86865000,
"execQty":4,
"execSeq":1132422,
"execStatus":"MakerFill",
"execValueEv":46048,
"feeRateEr":-25000,
"lastLiquidityInd":"AddedLiquidity",
"leavesQty":0,
"leavesValueEv":0,
"message":"No error",
"ordStatus":"Filled",
"ordType":"Limit",
"orderID":"66753807-9204-443d-acf9-946d15d5bedb",
"orderQty":4,
"pegOffsetValueEp":0,
"priceEp":86865000,
"relatedPosTerm":1,
"relatedReqNum":4,
"side":"Buy",
"stopLossEp":0,
"stopPxEp":0,
"symbol":"BTCUSD",
"takeProfitEp":0,
"timeInForce":"GoodTillCancel",
"tradeType":"Trade",
"transactTimeNs":1573712618104628671,
"userID":67534
}
],
"positions":[
{
"accountID":675340001,
"assignedPosBalanceEv":0,
"avgEntryPriceEp":86875941,
"bankruptCommEv":75022,
"bankruptPriceEp":90000,
"buyLeavesQty":0,
"buyLeavesValueEv":0,
"buyValueToCostEr":1150750,
"createdAtNs":0,
"crossSharedBalanceEv":99998802,
"cumClosedPnlEv":0,
"cumFundingFeeEv":0,
"cumTransactFeeEv":-24,
"currency":"BTC",
"dataVer":4,
"deleveragePercentileEr":0,
"displayLeverageEr":1000000,
"estimatedOrdLossEv":0,
"execSeq":1132422,
"freeCostEv":0,
"freeQty":-9,
"initMarginReqEr":1000000,
"lastFundingTime":1573703858883133252,
"lastTermEndTime":0,
"leverageEr":0,
"liquidationPriceEp":90000,
"maintMarginReqEr":500000,
"makerFeeRateEr":0,
"markPriceEp":86786292,
"orderCostEv":0,
"posCostEv":1115,
"positionMarginEv":99925002,
"positionStatus":"Normal",
"riskLimitEv":10000000000,
"sellLeavesQty":0,
"sellLeavesValueEv":0,
"sellValueToCostEr":1149250,
"side":"Buy",
"size":9,
"symbol":"BTCUSD",
"takerFeeRateEr":0,
"term":1,
"transactTimeNs":1573712618104628671,
"unrealisedPnlEv":-107,
"updatedAtNs":0,
"usedBalanceEv":1222,
"userID":67534,
"valueEv":103596
}
],
"sequence":1310812,
"timestamp":1573716998131003833,
"type":"snapshot"
}
incremental update:
{
"accounts":[
{
"accountBalanceEv":99999989,
"accountID":675340001,
"bonusBalanceEv":0,
"currency":"BTC",
"totalUsedBalanceEv":1803,
"userID":67534
}
],
"orders":[
{
"accountID":675340001,
"action":"New",
"actionBy":"ByUser",
"actionTimeNs":1573717286765750000,
"addedSeq":1192303,
"bonusChangedAmountEv":0,
"clOrdID":"uuid-1573717284329",
"closedPnlEv":0,
"closedSize":0,
"code":0,
"cumQty":0,
"cumValueEv":0,
"curAccBalanceEv":100000024,
"curAssignedPosBalanceEv":0,
"curBonusBalanceEv":0,
"curLeverageEr":0,
"curPosSide":"Buy",
"curPosSize":9,
"curPosTerm":1,
"curPosValueEv":103596,
"curRiskLimitEv":10000000000,
"currency":"BTC",
"cxlRejReason":0,
"displayQty":4,
"execFeeEv":0,
"execID":"00000000-0000-0000-0000-000000000000",
"execPriceEp":0,
"execQty":0,
"execSeq":1192303,
"execStatus":"New",
"execValueEv":0,
"feeRateEr":0,
"leavesQty":4,
"leavesValueEv":46098,
"message":"No error",
"ordStatus":"New",
"ordType":"Limit",
"orderID":"e329ae87-ce80-439d-b0cf-ad65272ed44c",
"orderQty":4,
"pegOffsetValueEp":0,
"priceEp":86770000,
"relatedPosTerm":1,
"relatedReqNum":5,
"side":"Buy",
"stopLossEp":0,
"stopPxEp":0,
"symbol":"BTCUSD",
"takeProfitEp":0,
"timeInForce":"GoodTillCancel",
"transactTimeNs":1573717286765896560,
"userID":67534
},
{
"accountID":675340001,
"action":"New",
"actionBy":"ByUser",
"actionTimeNs":1573717286765750000,
"addedSeq":1192303,
"bonusChangedAmountEv":0,
"clOrdID":"uuid-1573717284329",
"closedPnlEv":0,
"closedSize":0,
"code":0,
"cumQty":4,
"cumValueEv":46098,
"curAccBalanceEv":99999989,
"curAssignedPosBalanceEv":0,
"curBonusBalanceEv":0,
"curLeverageEr":0,
"curPosSide":"Buy",
"curPosSize":13,
"curPosTerm":1,
"curPosValueEv":149694,
"curRiskLimitEv":10000000000,
"currency":"BTC",
"cxlRejReason":0,
"displayQty":4,
"execFeeEv":35,
"execID":"8d1848a2-5faf-52dd-be71-9fecbc8926be",
"execPriceEp":86770000,
"execQty":4,
"execSeq":1192303,
"execStatus":"TakerFill",
"execValueEv":46098,
"feeRateEr":75000,
"lastLiquidityInd":"RemovedLiquidity",
"leavesQty":0,
"leavesValueEv":0,
"message":"No error",
"ordStatus":"Filled",
"ordType":"Limit",
"orderID":"e329ae87-ce80-439d-b0cf-ad65272ed44c",
"orderQty":4,
"pegOffsetValueEp":0,
"priceEp":86770000,
"relatedPosTerm":1,
"relatedReqNum":5,
"side":"Buy",
"stopLossEp":0,
"stopPxEp":0,
"symbol":"BTCUSD",
"takeProfitEp":0,
"timeInForce":"GoodTillCancel",
"tradeType":"Trade",
"transactTimeNs":1573717286765896560,
"userID":67534
}
],
"positions":[
{
"accountID":675340001,
"assignedPosBalanceEv":0,
"avgEntryPriceEp":86843828,
"bankruptCommEv":75056,
"bankruptPriceEp":130000,
"buyLeavesQty":0,
"buyLeavesValueEv":0,
"buyValueToCostEr":1150750,
"createdAtNs":0,
"crossSharedBalanceEv":99998186,
"cumClosedPnlEv":0,
"cumFundingFeeEv":0,
"cumTransactFeeEv":11,
"currency":"BTC",
"dataVer":5,
"deleveragePercentileEr":0,
"displayLeverageEr":1000000,
"estimatedOrdLossEv":0,
"execSeq":1192303,
"freeCostEv":0,
"freeQty":-13,
"initMarginReqEr":1000000,
"lastFundingTime":1573703858883133252,
"lastTermEndTime":0,
"leverageEr":0,
"liquidationPriceEp":130000,
"maintMarginReqEr":500000,
"makerFeeRateEr":0,
"markPriceEp":86732335,
"orderCostEv":0,
"posCostEv":1611,
"positionMarginEv":99924933,
"positionStatus":"Normal",
"riskLimitEv":10000000000,
"sellLeavesQty":0,
"sellLeavesValueEv":0,
"sellValueToCostEr":1149250,
"side":"Buy",
"size":13,
"symbol":"BTCUSD",
"takerFeeRateEr":0,
"term":1,
"transactTimeNs":1573717286765896560,
"unrealisedPnlEv":-192,
"updatedAtNs":0,
"usedBalanceEv":1803,
"userID":67534,
"valueEv":149694
}
],
"sequence":1315725,
"timestamp":1573717286767188294,
"type":"incremental"
}
'''
for entry in msg['accounts']:
b = Balance(
self.id,
entry['currency'],
Decimal(entry['accountBalanceEv']),
Decimal(entry['totalUsedBalanceEv']),
self.timestamp_normalize(msg['timestamp']),
raw=entry
)
await self.callback(BALANCES, b, timestamp)