def __init__(self,
ascend_ex_api_key: str,
ascend_ex_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True
):
"""
:param ascend_ex_api_key: The API key to connect to private AscendEx APIs.
:param ascend_ex_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
super().__init__()
self._trading_required = trading_required
self._trading_pairs = trading_pairs
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._order_book_tracker = AscendExOrderBookTracker(self._throttler, trading_pairs=trading_pairs)
self._ascend_ex_auth = AscendExAuth(ascend_ex_api_key, ascend_ex_secret_key)
self._user_stream_tracker = AscendExUserStreamTracker(self._throttler, self._ascend_ex_auth, trading_pairs)
self._ev_loop = asyncio.get_event_loop()
self._shared_client = None
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._in_flight_orders = {} # Dict[client_order_id:str, AscendExInFlightOrder]
self._order_not_found_records = {} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, AscendExTradingRule]
self._status_polling_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
self._account_group = None # required in order to make post requests
self._account_uid = None # required in order to produce deterministic order ids
self._throttler = AsyncThrottler(rate_limits=CONSTANTS.RATE_LIMITS)
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.ascend_ex_auth = AscendExAuth(cls.api_key, cls.api_secret)
cls.trading_pairs = ["BTC-USDT"]
cls.user_stream_tracker: AscendExUserStreamTracker = AscendExUserStreamTracker(
ascend_ex_auth=cls.ascend_ex_auth, trading_pairs=cls.trading_pairs)
cls.user_stream_tracker_task: asyncio.Task = safe_ensure_future(
cls.user_stream_tracker.start())
def setUp(self) -> None:
super().setUp()
self.ev_loop = asyncio.get_event_loop()
self.mocking_assistant = NetworkMockingAssistant()
self.listening_task = None
self.api_factory = None
self.throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self.tracker = AscendExUserStreamTracker(
ascend_ex_auth=AscendExAuth(api_key="testAPIKey",
secret_key="testSecret"),
api_factory=self.api_factory,
throttler=self.throttler,
)
class AscendExExchange(ExchangePyBase):
"""
AscendExExchange connects with AscendEx exchange and provides order book pricing, user account tracking and
trading functionality.
"""
API_CALL_TIMEOUT = 10.0
SHORT_POLL_INTERVAL = 5.0
UPDATE_ORDER_STATUS_MIN_INTERVAL = 10.0
LONG_POLL_INTERVAL = 10.0
@classmethod
def logger(cls) -> HummingbotLogger:
global ctce_logger
if ctce_logger is None:
ctce_logger = logging.getLogger(__name__)
return ctce_logger
def __init__(self,
ascend_ex_api_key: str,
ascend_ex_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True):
"""
:param ascend_ex_api_key: The API key to connect to private AscendEx APIs.
:param ascend_ex_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
super().__init__()
self._trading_required = trading_required
self._trading_pairs = trading_pairs
self._shared_client = aiohttp.ClientSession()
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._order_book_tracker = AscendExOrderBookTracker(
shared_client=self._shared_client,
throttler=self._throttler,
trading_pairs=self._trading_pairs)
self._ascend_ex_auth = AscendExAuth(ascend_ex_api_key,
ascend_ex_secret_key)
self._user_stream_tracker = AscendExUserStreamTracker(
shared_client=self._shared_client,
throttler=self._throttler,
ascend_ex_auth=self._ascend_ex_auth,
trading_pairs=self._trading_pairs)
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._in_flight_orders = {
} # Dict[client_order_id:str, AscendExInFlightOrder]
self._order_not_found_records = {
} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, AscendExTradingRule]
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
self._account_group = None # required in order to make post requests
self._account_uid = None # required in order to produce deterministic order ids
self._throttler = AsyncThrottler(rate_limits=CONSTANTS.RATE_LIMITS)
@property
def name(self) -> str:
return CONSTANTS.EXCHANGE_NAME
@property
def order_books(self) -> Dict[str, OrderBook]:
return self._order_book_tracker.order_books
@property
def trading_rules(self) -> Dict[str, AscendExTradingRule]:
return self._trading_rules
@property
def in_flight_orders(self) -> Dict[str, AscendExInFlightOrder]:
return self._in_flight_orders
@property
def status_dict(self) -> Dict[str, bool]:
"""
A dictionary of statuses of various connector's components.
"""
return {
"order_books_initialized":
self._order_book_tracker.ready,
"account_balance":
len(self._account_balances) > 0
if self._trading_required else True,
"trading_rule_initialized":
len(self._trading_rules) > 0,
"user_stream_initialized":
self._user_stream_tracker.data_source.last_recv_time > 0
if self._trading_required else True,
"account_data":
self._account_group is not None and self._account_uid is not None
}
@property
def ready(self) -> bool:
"""
:return True when all statuses pass, this might take 5-10 seconds for all the connector's components and
services to be ready.
"""
return all(self.status_dict.values())
@property
def limit_orders(self) -> List[LimitOrder]:
return [
in_flight_order.to_limit_order()
for in_flight_order in self._in_flight_orders.values()
]
@property
def tracking_states(self) -> Dict[str, any]:
"""
:return active in-flight orders in json format, is used to save in sqlite db.
"""
return {
key: value.to_json()
for key, value in self._in_flight_orders.items()
if not value.is_done
}
def restore_tracking_states(self, saved_states: Dict[str, any]):
"""
Restore in-flight orders from saved tracking states, this is st the connector can pick up on where it left off
when it disconnects.
:param saved_states: The saved tracking_states.
"""
self._in_flight_orders.update({
key: AscendExInFlightOrder.from_json(value)
for key, value in saved_states.items()
})
def supported_order_types(self) -> List[OrderType]:
"""
:return a list of OrderType supported by this connector.
Note that Market order type is no longer required and will not be used.
"""
return [OrderType.LIMIT, OrderType.LIMIT_MAKER]
def start(self, clock: Clock, timestamp: float):
"""
This function is called automatically by the clock.
"""
super().start(clock, timestamp)
def stop(self, clock: Clock):
"""
This function is called automatically by the clock.
"""
super().stop(clock)
async def start_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
It starts tracking order book, polling trading rules,
updating statuses and tracking user data.
"""
self._order_book_tracker.start()
await self._update_account_data()
self._trading_rules_polling_task = safe_ensure_future(
self._trading_rules_polling_loop())
if self._trading_required:
self._status_polling_task = safe_ensure_future(
self._status_polling_loop())
self._user_stream_tracker_task = safe_ensure_future(
self._user_stream_tracker.start())
self._user_stream_event_listener_task = safe_ensure_future(
self._user_stream_event_listener())
async def stop_network(self):
"""
This function is required by NetworkIterator base class and is called automatically.
"""
# Resets timestamps for status_polling_task
self._last_poll_timestamp = 0
self._last_timestamp = 0
self._order_book_tracker.stop()
if self._status_polling_task is not None:
self._status_polling_task.cancel()
self._status_polling_task = None
if self._trading_rules_polling_task is not None:
self._trading_rules_polling_task.cancel()
self._trading_rules_polling_task = None
if self._user_stream_tracker_task is not None:
self._user_stream_tracker_task.cancel()
self._user_stream_tracker_task = None
if self._user_stream_event_listener_task is not None:
self._user_stream_event_listener_task.cancel()
self._user_stream_event_listener_task = None
async def check_network(self) -> NetworkStatus:
"""
This function is required by NetworkIterator base class and is called periodically to check
the network connection. Simply ping the network (or call any light weight public API).
"""
try:
# since there is no ping endpoint, the lowest rate call is to get BTC-USDT ticker
await self._api_request(method="get",
path_url=CONSTANTS.TICKER_PATH_URL)
except asyncio.CancelledError:
raise
except Exception:
return NetworkStatus.NOT_CONNECTED
return NetworkStatus.CONNECTED
async def _trading_rules_polling_loop(self):
"""
Periodically update trading rule.
"""
while True:
try:
await self._update_trading_rules()
await asyncio.sleep(60)
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().network(
f"Unexpected error while fetching trading rules. Error: {str(e)}",
exc_info=True,
app_warning_msg=
"Could not fetch new trading rules from AscendEx. "
"Check network connection.")
await asyncio.sleep(0.5)
async def _update_trading_rules(self):
instruments_info = await self._api_request(
method="get", path_url=CONSTANTS.PRODUCTS_PATH_URL)
self._trading_rules.clear()
self._trading_rules = self._format_trading_rules(instruments_info)
def _format_trading_rules(
self,
instruments_info: Dict[str,
Any]) -> Dict[str, AscendExTradingRule]:
"""
Converts json API response into a dictionary of trading rules.
:param instruments_info: The json API response
:return A dictionary of trading rules.
Response Example:
{
"code": 0,
"data": [
{
"symbol": "BTMX/USDT",
"baseAsset": "BTMX",
"quoteAsset": "USDT",
"status": "Normal",
"minNotional": "5",
"maxNotional": "100000",
"marginTradable": true,
"commissionType": "Quote",
"commissionReserveRate": "0.001",
"tickSize": "0.000001",
"lotSize": "0.001"
}
]
}
"""
trading_rules = {}
for rule in instruments_info["data"]:
try:
trading_pair = ascend_ex_utils.convert_from_exchange_trading_pair(
rule["symbol"])
trading_rules[trading_pair] = AscendExTradingRule(
trading_pair,
min_price_increment=Decimal(rule["tickSize"]),
min_base_amount_increment=Decimal(rule["lotSize"]),
min_notional_size=Decimal(rule["minNotional"]),
max_notional_size=Decimal(rule["maxNotional"]),
commission_type=AscendExCommissionType[
rule["commissionType"].upper()],
commission_reserve_rate=Decimal(
rule["commissionReserveRate"]),
)
except Exception:
self.logger().error(
f"Error parsing the trading pair rule {rule}. Skipping.",
exc_info=True)
return trading_rules
async def _update_account_data(self):
headers = {
**self._ascend_ex_auth.get_headers(),
**self._ascend_ex_auth.get_auth_headers("info"),
}
url = f"{CONSTANTS.REST_URL}/info"
response = await self._shared_client.get(url, headers=headers)
try:
parsed_response = json.loads(await response.text())
except Exception as e:
raise IOError(f"Error parsing data from {url}. Error: {str(e)}")
if response.status != 200:
raise IOError(
f"Error fetching data from {url}. HTTP status is {response.status}. "
f"Message: {parsed_response}")
if parsed_response["code"] != 0:
raise IOError(
f"{url} API call failed, response: {parsed_response}")
self._account_group = parsed_response["data"]["accountGroup"]
self._account_uid = parsed_response["data"]["userUID"]
async def _api_request(
self,
method: str,
path_url: str,
params: Optional[Dict[str, Any]] = None,
data: Optional[Dict[str, Any]] = None,
is_auth_required: bool = False,
force_auth_path_url: Optional[str] = None) -> Dict[str, Any]:
"""
Sends an aiohttp request and waits for a response.
:param method: The HTTP method, e.g. get or post
:param path_url: The path url or the API end point
:param is_auth_required: Whether an authentication is required, when True the function will add encrypted
signature to the request.
:returns A response in json format.
"""
kwargs = {}
if params:
kwargs["params"] = params
if data:
kwargs["data"] = json.dumps(data)
if is_auth_required:
if self._account_group is None:
await self._update_account_data()
url = f"{ascend_ex_utils.get_rest_url_private(self._account_group)}/{path_url}"
kwargs["headers"] = {
**self._ascend_ex_auth.get_headers(),
**self._ascend_ex_auth.get_auth_headers(path_url if force_auth_path_url is None else force_auth_path_url),
}
else:
url = f"{CONSTANTS.REST_URL}/{path_url}"
kwargs["headers"] = self._ascend_ex_auth.get_headers()
if method == "get":
async with self._throttler.execute_task(path_url):
response = await self._shared_client.get(url, **kwargs)
elif method == "post":
async with self._throttler.execute_task(path_url):
response = await self._shared_client.post(url, **kwargs)
elif method == "delete":
async with self._throttler.execute_task(path_url):
response = await self._shared_client.delete(url, **kwargs)
else:
raise NotImplementedError
resp_text = await response.text()
if response.status != 200:
raise IOError(
f"Error calling {url}. HTTP status is {response.status}. "
f"Message: {resp_text}")
try:
parsed_response = json.loads(resp_text)
except Exception as e:
raise IOError(f"Error calling {url}. Error: {str(e)}")
if parsed_response["code"] != 0:
raise IOError(
f"{url} API call failed, response: {parsed_response}")
return parsed_response
def get_order_price_quantum(self, trading_pair: str, price: Decimal):
"""
Returns a price step, a minimum price increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return trading_rule.min_price_increment
def get_order_size_quantum(self, trading_pair: str, order_size: Decimal):
"""
Returns an order amount step, a minimum amount increment for a given trading pair.
"""
trading_rule = self._trading_rules[trading_pair]
return Decimal(trading_rule.min_base_amount_increment)
def get_order_book(self, trading_pair: str) -> OrderBook:
if trading_pair not in self._order_book_tracker.order_books:
raise ValueError(f"No order book exists for '{trading_pair}'.")
return self._order_book_tracker.order_books[trading_pair]
def buy(self,
trading_pair: str,
amount: Decimal,
order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN,
**kwargs) -> str:
"""
Buys an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for BuyOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to buy from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
client_order_id = ascend_ex_utils.gen_client_order_id(
True, trading_pair)
safe_ensure_future(
self._create_order(TradeType.BUY, client_order_id, trading_pair,
amount, order_type, price))
return client_order_id
def sell(self,
trading_pair: str,
amount: Decimal,
order_type=OrderType.MARKET,
price: Decimal = s_decimal_NaN,
**kwargs) -> str:
"""
Sells an amount of base asset (of the given trading pair). This function returns immediately.
To see an actual order, you'll have to wait for SellOrderCreatedEvent.
:param trading_pair: The market (e.g. BTC-USDT) to sell from
:param amount: The amount in base token value
:param order_type: The order type
:param price: The price (note: this is no longer optional)
:returns A new internal order id
"""
client_order_id = ascend_ex_utils.gen_client_order_id(
False, trading_pair)
safe_ensure_future(
self._create_order(TradeType.SELL, client_order_id, trading_pair,
amount, order_type, price))
return client_order_id
def cancel(self, trading_pair: str, order_id: str):
"""
Cancel an order. This function returns immediately.
To get the cancellation result, you'll have to wait for OrderCancelledEvent.
:param trading_pair: The market (e.g. BTC-USDT) of the order.
:param order_id: The internal order id (also called client_order_id)
"""
safe_ensure_future(self._execute_cancel(trading_pair, order_id))
return order_id
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))
def trigger_order_created_event(self, order: AscendExInFlightOrder):
event_tag = MarketEvent.BuyOrderCreated if order.trade_type is TradeType.BUY else MarketEvent.SellOrderCreated
event_class = BuyOrderCreatedEvent if order.trade_type is TradeType.BUY else SellOrderCreatedEvent
self.trigger_event(
event_tag,
event_class(self.current_timestamp,
order.order_type,
order.trading_pair,
order.amount,
order.price,
order.client_order_id,
exchange_order_id=order.exchange_order_id))
def start_tracking_order(self, order_id: str, exchange_order_id: str,
trading_pair: str, trade_type: TradeType,
price: Decimal, amount: Decimal,
order_type: OrderType):
"""
Starts tracking an order by simply adding it into _in_flight_orders dictionary.
"""
self._in_flight_orders[order_id] = AscendExInFlightOrder(
client_order_id=order_id,
exchange_order_id=exchange_order_id,
trading_pair=trading_pair,
order_type=order_type,
trade_type=trade_type,
price=price,
amount=amount)
def stop_tracking_order(self, order_id: str):
"""
Stops tracking an order by simply removing it from _in_flight_orders dictionary.
"""
if order_id in self._in_flight_orders:
del self._in_flight_orders[order_id]
async def _execute_cancel(self, trading_pair: str, order_id: str) -> str:
"""
Executes order cancellation process by first calling cancel-order API. The API result doesn't confirm whether
the cancellation is successful, it simply states it receives the request.
:param trading_pair: The market trading pair
:param order_id: The internal order id
order.last_state to change to CANCELED
"""
try:
tracked_order = self._in_flight_orders.get(order_id)
if tracked_order is None:
raise ValueError(
f"Failed to cancel order - {order_id}. Order not found.")
if tracked_order.exchange_order_id is None:
await tracked_order.get_exchange_order_id()
ex_order_id = tracked_order.exchange_order_id
api_params = {
"symbol":
ascend_ex_utils.convert_to_exchange_trading_pair(trading_pair),
"orderId":
ex_order_id,
"time":
ascend_ex_utils.get_ms_timestamp()
}
await self._api_request(method="delete",
path_url=CONSTANTS.ORDER_PATH_URL,
data=api_params,
is_auth_required=True,
force_auth_path_url="order")
return order_id
except asyncio.CancelledError:
raise
except Exception as e:
if str(e).find("Order not found") != -1:
self.stop_tracking_order(order_id)
return
self.logger().network(
f"Failed to cancel order {order_id}: {str(e)}",
exc_info=True,
app_warning_msg=
f"Failed to cancel the order {order_id} on AscendEx. "
f"Check API key and network connection.")
async def _status_polling_loop(self):
"""
Periodically update user balances and order status via REST API. This serves as a fallback measure for web
socket API updates.
"""
while True:
try:
await self._poll_notifier.wait()
await safe_gather(
self._update_balances(),
self._update_order_status(),
)
self._last_poll_timestamp = self.current_timestamp
except asyncio.CancelledError:
raise
except Exception as e:
self.logger().error(str(e), exc_info=True)
self.logger().network(
"Unexpected error while fetching account updates.",
exc_info=True,
app_warning_msg=
"Could not fetch account updates from AscendEx. "
"Check API key and network connection.")
await asyncio.sleep(0.5)
finally:
self._poll_notifier = asyncio.Event()
async def _update_balances(self):
"""
Calls REST API to update total and available balances.
"""
response = await self._api_request(method="get",
path_url=CONSTANTS.BALANCE_PATH_URL,
is_auth_required=True,
force_auth_path_url="balance")
balances = list(
map(
lambda balance: AscendExBalance(balance["asset"], balance[
"availableBalance"], balance["totalBalance"]),
response.get("data", list())))
self._process_balances(balances)
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 /
self.UPDATE_ORDER_STATUS_MIN_INTERVAL)
current_tick = int(self.current_timestamp /
self.UPDATE_ORDER_STATUS_MIN_INTERVAL)
if current_tick > last_tick and len(self._in_flight_orders) > 0:
tracked_orders: List[AscendExInFlightOrder] = list(
self._in_flight_orders.values())
for o in tracked_orders:
await o.get_exchange_order_id()
order_ids: str = ",".join(o.exchange_order_id
for o in tracked_orders)
params = {"orderId": order_ids}
resp = await self._api_request(
method="get",
path_url=CONSTANTS.ORDER_STATUS_PATH_URL,
params=params,
is_auth_required=True,
force_auth_path_url="order/status")
self.logger().debug(
f"Polling for order status updates of {len(order_ids)} orders."
)
self.logger().debug(
f"cash/order/status?orderId={order_ids} response: {resp}")
# The data returned from this end point can be either a list or a dict depending on number of orders
resp_records: List = []
if isinstance(resp["data"], dict):
resp_records.append(resp["data"])
elif isinstance(resp["data"], list):
resp_records = resp["data"]
ascend_ex_orders: List[AscendExOrder] = []
try:
for order_data in resp_records:
ascend_ex_orders.append(
AscendExOrder(
order_data["symbol"], order_data["price"],
order_data["orderQty"], order_data["orderType"],
order_data["avgPx"], order_data["cumFee"],
order_data["cumFilledQty"],
order_data["errorCode"], order_data["feeAsset"],
order_data["lastExecTime"], order_data["orderId"],
order_data["seqNum"], order_data["side"],
order_data["status"], order_data["stopPrice"],
order_data["execInst"]))
for order in ascend_ex_orders:
self._process_order_message(order)
for hbot_order in tracked_orders:
if hbot_order.exchange_order_id not in (
o.orderId for o in ascend_ex_orders):
self.logger().info(
f"{hbot_order} is missing from expected response ({resp})"
)
except Exception:
self.logger().info(
f"Unexpected error during processing order status. The Ascend Ex Response: {resp}",
exc_info=True)
async def cancel_all(self, timeout_seconds: float):
"""
Cancels all in-flight orders and waits for cancellation results.
Used by bot's top level stop and exit commands (cancelling outstanding orders on exit)
:param timeout_seconds: The timeout at which the operation will be canceled.
:returns List of CancellationResult which indicates whether each order is successfully cancelled.
"""
cancellation_results = []
try:
tracked_orders: Dict[
str, AscendExInFlightOrder] = self._in_flight_orders.copy()
api_params = {
"orders": [{
'id':
ascend_ex_utils.uuid32(),
"orderId":
await order.get_exchange_order_id(),
"symbol":
ascend_ex_utils.convert_to_exchange_trading_pair(
order.trading_pair),
"time":
int(time.time() * 1e3)
} for order in tracked_orders.values()]
}
await self._api_request(method="delete",
path_url=CONSTANTS.ORDER_BATCH_PATH_URL,
data=api_params,
is_auth_required=True,
force_auth_path_url="order/batch")
open_orders = await self.get_open_orders()
for cl_order_id, tracked_order in tracked_orders.items():
open_order = [
o for o in open_orders if o.client_order_id == cl_order_id
]
if not open_order:
cancellation_results.append(
CancellationResult(cl_order_id, True))
self.trigger_event(
MarketEvent.OrderCancelled,
OrderCancelledEvent(self.current_timestamp,
cl_order_id))
self.stop_tracking_order(cl_order_id)
else:
cancellation_results.append(
CancellationResult(cl_order_id, False))
except Exception:
self.logger().network(
"Failed to cancel all orders.",
exc_info=True,
app_warning_msg=
"Failed to cancel all orders on AscendEx. Check API key and network connection."
)
return cancellation_results
def tick(self, timestamp: float):
"""
Is called automatically by the clock for each clock's tick (1 second by default).
It checks if status polling task is due for execution.
"""
now = time.time()
poll_interval = (self.SHORT_POLL_INTERVAL if
now - self._user_stream_tracker.last_recv_time > 60.0
else self.LONG_POLL_INTERVAL)
last_tick = int(self._last_timestamp / poll_interval)
current_tick = int(timestamp / poll_interval)
if current_tick > last_tick:
if not self._poll_notifier.is_set():
self._poll_notifier.set()
self._last_timestamp = timestamp
def get_fee(self,
base_currency: str,
quote_currency: str,
order_type: OrderType,
order_side: TradeType,
amount: Decimal,
price: Decimal = s_decimal_NaN) -> TradeFee:
"""For more information: https://ascendex.github.io/ascendex-pro-api/#place-order."""
trading_pair = f"{base_currency}-{quote_currency}"
trading_rule = self._trading_rules[trading_pair]
fee_percent = Decimal("0")
if order_side == TradeType.BUY:
if trading_rule.commission_type == AscendExCommissionType.QUOTE:
fee_percent = trading_rule.commission_reserve_rate
elif trading_rule.commission_type == AscendExCommissionType.BASE:
fee_percent = trading_rule.commission_reserve_rate
return TradeFee(percent=fee_percent)
async def _iter_user_event_queue(self) -> AsyncIterable[Dict[str, any]]:
while True:
try:
yield await self._user_stream_tracker.user_stream.get()
except asyncio.CancelledError:
raise
except Exception:
self.logger().network(
"Unknown error. Retrying after 1 seconds.",
exc_info=True,
app_warning_msg=
"Could not fetch user events from AscendEx. Check API key and network connection."
)
await asyncio.sleep(1.0)
async def _user_stream_event_listener(self):
"""
Listens to message in _user_stream_tracker.user_stream queue. The messages are put in by
AscendExAPIUserStreamDataSource.
"""
async for event_message in self._iter_user_event_queue():
try:
if event_message.get("m") == "order":
order_data = event_message.get("data")
trading_pair = order_data["s"]
base_asset, quote_asset = tuple(
asset for asset in trading_pair.split("/"))
self._process_order_message(
AscendExOrder(trading_pair, order_data["p"],
order_data["q"], order_data["ot"],
order_data["ap"], order_data["cf"],
order_data["cfq"], order_data["err"],
order_data["fa"], order_data["t"],
order_data["orderId"], order_data["sn"],
order_data["sd"], order_data["st"],
order_data["sp"], order_data["ei"]))
# Handles balance updates from orders.
base_asset_balance = AscendExBalance(
base_asset, order_data["bab"], order_data["btb"])
quote_asset_balance = AscendExBalance(
quote_asset, order_data["qab"], order_data["qtb"])
self._process_balances(
[base_asset_balance, quote_asset_balance], False)
elif event_message.get("m") == "balance":
# Handles balance updates from Deposits/Withdrawals, Transfers between Cash and Margin Accounts
balance_data = event_message.get("data")
balance = AscendExBalance(balance_data["a"],
balance_data["ab"],
balance_data["tb"])
self._process_balances(list(balance), False)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error(
"Unexpected error in user stream listener loop.",
exc_info=True)
await asyncio.sleep(5.0)
async def get_open_orders(self) -> List[OpenOrder]:
result = await self._api_request(
method="get",
path_url=CONSTANTS.ORDER_OPEN_PATH_URL,
is_auth_required=True,
force_auth_path_url="order/open")
ret_val = []
for order in result["data"]:
if order["orderType"].lower() != "limit":
self.logger().debug(
f"Unsupported orderType: {order['orderType']}. Order: {order}",
exc_info=True)
continue
exchange_order_id = order["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:
self.logger().debug(
f"Unrecognized Order {exchange_order_id}: {order}")
continue
ret_val.append(
OpenOrder(
client_order_id=client_order_id,
trading_pair=ascend_ex_utils.
convert_from_exchange_trading_pair(order["symbol"]),
price=Decimal(str(order["price"])),
amount=Decimal(str(order["orderQty"])),
executed_amount=Decimal(str(order["cumFilledQty"])),
status=order["status"],
order_type=OrderType.LIMIT,
is_buy=True if order["side"].lower() == "buy" else False,
time=int(order["lastExecTime"]),
exchange_order_id=exchange_order_id))
return ret_val
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)
def _process_balances(self,
balances: List[AscendExBalance],
is_complete_list: bool = True):
local_asset_names = set(self._account_balances.keys())
remote_asset_names = set()
for balance in balances:
asset_name = balance.asset
self._account_available_balances[asset_name] = Decimal(
balance.availableBalance)
self._account_balances[asset_name] = Decimal(balance.totalBalance)
remote_asset_names.add(asset_name)
if not is_complete_list:
return
asset_names_to_remove = local_asset_names.difference(
remote_asset_names)
for asset_name in asset_names_to_remove:
del self._account_available_balances[asset_name]
del self._account_balances[asset_name]
def quantize_order_amount(self,
trading_pair: str,
amount: Decimal,
price: Decimal = s_decimal_0) -> Decimal:
trading_rule: AscendExTradingRule = self._trading_rules[trading_pair]
quantized_amount: Decimal = super().quantize_order_amount(
trading_pair, amount)
# Check against min_order_size and min_notional_size. If not passing either check, return 0.
if quantized_amount < trading_rule.min_order_size:
return s_decimal_0
if price == s_decimal_0:
current_price: Decimal = self.get_price(trading_pair, False)
notional_size = current_price * quantized_amount
else:
notional_size = price * quantized_amount
# Add 1% as a safety factor in case the prices changed while making the order.
if notional_size < trading_rule.min_notional_size * Decimal("1.01") or \
notional_size > trading_rule.max_notional_size:
return s_decimal_0
return quantized_amount