def process_market(self): # # insert market info # with self._mutex: mki = self._pending_market_info_insert self._pending_market_info_insert = [] if mki: try: cursor = self._db.cursor() for mi in mki: if mi[16] is None: # margin factor is unavailable when market is down, so use previous value if available cursor.execute("""SELECT margin_factor FROM market WHERE broker_id = '%s' AND market_id = '%s'""" % (mi[0], mi[1])) row = cursor.fetchone() if row: # replace by previous margin factor from the DB margin_factor = row[0] mi = list(mi) mi[16] = margin_factor else: mi[16] = "1.0" cursor.execute("""INSERT INTO market(broker_id, market_id, symbol, market_type, unit_type, contract_type, trade_type, orders, base, base_display, base_precision, quote, quote_display, quote_precision, expiry, timestamp, lot_size, contract_size, base_exchange_rate, value_per_pip, one_pip_means, margin_factor, min_size, max_size, step_size, min_notional, max_notional, step_notional, min_price, max_price, step_price, maker_fee, taker_fee, maker_commission, taker_commission) VALUES(%s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s, %s) ON CONFLICT (broker_id, market_id) DO UPDATE SET symbol = EXCLUDED.symbol, market_type = EXCLUDED.market_type, unit_type = EXCLUDED.unit_type, contract_type = EXCLUDED.contract_type, trade_type = EXCLUDED.trade_type, orders = EXCLUDED.orders, base = EXCLUDED.base, base_display = EXCLUDED.base_display, base_precision = EXCLUDED.base_precision, quote = EXCLUDED.quote, quote_display = EXCLUDED.quote_display, quote_precision = EXCLUDED.quote_precision, expiry = EXCLUDED.expiry, timestamp = EXCLUDED.timestamp, lot_size = EXCLUDED.lot_size, contract_size = EXCLUDED.contract_size, base_exchange_rate = EXCLUDED.base_exchange_rate, value_per_pip = EXCLUDED.value_per_pip, one_pip_means = EXCLUDED.one_pip_means, margin_factor = EXCLUDED.margin_factor, min_size = EXCLUDED.min_size, max_size = EXCLUDED.max_size, step_size = EXCLUDED.step_size, min_notional = EXCLUDED.min_notional, max_notional = EXCLUDED.max_notional, step_notional = EXCLUDED.step_notional, min_price = EXCLUDED.min_price, max_price = EXCLUDED.max_price, step_price = EXCLUDED.step_price, maker_fee = EXCLUDED.maker_fee, taker_fee = EXCLUDED.taker_fee, maker_commission = EXCLUDED.maker_commission, taker_commission = EXCLUDED.taker_commission""", (*mi,)) self._db.commit() except self.psycopg2.OperationalError as e: self.try_reconnect(e) # retry the next time with self._mutex: self._pending_market_info_insert = mki + self._pending_market_info_insert except Exception as e: self.on_error(e) # retry the next time with self._mutex: self._pending_market_info_insert = mki + self._pending_market_info_insert # # select market info # with self._mutex: mis = self._pending_market_info_select self._pending_market_info_select = [] if mis: try: cursor = self._db.cursor() for mi in mis: cursor.execute("""SELECT symbol, market_type, unit_type, contract_type, trade_type, orders, base, base_display, base_precision, quote, quote_display, quote_precision, expiry, timestamp, lot_size, contract_size, base_exchange_rate, value_per_pip, one_pip_means, margin_factor, min_size, max_size, step_size, min_notional, max_notional, step_notional, min_price, max_price, step_price, maker_fee, taker_fee, maker_commission, taker_commission FROM market WHERE broker_id = '%s' AND market_id = '%s'""" % ( mi[1], mi[2])) row = cursor.fetchone() if row: market_info = Market(mi[2], row[0]) market_info.is_open = True market_info.market_type = row[1] market_info.unit_type = row[2] market_info.contract_type = row[3] market_info.trade = row[4] market_info.orders = row[5] market_info.set_base(row[6], row[7], int(row[8])) market_info.set_quote(row[9], row[10], int(row[11])) market_info.expiry = row[12] market_info.last_update_time = row[13] * 0.001 market_info.lot_size = float(row[14]) market_info.contract_size = float(row[15]) market_info.base_exchange_rate = float(row[16]) market_info.value_per_pip = float(row[17]) market_info.one_pip_means = float(row[18]) if row[19] is not None or row[19] is not 'None': if row[19] == '-': # not defined mean 1.0 or no margin market_info.margin_factor = 1.0 else: market_info.margin_factor = float(row[19] or "1.0") market_info.set_size_limits(float(row[20]), float(row[21]), float(row[22])) market_info.set_notional_limits(float(row[23]), float(row[24]), float(row[25])) market_info.set_price_limits(float(row[26]), float(row[27]), float(row[28])) market_info.maker_fee = float(row[29]) market_info.taker_fee = float(row[30]) market_info.maker_commission = float(row[31]) market_info.taker_commission = float(row[32]) else: market_info = None # notify mi[0].notify(Signal.SIGNAL_MARKET_INFO_DATA, mi[1], (mi[2], market_info)) except self.psycopg2.OperationalError as e: self.try_reconnect(e) # retry the next time with self._mutex: self._pending_market_info_select = mis + self._pending_market_info_select except Exception as e: self.on_error(e) # retry the next time with self._mutex: self._pending_market_info_select = mis + self._pending_market_info_select # # select market list # with self._mutex: mls = self._pending_market_list_select self._pending_market_list_select = [] if mls: try: cursor = self._db.cursor() for m in mls: cursor.execute("""SELECT market_id, symbol, base, quote FROM market WHERE broker_id = '%s'""" % (m[1],)) rows = cursor.fetchall() market_list = [] for row in rows: market_list.append(row) # notify m[0].notify(Signal.SIGNAL_MARKET_LIST_DATA, m[1], market_list) except self.psycopg2.OperationalError as e: self.try_reconnect(e) # retry the next time with self._mutex: self._pending_market_list_select = mls + self._pending_market_list_select except Exception as e: self.on_error(e) # retry the next time with self._mutex: self._pending_market_list_select = mls + self._pending_market_list_select
def install_market_data(self, market_id, market_data): """ Install a market info data into the database. """ market = Market(market_id, market_data.get('symbol', market_id)) market.base_exchange_rate = market_data.get('base-exchange-rate', 1.0) market.one_pip_means = market_data.get('one-pip-means', 1.0) market.value_per_pip = market_data.get('value-per-pip', 1.0) market.contract_size = market_data.get('contract-size', 1.0) market.lot_size = market_data.get('lot-size', 1.0) market.expiry = market_data.get('expiry', '-') base = market_data.get('base', {}) market.set_base(base.get('symbol', 'USD'), base.get('display', '$'), base.get('precision', 2)) quote = market_data.get('quote', {}) market.set_base(quote.get('symbol', 'USD'), quote.get('display', '$'), quote.get('precision', 2)) market.is_open = True market.margin_factor = market_data.get('margin-factor', 1.0) if 'unit' in market_data: if market_data['unit'] == 'amount': market.unit_type = Market.UNIT_AMOUNT elif market_data['unit'] == 'contracts': market.unit_type = Market.UNIT_CONTRACTS elif market_data['unit'] == 'shares': market.unit_type = Market.UNIT_SHARES else: market.unit_type = Market.UNIT_CONTRACTS else: market.unit_type = Market.UNIT_CONTRACTS if 'type' in market_data: if market_data['type'] == 'currency': market.market_type = Market.TYPE_CURRENCY elif market_data['type'] == 'indice': market.market_type = Market.TYPE_INDICE elif market_data['type'] == 'commodity': market.market_type = Market.TYPE_COMMODITY elif market_data['type'] == 'stock': market.market_type = Market.TYPE_STOCK elif market_data['type'] == 'rate': market.market_type = Market.TYPE_RATE elif market_data['type'] == 'sector': market.market_type = Market.TYPE_SECTOR else: market.market_type = Market.TYPE_UNKNOWN else: market.market_type = Market.TYPE_UNKNOWN if 'contract' in market_data: if market_data['contract'] == 'spot': market.contract_type = Market.CONTRACT_SPOT elif market_data['contract'] == 'cfd': market.contract_type = Market.CONTRACT_CFD elif market_data['contract'] == 'futur': market.contract_type = Market.CONTRACT_FUTUR elif market_data['contract'] == 'option': market.contract_type = Market.CONTRACT_OPTION elif market_data['contract'] == 'warrant': market.contract_type = Market.CONTRACT_WARRANT elif market_data['contract'] == 'turbo': market.contract_type = Market.CONTRACT_TURBO else: market.contract_type = Market.CONTRACT_SPOT else: market.contract_type = Market.CONTRACT_SPOT market.trade = 0 if market_data.get('spot', False): market.trade |= Market.TRADE_BUY_SELL if market_data.get('margin', False): market.trade |= Market.TRADE_MARGIN if market_data.get('indivisible', False): market.trade |= Market.TRADE_IND_MARGIN if market_data.get('fifo', False): market.trade |= Market.TRADE_FIFO if market_data.get('position', False): market.trade |= Market.TRADE_POSITION orders = market_data.get( 'orders', ('market', 'limit', 'stop-market', 'stop-limit', 'take-profit-market', 'take-profit-limit')) if 'market' in orders: market.orders |= Market.ORDER_MARKET if 'limit' in orders: market.orders |= Market.ORDER_LIMIT if 'stop-market' in orders: market.orders |= Market.ORDER_STOP_MARKET if 'stop-limit' in orders: market.orders |= Market.ORDER_STOP_LIMIT if 'take-profit-market' in orders: market.orders |= Market.ORDER_TAKE_PROFIT_MARKET if 'take-profit-limit' in orders: market.orders |= Market.ORDER_TAKE_PROFIT_LIMIT if 'one-cancel-other' in orders: market.orders |= Market.ORDER_ONE_CANCEL_OTHER size_limits = market_data.get('size-limits', { 'min': 0.0, 'max': 0.0, 'step': 0.0 }) market.set_size_limits(size_limits.get('min', 0.0), size_limits.get('max', 0.0), size_limits.get('step', 0.0)) notional_limits = market_data.get('notional-limits', { 'min': 0.0, 'max': 0.0, 'step': 0.0 }) market.set_size_limits(notional_limits.get('min', 0.0), notional_limits.get('max', 0.0), notional_limits.get('step', 0.0)) price_limits = market_data.get('price-limits', { 'min': 0.0, 'max': 0.0, 'step': 0.0 }) market.set_size_limits(price_limits.get('min', 0.0), price_limits.get('max', 0.0), price_limits.get('step', 0.0)) # fees & commissions fees = market_data.get('fees', {}) market.maker_fee = fees.get('maker', 0.0) market.taker_fee = fees.get('taker', 0.0) commissions = market_data.get('commissions', {}) market.maker_commission = commissions.get('maker', 0.0) market.taker_commission = commissions.get('maker', 0.0) # store the last market info to be used for backtesting Database.inst().store_market_info(( self.name, market.market_id, market.symbol, market.market_type, market.unit_type, market.contract_type, # type market.trade, market.orders, # type market.base, market.base_display, market.base_precision, # base market.quote, market.quote_display, market.quote_precision, # quote market.expiry, int(market.last_update_time * 1000.0), # expiry, timestamp str(market.lot_size), str(market.contract_size), str(market.base_exchange_rate), str(market.value_per_pip), str(market.one_pip_means), str(market.margin_factor), str(market.min_size), str(market.max_size), str(market.step_size), # size limits str(market.min_notional), str(market.max_notional), str(market.step_notional), # notional limits str(market.min_price), str(market.max_price), str(market.tick_price), # price limits str(market.maker_fee), str(market.taker_fee), str(market.maker_commission), str(market.taker_commission)) # fees )