def __update_orders(self): if not self.connected: return # filters only siis managed orders src_orders = self._watcher.connector.ws.open_orders("") # "siis_") # first delete older orders order_rm_list = [] for k, order in self._orders.items(): found = False for src_order in src_orders: src_order_id = src_order['clOrdID'] or src_order['orderID'] if order.order_id == src_order[ 'clOrdID'] or order.order_id == src_order['orderID']: found = True break if not found: order_rm_list.append(order.order_id) for order_id in order_rm_list: del self._orders[order_id] # insert or update active orders for src_order in src_orders: found = False src_order_id = src_order['clOrdID'] or src_order['orderID'] order = self._orders.get(src_order_id) if order is None: # insert order = Order(self, src_order['symbol']) order.set_order_id(src_order_id) self._orders[order.order_id] = order else: order = self._orders.get(src_order_id) # logger.info(src_order) # probably modifier or when leavesQty is update the ordStatus must change # if src_order['ordStatus'] != "New": # continue # update order.direction = Position.LONG if src_order[ 'side'] == 'Buy' else Position.SHORT # 'orderQty' (ordered qty), 'cumQty' (cumulative done), 'leavesQty' (remaning) order.quantity = src_order.get('leavesQty', src_order.get('orderQty', 0)) if src_order.get('transactTime'): order.transact_time = self._parse_datetime( src_order.get('transactTime')).timestamp() if src_order['ordType'] == "Market": order.order_type = Order.ORDER_MARKET elif src_order['ordType'] == "Limit": order.order_type = Order.ORDER_LIMIT order.price = src_order.get('price') elif src_order['ordType'] == "Stop": order.order_type = Order.ORDER_STOP order.stop_price = src_order.get('stopPx') elif src_order['ordType'] == "StopLimit": order.order_type = Order.ORDER_STOP_LIMIT order.price = src_order.get('price') order.stop_price = src_order.get('stopPx') elif src_order['ordType'] == "MarketIfTouched": order.order_type = Order.ORDER_TAKE_PROFIT order.stop_price = src_order.get('stopPx') elif src_order['ordType'] == "LimitIfTouched": order.order_type = Order.ORDER_TAKE_PROFIT_LIMIT order.price = src_order.get('price') order.stop_price = src_order.get('stopPx') if src_order['timeInForce'] == 'GoodTillCancel': order.time_in_force = Order.TIME_IN_FORCE_GTC elif src_order['timeInForce'] == 'ImmediateOrCancel': order.time_in_force = Order.TIME_IN_FORCE_IOC elif src_order['timeInForce'] == 'FillOrKill': order.time_in_force = Order.TIME_IN_FORCE_FOK else: order.time_in_force = Order.TIME_IN_FORCE_GTC # triggered, ordRejReason, currency # @todo # execution options exec_inst = src_order['execInst'].split(',') # taker or maker fee if 'ParticipateDoNotInitiate' in exec_inst: order.post_only = True else: order.post_only = False # close reduce only if 'Close' in exec_inst: # close only order (must be used with reduce only, only reduce a position, and close opposites orders) order.close_only = True else: order.close_only = False # close reduce only if 'ReduceOnly' in exec_inst: # reduce only order (only reduce a position) order.reduce_only = True else: order.redeuce_only = False # execution price if 'LastPrice' in exec_inst: order.price_type = Order.PRICE_LAST elif 'IndexPrice' in exec_inst: order.price_type = Order.PRICE_MARK elif 'MarkPrice' in exec_inst: order.price_type = Order.PRICE_INDEX
def __fetch_orders(self, signals=False): """ This is the synchronous REST fetching, but prefer the WS asynchronous and live one. Mainly used for initial fetching. """ try: open_orders = self._watcher.connector.open_orders() except Exception as e: logger.error("__fetch_orders: %s" % repr(e)) raise orders = {} for data in open_orders: market = self.market(data['symbol']) if data['status'] == 'NEW': # might be... order = Order(self, data['symbol']) order.set_order_id(data['orderId']) order.quantity = data['origQty'] order.executed = data['executedQty'] order.direction = Order.LONG if data[ 'side'] == 'BUY' else Order.SHORT if data['type'] == 'LIMIT': order.order_type = Order.ORDER_LIMIT elif data['type'] == 'MARKET': order.order_type = Order.ORDER_MARKET elif data['type'] == 'STOP_LOSS_LIMIT': order.order_type = Order.ORDER_STOP_LIMIT order.close_only = True elif data['type'] == 'TAKE_PROFIT_LIMIT': order.order_type = Order.ORDER_LIMIT order.close_only = True order.order_price = data['price'] order.stop_loss = data['stopPrice'] order.created_time = data['time'] order.transact_time = data['updateTime'] if data['timeInForce'] == 'GTC': order.time_in_force = Order.TIME_IN_FORCE_GTC elif data['timeInForce'] == 'IOC': order.time_in_force = Order.TIME_IN_FORCE_IOC elif data['timeInForce'] == 'FOK': order.time_in_force = Order.TIME_IN_FORCE_FOK else: order.time_in_force = Order.TIME_IN_FORCE_GTC # "icebergQty": "0.0" # @todo a day when I'll be rich orders[order.order_id] = order if signals: # deleted (for signals if no WS) deleted_list = self._orders.keys() - orders.keys() # @todo # created (for signals if no WS) created_list = orders.keys() - self._orders.keys() # @todo self._orders = orders
def close_position(self, position_id, market=True, limit_price=None): if not self._activity: return False position = self._positions.get(position_id) if position is None or not position.is_opened(): return False if not self.has_market(position.symbol): logger.error( "%s does not support market %s on close position %s !" % (self.name, position.symbol, position.position_id)) return False ref_order_id = "siis_" + base64.b64encode( uuid.uuid4().bytes).decode('utf8').rstrip('=\n') # keep for might be useless in this case order.set_ref_order_id(ref_order_id) order = Order(self, position.symbol) order.set_position_id(position.position_id) order.quantity = position.quantity order.direction = -position.direction # neg direction postdict = { 'symbol': order.symbol, 'clOrdID': ref_order_id, 'execInst': 'Close', # 'execInst': 'ReduceOnly,Close' # @todo why rejected with ReduceOnly ? } # short mean negative quantity if order.direction == Position.SHORT: qty = -qty # fully close (using Close and need 'side' when qty is not defined) # qty = None # order type if market: order.order_type = Order.ORDER_MARKET postdict['ordType'] = "Market" postdict['orderQty'] = qty else: order.order_type = Order.ORDER_LIMIT order.price = limit_price postdict['ordType'] = "Limit" postdict['price'] = order.price postdict['orderQty'] = qty if qty is None: postdict['side'] = "Buy" if order.direction > 0 else "Sell" try: result = self._watcher.connector.request(path="order", postdict=postdict, verb='POST', max_retries=15) except Exception as e: logger.error(str(e)) return False if result and result.get('ordRejReason'): logger.error( "%s rejected closing order %s from %s %s - cause : %s !" % (self.name, order.direction_to_str(), order.quantity, order.symbol, result['ordRejReason'])) return False # store the order with its order id order.set_order_id(result['orderID']) # and store the order self._orders[order.order_id] = order # set position closing until we get confirmation on a next update position.closing(limit_price) return True
def on_order_traded(self, market_id, data, ref_order_id): """ Order update, trade order in that case, is always successed by an asset update signal. Binance order modification is not possible, need cancel and recreate. @note Consume 1 API credit to get the asset quote price at the time of the trade. """ market = self._markets.get(data['symbol']) if market is None: # not interested by this market return base_asset = self.__get_or_add_asset(market.base) quote_asset = self.__get_or_add_asset(market.quote) quote_market = None order = self._orders.get(data['id']) if order is None: # not found (might not occurs) order = Order(self, data['symbol']) order.set_order_id(data['id']) # its might be the creation timestamp but it will be the trade execution order.created_time = data['timestamp'] order.direction = data['direction'] order.order_type = data['type'] order.time_in_force = data['time-in-force'] order.quantity = data['quantity'] order.order_price = data['order-price'] order.stop_loss = data['stop-loss'] self._orders[data['id']] = order order.executed += data['filled'] if data['trade-id']: # same asset used for commission buy_or_sell = data['direction'] == Order.LONG # base details in the trade order base_trade_qty = data['filled'] base_exec_price = data['exec-price'] # price of the quote asset expressed in prefered quote at time of the trade (need a REST call) quote_trade_qty = data[ 'quote-transacted'] # or base_trade_qty * base_exec_price quote_exec_price = 1.0 if quote_asset.quote and quote_asset.symbol != quote_asset.quote: # quote price to be fetched if self._watcher.has_instrument(quote_asset.symbol + quote_asset.quote): # direct, and get the related market quote_market = self._markets.get(quote_asset.symbol + quote_asset.quote) quote_exec_price = self.history_price( quote_asset.symbol + quote_asset.quote, data['timestamp']) elif self._watcher.has_instrument(quote_asset.quote + quote_asset.symbol): # indirect, but cannot have the market quote_exec_price = 1.0 / self.history_price( quote_asset.quote + quote_asset.symbol, data['timestamp']) # base asset self.__update_asset(order.order_type, base_asset, market, data['trade-id'], base_exec_price, base_trade_qty, buy_or_sell, data['timestamp']) # quote asset self.__update_asset(order.order_type, quote_asset, quote_market, None, quote_exec_price, quote_trade_qty, not buy_or_sell, data['timestamp']) # commission asset if data['commission-asset'] == base_asset.symbol: self.__update_asset(Order.ORDER_MARKET, base_asset, market, None, base_exec_price, data['commission-amount'], False, data['timestamp']) else: commission_asset = self.__get_or_add_asset( data['commission-asset']) commission_asset_market = None quote_exec_price = 1.0 if commission_asset.quote and commission_asset.symbol != commission_asset.quote: # commission asset price to be fetched if self._watcher.has_instrument(commission_asset.symbol + commission_asset.quote): # direct, and get the related market commission_asset_market = self.market( commission_asset.symbol + commission_asset.quote) quote_exec_price = commission_asset_market.price elif self._watcher.has_instrument(commission_asset.quote + commission_asset.symbol): # indirect, but cannot have the market quote_exec_price = 1.0 / self.history_price( commission_asset.quote + commission_asset.symbol, data['timestamp']) self.__update_asset(Order.ORDER_MARKET, commission_asset, commission_asset_market, None, quote_exec_price, data['commission-amount'], False, data['timestamp'])