def get_trade_history(asset1=None, asset2=None, start_ts=None, end_ts=None, limit=50):
"""
Gets last N of trades within a specific date range (normally, for a specified asset pair, but this can
be left blank to get any/all trades).
"""
assert (asset1 and asset2) or (not asset1 and not asset2) #cannot have one asset, but not the other
if limit > 500:
raise Exception("Requesting history of too many trades")
now_ts = time.mktime(datetime.datetime.utcnow().timetuple())
if not end_ts: #default to current datetime
end_ts = now_ts
if not start_ts: #default to 30 days before the end date
start_ts = end_ts - (30 * 24 * 60 * 60)
filters = {
"block_time": {
"$gte": datetime.datetime.utcfromtimestamp(start_ts)
} if end_ts == now_ts else {
"$gte": datetime.datetime.utcfromtimestamp(start_ts),
"$lte": datetime.datetime.utcfromtimestamp(end_ts)
}
}
if asset1 and asset2:
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
filters["base_asset"] = base_asset
filters["quote_asset"] = quote_asset
last_trades = config.mongo_db.trades.find(filters, {'_id': 0}).sort("block_time", pymongo.DESCENDING).limit(limit)
if not last_trades.count():
return False #no suitable trade data to form a market price
last_trades = list(last_trades)
return last_trades
def parse_trade_book(msg, msg_data):
#book trades
if (msg['category'] == 'order_matches'
and ((msg['command'] == 'update' and msg_data['status'] == 'completed') #for a trade with BTC involved, but that is settled (completed)
or ('forward_asset' in msg_data and msg_data['forward_asset'] != config.BTC and msg_data['backward_asset'] != config.BTC))): #or for a trade without BTC on either end
if msg['command'] == 'update' and msg_data['status'] == 'completed':
#an order is being updated to a completed status (i.e. a BTCpay has completed)
tx0_hash, tx1_hash = msg_data['order_match_id'][:64], msg_data['order_match_id'][65:]
#get the order_match this btcpay settles
order_match = util.jsonrpc_api("get_order_matches",
{'filters': [
{'field': 'tx0_hash', 'op': '==', 'value': tx0_hash},
{'field': 'tx1_hash', 'op': '==', 'value': tx1_hash}]
}, abort_on_error=False)['result'][0]
else:
assert msg_data['status'] == 'completed' #should not enter a pending state for non BTC matches
order_match = msg_data
forward_asset_info = config.mongo_db.tracked_assets.find_one({'asset': order_match['forward_asset']})
backward_asset_info = config.mongo_db.tracked_assets.find_one({'asset': order_match['backward_asset']})
assert forward_asset_info and backward_asset_info
base_asset, quote_asset = util.assets_to_asset_pair(order_match['forward_asset'], order_match['backward_asset'])
#don't create trade records from order matches with BTC that are under the dust limit
if (order_match['forward_asset'] == config.BTC and order_match['forward_quantity'] <= config.ORDER_BTC_DUST_LIMIT_CUTOFF) \
or (order_match['backward_asset'] == config.BTC and order_match['backward_quantity'] <= config.ORDER_BTC_DUST_LIMIT_CUTOFF):
logger.debug("Order match %s ignored due to %s under dust limit." % (order_match['tx0_hash'] + order_match['tx1_hash'], config.BTC))
return 'ABORT_THIS_MESSAGE_PROCESSING'
#take divisible trade quantities to floating point
forward_quantity = blockchain.normalize_quantity(order_match['forward_quantity'], forward_asset_info['divisible'])
backward_quantity = blockchain.normalize_quantity(order_match['backward_quantity'], backward_asset_info['divisible'])
#compose trade
trade = {
'block_index': config.state['cur_block']['block_index'],
'block_time': config.state['cur_block']['block_time_obj'],
'message_index': msg['message_index'], #secondary temporaral ordering off of when
'order_match_id': order_match['tx0_hash'] + '_' + order_match['tx1_hash'],
'order_match_tx0_index': order_match['tx0_index'],
'order_match_tx1_index': order_match['tx1_index'],
'order_match_tx0_address': order_match['tx0_address'],
'order_match_tx1_address': order_match['tx1_address'],
'base_asset': base_asset,
'quote_asset': quote_asset,
'base_quantity': order_match['forward_quantity'] if order_match['forward_asset'] == base_asset else order_match['backward_quantity'],
'quote_quantity': order_match['backward_quantity'] if order_match['forward_asset'] == base_asset else order_match['forward_quantity'],
'base_quantity_normalized': forward_quantity if order_match['forward_asset'] == base_asset else backward_quantity,
'quote_quantity_normalized': backward_quantity if order_match['forward_asset'] == base_asset else forward_quantity,
}
trade['unit_price'] = float(
( D(trade['quote_quantity_normalized']) / D(trade['base_quantity_normalized']) ).quantize(
D('.00000000'), rounding=decimal.ROUND_HALF_EVEN))
trade['unit_price_inverse'] = float(
( D(trade['base_quantity_normalized']) / D(trade['quote_quantity_normalized']) ).quantize(
D('.00000000'), rounding=decimal.ROUND_HALF_EVEN))
config.mongo_db.trades.insert(trade)
logger.info("Procesed Trade from tx %s :: %s" % (msg['message_index'], trade))
def get_pairs_with_orders(addresses=[], max_pairs=12):
pairs_with_orders = []
sources = '''AND source IN ({})'''.format(','.join(['?' for e in range(0, len(addresses))]))
sql = '''SELECT (MIN(give_asset, get_asset) || '/' || MAX(give_asset, get_asset)) AS pair,
COUNT(*) AS order_count
FROM orders
WHERE give_asset != get_asset AND status = ? {}
GROUP BY pair
ORDER BY order_count DESC
LIMIT ?'''.format(sources)
bindings = ['open'] + addresses + [max_pairs]
my_pairs = util.call_jsonrpc_api('sql', {'query': sql, 'bindings': bindings})['result']
for my_pair in my_pairs:
base_asset, quote_asset = util.assets_to_asset_pair(*tuple(my_pair['pair'].split("/")))
top_pair = {
'base_asset': base_asset,
'quote_asset': quote_asset,
'my_order_count': my_pair['order_count']
}
if my_pair['pair'] == 'BTC/XCP': # XCP/BTC always in first
pairs_with_orders.insert(0, top_pair)
else:
pairs_with_orders.append(top_pair)
return pairs_with_orders
def get_order_book_simple(asset1, asset2, min_pct_fee_provided=None, max_pct_fee_required=None):
#DEPRECATED 1.5
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
result = _get_order_book(base_asset, quote_asset,
bid_book_min_pct_fee_provided=min_pct_fee_provided,
bid_book_max_pct_fee_required=max_pct_fee_required,
ask_book_min_pct_fee_provided=min_pct_fee_provided,
ask_book_max_pct_fee_required=max_pct_fee_required)
return result
def get_market_details(asset1,
asset2,
min_fee_provided=0.95,
max_fee_required=0.95):
yesterday = int(time.time() - (24 * 60 * 60))
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
supplies = get_assets_supply([base_asset, quote_asset])
price, trend, price24h, progression = get_price_movement(base_asset,
quote_asset,
supplies=supplies)
buy_orders = []
sell_orders = []
market_orders = get_market_orders(base_asset,
quote_asset,
supplies=supplies,
min_fee_provided=min_fee_provided,
max_fee_required=max_fee_required)
for order in market_orders:
if order['type'] == 'SELL':
sell_orders.append(order)
elif order['type'] == 'BUY':
buy_orders.append(order)
last_trades = get_market_trades(base_asset, quote_asset, supplies=supplies)
ext_info = False
if config.mongo_db:
ext_info = config.mongo_db.asset_extended_info.find_one(
{'asset': base_asset}, {'_id': 0})
if ext_info and 'info_data' in ext_info:
ext_info = ext_info['info_data']
else:
ext_info = False
return {
'base_asset': base_asset,
'quote_asset': quote_asset,
'price': format(price, ".8f"),
'trend': trend,
'progression': format(progression, ".2f"),
'price_24h': format(price24h, ".8f"),
'supply': supplies[base_asset][0],
'base_asset_divisible': supplies[base_asset][1],
'quote_asset_divisible': supplies[quote_asset][1],
'buy_orders': sorted(buy_orders,
key=lambda x: D(x['price']),
reverse=True),
'sell_orders': sorted(sell_orders, key=lambda x: D(x['price'])),
'last_trades': last_trades,
'base_asset_infos': ext_info
}
def get_asset_pair_market_info(asset1=None, asset2=None, limit=50):
"""Given two arbitrary assets, returns the base asset and the quote asset.
"""
#DEPRECATED 1.5
assert (asset1 and asset2) or (asset1 is None and asset2 is None)
if asset1 and asset2:
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
pair_info = config.mongo_db.asset_pair_market_info.find({'base_asset': base_asset, 'quote_asset': quote_asset}, {'_id': 0})
else:
pair_info = config.mongo_db.asset_pair_market_info.find({}, {'_id': 0}).sort('completed_trades_count', pymongo.DESCENDING).limit(limit)
#^ sort by this for now, may want to sort by a market_cap value in the future
return list(pair_info) or []
def get_asset_pair_market_info(asset1=None, asset2=None, limit=50):
"""Given two arbitrary assets, returns the base asset and the quote asset.
"""
# DEPRECATED 1.5
assert (asset1 and asset2) or (asset1 is None and asset2 is None)
if asset1 and asset2:
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
pair_info = config.mongo_db.asset_pair_market_info.find({'base_asset': base_asset, 'quote_asset': quote_asset}, {'_id': 0})
else:
pair_info = config.mongo_db.asset_pair_market_info.find({}, {'_id': 0}).sort('completed_trades_count', pymongo.DESCENDING).limit(limit)
#^ sort by this for now, may want to sort by a market_cap value in the future
return list(pair_info) or []
def get_order_book_buysell(buy_asset, sell_asset, pct_fee_provided=None, pct_fee_required=None):
# DEPRECATED 1.5
base_asset, quote_asset = util.assets_to_asset_pair(buy_asset, sell_asset)
bid_book_min_pct_fee_provided = None
bid_book_min_pct_fee_required = None
bid_book_max_pct_fee_required = None
ask_book_min_pct_fee_provided = None
ask_book_min_pct_fee_required = None
ask_book_max_pct_fee_required = None
if base_asset == config.BTC:
if buy_asset == config.BTC:
# if BTC is base asset and we're buying it, we're buying the BASE. we require a BTC fee (we're on the bid (bottom) book and we want a lower price)
# - show BASE buyers (bid book) that require a BTC fee >= what we require (our side of the book)
# - show BASE sellers (ask book) that provide a BTC fee >= what we require
bid_book_min_pct_fee_required = pct_fee_required # my competition at the given fee required
ask_book_min_pct_fee_provided = pct_fee_required
elif sell_asset == config.BTC:
# if BTC is base asset and we're selling it, we're selling the BASE. we provide a BTC fee (we're on the ask (top) book and we want a higher price)
# - show BASE buyers (bid book) that provide a BTC fee >= what we provide
# - show BASE sellers (ask book) that require a BTC fee <= what we provide (our side of the book)
bid_book_max_pct_fee_required = pct_fee_provided
ask_book_min_pct_fee_provided = pct_fee_provided # my competition at the given fee provided
elif quote_asset == config.BTC:
assert base_asset == config.XCP # only time when this is the case
if buy_asset == config.BTC:
# if BTC is quote asset and we're buying it, we're selling the BASE. we require a BTC fee (we're on the ask (top) book and we want a higher price)
# - show BASE buyers (bid book) that provide a BTC fee >= what we require
# - show BASE sellers (ask book) that require a BTC fee >= what we require (our side of the book)
bid_book_min_pct_fee_provided = pct_fee_required
ask_book_min_pct_fee_required = pct_fee_required # my competition at the given fee required
elif sell_asset == config.BTC:
# if BTC is quote asset and we're selling it, we're buying the BASE. we provide a BTC fee (we're on the bid (bottom) book and we want a lower price)
# - show BASE buyers (bid book) that provide a BTC fee >= what we provide (our side of the book)
# - show BASE sellers (ask book) that require a BTC fee <= what we provide
bid_book_min_pct_fee_provided = pct_fee_provided # my compeitition at the given fee provided
ask_book_max_pct_fee_required = pct_fee_provided
result = _get_order_book(
base_asset, quote_asset,
bid_book_min_pct_fee_provided=bid_book_min_pct_fee_provided,
bid_book_min_pct_fee_required=bid_book_min_pct_fee_required,
bid_book_max_pct_fee_required=bid_book_max_pct_fee_required,
ask_book_min_pct_fee_provided=ask_book_min_pct_fee_provided,
ask_book_min_pct_fee_required=ask_book_min_pct_fee_required,
ask_book_max_pct_fee_required=ask_book_max_pct_fee_required)
# filter down raw_orders to be only open sell orders for what the caller is buying
open_sell_orders = []
for o in result['raw_orders']:
if o['give_asset'] == buy_asset:
open_sell_orders.append(o)
result['raw_orders'] = open_sell_orders
return result
def get_order_book_buysell(buy_asset, sell_asset, pct_fee_provided=None, pct_fee_required=None):
#DEPRECATED 1.5
base_asset, quote_asset = util.assets_to_asset_pair(buy_asset, sell_asset)
bid_book_min_pct_fee_provided = None
bid_book_min_pct_fee_required = None
bid_book_max_pct_fee_required = None
ask_book_min_pct_fee_provided = None
ask_book_min_pct_fee_required = None
ask_book_max_pct_fee_required = None
if base_asset == config.BTC:
if buy_asset == config.BTC:
#if BTC is base asset and we're buying it, we're buying the BASE. we require a BTC fee (we're on the bid (bottom) book and we want a lower price)
# - show BASE buyers (bid book) that require a BTC fee >= what we require (our side of the book)
# - show BASE sellers (ask book) that provide a BTC fee >= what we require
bid_book_min_pct_fee_required = pct_fee_required #my competition at the given fee required
ask_book_min_pct_fee_provided = pct_fee_required
elif sell_asset == config.BTC:
#if BTC is base asset and we're selling it, we're selling the BASE. we provide a BTC fee (we're on the ask (top) book and we want a higher price)
# - show BASE buyers (bid book) that provide a BTC fee >= what we provide
# - show BASE sellers (ask book) that require a BTC fee <= what we provide (our side of the book)
bid_book_max_pct_fee_required = pct_fee_provided
ask_book_min_pct_fee_provided = pct_fee_provided #my competition at the given fee provided
elif quote_asset == config.BTC:
assert base_asset == config.XCP #only time when this is the case
if buy_asset == config.BTC:
#if BTC is quote asset and we're buying it, we're selling the BASE. we require a BTC fee (we're on the ask (top) book and we want a higher price)
# - show BASE buyers (bid book) that provide a BTC fee >= what we require
# - show BASE sellers (ask book) that require a BTC fee >= what we require (our side of the book)
bid_book_min_pct_fee_provided = pct_fee_required
ask_book_min_pct_fee_required = pct_fee_required #my competition at the given fee required
elif sell_asset == config.BTC:
#if BTC is quote asset and we're selling it, we're buying the BASE. we provide a BTC fee (we're on the bid (bottom) book and we want a lower price)
# - show BASE buyers (bid book) that provide a BTC fee >= what we provide (our side of the book)
# - show BASE sellers (ask book) that require a BTC fee <= what we provide
bid_book_min_pct_fee_provided = pct_fee_provided #my compeitition at the given fee provided
ask_book_max_pct_fee_required = pct_fee_provided
result = _get_order_book(base_asset, quote_asset,
bid_book_min_pct_fee_provided=bid_book_min_pct_fee_provided,
bid_book_min_pct_fee_required=bid_book_min_pct_fee_required,
bid_book_max_pct_fee_required=bid_book_max_pct_fee_required,
ask_book_min_pct_fee_provided=ask_book_min_pct_fee_provided,
ask_book_min_pct_fee_required=ask_book_min_pct_fee_required,
ask_book_max_pct_fee_required=ask_book_max_pct_fee_required)
#filter down raw_orders to be only open sell orders for what the caller is buying
open_sell_orders = []
for o in result['raw_orders']:
if o['give_asset'] == buy_asset:
open_sell_orders.append(o)
result['raw_orders'] = open_sell_orders
return result
def get_market_price_summary(asset1, asset2, with_last_trades=0, start_dt=None, end_dt=None):
"""Gets a synthesized trading "market price" for a specified asset pair (if available), as well as additional info.
If no price is available, False is returned.
"""
if not end_dt:
end_dt = datetime.datetime.utcnow()
if not start_dt:
start_dt = end_dt - datetime.timedelta(days=10) #default to 10 days in the past
#look for the last max 6 trades within the past 10 day window
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
base_asset_info = config.mongo_db.tracked_assets.find_one({'asset': base_asset})
quote_asset_info = config.mongo_db.tracked_assets.find_one({'asset': quote_asset})
if not isinstance(with_last_trades, int) or with_last_trades < 0 or with_last_trades > 30:
raise Exception("Invalid with_last_trades")
if not base_asset_info or not quote_asset_info:
raise Exception("Invalid asset(s)")
last_trades = config.mongo_db.trades.find({
"base_asset": base_asset,
"quote_asset": quote_asset,
'block_time': { "$gte": start_dt, "$lte": end_dt }
},
{'_id': 0, 'block_index': 1, 'block_time': 1, 'unit_price': 1, 'base_quantity_normalized': 1, 'quote_quantity_normalized': 1}
).sort("block_time", pymongo.DESCENDING).limit(max(config.MARKET_PRICE_DERIVE_NUM_POINTS, with_last_trades))
if not last_trades.count():
return None #no suitable trade data to form a market price (return None, NOT False here)
last_trades = list(last_trades)
last_trades.reverse() #from newest to oldest
market_price = get_market_price(
[last_trades[i]['unit_price'] for i in xrange(min(len(last_trades), config.MARKET_PRICE_DERIVE_NUM_POINTS))],
[(last_trades[i]['base_quantity_normalized'] + last_trades[i]['quote_quantity_normalized']) for i in xrange(min(len(last_trades), config.MARKET_PRICE_DERIVE_NUM_POINTS))])
result = {
'market_price': float(D(market_price)),
'base_asset': base_asset,
'quote_asset': quote_asset,
}
if with_last_trades:
#[0]=block_time, [1]=unit_price, [2]=base_quantity_normalized, [3]=quote_quantity_normalized, [4]=block_index
result['last_trades'] = [[
t['block_time'],
t['unit_price'],
t['base_quantity_normalized'],
t['quote_quantity_normalized'],
t['block_index']
] for t in last_trades]
else:
result['last_trades'] = []
return result
def get_order_book_simple(asset1,
asset2,
min_pct_fee_provided=None,
max_pct_fee_required=None):
# DEPRECATED 1.5
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
result = _get_order_book(
base_asset,
quote_asset,
bid_book_min_pct_fee_provided=min_pct_fee_provided,
bid_book_max_pct_fee_required=max_pct_fee_required,
ask_book_min_pct_fee_provided=min_pct_fee_provided,
ask_book_max_pct_fee_required=max_pct_fee_required)
return result
def get_market_orders(asset1, asset2, addresses=[], supplies=None, min_fee_provided=0.95, max_fee_required=0.95):
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
if not supplies:
supplies = get_assets_supply([asset1, asset2])
market_orders = []
buy_orders = []
sell_orders = []
sql = '''SELECT orders.*, blocks.block_time FROM orders INNER JOIN blocks ON orders.block_index=blocks.block_index
WHERE status = ? '''
bindings = ['open']
if len(addresses) > 0:
sql += '''AND source IN ({}) '''.format(','.join(['?' for e in range(0,len(addresses))]))
bindings += addresses
sql += '''AND give_remaining > 0
AND give_asset IN (?, ?)
AND get_asset IN (?, ?)
ORDER BY tx_index DESC'''
bindings += [asset1, asset2, asset1, asset2]
orders = util.call_jsonrpc_api('sql', {'query': sql, 'bindings': bindings})['result']
for order in orders:
market_order = {}
exclude = False
if order['give_asset'] == 'BTC':
try:
fee_provided = order['fee_provided'] / (order['give_quantity'] / 100)
market_order['fee_provided'] = format(D(order['fee_provided']) / (D(order['give_quantity']) / D(100)), '.2f')
except Exception, e:
fee_provided = min_fee_provided - 1 # exclude
exclude = fee_provided < min_fee_provided
elif order['get_asset'] == 'BTC':
try:
fee_required = order['fee_required'] / (order['get_quantity'] / 100)
market_order['fee_required'] = format(D(order['fee_required']) / (D(order['get_quantity']) / D(100)), '.2f')
except Exception, e:
fee_required = max_fee_required + 1 # exclude
def get_base_quote_asset(asset1, asset2):
"""Given two arbitrary assets, returns the base asset and the quote asset.
"""
#DEPRECATED 1.5
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
base_asset_info = config.mongo_db.tracked_assets.find_one({'asset': base_asset})
quote_asset_info = config.mongo_db.tracked_assets.find_one({'asset': quote_asset})
pair_name = "%s/%s" % (base_asset, quote_asset)
if not base_asset_info or not quote_asset_info:
raise Exception("Invalid asset(s)")
return {
'base_asset': base_asset,
'quote_asset': quote_asset,
'pair_name': pair_name
}
def get_base_quote_asset(asset1, asset2):
"""Given two arbitrary assets, returns the base asset and the quote asset.
"""
# DEPRECATED 1.5
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
base_asset_info = config.mongo_db.tracked_assets.find_one({'asset': base_asset})
quote_asset_info = config.mongo_db.tracked_assets.find_one({'asset': quote_asset})
pair_name = "%s/%s" % (base_asset, quote_asset)
if not base_asset_info or not quote_asset_info:
raise Exception("Invalid asset(s)")
return {
'base_asset': base_asset,
'quote_asset': quote_asset,
'pair_name': pair_name
}
def get_market_details(asset1, asset2, min_fee_provided=0.95, max_fee_required=0.95):
yesterday = int(time.time() - (24 * 60 * 60))
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
supplies = get_assets_supply([base_asset, quote_asset])
price, trend, price24h, progression = get_price_movement(base_asset, quote_asset, supplies=supplies)
buy_orders = []
sell_orders = []
market_orders = get_market_orders(base_asset, quote_asset, supplies=supplies, min_fee_provided=min_fee_provided, max_fee_required=max_fee_required)
for order in market_orders:
if order['type'] == 'SELL':
sell_orders.append(order)
elif order['type'] == 'BUY':
buy_orders.append(order)
last_trades = get_market_trades(base_asset, quote_asset, supplies=supplies)
ext_info = False
if config.mongo_db:
ext_info = config.mongo_db.asset_extended_info.find_one({'asset': base_asset}, {'_id': 0})
if ext_info and 'info_data' in ext_info:
ext_info = ext_info['info_data']
else:
ext_info = False
return {
'base_asset': base_asset,
'quote_asset': quote_asset,
'price': format(price, ".8f"),
'trend': trend,
'progression': format(progression, ".2f"),
'price_24h': format(price24h, ".8f"),
'supply': supplies[base_asset][0],
'base_asset_divisible': supplies[base_asset][1],
'quote_asset_divisible': supplies[quote_asset][1],
'buy_orders': sorted(buy_orders, key=lambda x: D(x['price']), reverse=True),
'sell_orders': sorted(sell_orders, key=lambda x: D(x['price'])),
'last_trades': last_trades,
'base_asset_infos': ext_info
}
def get_trade_history(asset1=None,
asset2=None,
start_ts=None,
end_ts=None,
limit=50):
"""
Gets last N of trades within a specific date range (normally, for a specified asset pair, but this can
be left blank to get any/all trades).
"""
assert (asset1 and asset2) or (
not asset1 and not asset2) # cannot have one asset, but not the other
if limit > 500:
raise Exception("Requesting history of too many trades")
now_ts = calendar.timegm(time.gmtime())
if not end_ts: # default to current datetime
end_ts = now_ts
if not start_ts: # default to 30 days before the end date
start_ts = end_ts - (30 * 24 * 60 * 60)
filters = {
"block_time": {
"$gte": datetime.datetime.utcfromtimestamp(start_ts)
} if end_ts == now_ts else {
"$gte": datetime.datetime.utcfromtimestamp(start_ts),
"$lte": datetime.datetime.utcfromtimestamp(end_ts)
}
}
if asset1 and asset2:
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
filters["base_asset"] = base_asset
filters["quote_asset"] = quote_asset
last_trades = config.mongo_db.trades.find(filters, {
'_id': 0
}).sort("block_time", pymongo.DESCENDING).limit(limit)
if not last_trades.count():
return False # no suitable trade data to form a market price
last_trades = list(last_trades)
return last_trades
def get_pairs_with_orders(addresses=[], max_pairs=12):
pairs_with_orders = []
sources = '''AND source IN ({})'''.format(','.join(
['?' for e in range(0, len(addresses))]))
sql = '''SELECT (MIN(give_asset, get_asset) || '/' || MAX(give_asset, get_asset)) AS pair,
COUNT(*) AS order_count
FROM orders
WHERE give_asset != get_asset AND status = ? {}
GROUP BY pair
ORDER BY order_count DESC
LIMIT ?'''.format(sources)
bindings = ['open'] + addresses + [max_pairs]
my_pairs = util.call_jsonrpc_api('sql', {
'query': sql,
'bindings': bindings
})['result']
for my_pair in my_pairs:
base_asset, quote_asset = util.assets_to_asset_pair(
*tuple(my_pair['pair'].split("/")))
top_pair = {
'base_asset': base_asset,
'quote_asset': quote_asset,
'my_order_count': my_pair['order_count']
}
if my_pair['pair'] == config.BTC_TO_XCP: # XCP/BTC always in first
pairs_with_orders.insert(0, top_pair)
else:
pairs_with_orders.append(top_pair)
return pairs_with_orders
def compile_asset_pair_market_info():
"""Compiles the pair-level statistics that show on the View Prices page of counterwallet, for instance"""
#loop through all open orders, and compile a listing of pairs, with a count of open orders for each pair
mongo_db = config.mongo_db
end_dt = datetime.datetime.utcnow()
start_dt = end_dt - datetime.timedelta(days=1)
start_block_index, end_block_index = database.get_block_indexes_for_dates(
start_dt=start_dt, end_dt=end_dt)
open_orders = util.call_jsonrpc_api("get_orders", {
'filters': [
{
'field': 'give_remaining',
'op': '>',
'value': 0
},
{
'field': 'get_remaining',
'op': '>',
'value': 0
},
{
'field': 'fee_required_remaining',
'op': '>=',
'value': 0
},
{
'field': 'fee_provided_remaining',
'op': '>=',
'value': 0
},
],
'status':
'open',
'show_expired':
False,
},
abort_on_error=True)['result']
pair_data = {}
asset_info = {}
def get_price(base_quantity_normalized, quote_quantity_normalized):
return float(D(quote_quantity_normalized / base_quantity_normalized))
#COMPOSE order depth, lowest ask, and highest bid column data
for o in open_orders:
(base_asset,
quote_asset) = util.assets_to_asset_pair(o['give_asset'],
o['get_asset'])
pair = '%s/%s' % (base_asset, quote_asset)
base_asset_info = asset_info.get(
base_asset, mongo_db.tracked_assets.find_one({'asset':
base_asset}))
if base_asset not in asset_info:
asset_info[base_asset] = base_asset_info
quote_asset_info = asset_info.get(
quote_asset,
mongo_db.tracked_assets.find_one({'asset': quote_asset}))
if quote_asset not in asset_info:
asset_info[quote_asset] = quote_asset_info
pair_data.setdefault(
pair, {
'open_orders_count': 0,
'lowest_ask': None,
'highest_bid': None,
'completed_trades_count': 0,
'vol_base': 0,
'vol_quote': 0
})
#^ highest ask = open order selling base, highest bid = open order buying base
#^ we also initialize completed_trades_count, vol_base, vol_quote because every pair inited here may
# not have cooresponding data out of the trades_data_by_pair aggregation below
pair_data[pair]['open_orders_count'] += 1
base_quantity_normalized = blockchain.normalize_quantity(
o['give_quantity'] if base_asset == o['give_asset'] else
o['get_quantity'], base_asset_info['divisible'])
quote_quantity_normalized = blockchain.normalize_quantity(
o['give_quantity'] if quote_asset == o['give_asset'] else
o['get_quantity'], quote_asset_info['divisible'])
order_price = get_price(base_quantity_normalized,
quote_quantity_normalized)
if base_asset == o['give_asset']: #selling base
if pair_data[pair]['lowest_ask'] is None or order_price < pair_data[
pair]['lowest_ask']:
pair_data[pair]['lowest_ask'] = order_price
elif base_asset == o['get_asset']: #buying base
if pair_data[pair][
'highest_bid'] is None or order_price > pair_data[pair][
'highest_bid']:
pair_data[pair]['highest_bid'] = order_price
#COMPOSE volume data (in XCP and BTC), and % change data
#loop through all trade volume over the past 24h, and match that to the open orders
trades_data_by_pair = mongo_db.trades.aggregate([
{
"$match": {
"block_time": {
"$gte": start_dt,
"$lte": end_dt
}
}
},
{
"$project": {
"base_asset": 1,
"quote_asset": 1,
"base_quantity_normalized": 1, #to derive base volume
"quote_quantity_normalized": 1 #to derive quote volume
}
},
{
"$group": {
"_id": {
"base_asset": "$base_asset",
"quote_asset": "$quote_asset"
},
"vol_base": {
"$sum": "$base_quantity_normalized"
},
"vol_quote": {
"$sum": "$quote_quantity_normalized"
},
"count": {
"$sum": 1
},
}
}
])
trades_data_by_pair = [] if not trades_data_by_pair[
'ok'] else trades_data_by_pair['result']
for e in trades_data_by_pair:
pair = '%s/%s' % (e['_id']['base_asset'], e['_id']['quote_asset'])
pair_data.setdefault(pair, {
'open_orders_count': 0,
'lowest_ask': None,
'highest_bid': None
})
#^ initialize an empty pair in the event there are no open orders for that pair, but there ARE completed trades for it
pair_data[pair]['completed_trades_count'] = e['count']
pair_data[pair]['vol_base'] = e['vol_base']
pair_data[pair]['vol_quote'] = e['vol_quote']
#compose price data, relative to BTC and XCP
mps_xcp_btc, xcp_btc_price, btc_xcp_price = get_price_primatives()
for pair, e in pair_data.iteritems():
base_asset, quote_asset = pair.split('/')
_24h_vol_in_btc = None
_24h_vol_in_xcp = None
#derive asset price data, expressed in BTC and XCP, for the given volumes
if base_asset == config.XCP:
_24h_vol_in_xcp = e['vol_base']
_24h_vol_in_btc = blockchain.round_out(
e['vol_base'] * xcp_btc_price) if xcp_btc_price else 0
elif base_asset == config.BTC:
_24h_vol_in_xcp = blockchain.round_out(
e['vol_base'] * btc_xcp_price) if btc_xcp_price else 0
_24h_vol_in_btc = e['vol_base']
else: #base is not XCP or BTC
price_summary_in_xcp, price_summary_in_btc, price_in_xcp, price_in_btc, aggregated_price_in_xcp, aggregated_price_in_btc = \
get_xcp_btc_price_info(base_asset, mps_xcp_btc, xcp_btc_price, btc_xcp_price, with_last_trades=0, start_dt=start_dt, end_dt=end_dt)
if price_in_xcp:
_24h_vol_in_xcp = blockchain.round_out(e['vol_base'] *
price_in_xcp)
if price_in_btc:
_24h_vol_in_btc = blockchain.round_out(e['vol_base'] *
price_in_btc)
if _24h_vol_in_xcp is None or _24h_vol_in_btc is None:
#the base asset didn't have price data against BTC or XCP, or both...try against the quote asset instead
price_summary_in_xcp, price_summary_in_btc, price_in_xcp, price_in_btc, aggregated_price_in_xcp, aggregated_price_in_btc = \
get_xcp_btc_price_info(quote_asset, mps_xcp_btc, xcp_btc_price, btc_xcp_price, with_last_trades=0, start_dt=start_dt, end_dt=end_dt)
if _24h_vol_in_xcp is None and price_in_xcp:
_24h_vol_in_xcp = blockchain.round_out(e['vol_quote'] *
price_in_xcp)
if _24h_vol_in_btc is None and price_in_btc:
_24h_vol_in_btc = blockchain.round_out(e['vol_quote'] *
price_in_btc)
pair_data[pair]['24h_vol_in_{}'.format(
config.XCP.lower())] = _24h_vol_in_xcp #might still be None
pair_data[pair]['24h_vol_in_{}'.format(
config.BTC.lower())] = _24h_vol_in_btc #might still be None
#get % change stats -- start by getting the first trade directly before the 24h period starts
prev_trade = mongo_db.trades.find({
"base_asset": base_asset,
"quote_asset": quote_asset,
"block_time": {
'$lt': start_dt
}
}).sort('block_time', pymongo.DESCENDING).limit(1)
latest_trade = mongo_db.trades.find({
"base_asset": base_asset,
"quote_asset": quote_asset
}).sort('block_time', pymongo.DESCENDING).limit(1)
if not prev_trade.count(): #no previous trade before this 24hr period
pair_data[pair]['24h_pct_change'] = None
else:
prev_trade = prev_trade[0]
latest_trade = latest_trade[0]
prev_trade_price = get_price(
prev_trade['base_quantity_normalized'],
prev_trade['quote_quantity_normalized'])
latest_trade_price = get_price(
latest_trade['base_quantity_normalized'],
latest_trade['quote_quantity_normalized'])
pair_data[pair]['24h_pct_change'] = (
(latest_trade_price - prev_trade_price) /
prev_trade_price) * 100
pair_data[pair]['last_updated'] = end_dt
#print "PRODUCED", pair, pair_data[pair]
mongo_db.asset_pair_market_info.update(
{
'base_asset': base_asset,
'quote_asset': quote_asset
}, {"$set": pair_data[pair]},
upsert=True)
#remove any old pairs that were not just updated
mongo_db.asset_pair_market_info.remove({'last_updated': {'$lt': end_dt}})
logger.info("Recomposed 24h trade statistics for %i asset pairs: %s" %
(len(pair_data), ', '.join(pair_data.keys())))
def compile_asset_pair_market_info():
"""Compiles the pair-level statistics that show on the View Prices page of counterwallet, for instance"""
#loop through all open orders, and compile a listing of pairs, with a count of open orders for each pair
end_dt = datetime.datetime.utcnow()
start_dt = end_dt - datetime.timedelta(days=1)
start_block_index, end_block_index = database.get_block_indexes_for_dates(start_dt=start_dt, end_dt=end_dt)
open_orders = util.call_jsonrpc_api("get_orders",
{ 'filters': [
{'field': 'give_remaining', 'op': '>', 'value': 0},
{'field': 'get_remaining', 'op': '>', 'value': 0},
{'field': 'fee_required_remaining', 'op': '>=', 'value': 0},
{'field': 'fee_provided_remaining', 'op': '>=', 'value': 0},
],
'status': 'open',
'show_expired': False,
}, abort_on_error=True)['result']
pair_data = {}
asset_info = {}
def get_price(base_quantity_normalized, quote_quantity_normalized):
return float(D(quote_quantity_normalized / base_quantity_normalized ))
#COMPOSE order depth, lowest ask, and highest bid column data
for o in open_orders:
(base_asset, quote_asset) = util.assets_to_asset_pair(o['give_asset'], o['get_asset'])
pair = '%s/%s' % (base_asset, quote_asset)
base_asset_info = asset_info.get(base_asset, config.mongo_db.tracked_assets.find_one({ 'asset': base_asset }))
if base_asset not in asset_info: asset_info[base_asset] = base_asset_info
quote_asset_info = asset_info.get(quote_asset, config.mongo_db.tracked_assets.find_one({ 'asset': quote_asset }))
if quote_asset not in asset_info: asset_info[quote_asset] = quote_asset_info
pair_data.setdefault(pair, {'open_orders_count': 0, 'lowest_ask': None, 'highest_bid': None,
'completed_trades_count': 0, 'vol_base': 0, 'vol_quote': 0})
#^ highest ask = open order selling base, highest bid = open order buying base
#^ we also initialize completed_trades_count, vol_base, vol_quote because every pair inited here may
# not have cooresponding data out of the trades_data_by_pair aggregation below
pair_data[pair]['open_orders_count'] += 1
base_quantity_normalized = blockchain.normalize_quantity(o['give_quantity'] if base_asset == o['give_asset'] else o['get_quantity'], base_asset_info['divisible'])
quote_quantity_normalized = blockchain.normalize_quantity(o['give_quantity'] if quote_asset == o['give_asset'] else o['get_quantity'], quote_asset_info['divisible'])
order_price = get_price(base_quantity_normalized, quote_quantity_normalized)
if base_asset == o['give_asset']: #selling base
if pair_data[pair]['lowest_ask'] is None or order_price < pair_data[pair]['lowest_ask']:
pair_data[pair]['lowest_ask'] = order_price
elif base_asset == o['get_asset']: #buying base
if pair_data[pair]['highest_bid'] is None or order_price > pair_data[pair]['highest_bid']:
pair_data[pair]['highest_bid'] = order_price
#COMPOSE volume data (in XCP and BTC), and % change data
#loop through all trade volume over the past 24h, and match that to the open orders
trades_data_by_pair = config.mongo_db.trades.aggregate([
{"$match": {
"block_time": {"$gte": start_dt, "$lte": end_dt } }
},
{"$project": {
"base_asset": 1,
"quote_asset": 1,
"base_quantity_normalized": 1, #to derive base volume
"quote_quantity_normalized": 1 #to derive quote volume
}},
{"$group": {
"_id": {"base_asset": "$base_asset", "quote_asset": "$quote_asset"},
"vol_base": {"$sum": "$base_quantity_normalized"},
"vol_quote": {"$sum": "$quote_quantity_normalized"},
"count": {"$sum": 1},
}}
])
for e in trades_data_by_pair:
pair = '%s/%s' % (e['_id']['base_asset'], e['_id']['quote_asset'])
pair_data.setdefault(pair, {'open_orders_count': 0, 'lowest_ask': None, 'highest_bid': None})
#^ initialize an empty pair in the event there are no open orders for that pair, but there ARE completed trades for it
pair_data[pair]['completed_trades_count'] = e['count']
pair_data[pair]['vol_base'] = e['vol_base']
pair_data[pair]['vol_quote'] = e['vol_quote']
#compose price data, relative to BTC and XCP
mps_xcp_btc, xcp_btc_price, btc_xcp_price = get_price_primatives()
for pair, e in pair_data.iteritems():
base_asset, quote_asset = pair.split('/')
_24h_vol_in_btc = None
_24h_vol_in_xcp = None
#derive asset price data, expressed in BTC and XCP, for the given volumes
if base_asset == config.XCP:
_24h_vol_in_xcp = e['vol_base']
_24h_vol_in_btc = blockchain.round_out(e['vol_base'] * xcp_btc_price) if xcp_btc_price else 0
elif base_asset == config.BTC:
_24h_vol_in_xcp = blockchain.round_out(e['vol_base'] * btc_xcp_price) if btc_xcp_price else 0
_24h_vol_in_btc = e['vol_base']
else: #base is not XCP or BTC
price_summary_in_xcp, price_summary_in_btc, price_in_xcp, price_in_btc, aggregated_price_in_xcp, aggregated_price_in_btc = \
get_xcp_btc_price_info(base_asset, mps_xcp_btc, xcp_btc_price, btc_xcp_price, with_last_trades=0, start_dt=start_dt, end_dt=end_dt)
if price_in_xcp:
_24h_vol_in_xcp = blockchain.round_out(e['vol_base'] * price_in_xcp)
if price_in_btc:
_24h_vol_in_btc = blockchain.round_out(e['vol_base'] * price_in_btc)
if _24h_vol_in_xcp is None or _24h_vol_in_btc is None:
#the base asset didn't have price data against BTC or XCP, or both...try against the quote asset instead
price_summary_in_xcp, price_summary_in_btc, price_in_xcp, price_in_btc, aggregated_price_in_xcp, aggregated_price_in_btc = \
get_xcp_btc_price_info(quote_asset, mps_xcp_btc, xcp_btc_price, btc_xcp_price, with_last_trades=0, start_dt=start_dt, end_dt=end_dt)
if _24h_vol_in_xcp is None and price_in_xcp:
_24h_vol_in_xcp = blockchain.round_out(e['vol_quote'] * price_in_xcp)
if _24h_vol_in_btc is None and price_in_btc:
_24h_vol_in_btc = blockchain.round_out(e['vol_quote'] * price_in_btc)
pair_data[pair]['24h_vol_in_{}'.format(config.XCP.lower())] = _24h_vol_in_xcp #might still be None
pair_data[pair]['24h_vol_in_{}'.format(config.BTC.lower())] = _24h_vol_in_btc #might still be None
#get % change stats -- start by getting the first trade directly before the 24h period starts
prev_trade = config.mongo_db.trades.find({
"base_asset": base_asset,
"quote_asset": quote_asset,
"block_time": {'$lt': start_dt}}).sort('block_time', pymongo.DESCENDING).limit(1)
latest_trade = config.mongo_db.trades.find({
"base_asset": base_asset,
"quote_asset": quote_asset}).sort('block_time', pymongo.DESCENDING).limit(1)
if not prev_trade.count(): #no previous trade before this 24hr period
pair_data[pair]['24h_pct_change'] = None
else:
prev_trade = prev_trade[0]
latest_trade = latest_trade[0]
prev_trade_price = get_price(prev_trade['base_quantity_normalized'], prev_trade['quote_quantity_normalized'])
latest_trade_price = get_price(latest_trade['base_quantity_normalized'], latest_trade['quote_quantity_normalized'])
pair_data[pair]['24h_pct_change'] = ((latest_trade_price - prev_trade_price) / prev_trade_price) * 100
pair_data[pair]['last_updated'] = end_dt
#print "PRODUCED", pair, pair_data[pair]
config.mongo_db.asset_pair_market_info.update( {'base_asset': base_asset, 'quote_asset': quote_asset}, {"$set": pair_data[pair]}, upsert=True)
#remove any old pairs that were not just updated
config.mongo_db.asset_pair_market_info.remove({'last_updated': {'$lt': end_dt}})
logger.info("Recomposed 24h trade statistics for %i asset pairs: %s" % (len(pair_data), ', '.join(pair_data.keys())))
def get_market_trades(asset1, asset2, addresses=[], limit=50, supplies=None):
limit = min(limit, 100)
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
if not supplies:
supplies = get_assets_supply([asset1, asset2])
market_trades = []
sources = ''
bindings = ['expired']
if len(addresses) > 0:
placeholder = ','.join(['?' for e in range(0, len(addresses))])
sources = '''AND (tx0_address IN ({}) OR tx1_address IN ({}))'''.format(placeholder, placeholder)
bindings += addresses + addresses
sql = '''SELECT order_matches.*, blocks.block_time FROM order_matches INNER JOIN blocks ON order_matches.block_index=blocks.block_index
WHERE status != ? {}
AND forward_asset IN (?, ?)
AND backward_asset IN (?, ?)
ORDER BY block_index DESC
LIMIT ?'''.format(sources)
bindings += [asset1, asset2, asset1, asset2, limit]
order_matches = util.call_jsonrpc_api('sql', {'query': sql, 'bindings': bindings})['result']
for order_match in order_matches:
if order_match['tx0_address'] in addresses:
trade = {}
trade['match_id'] = order_match['id']
trade['source'] = order_match['tx0_address']
trade['countersource'] = order_match['tx1_address']
trade['block_index'] = order_match['block_index']
trade['block_time'] = order_match['block_time']
trade['status'] = order_match['status']
if order_match['forward_asset'] == base_asset:
trade['type'] = 'SELL'
trade['price'] = calculate_price(order_match['forward_quantity'], order_match['backward_quantity'], supplies[order_match['forward_asset']][1], supplies[order_match['backward_asset']][1], 'SELL')
trade['amount'] = order_match['forward_quantity']
trade['total'] = order_match['backward_quantity']
else:
trade['type'] = 'BUY'
trade['price'] = calculate_price(order_match['backward_quantity'], order_match['forward_quantity'], supplies[order_match['backward_asset']][1], supplies[order_match['forward_asset']][1], 'BUY')
trade['amount'] = order_match['backward_quantity']
trade['total'] = order_match['forward_quantity']
market_trades.append(trade)
if len(addresses) == 0 or order_match['tx1_address'] in addresses:
trade = {}
trade['match_id'] = order_match['id']
trade['source'] = order_match['tx1_address']
trade['countersource'] = order_match['tx0_address']
trade['block_index'] = order_match['block_index']
trade['block_time'] = order_match['block_time']
trade['status'] = order_match['status']
if order_match['backward_asset'] == base_asset:
trade['type'] = 'SELL'
trade['price'] = calculate_price(order_match['backward_quantity'], order_match['forward_quantity'], supplies[order_match['backward_asset']][1], supplies[order_match['forward_asset']][1], 'SELL')
trade['amount'] = order_match['backward_quantity']
trade['total'] = order_match['forward_quantity']
else:
trade['type'] = 'BUY'
trade['price'] = calculate_price(order_match['forward_quantity'], order_match['backward_quantity'], supplies[order_match['forward_asset']][1], supplies[order_match['backward_asset']][1], 'BUY')
trade['amount'] = order_match['forward_quantity']
trade['total'] = order_match['backward_quantity']
market_trades.append(trade)
return market_trades
def get_market_orders(asset1, asset2, addresses=[], supplies=None, min_fee_provided=0.95, max_fee_required=0.95):
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
if not supplies:
supplies = get_assets_supply([asset1, asset2])
market_orders = []
buy_orders = []
sell_orders = []
sql = '''SELECT orders.*, blocks.block_time FROM orders INNER JOIN blocks ON orders.block_index=blocks.block_index
WHERE status = ? '''
bindings = ['open']
if len(addresses) > 0:
sql += '''AND source IN ({}) '''.format(','.join(['?' for e in range(0, len(addresses))]))
bindings += addresses
sql += '''AND give_remaining > 0
AND give_asset IN (?, ?)
AND get_asset IN (?, ?)
ORDER BY tx_index DESC'''
bindings += [asset1, asset2, asset1, asset2]
orders = util.call_jsonrpc_api('sql', {'query': sql, 'bindings': bindings})['result']
for order in orders:
market_order = {}
exclude = False
if order['give_asset'] == 'BTC':
try:
fee_provided = order['fee_provided'] / (order['give_quantity'] / 100)
market_order['fee_provided'] = format(D(order['fee_provided']) / (D(order['give_quantity']) / D(100)), '.2f')
except Exception as e:
fee_provided = min_fee_provided - 1 # exclude
exclude = fee_provided < min_fee_provided
elif order['get_asset'] == 'BTC':
try:
fee_required = order['fee_required'] / (order['get_quantity'] / 100)
market_order['fee_required'] = format(D(order['fee_required']) / (D(order['get_quantity']) / D(100)), '.2f')
except Exception as e:
fee_required = max_fee_required + 1 # exclude
exclude = fee_required > max_fee_required
if not exclude:
if order['give_asset'] == base_asset:
try:
price = calculate_price(order['give_quantity'], order['get_quantity'], supplies[order['give_asset']][1], supplies[order['get_asset']][1], 'SELL')
except:
continue
market_order['type'] = 'SELL'
market_order['amount'] = order['give_remaining']
market_order['total'] = D(order['give_remaining']) * D(price)
if not supplies[order['give_asset']][1] and supplies[order['get_asset']][1]:
market_order['total'] = int(market_order['total'] * config.UNIT)
elif supplies[order['give_asset']][1] and not supplies[order['get_asset']][1]:
market_order['total'] = int(market_order['total'] / config.UNIT)
else:
market_order['total'] = int(market_order['total'])
else:
try:
price = calculate_price(order['get_quantity'], order['give_quantity'], supplies[order['get_asset']][1], supplies[order['give_asset']][1], 'BUY')
except:
continue
market_order['type'] = 'BUY'
market_order['total'] = order['give_remaining']
market_order['amount'] = D(order['give_remaining']) / D(price)
if supplies[order['give_asset']][1] and not supplies[order['get_asset']][1]:
market_order['amount'] = int(market_order['amount'] / config.UNIT)
elif not supplies[order['give_asset']][1] and supplies[order['get_asset']][1]:
market_order['amount'] = int(market_order['amount'] * config.UNIT)
else:
market_order['amount'] = int(market_order['amount'])
market_order['price'] = price
if len(addresses) > 0:
completed = format(((D(order['give_quantity']) - D(order['give_remaining'])) / D(order['give_quantity'])) * D(100), '.2f')
market_order['completion'] = "{}%".format(completed)
market_order['tx_index'] = order['tx_index']
market_order['tx_hash'] = order['tx_hash']
market_order['source'] = order['source']
market_order['block_index'] = order['block_index']
market_order['block_time'] = order['block_time']
market_orders.append(market_order)
else:
if market_order['type'] == 'SELL':
sell_orders.append(market_order)
else:
buy_orders.append(market_order)
if len(addresses) == 0:
market_orders = merge_same_price_orders(sell_orders) + merge_same_price_orders(buy_orders)
return market_orders
def get_market_trades(asset1, asset2, addresses=[], limit=50, supplies=None):
limit = min(limit, 100)
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
if not supplies:
supplies = get_assets_supply([asset1, asset2])
market_trades = []
sources = ''
bindings = ['expired']
if len(addresses) > 0:
placeholder = ','.join(['?' for e in range(0,len(addresses))])
sources = '''AND (tx0_address IN ({}) OR tx1_address IN ({}))'''.format(placeholder, placeholder)
bindings += addresses + addresses
sql = '''SELECT order_matches.*, blocks.block_time FROM order_matches INNER JOIN blocks ON order_matches.block_index=blocks.block_index
WHERE status != ? {}
AND forward_asset IN (?, ?)
AND backward_asset IN (?, ?)
ORDER BY block_index DESC
LIMIT ?'''.format(sources)
bindings += [asset1, asset2, asset1, asset2, limit]
order_matches = util.call_jsonrpc_api('sql', {'query': sql, 'bindings': bindings})['result']
for order_match in order_matches:
if order_match['tx0_address'] in addresses:
trade = {}
trade['match_id'] = order_match['id']
trade['source'] = order_match['tx0_address']
trade['countersource'] = order_match['tx1_address']
trade['block_index'] = order_match['block_index']
trade['block_time'] = order_match['block_time']
trade['status'] = order_match['status']
if order_match['forward_asset'] == base_asset:
trade['type'] = 'SELL'
trade['price'] = calculate_price(order_match['forward_quantity'], order_match['backward_quantity'], supplies[order_match['forward_asset']][1], supplies[order_match['backward_asset']][1], 'SELL')
trade['amount'] = order_match['forward_quantity']
trade['total'] = order_match['backward_quantity']
else:
trade['type'] = 'BUY'
trade['price'] = calculate_price(order_match['backward_quantity'], order_match['forward_quantity'], supplies[order_match['backward_asset']][1], supplies[order_match['forward_asset']][1], 'BUY')
trade['amount'] = order_match['backward_quantity']
trade['total'] = order_match['forward_quantity']
market_trades.append(trade)
if len(addresses)==0 or order_match['tx1_address'] in addresses:
trade = {}
trade['match_id'] = order_match['id']
trade['source'] = order_match['tx1_address']
trade['countersource'] = order_match['tx0_address']
trade['block_index'] = order_match['block_index']
trade['block_time'] = order_match['block_time']
trade['status'] = order_match['status']
if order_match['backward_asset'] == base_asset:
trade['type'] = 'SELL'
trade['price'] = calculate_price(order_match['backward_quantity'], order_match['forward_quantity'], supplies[order_match['backward_asset']][1], supplies[order_match['forward_asset']][1], 'SELL')
trade['amount'] = order_match['backward_quantity']
trade['total'] = order_match['forward_quantity']
else:
trade['type'] = 'BUY'
trade['price'] = calculate_price(order_match['forward_quantity'], order_match['backward_quantity'], supplies[order_match['forward_asset']][1], supplies[order_match['backward_asset']][1], 'BUY')
trade['amount'] = order_match['forward_quantity']
trade['total'] = order_match['backward_quantity']
market_trades.append(trade)
return market_trades
def get_market_price_history(asset1, asset2, start_ts=None, end_ts=None, as_dict=False):
"""Return block-by-block aggregated market history data for the specified asset pair, within the specified date range.
@returns List of lists (or list of dicts, if as_dict is specified).
* If as_dict is False, each embedded list has 8 elements [block time (epoch in MS), open, high, low, close, volume, # trades in block, block index]
* If as_dict is True, each dict in the list has the keys: block_time (epoch in MS), block_index, open, high, low, close, vol, count
Aggregate on an an hourly basis
"""
now_ts = time.mktime(datetime.datetime.utcnow().timetuple())
if not end_ts: #default to current datetime
end_ts = now_ts
if not start_ts: #default to 180 days before the end date
start_ts = end_ts - (180 * 24 * 60 * 60)
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
#get ticks -- open, high, low, close, volume
result = config.mongo_db.trades.aggregate([
{"$match": {
"base_asset": base_asset,
"quote_asset": quote_asset,
"block_time": {
"$gte": datetime.datetime.utcfromtimestamp(start_ts)
} if end_ts == now_ts else {
"$gte": datetime.datetime.utcfromtimestamp(start_ts),
"$lte": datetime.datetime.utcfromtimestamp(end_ts)
}
}},
{"$project": {
"year": {"$year": "$block_time"},
"month": {"$month": "$block_time"},
"day": {"$dayOfMonth": "$block_time"},
"hour": {"$hour": "$block_time"},
"block_index": 1,
"unit_price": 1,
"base_quantity_normalized": 1 #to derive volume
}},
{"$group": {
"_id": {"year": "$year", "month": "$month", "day": "$day", "hour": "$hour"},
"open": {"$first": "$unit_price"},
"high": {"$max": "$unit_price"},
"low": {"$min": "$unit_price"},
"close": {"$last": "$unit_price"},
"vol": {"$sum": "$base_quantity_normalized"},
"count": {"$sum": 1},
}},
{"$sort": SON([("_id.year", pymongo.ASCENDING), ("_id.month", pymongo.ASCENDING), ("_id.day", pymongo.ASCENDING), ("_id.hour", pymongo.ASCENDING)])},
])
result = list(result)
if not len(result):
return False
midline = [((r['high'] + r['low']) / 2.0) for r in result]
if as_dict:
for i in xrange(len(result)):
result[i]['interval_time'] = int(time.mktime(datetime.datetime(
result[i]['_id']['year'], result[i]['_id']['month'], result[i]['_id']['day'], result[i]['_id']['hour']).timetuple()) * 1000)
result[i]['midline'] = midline[i]
del result[i]['_id']
return result
else:
list_result = []
for i in xrange(len(result)):
list_result.append([
int(time.mktime(datetime.datetime(
result[i]['_id']['year'], result[i]['_id']['month'], result[i]['_id']['day'], result[i]['_id']['hour']).timetuple()) * 1000),
result[i]['open'], result[i]['high'], result[i]['low'], result[i]['close'], result[i]['vol'],
result[i]['count'], midline[i]
])
return list_result
def get_market_orders(asset1, asset2, addresses=[], supplies=None, min_fee_provided=0.95, max_fee_required=0.95):
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
if not supplies:
supplies = get_assets_supply([asset1, asset2])
market_orders = []
buy_orders = []
sell_orders = []
sql = '''SELECT orders.*, blocks.block_time FROM orders INNER JOIN blocks ON orders.block_index=blocks.block_index
WHERE status = ? '''
bindings = ['open']
if len(addresses) > 0:
sql += '''AND source IN ({}) '''.format(','.join(['?' for e in range(0, len(addresses))]))
bindings += addresses
sql += '''AND give_remaining > 0
AND give_asset IN (?, ?)
AND get_asset IN (?, ?)
ORDER BY tx_index DESC'''
bindings += [asset1, asset2, asset1, asset2]
orders = util.call_jsonrpc_api('sql', {'query': sql, 'bindings': bindings})['result']
for order in orders:
market_order = {}
exclude = False
if order['give_asset'] == config.BTC:
try:
fee_provided = order['fee_provided'] / (order['give_quantity'] / 100)
market_order['fee_provided'] = format(D(order['fee_provided']) / (D(order['give_quantity']) / D(100)), '.2f')
except Exception as e:
fee_provided = min_fee_provided - 1 # exclude
exclude = fee_provided < min_fee_provided
elif order['get_asset'] == config.BTC:
try:
fee_required = order['fee_required'] / (order['get_quantity'] / 100)
market_order['fee_required'] = format(D(order['fee_required']) / (D(order['get_quantity']) / D(100)), '.2f')
except Exception as e:
fee_required = max_fee_required + 1 # exclude
exclude = fee_required > max_fee_required
if not exclude:
if order['give_asset'] == base_asset:
try:
price = calculate_price(order['give_quantity'], order['get_quantity'], supplies[order['give_asset']][1], supplies[order['get_asset']][1], 'SELL')
except:
continue
market_order['type'] = 'SELL'
market_order['amount'] = order['give_remaining']
market_order['total'] = D(order['give_remaining']) * D(price)
if not supplies[order['give_asset']][1] and supplies[order['get_asset']][1]:
market_order['total'] = int(market_order['total'] * config.UNIT)
elif supplies[order['give_asset']][1] and not supplies[order['get_asset']][1]:
market_order['total'] = int(market_order['total'] / config.UNIT)
else:
market_order['total'] = int(market_order['total'])
else:
try:
price = calculate_price(order['get_quantity'], order['give_quantity'], supplies[order['get_asset']][1], supplies[order['give_asset']][1], 'BUY')
except:
continue
market_order['type'] = 'BUY'
market_order['total'] = order['give_remaining']
market_order['amount'] = D(order['give_remaining']) / D(price)
if supplies[order['give_asset']][1] and not supplies[order['get_asset']][1]:
market_order['amount'] = int(market_order['amount'] / config.UNIT)
elif not supplies[order['give_asset']][1] and supplies[order['get_asset']][1]:
market_order['amount'] = int(market_order['amount'] * config.UNIT)
else:
market_order['amount'] = int(market_order['amount'])
market_order['price'] = price
if len(addresses) > 0:
completed = format(((D(order['give_quantity']) - D(order['give_remaining'])) / D(order['give_quantity'])) * D(100), '.2f')
market_order['completion'] = "{}%".format(completed)
market_order['tx_index'] = order['tx_index']
market_order['tx_hash'] = order['tx_hash']
market_order['source'] = order['source']
market_order['block_index'] = order['block_index']
market_order['block_time'] = order['block_time']
market_orders.append(market_order)
else:
if market_order['type'] == 'SELL':
sell_orders.append(market_order)
else:
buy_orders.append(market_order)
if len(addresses) == 0:
market_orders = merge_same_price_orders(sell_orders) + merge_same_price_orders(buy_orders)
return market_orders
def parse_trade_book(msg, msg_data):
# book trades
if (msg['category'] == 'order_matches' and
((msg['command'] == 'update' and msg_data['status'] == 'completed')
or # for a trade with BTC involved, but that is settled (completed)
('forward_asset' in msg_data
and msg_data['forward_asset'] != config.BTC
and msg_data['backward_asset'] != config.BTC))
): # or for a trade without BTC on either end
if msg['command'] == 'update' and msg_data['status'] == 'completed':
# an order is being updated to a completed status (i.e. a BTCpay has completed)
tx0_hash, tx1_hash = msg_data['order_match_id'][:64], msg_data[
'order_match_id'][65:]
# get the order_match this btcpay settles
order_match = util.jsonrpc_api("get_order_matches", {
'filters': [{
'field': 'tx0_hash',
'op': '==',
'value': tx0_hash
}, {
'field': 'tx1_hash',
'op': '==',
'value': tx1_hash
}]
},
abort_on_error=False)['result'][0]
else:
assert msg_data[
'status'] == 'completed' # should not enter a pending state for non BTC matches
order_match = msg_data
forward_asset_info = config.mongo_db.tracked_assets.find_one(
{'asset': order_match['forward_asset']})
backward_asset_info = config.mongo_db.tracked_assets.find_one(
{'asset': order_match['backward_asset']})
assert forward_asset_info and backward_asset_info
base_asset, quote_asset = util.assets_to_asset_pair(
order_match['forward_asset'], order_match['backward_asset'])
# don't create trade records from order matches with BTC that are under the dust limit
if ((order_match['forward_asset'] == config.BTC
and order_match['forward_quantity'] <=
config.ORDER_BTC_DUST_LIMIT_CUTOFF)
or (order_match['backward_asset'] == config.BTC
and order_match['backward_quantity'] <=
config.ORDER_BTC_DUST_LIMIT_CUTOFF)):
logger.debug("Order match %s ignored due to %s under dust limit." %
(order_match['tx0_hash'] + order_match['tx1_hash'],
config.BTC))
return 'ABORT_THIS_MESSAGE_PROCESSING'
# take divisible trade quantities to floating point
forward_quantity = blockchain.normalize_quantity(
order_match['forward_quantity'], forward_asset_info['divisible'])
backward_quantity = blockchain.normalize_quantity(
order_match['backward_quantity'], backward_asset_info['divisible'])
# compose trade
trade = {
'block_index':
config.state['cur_block']['block_index'],
'block_time':
config.state['cur_block']['block_time_obj'],
'message_index':
msg['message_index'], # secondary temporaral ordering off of when
'order_match_id':
order_match['tx0_hash'] + '_' + order_match['tx1_hash'],
'order_match_tx0_index':
order_match['tx0_index'],
'order_match_tx1_index':
order_match['tx1_index'],
'order_match_tx0_address':
order_match['tx0_address'],
'order_match_tx1_address':
order_match['tx1_address'],
'base_asset':
base_asset,
'quote_asset':
quote_asset,
'base_quantity':
order_match['forward_quantity'] if order_match['forward_asset']
== base_asset else order_match['backward_quantity'],
'quote_quantity':
order_match['backward_quantity'] if order_match['forward_asset']
== base_asset else order_match['forward_quantity'],
'base_quantity_normalized':
forward_quantity if order_match['forward_asset'] == base_asset else
backward_quantity,
'quote_quantity_normalized':
backward_quantity if order_match['forward_asset'] == base_asset
else forward_quantity,
}
d = D(trade['quote_quantity_normalized']) / D(
trade['base_quantity_normalized'])
d = d.quantize(EIGHT_PLACES,
rounding=decimal.ROUND_HALF_EVEN,
context=decimal.Context(prec=30))
trade['unit_price'] = float(d)
d = D(trade['base_quantity_normalized']) / D(
trade['quote_quantity_normalized'])
d = d.quantize(EIGHT_PLACES,
rounding=decimal.ROUND_HALF_EVEN,
context=decimal.Context(prec=30))
trade['unit_price_inverse'] = float(d)
config.mongo_db.trades.insert(trade)
logger.info("Procesed Trade from tx %s :: %s" %
(msg['message_index'], trade))
def get_market_price_history(asset1,
asset2,
start_ts=None,
end_ts=None,
as_dict=False):
"""Return block-by-block aggregated market history data for the specified asset pair, within the specified date range.
@returns List of lists (or list of dicts, if as_dict is specified).
* If as_dict is False, each embedded list has 8 elements [block time (epoch in MS), open, high, low, close, volume, # trades in block, block index]
* If as_dict is True, each dict in the list has the keys: block_time (epoch in MS), block_index, open, high, low, close, vol, count
Aggregate on an an hourly basis
"""
now_ts = calendar.timegm(time.gmtime())
if not end_ts: # default to current datetime
end_ts = now_ts
if not start_ts: # default to 180 days before the end date
start_ts = end_ts - (180 * 24 * 60 * 60)
base_asset, quote_asset = util.assets_to_asset_pair(asset1, asset2)
# get ticks -- open, high, low, close, volume
result = config.mongo_db.trades.aggregate([
{
"$match": {
"base_asset": base_asset,
"quote_asset": quote_asset,
"block_time": {
"$gte": datetime.datetime.utcfromtimestamp(start_ts)
} if end_ts == now_ts else {
"$gte": datetime.datetime.utcfromtimestamp(start_ts),
"$lte": datetime.datetime.utcfromtimestamp(end_ts)
}
}
},
{
"$project": {
"year": {
"$year": "$block_time"
},
"month": {
"$month": "$block_time"
},
"day": {
"$dayOfMonth": "$block_time"
},
"hour": {
"$hour": "$block_time"
},
"block_index": 1,
"unit_price": 1,
"base_quantity_normalized": 1 # to derive volume
}
},
{
"$group": {
"_id": {
"year": "$year",
"month": "$month",
"day": "$day",
"hour": "$hour"
},
"open": {
"$first": "$unit_price"
},
"high": {
"$max": "$unit_price"
},
"low": {
"$min": "$unit_price"
},
"close": {
"$last": "$unit_price"
},
"vol": {
"$sum": "$base_quantity_normalized"
},
"count": {
"$sum": 1
},
}
},
{
"$sort":
SON([("_id.year", pymongo.ASCENDING),
("_id.month", pymongo.ASCENDING),
("_id.day", pymongo.ASCENDING),
("_id.hour", pymongo.ASCENDING)])
},
])
result = list(result)
if not len(result):
return False
midline = [((r['high'] + r['low']) / 2.0) for r in result]
if as_dict:
for i in range(len(result)):
result[i]['interval_time'] = int(
calendar.timegm(
datetime.datetime(
result[i]['_id']['year'], result[i]['_id']['month'],
result[i]['_id']['day'],
result[i]['_id']['hour']).timetuple()) * 1000)
result[i]['midline'] = midline[i]
del result[i]['_id']
return result
else:
list_result = []
for i in range(len(result)):
list_result.append([
int(
calendar.timegm(
datetime.datetime(
result[i]['_id']['year'],
result[i]['_id']['month'], result[i]['_id']['day'],
result[i]['_id']['hour']).timetuple()) * 1000),
result[i]['open'], result[i]['high'], result[i]['low'],
result[i]['close'], result[i]['vol'], result[i]['count'],
midline[i]
])
return list_result
