def __init__(self, product_id='BTC-USD'):
print("Initializing order Book websocket for " + product_id)
self.product = product_id
super(GDaxBook, self).__init__(products=[self.product])
super(GDaxBook, self).start()
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient()
self._sequence = -1
self._current_ticker = None
def __init__(self, product_id='BTC-USD', log_to=None):
super(OrderBook, self).__init__(products=product_id)
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient()
self._sequence = -1
self._log_to = log_to
if self._log_to:
assert hasattr(self._log_to, 'write')
self._current_ticker = None
def __init__(self, product_id='BTC-USD', windowSize=30):
super(AutoBot, self).__init__(products=product_id, channels=['ticker'])
self._client = PublicClient()
self._sequence = -1
self._current_ticker = None
self._queue = deque([], windowSize)
self._window_size = windowSize
self._last_average = 0
self._ownedCoins = 0
def __init__(self,
product_id='BTC-USD',
log_to=None,
autoreconnect=True,
max_retries=3):
super(OrderBook, self).__init__(products=[product_id])
self.channels = ['full']
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient()
self._sequence = -1
self._log_to = log_to
self._retries = 0
self._max_retries = max_retries
self._autoreconnect = autoreconnect
self._is_ready = False
if self._log_to:
assert hasattr(self._log_to, 'write')
self._current_ticker = None
def __init__(self, key, secret, passphrase, product):
self.key = key
self.secret = secret
self.passphrase = passphrase
self.product = product
self.websocket_client = WebsocketClient()
self.order_book = OrderBook(product_id=product)
self.auth_client = AuthenticatedClient(key, secret, passphrase)
self.public_client = PublicClient()
self.sells = []
self.buys = []
self.sell_tracker = 0
self.buy_tracker = 0
self.sell_fees = 0
self.buy_fees = 0
self.num_buys = 0
self.num_sells = 0
self.av_sell = 0
self.av_buy = 0
self.last_buy = 0
self.last_sell = 0
self.current_balance = 0
self.ticker_tracker = []
def __init__(self,
url="wss://ws-feed.gdax.com",
product_id='BTC-USD',
auth=False,
api_key="",
api_secret="",
api_passphrase="",
log_to=None):
super(OrderBook, self).__init__(url=url,
products=product_id,
auth=auth,
api_key=api_key,
api_secret=api_secret,
api_passphrase=api_passphrase)
print("------------------------------orderbook url:", url)
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient()
self._sequence = -1
self._log_to = log_to
if self._log_to:
assert hasattr(self._log_to, 'write')
self._current_ticker = None
def __init__(self, saveMessage=0, product_id='BTC-USD'):
self.url = "wss://ws-feed.gdax.com/"
self.ws = create_connection(self.url)
self.product_id = product_id
self.sequence = -1
self.stop = False
self._sequence = -1
self._client = PublicClient()
self._asks = RBTree()
self._bids = RBTree()
self._current_ticker = None
self.saveMessage = saveMessage
self.t1 = None
self.t2 = None
self.t3 = None
def __init__(self):
self.binanceClient = BinanceClient(BinanceSettings.api_key,
BinanceSettings.api_secret)
self.gdax_public_client = GdaxPublicClient()
self.gdax_authenticated_client = GdaxAuthenticatedClient(
key=GdaxSettings.api_key,
b64secret=GdaxSettings.api_secret,
passphrase=GdaxSettings.api_passphrase)
self.sandbox_gdax_authenticated_client = GdaxAuthenticatedClient(
key=GdaxSettings.sandbox_key,
b64secret=GdaxSettings.sandbox_secret,
passphrase=GdaxSettings.sandbox_passphrase,
api_url='https://api-public.sandbox.gdax.com')
self.kraken_public_client = KrakenAPI()
self.MARKET_BINANCE = 'binance'
self.MARKET_GDAX = 'gdax'
self.MARKET_KRAKEN = 'kraken'
def __init__(self, product_id='BTC-USD'):
super(OrderBook, self).__init__(products=product_id)
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient(product_id=product_id)
self._sequence = -1
class OrderBook(WebsocketClient):
def __init__(self, product_id='BTC-USD', log_to=None):
super(OrderBook, self).__init__(products=product_id)
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient()
self._sequence = -1
self._log_to = log_to
if self._log_to:
assert hasattr(self._log_to, 'write')
self._current_ticker = None
@property
def product_id(self):
''' Currently OrderBook only supports a single product even though it is stored as a list of products. '''
return self.products[0]
def on_message(self, message):
if self._log_to:
pickle.dump(message, self._log_to)
sequence = message['sequence']
if self._sequence == -1:
self._asks = RBTree()
self._bids = RBTree()
res = self._client.get_product_order_book(product_id=self.product_id, level=3)
for bid in res['bids']:
self.add({
'id': bid[2],
'side': 'buy',
'price': Decimal(bid[0]),
'size': Decimal(bid[1])
})
for ask in res['asks']:
self.add({
'id': ask[2],
'side': 'sell',
'price': Decimal(ask[0]),
'size': Decimal(ask[1])
})
self._sequence = res['sequence']
if sequence <= self._sequence:
# ignore older messages (e.g. before order book initialization from getProductOrderBook)
return
elif sequence > self._sequence + 1:
print('Error: messages missing ({} - {}). Re-initializing websocket.'.format(sequence, self._sequence))
self.close()
self.start()
return
msg_type = message['type']
if msg_type == 'open':
self.add(message)
elif msg_type == 'done' and 'price' in message:
self.remove(message)
elif msg_type == 'match':
self.match(message)
self._current_ticker = message
elif msg_type == 'change':
self.change(message)
self._sequence = sequence
# bid = self.get_bid()
# bids = self.get_bids(bid)
# bid_depth = sum([b['size'] for b in bids])
# ask = self.get_ask()
# asks = self.get_asks(ask)
# ask_depth = sum([a['size'] for a in asks])
# print('bid: %f @ %f - ask: %f @ %f' % (bid_depth, bid, ask_depth, ask))
def on_error(self, e):
self._sequence = -1
self.close()
self.start()
def add(self, order):
order = {
'id': order.get('order_id') or order['id'],
'side': order['side'],
'price': Decimal(order['price']),
'size': Decimal(order.get('size') or order['remaining_size'])
}
if order['side'] == 'buy':
bids = self.get_bids(order['price'])
if bids is None:
bids = [order]
else:
bids.append(order)
self.set_bids(order['price'], bids)
else:
asks = self.get_asks(order['price'])
if asks is None:
asks = [order]
else:
asks.append(order)
self.set_asks(order['price'], asks)
def remove(self, order):
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is not None:
bids = [o for o in bids if o['id'] != order['order_id']]
if len(bids) > 0:
self.set_bids(price, bids)
else:
self.remove_bids(price)
else:
asks = self.get_asks(price)
if asks is not None:
asks = [o for o in asks if o['id'] != order['order_id']]
if len(asks) > 0:
self.set_asks(price, asks)
else:
self.remove_asks(price)
def match(self, order):
size = Decimal(order['size'])
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if not bids:
return
assert bids[0]['id'] == order['maker_order_id']
if bids[0]['size'] == size:
self.set_bids(price, bids[1:])
else:
bids[0]['size'] -= size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if not asks:
return
assert asks[0]['id'] == order['maker_order_id']
if asks[0]['size'] == size:
self.set_asks(price, asks[1:])
else:
asks[0]['size'] -= size
self.set_asks(price, asks)
def change(self, order):
try:
new_size = Decimal(order['new_size'])
except KeyError:
return
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is None or not any(o['id'] == order['order_id'] for o in bids):
return
index = [b['id'] for b in bids].index(order['order_id'])
bids[index]['size'] = new_size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if asks is None or not any(o['id'] == order['order_id'] for o in asks):
return
index = [a['id'] for a in asks].index(order['order_id'])
asks[index]['size'] = new_size
self.set_asks(price, asks)
tree = self._asks if order['side'] == 'sell' else self._bids
node = tree.get(price)
if node is None or not any(o['id'] == order['order_id'] for o in node):
return
def get_current_ticker(self):
return self._current_ticker
def get_current_book(self):
result = {
'sequence': self._sequence,
'asks': [],
'bids': [],
}
for ask in self._asks:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_ask = self._asks[ask]
except KeyError:
continue
for order in this_ask:
result['asks'].append([order['price'], order['size'], order['id']])
for bid in self._bids:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_bid = self._bids[bid]
except KeyError:
continue
for order in this_bid:
result['bids'].append([order['price'], order['size'], order['id']])
return result
def get_ask(self):
return self._asks.min_key()
def get_asks(self, price):
return self._asks.get(price)
def remove_asks(self, price):
self._asks.remove(price)
def set_asks(self, price, asks):
self._asks.insert(price, asks)
def get_bid(self):
return self._bids.max_key()
def get_bids(self, price):
return self._bids.get(price)
def remove_bids(self, price):
self._bids.remove(price)
def set_bids(self, price, bids):
self._bids.insert(price, bids)
class Interface:
def __init__(self):
self.binanceClient = BinanceClient(BinanceSettings.api_key,
BinanceSettings.api_secret)
self.gdax_public_client = GdaxPublicClient()
self.gdax_authenticated_client = GdaxAuthenticatedClient(
key=GdaxSettings.api_key,
b64secret=GdaxSettings.api_secret,
passphrase=GdaxSettings.api_passphrase)
self.sandbox_gdax_authenticated_client = GdaxAuthenticatedClient(
key=GdaxSettings.sandbox_key,
b64secret=GdaxSettings.sandbox_secret,
passphrase=GdaxSettings.sandbox_passphrase,
api_url='https://api-public.sandbox.gdax.com')
self.kraken_public_client = KrakenAPI()
self.MARKET_BINANCE = 'binance'
self.MARKET_GDAX = 'gdax'
self.MARKET_KRAKEN = 'kraken'
def get_prices(self, exchange):
if exchange == self.MARKET_BINANCE:
market_books = self.binanceClient.get_products_and_prices()
elif exchange == self.MARKET_GDAX:
market_books = self.gdax_public_client.get_products_with_prices()
elif exchange == self.MARKET_KRAKEN:
market_books = self.kraken_public_client.get_market_tickers()
else:
print("No exchange found with name: " + exchange)
# TODO throw exception
return market_books
def create_test_order(self,
exchange,
symbol,
side,
limit_market,
quantity,
price=0.0):
if exchange == self.MARKET_BINANCE:
response = self.binanceClient.create_test_order(symbol=symbol,
side=side,
type=limit_market,
quantity=quantity,
price=price,
timeInForce="GTC")
print("order is filled")
# The binance test order does not actually get passed to the matching engine, so we're unable to test this.
if exchange == self.MARKET_GDAX:
symbol_reformatted = symbol[:3] + "-" + symbol[
3:] # TODO is this correct?
response = self.sandbox_gdax_authenticated_client.create_order(
symbol=symbol_reformatted,
side=side,
limit_market=limit_market,
quantity=quantity,
price=price)
order_id = response["id"]
order_filled = False
while not order_filled:
order = self.sandbox_gdax_authenticated_client.get_order(
order_id)
if order["status"] == "done":
print("order is filled!")
order_filled = True
else:
print("order not yet filled")
time.sleep(5)
def create_order(self,
exchange,
symbol,
side,
limit_market,
quantity,
price=0.0):
if exchange == self.MARKET_BINANCE:
order = self.binanceClient.create_order(symbol,
side,
quantity,
price,
type=limit_market)
elif exchange == self.MARKET_GDAX:
order = self.gdax_authenticated_client.create_order(
symbol, side, limit_market, quantity, price)
else:
print("No exchange found with name: " + exchange)
# TODO throw exception
print(order)
def order_filled(self, exchange, order_id):
if exchange == self.MARKET_BINANCE:
return self.binanceClient.get_order(order_id)['status'] == 'done'
elif exchange == self.MARKET_GDAX:
return self.gdax_authenticated_client.get_order(
order_id)['status'] == 'done'
else:
return ''
class Bot(object):
def __init__(self, key, secret, passphrase, product):
self.key = key
self.secret = secret
self.passphrase = passphrase
self.product = product
self.websocket_client = WebsocketClient()
self.order_book = OrderBook(product_id=product)
self.auth_client = AuthenticatedClient(key, secret, passphrase)
self.public_client = PublicClient()
self.sells = []
self.buys = []
self.sell_tracker = 0
self.buy_tracker = 0
self.sell_fees = 0
self.buy_fees = 0
self.num_buys = 0
self.num_sells = 0
self.av_sell = 0
self.av_buy = 0
self.last_buy = 0
self.last_sell = 0
self.current_balance = 0
self.ticker_tracker = []
def get_order_info(self, ticker, number_measures, length_measures,
order_book_skim):
bid_intervals = []
bid_depths_intervals = []
ask_intervals = []
ask_depths_intervals = []
count = 1
while count <= number_measures:
print('Volume check %s' % count)
time.sleep(length_measures)
current_order_book = self.order_book.get_current_book()
bids, bid_depths, asks, ask_depths = sort_messages(
ticker, current_order_book, order_book_skim)
bid_intervals.append(bids)
ask_intervals.append(asks)
bid_depths_intervals.append(bid_depths)
ask_depths_intervals.append(ask_depths)
count += 1
return bid_intervals, bid_depths_intervals, ask_intervals, ask_depths_intervals
def check_volatility(self, volatility_interval, num_volatility_measures):
if len(self.ticker_tracker) > num_volatility_measures + 1:
delta_price = np.diff(self.ticker_tracker)
vol_measure = np.average(delta_price[-num_volatility_measures:])
else:
vol_measure = 0
return abs(vol_measure)
def start_order_book(self):
self.order_book.start()
def order_book_repeat_sample(self, duration, order_book_skim):
with open('crypto_data.csv', 'w') as csv_file:
writer = csv.writer(
csv_file,
delimiter='\t',
lineterminator='\n',
)
header = [
'datetime', 'ticker price', 'average bid', 'average ask',
'bid volume', 'ask volume'
]
writer.writerow(header)
while True:
ticker = float(
self.public_client.get_product_ticker(
self.product)['price'])
current_order_book = self.order_book.get_current_book()
bids, bid_depths, asks, ask_depths = sort_messages(
ticker, current_order_book, order_book_skim)
if len(bids) != 0 and len(asks) != 0 and len(
bid_depths) != 0 and len(ask_depths) != 0:
print(bids[1])
print(bids[2])
av_bid = np.average(bids)
av_ask = np.average(asks)
total_bids = np.sum(bid_depths)
total_asks = np.sum(ask_depths)
else:
av_bid = 'N/A'
av_ask = 'N/A'
total_bids = 'N/A'
total_asks = 'N/A'
print('Average bid', av_bid)
print('Average ask', av_ask)
print('total bid volume', total_bids)
print('total ask volume', total_asks)
data = [
datetime.datetime.now(), ticker, av_bid, av_ask,
total_bids, total_asks
]
writer.writerow(data)
time.sleep(duration)
def track_performance(self, string_id, transaction):
if 'side' in transaction.keys():
if transaction['side'] == 'sell':
self.sells.append(transaction['id'])
if transaction['side'] == 'buy':
self.buys.append(transaction['id'])
def evaluate_performance(self):
print('Current sell orders:')
for sell in self.sells:
order = self.auth_client.get_order(sell)
if 'message' in order.keys():
self.sells.remove(sell)
else:
print('price:', order['price'], 'size:', order['size'])
if order['settled'] == True:
self.sell_tracker += float(order['size']) * float(
order['price'])
self.sell_fees += float(order['fill_fees'])
self.num_sells += float(order['size'])
self.sells.remove(sell)
print('Current buy orders:')
for buy in self.buys:
order = self.auth_client.get_order(buy)
if 'message' in order.keys():
self.buys.remove(buy)
else:
print('price:', order['price'], 'size:', order['size'])
if order['settled'] == True:
self.buy_tracker += float(order['size']) * float(
order['price'])
self.buy_fees += float(order['fill_fees'])
self.num_buys += float(order['size'])
self.buys.remove(buy)
if self.num_buys > 0:
self.av_buy = self.buy_tracker / self.num_buys
if self.num_sells > 0:
self.av_sell = self.sell_tracker / self.num_sells
print('Number of buys:', self.num_buys)
print('Buy USD volume:', self.buy_tracker)
print('Number of sells:', self.num_sells)
print('Sell USD volume:', self.sell_tracker)
print('Net fees:', self.sell_fees + self.buy_fees)
print(
'Net USD profit:', self.sell_tracker - self.buy_tracker -
self.sell_fees - self.buy_fees)
print('Av sell:', self.av_sell)
print('Av buy:', self.av_buy)
def check_existing_sells(self, current_order_price, current_order_size,
vol_measure):
new_average = (self.sell_tracker +
current_order_price * current_order_size) / (
self.num_sells + current_order_size)
print('new av', new_average)
if len(self.sells) > 0:
if new_average > self.av_buy:
if self.num_buys > 0:
for sell in self.sells:
order = self.auth_client.get_order(sell)
order_price = float(order['price'])
if 'message' in order.keys():
self.buys.remove(sell)
return 'keep'
else:
if self.av_buy < current_order_price:
if order_price < current_order_price - vol_measure:
self.buys.remove(sell)
self.auth_client.cancel_order(order['id'])
return 'keep'
else:
return 'abandon'
else:
return 'abandon'
else:
if current_order_price > self.last_buy:
return 'keep'
else:
return 'abandon'
else:
return 'abandon'
else:
return 'keep'
def check_existing_buys(self, current_order_price, current_order_size,
vol_measure):
fees = 0.0025 * (current_order_price * current_order_size)
current_plus_fees = current_order_price + fees
new_average = (self.buy_tracker +
current_order_price * current_order_size +
fees) / (self.num_buys + current_order_size)
if len(self.buys) > 0:
if new_average < self.av_sell:
if self.num_sells > 0:
for buy in self.buys:
order = self.auth_client.get_order(buy)
order_plus_fees = float(
order['price']) + 0.0025 * float(
order['price']) * float(order['size'])
if 'message' in order.keys():
self.buys.remove(buy)
return 'keep'
else:
if self.av_sell > order_plus_fees:
if order_plus_fees > current_plus_fees + vol_measure:
self.buys.remove(buy)
self.auth_client.cancel_order(order['id'])
return 'keep'
else:
return 'abandon'
else:
return 'abandon'
else:
if current_order_price < self.last_sell:
return 'keep'
else:
return 'abandon'
else:
return 'abandon'
else:
return 'keep'
def execute_volume_strategy(self, number_measures, length_measures,
order_book_skim, base_size,
volatility_interval, num_volatility_measures,
vol_confidence, run_minutes):
t_end = time.time() + 60 * run_minutes
while time.time() < t_end:
print('time remaining', t_end - time.time())
#
# while True:
vol_measure = self.check_volatility(volatility_interval,
num_volatility_measures)
# accounts = self.auth_client.get_accounts()
# balance = 0
# for account in accounts:
# if account['currency'] == self.product:
# balance = account['balance']
# print('balance', balance)
ticker = float(
self.public_client.get_product_ticker(self.product)['price'])
bid_intervals, bid_depths_intervals, ask_intervals, ask_depths_intervals = self.get_order_info(
ticker, number_measures, length_measures, order_book_skim)
while check_order_info(bid_intervals, bid_depths_intervals,
ask_intervals,
ask_depths_intervals) == False:
time.sleep(10)
bid_intervals, bid_depths_intervals, ask_intervals, ask_depths_intervals = self.get_order_info(
ticker, number_measures, length_measures, order_book_skim)
ticker = float(
self.public_client.get_product_ticker(self.product)['price'])
self.ticker_tracker.append(ticker)
self.check_volatility(volatility_interval, num_volatility_measures)
decision = make_trade_decision(ticker, bid_intervals,
bid_depths_intervals, ask_intervals,
ask_depths_intervals, vol_measure,
vol_confidence, base_size,
self.num_buys, self.num_sells,
self.av_buy, self.av_sell)
if decision[0] == 'buy':
place_decision = self.check_existing_buys(
float(decision[1]), float(decision[2]), vol_measure)
if place_decision == 'keep':
print('Placing buy order...')
print('price', decision[1], 'size', decision[2])
buy = self.auth_client.buy(price=decision[1],
size=decision[2],
product_id=self.product)
self.last_buy = float(decision[1])
self.track_performance('buy', buy)
time.sleep(10)
if place_decision == 'abandon':
'Waiting on existing trades'
elif decision[0] == 'sell':
place_decision = self.check_existing_sells(
float(decision[1]), float(decision[2]), vol_measure)
if place_decision == 'keep':
print('Placing sell order...')
print('price', decision[1], 'size', decision[2])
sell = self.auth_client.sell(price=decision[1],
size=decision[2],
product_id=self.product)
self.last_sell = float(decision[1])
self.track_performance('sell', sell)
time.sleep(10)
if place_decision == 'abandon':
'Waiting on existing trades'
elif decision[0] == 'hold':
print('Holding...')
else:
print('Problem...')
self.evaluate_performance()
print('test complete')
print()
class OrderBook(WebsocketClient):
def __init__(self,
product_id='BTC-USD',
log_to=None,
autoreconnect=True,
max_retries=3):
super(OrderBook, self).__init__(products=[product_id])
self.channels = ['full']
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient()
self._sequence = -1
self._log_to = log_to
self._retries = 0
self._max_retries = max_retries
self._autoreconnect = autoreconnect
self._is_ready = False
if self._log_to:
assert hasattr(self._log_to, 'write')
self._current_ticker = None
@property
def product_id(self):
''' Currently OrderBook only supports a single product even though it is stored as a list of products. '''
return self.products[0]
def is_ready(self):
return self._is_ready
def on_open(self):
self._sequence = -1
self._retries = 0
print("-- Subscribed to OrderBook! --\n")
def on_close(self):
print("\n-- OrderBook Socket Closed! --")
self._is_ready = False
if not self.ws.sock or not self.ws.sock.connected and self._autoreconnect:
self._sequence = -1
if self._retries < self._max_retries:
print('-- OrderBook Reconnecting... --')
self._retries += 1
self.start()
else:
print('-- Could not reconnect, stopping... --')
def reset_book(self):
self._is_ready = False
self._asks = RBTree()
self._bids = RBTree()
res = self._client.get_product_order_book(product_id=self.product_id,
level=3)
for bid in res['bids']:
self.add({
'id': bid[2],
'side': 'buy',
'price': Decimal(bid[0]),
'size': Decimal(bid[1])
})
for ask in res['asks']:
self.add({
'id': ask[2],
'side': 'sell',
'price': Decimal(ask[0]),
'size': Decimal(ask[1])
})
print("\n-- OrderBook Data Initialized --")
self._is_ready = True
self._sequence = res['sequence']
def on_message(self, message):
if self._log_to:
pickle.dump(message, self._log_to)
if 'sequence' not in message:
return
sequence = message['sequence']
if self._sequence == -1:
print("\n-- Initializing OrderBook --")
self.reset_book()
return
if sequence <= self._sequence:
# ignore older messages (e.g. before order book initialization from getProductOrderBook)
return
elif sequence > self._sequence + 1:
self.on_sequence_gap(self._sequence, sequence)
return
msg_type = message['type']
if msg_type == 'open':
self.add(message)
elif msg_type == 'done' and 'price' in message:
self.remove(message)
elif msg_type == 'match':
self.match(message)
self._current_ticker = message
elif msg_type == 'change':
self.change(message)
self._sequence = sequence
def on_error(self, ws, e):
super(OrderBook, self).on_error(ws, e)
if not ws.sock or not ws.sock.connected:
self._sequence = -1
self._is_ready = False
if self._retries < self._max_retries:
print('-- OrderBook Disconnected, reconnecting... --')
self._retries += 1
self.start()
else:
print('-- Could not reconnect, stopping... --')
def on_sequence_gap(self, gap_start, gap_end):
self._sequence = -1
self.reset_book()
print('-- Error: messages missing, re-initializing book. --'.format(
gap_start, gap_end, self._sequence))
def add(self, order):
order = {
'id': order.get('order_id') or order['id'],
'side': order['side'],
'price': Decimal(order['price']),
'size': Decimal(order.get('size') or order['remaining_size'])
}
if order['side'] == 'buy':
bids = self.get_bids(order['price'])
if bids is None:
bids = [order]
else:
bids.append(order)
self.set_bids(order['price'], bids)
else:
asks = self.get_asks(order['price'])
if asks is None:
asks = [order]
else:
asks.append(order)
self.set_asks(order['price'], asks)
def remove(self, order):
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is not None:
bids = [o for o in bids if o['id'] != order['order_id']]
if len(bids) > 0:
self.set_bids(price, bids)
else:
self.remove_bids(price)
else:
asks = self.get_asks(price)
if asks is not None:
asks = [o for o in asks if o['id'] != order['order_id']]
if len(asks) > 0:
self.set_asks(price, asks)
else:
self.remove_asks(price)
def match(self, order):
size = Decimal(order['size'])
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if not bids:
return
assert bids[0]['id'] == order['maker_order_id']
if bids[0]['size'] == size:
self.set_bids(price, bids[1:])
else:
bids[0]['size'] -= size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if not asks:
return
assert asks[0]['id'] == order['maker_order_id']
if asks[0]['size'] == size:
self.set_asks(price, asks[1:])
else:
asks[0]['size'] -= size
self.set_asks(price, asks)
def change(self, order):
try:
new_size = Decimal(order['new_size'])
except KeyError:
return
try:
price = Decimal(order['price'])
except KeyError:
return
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is None or not any(o['id'] == order['order_id']
for o in bids):
return
index = [b['id'] for b in bids].index(order['order_id'])
bids[index]['size'] = new_size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if asks is None or not any(o['id'] == order['order_id']
for o in asks):
return
index = [a['id'] for a in asks].index(order['order_id'])
asks[index]['size'] = new_size
self.set_asks(price, asks)
tree = self._asks if order['side'] == 'sell' else self._bids
node = tree.get(price)
if node is None or not any(o['id'] == order['order_id'] for o in node):
return
def get_current_ticker(self):
return self._current_ticker
def get_current_book(self):
result = {
'sequence': self._sequence,
'asks': [],
'bids': [],
}
for ask in self._asks:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_ask = self._asks[ask]
except KeyError:
continue
for order in this_ask:
result['asks'].append(
[order['price'], order['size'], order['id']])
for bid in self._bids:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_bid = self._bids[bid]
except KeyError:
continue
for order in this_bid:
result['bids'].append(
[order['price'], order['size'], order['id']])
return result
def get_ask(self):
return self._asks.min_key()
def get_asks(self, price):
return self._asks.get(price)
def remove_asks(self, price):
self._asks.remove(price)
def set_asks(self, price, asks):
self._asks.insert(price, asks)
def get_bid(self):
return self._bids.max_key()
def get_bids(self, price):
return self._bids.get(price)
def remove_bids(self, price):
self._bids.remove(price)
def set_bids(self, price, bids):
self._bids.insert(price, bids)
class OrderBook(WebsocketClient):
def __init__(self, product_id='BTC-USD', log_to=None):
super(OrderBook, self).__init__(products=product_id)
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient()
self._sequence = -1
self._log_to = log_to
if self._log_to:
assert hasattr(self._log_to, 'write')
self._current_ticker = None
@property
def product_id(self):
''' Currently OrderBook only supports a single product even though it is stored as a list of products. '''
return self.products[0]
def on_open(self):
self._sequence = -1
print("-- Subscribed to OrderBook! --\n")
def on_close(self):
print("\n-- OrderBook Socket Closed! --")
def reset_book(self):
self._asks = RBTree()
self._bids = RBTree()
res = self._client.get_product_order_book(
product_id=self.product_id, level=3)
for bid in res['bids']:
self.add({
'id': bid[2],
'side': 'buy',
'price': Decimal(bid[0]),
'size': Decimal(bid[1])
})
for ask in res['asks']:
self.add({
'id': ask[2],
'side': 'sell',
'price': Decimal(ask[0]),
'size': Decimal(ask[1])
})
self._sequence = res['sequence']
def on_message(self, message):
if self._log_to:
pickle.dump(message, self._log_to)
sequence = message['sequence']
if self._sequence == -1:
self.reset_book()
return
if sequence <= self._sequence:
# ignore older messages (e.g. before order book initialization from getProductOrderBook)
return
elif sequence > self._sequence + 1:
self.on_sequence_gap(self._sequence, sequence)
return
msg_type = message['type']
if msg_type == 'open':
self.add(message)
elif msg_type == 'done' and 'price' in message:
self.remove(message)
elif msg_type == 'match':
self.match(message)
self._current_ticker = message
elif msg_type == 'change':
self.change(message)
self._sequence = sequence
def on_sequence_gap(self, gap_start, gap_end):
self.reset_book()
print('Error: messages missing ({} - {}). Re-initializing book at sequence.'.format(
gap_start, gap_end, self._sequence))
def add(self, order):
order = {
'id': order.get('order_id') or order['id'],
'side': order['side'],
'price': Decimal(order['price']),
'size': Decimal(order.get('size') or order['remaining_size'])
}
if order['side'] == 'buy':
bids = self.get_bids(order['price'])
if bids is None:
bids = collections.OrderedDict()
bids[order['id']] = order
self.set_bids(order['price'], bids)
else:
asks = self.get_asks(order['price'])
if asks is None:
asks = collections.OrderedDict()
asks[order['id']] = order
self.set_asks(order['price'], asks)
def remove(self, order):
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is not None:
if order['order_id'] in bids:
del bids[order['order_id']]
if len(bids) > 0:
self.set_bids(price, bids)
else:
self.remove_bids(price)
else:
asks = self.get_asks(price)
if asks is not None:
if order['order_id'] in asks:
del asks[order['order_id']]
if len(asks) > 0:
self.set_asks(price, asks)
else:
self.remove_asks(price)
def match(self, order):
size = Decimal(order['size'])
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if not bids:
return
top_order = bids.items()[0]
assert top_order[1]['id'] == order['maker_order_id']
if top_order[1]['size'] == size:
del bids[order['maker_order_id']]
self.set_bids(price, bids)
else:
top_order[1]['size'] -= size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if not asks:
return
top_order = asks.items()[0]
assert top_order[1]['id'] == order['maker_order_id']
if top_order[1]['size'] == size:
del asks[order['maker_order_id']]
self.set_asks(price, asks)
else:
top_order[1]['size'] -= size
self.set_asks(price, asks)
def change(self, order):
try:
new_size = Decimal(order['new_size'])
except KeyError:
return
try:
price = Decimal(order['price'])
except KeyError:
return
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is None or order['order_id'] not in bids:
return
bids[order['order_id']]['size'] = new_size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if asks is None or order['order_id'] not in asks:
return
asks[order['order_id']]['size'] = new_size
self.set_asks(price, asks)
def get_current_ticker(self):
return self._current_ticker
def get_current_book(self):
result = {
'sequence': self._sequence,
'asks': [],
'bids': [],
}
for ask in self._asks:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_ask = self._asks[ask]
except KeyError:
continue
for order in this_ask:
result['asks'].append(
[order['price'], order['size'], order['id']])
for bid in self._bids:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_bid = self._bids[bid]
except KeyError:
continue
for order in this_bid:
result['bids'].append(
[order['price'], order['size'], order['id']])
return result
def get_ask(self):
return self._asks.min_key()
def get_asks(self, price):
return self._asks.get(price)
def remove_asks(self, price):
self._asks.remove(price)
def set_asks(self, price, asks):
self._asks.insert(price, asks)
def get_bid(self):
return self._bids.max_key()
def get_bids(self, price):
return self._bids.get(price)
def remove_bids(self, price):
self._bids.remove(price)
def set_bids(self, price, bids):
self._bids.insert(price, bids)
def __init__(self, product_id='BTC-USD'):
super(OrderBook, self).__init__(products=product_id)
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient(product_id=product_id)
self._sequence = -1
from gdax.public_client import PublicClient
client = PublicClient()
def get_quotes(ticker):
result = (client.get_product_ticker(ticker))
return result
if __name__ == "__main__":
get_quotes('BTC-USD')
class OrderBook(WebsocketClient):
def __init__(self, product_id='BTC-USD'):
super(OrderBook, self).__init__(products=product_id)
self._asks = RBTree()
self._bids = RBTree()
self._client = PublicClient(product_id=product_id)
self._sequence = -1
def on_message(self, message):
sequence = message['sequence']
if self._sequence == -1:
self._asks = RBTree()
self._bids = RBTree()
res = self._client.get_product_order_book(level=3)
for bid in res['bids']:
self.add({
'id': bid[2],
'side': 'buy',
'price': Decimal(bid[0]),
'size': Decimal(bid[1])
})
for ask in res['asks']:
self.add({
'id': ask[2],
'side': 'sell',
'price': Decimal(ask[0]),
'size': Decimal(ask[1])
})
self._sequence = res['sequence']
if sequence <= self._sequence:
# ignore older messages (e.g. before order book initialization from getProductOrderBook)
return
elif sequence > self._sequence + 1:
print('Error: messages missing ({} - {}). Re-initializing websocket.'.format(sequence, self._sequence))
self.close()
self.start()
return
# print(message)
msg_type = message['type']
if msg_type == 'open':
self.add(message)
elif msg_type == 'done' and 'price' in message:
self.remove(message)
elif msg_type == 'match':
self.match(message)
elif msg_type == 'change':
self.change(message)
self._sequence = sequence
# bid = self.get_bid()
# bids = self.get_bids(bid)
# bid_depth = sum([b['size'] for b in bids])
# ask = self.get_ask()
# asks = self.get_asks(ask)
# ask_depth = sum([a['size'] for a in asks])
# print('bid: %f @ %f - ask: %f @ %f' % (bid_depth, bid, ask_depth, ask))
def add(self, order):
order = {
'id': order.get('order_id') or order['id'],
'side': order['side'],
'price': Decimal(order['price']),
'size': Decimal(order.get('size') or order['remaining_size'])
}
if order['side'] == 'buy':
bids = self.get_bids(order['price'])
if bids is None:
bids = [order]
else:
bids.append(order)
self.set_bids(order['price'], bids)
else:
asks = self.get_asks(order['price'])
if asks is None:
asks = [order]
else:
asks.append(order)
self.set_asks(order['price'], asks)
def remove(self, order):
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is not None:
bids = [o for o in bids if o['id'] != order['order_id']]
if len(bids) > 0:
self.set_bids(price, bids)
else:
self.remove_bids(price)
else:
asks = self.get_asks(price)
if asks is not None:
asks = [o for o in asks if o['id'] != order['order_id']]
if len(asks) > 0:
self.set_asks(price, asks)
else:
self.remove_asks(price)
def match(self, order):
size = Decimal(order['size'])
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if not bids:
return
assert bids[0]['id'] == order['maker_order_id']
if bids[0]['size'] == size:
self.set_bids(price, bids[1:])
else:
bids[0]['size'] -= size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if not asks:
return
assert asks[0]['id'] == order['maker_order_id']
if asks[0]['size'] == size:
self.set_asks(price, asks[1:])
else:
asks[0]['size'] -= size
self.set_asks(price, asks)
def change(self, order):
new_size = Decimal(order['new_size'])
price = Decimal(order['price'])
if order['side'] == 'buy':
bids = self.get_bids(price)
if bids is None or not any(o['id'] == order['order_id'] for o in bids):
return
index = map(itemgetter('id'), bids).index(order['order_id'])
bids[index]['size'] = new_size
self.set_bids(price, bids)
else:
asks = self.get_asks(price)
if asks is None or not any(o['id'] == order['order_id'] for o in asks):
return
index = map(itemgetter('id'), asks).index(order['order_id'])
asks[index]['size'] = new_size
self.set_asks(price, asks)
tree = self._asks if order['side'] == 'sell' else self._bids
node = tree.get(price)
if node is None or not any(o['id'] == order['order_id'] for o in node):
return
def get_current_book(self):
result = {
'sequence': self._sequence,
'asks': [],
'bids': [],
}
for ask in self._asks:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_ask = self._asks[ask]
except KeyError:
continue
for order in this_ask:
result['asks'].append([order['price'], order['size'], order['id']])
for bid in self._bids:
try:
# There can be a race condition here, where a price point is removed
# between these two ops
this_bid = self._bids[bid]
except KeyError:
continue
for order in this_bid:
result['bids'].append([order['price'], order['size'], order['id']])
return result
def get_ask(self):
return self._asks.min_key()
def get_asks(self, price):
return self._asks.get(price)
def remove_asks(self, price):
self._asks.remove(price)
def set_asks(self, price, asks):
self._asks.insert(price, asks)
def get_bid(self):
return self._bids.max_key()
def get_bids(self, price):
return self._bids.get(price)
def remove_bids(self, price):
self._bids.remove(price)
def set_bids(self, price, bids):
self._bids.insert(price, bids)
