def get_total_profit_for_pair(symbol):
buy_prices = Trade.select(Trade.price).where(Trade.symbol == symbol,
Trade.side == 'BUY').dicts()
sell_prices = Trade.select(Trade.price).where(
Trade.symbol == symbol, Trade.side == 'SELL').dicts()
if len(buy_prices) <= 0 or len(sell_prices) <= 0:
return
buy_prices = list(price['price'] for price in buy_prices)
sell_prices = list(price['price'] for price in sell_prices)
buy_prices_average = sum(buy_prices) / len(buy_prices)
sell_prices_average = sum(sell_prices) / len(sell_prices)
price_difference = sell_prices_average / buy_prices_average
buy_qty = Trade.select(Trade.quantity).where(Trade.symbol == symbol,
Trade.side == 'BUY').dicts()
sell_qty = Trade.select(Trade.quantity).where(
Trade.symbol == symbol, Trade.side == 'SELL').dicts()
if len(buy_qty) <= 0 or len(sell_qty) <= 0:
return
buy_qty = list(qty['quantity'] for qty in buy_qty)
sell_qty = list(qty['quantity'] for qty in sell_qty)
buy_qty_sum = sum(buy_qty)
sell_qty_sum = sum(sell_qty)
executed_qty = min(buy_qty_sum, sell_qty_sum)
profit = (price_difference - 1) * executed_qty
return profit
def save_trade(signal_type, signal_id, order, trade_type):
order_date = datetime.utcfromtimestamp(order['transactTime'] /
1000).strftime('%Y-%m-%d')
order_time = datetime.utcfromtimestamp(order['transactTime'] /
1000).strftime('%H:%M:%S')
for fill in order['fills']:
trade = Trade(
order_date=order_date,
order_time=order_time,
signal_type=signal_type,
signal_id=signal_id,
symbol=order['symbol'],
side=order['side'],
price=float(fill['price']),
quantity=float(fill['qty']),
quantity_asset=split_symbol(order['symbol'])['base'],
fee=float(fill['commission']),
fee_asset=fill['commissionAsset'],
order_id=order['orderId'],
status=order['status'],
type=trade_type,
rsi_5m=get_rsi_value(order['symbol'], '5M'),
rsi_1h=get_rsi_value(order['symbol'], '1H'),
price_change_percent_difference=get_price_change_percent_difference(
order['symbol']),
order_timestamp=order['transactTime'],
date_create=int(time.time()))
trade.save()
def check_pump():
print("Looking for Buy Opportunities...")
threading.Thread(target=check_sell).start()
while True:
try:
open_orders = db.query(Trade).all()
for symbol in symbols:
r2 = requests.get(
"https://api.binance.com/api/v1/ticker/24hr?symbol=" +
symbol).json()
prices[symbol] = '{0:.8f}'.format(
round(float(r2['lastPrice']), 8))
pct_change = float(r2['priceChangePercent'])
if round(float(prices[symbol]), 8) < float(prices[symbol])*(1 + expected_change_buy/100) \
and pct_change > expected_change_buy:
# print(pct_change, expected_change_buy)
current_symbol = symbol
if current_symbol not in open_orders:
min_price, min_Qty = calculate_min(current_symbol)
temp_price = float(
prices[symbol]) * final_buy_price_change
final_buy_price = temp_price - (temp_price %
float(min_price))
temp_quantity = buy_quantity_btc / float(
final_buy_price)
quantity = round((temp_quantity -
((temp_quantity % float(min_Qty)))),
8)
try:
trade = Trade.find(symbol)
if trade is None:
order = client.order_limit_buy( # Place order for buy
symbol=current_symbol,
recvWindow=1000,
quantity='{0:.3f}'.format(float(quantity)),
price='{0:.8f}'.format(
float(final_buy_price)))
print("Buy: " + symbol + ' at: ' +
str('{0:.8f}'.format(
float(prices[symbol]) *
final_buy_price_change)) + " from " +
str(prices[symbol]) +
" Due to change % " + str(pct_change))
trade = Trade.get_or_create(symbol)
trade.price = str('{0:.8f}'.format(
float(prices[symbol])))
trade.orderId = order['orderId']
trade.quantity = str('{0:.3f}'.format(
float(quantity)))
db.commit()
check_buy_status(symbol)
else:
continue
except Exception as e:
# print(e)
pass
time.sleep(5)
except Exception as e:
print(e)
def testPriceForBuyTrade(self):
prediction_key = Prediction(contract_one=0.00,
contract_two=0.00,
liquidity=100,
statement="Test",
end_time=datetime.datetime.now()).put()
user_key = Profile().put()
trade = Trade(prediction_id=prediction_key,
user_id=user_key,
direction='BUY',
contract='CONTRACT_ONE',
quantity=10.00)
priceBuy = get_price_for_trade(prediction_key.get(), trade)
self.assertEqual(5.124947951362557, priceBuy)
prediction_key = Prediction(contract_one=10.00,
contract_two=0.00,
liquidity=100,
statement="Test",
end_time=datetime.datetime.now()).put()
trade = Trade(prediction_id=prediction_key,
user_id=user_key,
direction='SELL',
contract='CONTRACT_ONE',
quantity=10.00)
priceSale = get_price_for_trade(prediction_key.get(), trade)
self.assertEqual(-5.124947951362557, priceSale)
def test_invalid_trade(self):
buy = createBuy()
# Orders shouldn't should only fill to opposing side
assert not Trade.create(buy, buy)
# Order shouldn't match if the prices don't intersect
assert not Trade.create(buy, createSell(price=101))
def create(self):
"""Create a trade from the instance created by the constructor"""
Trade.create(
user_one=self.user_one,
user_two=self.user_two,
book_one=self.book_one,
book_two=self.book_two,
status=self.status
)
def localbitcoins_store_in_db_all_new_trades():
logger.debug('getting all existing tids from database')
all_trades = session.query(Trade.source_id).all()
existing_tids = [int(x[0]) for x in all_trades]
logger.debug('got %d tids', len(existing_tids))
oldest_max_tid = max(existing_tids)
trades = localbitcoins_trades(max_tid=None)
if not set([t['tid'] for t in trades]).issubset(existing_tids):
added_tids = []
not_added_tids = []
for t in trades:
if t['tid'] > oldest_max_tid:
session.add(Trade(source_id=t['tid'],
date=datetime.datetime.utcfromtimestamp(int(t['date'])),
amount=Decimal(t['amount']),
price=Decimal(t['price']),
source='localbitcoins'))
added_tids.append(t['tid'])
else:
not_added_tids.append(t['tid'])
if added_tids:
logger.debug('added tids %s to session', str(added_tids))
if not_added_tids:
logger.debug('not added tids %s to session', str(not_added_tids))
session.commit()
logger.debug('committed new records')
else:
logger.debug('trades table seems up to date')
return
max_tid = trades[-1]['tid']-1
while len(trades) == 500 and not set([t['tid'] for t in trades]).issubset(existing_tids):
logger.debug('max_tid for next request is %s', max_tid)
trades = localbitcoins_trades(max_tid)
added_tids = []
not_added_tids = []
for t in trades:
if t['tid'] > oldest_max_tid:
session.add(Trade(source_id=t['tid'],
date=datetime.datetime.utcfromtimestamp(int(t['date'])),
amount=Decimal(t['amount']),
price=Decimal(t['price']),
source='localbitcoins'))
added_tids.append(t['tid'])
else:
not_added_tids.append(t['tid'])
if added_tids:
logger.debug('added tids %s to session', str(added_tids))
if not_added_tids:
logger.debug('not added tids %s to session', str(not_added_tids))
session.commit()
logger.debug('committed new records')
max_tid = trades[-1]['tid']
session.commit()
def create_trade(user_one=None, user_two=None, book_one=None,
book_two=None, status="processing"):
"""Static method to create trade."""
Trade.create(
user_one=user_one,
user_two=user_two,
book_one=book_one,
book_two=book_two,
status=status
)
def fire_etf_orders(trades_df, side, now, strategy, apis, server, algo="echo"):
for trades in trades_df.iterrows():
try:
live_trade = Trade(trades[1].symbol, trades[1].posdifference, side,
now, strategy)
live_trade.submitOrder(apis, server, algo=algo)
except:
logging.warning("Trade failed for", trades[1].symbol)
def get_all_trades_by_user(username):
"""This method return a list of all trades that the user is involved with."""
trades = []
as_primary = Trade.select().where(Trade.user_one == username)
as_secondary = Trade.select().where(Trade.user_two == username)
for t in as_primary:
trades.append(t)
for t in as_secondary:
trades.append(t)
return trades
def __init__(self, tickers, test=False):
self.test = test
self.tickers = tickers
self.ticker = self.tickers[0]
self.start_ticker = self.tickers[-1]
(self.diff, self.diff_pct) = calc_diff(
self.start_ticker.price, self.ticker.price)
self.buys = Trade.select().where(Trade.test == self.test, Trade.currency ==
self.ticker.currency, Trade.type == 'buy').count()
self.sells = Trade.select().where(Trade.test == self.test, Trade.currency ==
self.ticker.currency, Trade.type == 'sell').count()
def test_items_must_belong_to_their_respective_owners(self):
user_from = User('*****@*****.**', 'abe', '1234')
user_to = User('*****@*****.**', 'lincoln', '4321')
item_from = Item(user=user_from)
item_to = Item(user=user_to)
self.db.add_all([user_from, user_to, item_from, item_to])
self.db.commit()
# from to swap
with self.assertRaises(AssertionError):
trade = Trade(user_from_id=user_from.id, user_to_id=user_to.id, item_from=item_to, item_to=item_from)
# to from swap
with self.assertRaises(AssertionError):
trade = Trade(user_from_id=user_to.id, user_to_id=user_from.id, item_to=item_to, item_from=item_from)
def CreateTrade():
"""Creates a trade for the user."""
user_id = users.get_current_user().user_id()
user_key = ndb.Key('Profile', user_id)
current_user = user_key.get()
prediction_key = ndb.Key(urlsafe=request.form['prediction_id'])
prediction = prediction_key.get()
if request.form['is_likelihood'] == 'true':
user_id = users.get_current_user().user_id()
user_key = ndb.Key('Profile', user_id)
current_user = user_key.get()
trade = calculate_trade_from_likelihood(
float(request.form['likelihood']), prediction, current_user)
print trade
else:
trade = Trade(prediction_id=prediction_key,
user_id=user_key,
direction=request.form['direction'],
contract=request.form['contract'],
quantity=float(request.form['quantity']))
err = CreateTradeAction(prediction, current_user, trade)
#TODO replace with error
if err != 'error':
flash('You successfully predicted!')
return redirect('/predictions/' + trade.prediction_id.urlsafe())
def post_trades(self, trades, raw_json=None):
with create_session() as session:
account = session.query(AccountModel).filter_by(
api_key=self.api_key).first()
for trade_params in trades:
trade_id = trade_params['id']
trade_in_db = session.query(Trade).filter_by(
tradeId=trade_id).first()
if not trade_in_db:
trade = Trade(
tradeId=trade_params['id'],
orderId=trade_params['orderId'],
symbol=trade_params['symbol'],
price=trade_params['price'],
qty=trade_params['qty'],
commission=trade_params['commission'],
commissionAsset=trade_params['commissionAsset'],
time=datetime.fromtimestamp(
float(trade_params['time']) / 1000),
isBuyer=trade_params['isBuyer'],
isMaker=trade_params['isMaker'],
isBestMatch=trade_params['isBestMatch'],
account=account,
raw_json=trade_params if not raw_json else raw_json)
session.add(trade)
session.commit()
return True
def generate_trade_history(session, page_size=None, offset=None, sort_column=None, sort_order="ASC"):
trades = Trade.get_last_trades(session, page_size, offset, sort_column, sort_order)
trade_list = []
for trade in trades:
trade_list.append(
[
trade.id,
trade.symbol,
trade.side,
trade.price,
trade.size,
trade.buyer_id,
trade.seller_id,
trade.buyer_username,
trade.seller_username,
trade.created,
trade.order_id,
trade.counter_order_id,
]
)
return trade_list
# trades = Trade.get_last_trades( session, since ).all()
# return trades
pass
def index():
with open('sexycaracas.json') as f:
providers = json.loads(f.read())
with open('vesusd.json') as f:
vesusd = json.loads(f.read())
with open('chaturbate.json') as f:
s = f.read()
streams = json.loads(s)
if request.args.get('cb', False) != False:
cb = True
else:
cb = False
sc = session.query(SexProviderSnapshot).filter(SexProviderSnapshot.available==True).order_by(SexProviderSnapshot.price.asc()).all()
prices_sc = [float(p.price) for p in sc]
stats_sc = {'mean': int(np.mean(prices_sc)), 'median': int(np.median(prices_sc)), 'min': min(prices_sc), 'max': max(prices_sc)}
last_trades = Trade.last_trades(100, result=(Trade.date, Trade.amount, Trade.price))
last_trades.reverse()
last_trades = tuple((trade[0].replace(tzinfo=datetime.timezone.utc).astimezone(tz=pytz.timezone('America/Caracas')).replace(tzinfo=None),
locale.format('%.8f', trade[1], grouping=True),
locale.format('%.2f', trade[2], grouping=True),
locale.format('%.2f', trade[1]*trade[2], grouping=True))
for trade in last_trades)
if streams['good']:
stream = streams['good'][0]
else:
stream = None
music_tags = ['<iframe style="border: 0; width: 100%; height: 120px;" src="https://bandcamp.com/EmbeddedPlayer/album=158016030/size=large/bgcol=ffffff/linkcol=0687f5/tracklist=false/artwork=small/transparent=true/" name="{}" seamless><a href="http://galaxie500.bandcamp.com/album/on-fire">On Fire by Galaxie 500</a></iframe>'.format(int(datetime.datetime.utcnow().timestamp())),
'<iframe style="border: 0; width: 100%; height: 120px;" src="https://bandcamp.com/EmbeddedPlayer/album=1696464046/size=large/bgcol=ffffff/linkcol=0687f5/tracklist=false/artwork=small/transparent=true/" name="{}" seamless><a href="http://pwelverumandsun.bandcamp.com/album/dont-wake-me-up">Don't Wake Me Up by the Microphones</a></iframe>'.format(int(datetime.datetime.utcnow().timestamp())),]
return render_template('index.html', stats_sc=stats_sc, vesusd=vesusd, last_trades=last_trades, sc_urls=[sc[0].source_url, random.choice([x for x in sc if int(x.price) == stats_sc['median']]).source_url, sc[-1].source_url], stream=stream, music_tag=random.choice(music_tags), cb=cb)
def get_base_wallet_value(test=False):
trades = Trade.select().where(Trade.test == test).order_by(
Trade.date.asc())
buy_count = 0
sell_count = 0
total_bought = 0
total_sold = 0
value_invested = 0
# total amount needed to make these trades (capital needed)
highest_amount_entered = 0
for trade in trades:
order_amount = trade.quantity * trade.price
if trade.type == 'buy':
buy_count += 1
total_bought += order_amount
value_invested += order_amount
if trade.type == 'sell':
sell_count += 1
total_sold += order_amount
value_invested -= order_amount
if value_invested > highest_amount_entered:
highest_amount_entered = value_invested
print('BUYS: {} \t => {}{}'.format(buy_count, total_bought, CURRENCY))
print('SELLS: {} \t => {}{}'.format(sell_count, total_sold, CURRENCY))
print('INPUT \t\t => {}{}'.format(highest_amount_entered, CURRENCY))
return (total_bought, total_sold, highest_amount_entered)
def main():
# 读取文件
file_names = os.listdir(RE_PATH)
# file_names.remove(".DS_Store")
for file_name in file_names:
names = file_name.split("_")
_type = names[1]
print(names)
exchange_name = names[2]
symbol_name = names[3].replace(".txt", "")
if _type == "trade":
obj = Trade(exchange_name, symbol_name)
elif _type == "orderbook":
obj = OrderBook(exchange_name, symbol_name)
# 插入数据
with open(RE_PATH + file_name) as f:
for line in f.readlines():
line = json.loads(line)
documents = copy.deepcopy(line)
for document in documents:
try:
obj.collection.replace_one(filter=document, replacement=document, upsert=True)
except Exception:
with open(obj.collection_name + ".txt", "a") as f:
f.write(json.dumps(document))
f.write("\n")
def test_partially_filled(self):
# Same size orders should fill each other completely
buy = createBuy(quantity=200)
sell = createSell()
trade = Trade.create(buy, sell)
assert trade
assert trade.quantity == sell.quantity
assert buy.unfilled() == 100
assert sell.unfilled() == 0
sell = createSell(quantity=300)
trade = Trade.create(buy, sell)
assert trade
assert trade.quantity == 100
assert buy.unfilled() == 0
assert sell.unfilled() == 200
def main():
"""
"""
parser = argparse.ArgumentParser(description="生成某一天kline")
parser.add_argument("--day", "-d", help="日期")
parser.add_argument("--exchange", "-e", help="交易所名称", type=str)
parser.add_argument("--symbol", "-s", help="标的", type=str)
args = parser.parse_args()
day = args.day
exchange = args.exchange
symbol = args.symbol
if not day or not exchange or not symbol:
print("Invalid args!!!")
print(
"example:\n\npython db/insert_data/generate_last_day_klines.py -d 2012-12-2 -e huobi -s btcusdt"
)
return
begin_timestamp = int(
datetime.datetime.strptime(day, "%Y-%m-%d").timestamp() * 1000)
kline = Kline(exchange, symbol) #数据库K线表读写
trade = Trade(exchange, symbol) #数据库逐笔成交表读写
update_one_day_klines(trade, kline, begin_timestamp)
def when_sell(self):
if len(self.tickers) != 30:
return False
if (self.buys - self.sells) == 0:
return False
# make sure we dont sell with loss
last_buy = Trade.select().where(Trade.test == self.test, Trade.currency ==
self.ticker.currency, Trade.type == 'buy').order_by(Trade.date.desc()).get()
(profit, profit_pct) = calc_diff(last_buy.price, self.ticker.price)
self.profit_pct = profit_pct
self.profit = (last_buy.quantity * self.ticker.price) - \
(last_buy.quantity * last_buy.price)
# sell at loss when -10%
# if profit_pct <= -10:
# return True
if last_buy.price >= self.ticker.price or profit_pct <= 5:
return False
if profit_pct >= 5:
return True
return self.diff_pct >= 2.75
def sec_tops(secs):
lt = {}
bb = {}
ba = {}
for sec in secs:
# Last traded price
t = Trade.query(Trade.security == sec).order(-Trade.timestamp)
t = list(t)
if len(t) > 0:
lt[sec.key.id()] = t[0].price
else:
lt[sec.key.id()] = 0
# Best bid
t = Order.query(Order.security == sec, Order.buysell == 'Buy', Order.active == True).order(-Order.price)
t = list(t)
if len(t) > 0:
bb[sec.key.id()] = t[0].price
else:
bb[sec.key.id()] = 0
# Best ask
t = Order.query(Order.security == sec, Order.buysell == 'Sell', Order.active == True).order(Order.price)
t = list(t)
if len(t) > 0:
ba[sec.key.id()] = t[0].price
else:
ba[sec.key.id()] = 0
tops = {'lt':lt, 'bb':bb, 'ba':ba}
return tops
def start():
# remove all previous test trades
test_trades = Trade.select().where(Trade.test == True)
for test_trade in test_trades:
test_trade.delete_instance()
for symbol in SYMBOLS:
tickers = reverse(Ticker.select().where(
Ticker.currency == symbol,
Ticker.epoch > 1614766446).order_by(-Ticker.epoch))
for i in range(len(tickers)):
last_30_tickers = reverse(get_last_x_items(tickers, i, 30))
if len(last_30_tickers) < 30:
continue
strategy = Strategy(last_30_tickers, test=True)
if strategy.when_buy():
test_buy(symbol, strategy.ticker)
if strategy.when_sell():
test_sell(symbol, strategy.ticker)
wallet(test=True)
def new_trade_csv():
ntcForm = NewTradeCsvForm()
if ntcForm.validate_on_submit():
for row in ntcForm.csv.data.splitlines():
split = [i.title() for i in row.split(',')]
t_moves = split[11:]
for i in range(4 - len(t_moves)):
t_moves.append(None)
species_list = [i[0].split(',')[1].title() for i in national_dex]
data = {
'dex_no': species_list.index(split[0]) + 1,
'species': split[0],
'male': split[1] == 'True',
'female': split[2] == 'True',
'nature': split[3],
'ability': split[4],
'iv_hp': split[5],
'iv_atk': split[6],
'iv_def': split[7],
'iv_spa': split[8],
'iv_spd': split[9],
'iv_spe': split[10],
'move1': t_moves[0],
'move2': t_moves[1],
'move3': t_moves[2],
'move4': t_moves[3]
}
trade = Trade(owner=g.user, data=data)
td = trade.__dict__.copy()
del td['_sa_instance_state']
if Trade.query.filter_by(**td).first() is None:
db.session.add(trade)
db.session.commit()
flash('Your {} was successfully added'.format(split[0]), 'success')
status = '{0} just added a {1} {2} {3} ({4}) {5}'.format(
g.user.nickname,
trade.nature,
trade.ability,
trade.species,
trade.ivSpread(),
url_for('user', nickname=g.user.nickname, _external=True)
)
api.PostUpdate(status)
else:
flash('You have already added this trade', 'error')
return redirect(request.args.get('next') or url_for('user', nickname=g.user.nickname))
def test_items_displayed_do_not_include_items_in_completed_trades(self):
user1 = User(username='******', email='*****@*****.**', password='******')
user2 = User(username='******', email='*****@*****.**', password='******')
sheetmusic = Sheetmusic(composer='composer1', title='piece 2')
item = Item(user=user1, sheetmusic_id=sheetmusic.id, condition='Clean')
self.assertEqual(user1.items, user1.get_available_items())
trade = Trade(item_to=item, user_to=user1, user_from=user2)
self.assertEqual(user1.items, user1.get_available_items())
trade.completed = True
trade.rejected = True
self.assertEqual(user1.items, user1.get_available_items())
trade.rejected = False
self.assertNotEqual(user1.items, user1.get_available_items())
def test_do_not_allow_user_to_trade_with_self(self):
user_from = User('*****@*****.**', 'abe', '1234')
user_to = User('*****@*****.**', 'lincoln', '4321')
trade = Trade(user_from_id=user_from.id, user_to_id=user_from.id)
self.db.add(trade)
with self.assertRaises(IntegrityError):
self.db.commit()
def sell(currency):
symbol = '{}{}'.format(currency, CURRENCY)
balance = get_balance(currency)
quantity = get_quantity(currency)
if quantity > 0:
info = client.get_symbol_info(symbol=symbol)
stepSize = float(info['filters'][2]['stepSize'])
precision = int(round(-math.log(stepSize, 10), 0))
if quantity >= balance:
quantity = balance
order = client.create_order(symbol=symbol,
side=Client.SIDE_SELL,
type=Client.ORDER_TYPE_MARKET,
quantity=round_down(quantity, precision))
print(order)
quantity = 0
fee = 0
for fill in order['fills']:
fee += float(fill['commission'])
quantity += float(fill['qty'])
price = float(order['fills'][0]['price'])
total = float(order['cummulativeQuoteQty'])
total = total - fee
now = datetime.now()
Trade.create(currency=currency,
quantity=quantity,
price=price,
fee=fee,
total=total,
type='sell',
date=now,
epoch=now.timestamp(),
test=False)
if TELEGRAM_TOKEN and TELEGRAM_PRIVATE_CHAT_ID:
send_private_telegram('{} {} SOLD FOR {}{}'.format(
quantity, currency, round(total, 2), CURRENCY))
def on_trade(self, msg):
if not self.is_ready:
self.process_later.append(msg)
return
trade = {
"price": msg.get('MDEntryPx'),
"symbol": msg.get('Symbol'),
"size": msg.get('MDEntrySize'),
"trade_date": msg.get('MDEntryDate'),
"trade_time": msg.get('MDEntryTime'),
"order_id": msg.get('OrderID'),
"side": msg.get('Side'),
"counter_order_id": msg.get('SecondaryOrderID'),
"id": msg.get('TradeID'),
"buyer_id": msg.get('MDEntryBuyerID'),
"seller_id": msg.get('MDEntrySellerID'),
"buyer_username": msg.get('MDEntryBuyer'),
"seller_username": msg.get('MDEntrySeller'),
}
Trade.create(self.db_session, trade)
# BTC BRL
price_currency = self.symbol[3:]
size_currency = self.symbol[:3]
if price_currency not in self.volume_dict:
self.volume_dict[price_currency] = 0
if size_currency not in self.volume_dict:
self.volume_dict[size_currency] = 0
volume_price = int(
msg.get('MDEntryPx') *
msg.get('MDEntrySize') /
1.e8)
volume_size = msg.get('MDEntrySize')
self.volume_dict[price_currency] += volume_price
self.volume_dict[size_currency] += volume_size
self.volume_dict['MDEntryType'] = '4'
signal_publish_md_status('MD_STATUS', self.volume_dict)
self.inst_status.push_trade(trade)
def readmail(volume):
time.sleep(1.5)
m = imaplib.IMAP4_SSL(imap)
m.login(user, pwd)
m.select('"' + folder + '"')
resp, items = m.search(None, "NOT SEEN SUBJECT tradingview")
items = items[0].split()
for emailid in items:
resp, data = m.fetch(emailid, "(RFC822)")
email_body = data[0][1]
mail = email.message_from_bytes(email_body)
ts = time.time()
st = datetime.datetime.fromtimestamp(ts).strftime('%Y-%m-%d %H:%M:%S')
nonce = generate_nonce()
direction = mail['Subject'].split()[3]
if direction == "Buy":
signal = "0"
else:
signal = "1"
pair = mail['Subject'].split()[2]
try:
if "Close" not in direction:
setup = Trade.get_or_create(pair)
m.store(emailid, '+FLAGS', '\Seen')
log(st + ' ' + direction + ' Triggered on ' + pair)
if hedging == "0":
if setup.nonce is not None:
cnr(signal, volume, pair, nonce)
else:
trade(signal, volume, pair, nonce)
else:
trade(signal, volume, pair, nonce)
# Close Trade
else:
direction = mail['Subject'].split()[4]
setup = Trade.find(pair)
if setup is not None:
if setup.signal == direction:
m.store(emailid, '+FLAGS', '\Seen')
close(signal, volume, pair)
log(st + " Closed trade on " + pair)
except Exception as e:
log(e)
def on_trade(self, msg):
if not self.is_ready:
self.process_later.append(msg)
return
trade = {
"price": msg.get('MDEntryPx'),
"symbol": msg.get('Symbol'),
"size": msg.get('MDEntrySize'),
"trade_date": msg.get('MDEntryDate'),
"trade_time": msg.get('MDEntryTime'),
"order_id": msg.get('OrderID'),
"side": msg.get('Side'),
"counter_order_id": msg.get('SecondaryOrderID'),
"id": msg.get('TradeID'),
"buyer_id": msg.get('MDEntryBuyerID'),
"seller_id": msg.get('MDEntrySellerID'),
"buyer_username": msg.get('MDEntryBuyer'),
"seller_username": msg.get('MDEntrySeller'),
}
Trade.create(self.db_session, trade)
# BTC BRL
price_currency = self.symbol[3:]
size_currency = self.symbol[:3]
if price_currency not in self.volume_dict:
self.volume_dict[price_currency] = 0
if size_currency not in self.volume_dict:
self.volume_dict[size_currency] = 0
volume_price = int(
msg.get('MDEntryPx') * msg.get('MDEntrySize') / 1.e8)
volume_size = msg.get('MDEntrySize')
self.volume_dict[price_currency] += volume_price
self.volume_dict[size_currency] += volume_size
self.volume_dict['MDEntryType'] = '4'
signal_publish_md_status('MD_STATUS', self.volume_dict)
self.inst_status.push_trade(trade)
def buy(currency, input=ORDER_INPUT):
symbol = '{}{}'.format(currency, CURRENCY)
order_price = float(input)
trades = client.get_recent_trades(symbol=symbol)
price = float(trades[0]['price'])
quantity = order_price / price
info = client.get_symbol_info(symbol=symbol)
stepSize = float(info['filters'][2]['stepSize'])
precision = int(round(-math.log(stepSize, 10), 0))
order = client.create_order(symbol=symbol,
side=Client.SIDE_BUY,
type=Client.ORDER_TYPE_MARKET,
quantity=(round(quantity, precision)))
print(order)
quantity = 0
commission = 0
for fill in order['fills']:
commission += float(fill['commission'])
quantity += float(fill['qty'])
quantity = quantity - commission
price = float(order['fills'][0]['price'])
total = float(order['cummulativeQuoteQty'])
fee = commission * price
now = datetime.now()
Trade.create(currency=currency,
quantity=quantity,
price=price,
fee=fee,
total=total,
type='buy',
date=now,
epoch=now.timestamp(),
test=False)
if TELEGRAM_TOKEN and TELEGRAM_PRIVATE_CHAT_ID:
send_private_telegram('{} {} BOUGHT FOR {}{}'.format(
quantity, currency, round(total, 2), CURRENCY))
def add_trade_by_form():
i = 0
not_added = []
results = request.json
category = Category.query.filter(
Category.name == results["category"]).first()
new_trade = Trade(category_id=category.id,
name=results["name"].capitalize(),
cost_per_hour=results["cost"])
db.session.add(new_trade)
db.session.commit()
return results
def generate_trade_history(page_size=None,
offset=None,
sort_column=None,
sort_order='ASC'):
trades = Trade.get_last_trades(page_size, offset, sort_column, sort_order)
trade_list = []
for trade in trades:
trade_list.append([
trade.id, trade.symbol, trade.side, trade.price, trade.size,
trade.buyer_username, trade.seller_username, trade.created
])
return trade_list
def get_order_trades(self, symbol, order_id):
"""
Get all of the trades that have been generated by the given order associated with API_KEY
- Requires authentication.
@param symbol string: pair symbol i.e tBTCUSD
@param order_id string: id of the order
@return Array <models.Trade>
"""
endpoint = "auth/r/order/{}:{}/trades".format(symbol, order_id)
raw_trades = self.post(endpoint)
return [Trade.from_raw_rest_trade(rt) for rt in raw_trades]
def new_trade():
ntForm = NewTradeForm()
if ntForm.validate_on_submit():
trade = Trade(owner=g.user, data=ntForm.data)
td = trade.__dict__.copy()
del td['_sa_instance_state']
if Trade.query.filter_by(**td).first() is None:
db.session.add(trade)
db.session.commit()
flash('Your {} was successfully added'.format(ntForm.species.data.split(',')[1]), 'success')
status = '{0} just added a {1} {2} {3} ({4}) {5}'.format(
g.user.nickname,
trade.nature,
trade.ability,
trade.species,
trade.ivSpread(),
url_for('user', nickname=g.user.nickname, _external=True)
)
api.PostUpdate(status)
else:
flash('You have already added this trade', 'error')
return redirect(request.args.get('next') or url_for('user', nickname=g.user.nickname))
def generate_trade_history(page_size = None, offset = None, sort_column = None, sort_order='ASC'):
trades = Trade.get_last_trades(page_size, offset, sort_column, sort_order)
trade_list = []
for trade in trades:
trade_list.append([
trade.id,
trade.symbol,
trade.side,
trade.price,
trade.size,
trade.buyer_username,
trade.seller_username,
trade.created
])
return trade_list
def get(self):
"""
Returns a JSON containing the Trades in the system.
Fields returned are filtered by the get parameter 'f'.
Trades are filtered by timestamp:
'timestamp_gt': All the trades with a timestamp greater than
'timestamp_lt': All the trades with a timestamp lesser than
"""
self.response.headers['Content-Type'] = 'application/json'
fields = self.request.GET.get('f')
timestamp_gt = self.request.GET.get('timestamp_gt')
timestamp_lt = self.request.GET.get('timestamp_lt')
fields = fields.split(',') if fields else None
result = Trade.query_by_timestamp(timestamp_lt, timestamp_gt)
data = [trade.serialize(fields=fields) for trade in result]
self.response.write(json.dumps(data, indent=4))
def generate_trade_history(session, page_size = None, offset = None, sort_column = None, sort_order='ASC', show_username=False):
trades = Trade.get_last_trades(session, page_size, offset, sort_column, sort_order)
trade_list = []
for trade in trades:
rec = [
trade.id,
trade.symbol,
trade.side,
trade.price,
trade.size,
trade.buyer_id,
trade.seller_id,
trade.created
]
if show_username:
rec.append(trade.buyer_username)
rec.append(trade.seller_username)
trade_list.append(rec)
return trade_list
def test_example_csv(self):
"""
Date,Symbol,TimeStamp,QuoteCount,TradeCount,OpenPx,ClosePx,HighPx,LowPx
20130719,LFZ,2013-07-19 08:47:00.000457891,304,24,6387.0000000,
6386.5000000,6387.0000000,6386.0000000
"""
load_from_dataset('tests/example.csv')
trade = Trade.query().get()
self.assertEqual(trade.date, datetime.date(2013, 7, 19))
self.assertEqual(trade.symbol, 'LFZ')
self.assertEqual(
trade.timestamp, datetime.datetime(2013, 7, 19, 8, 47, 0)
)
self.assertEqual(trade.timestamp_nanoseconds, 457891)
self.assertEqual(trade.quotecount, 304)
self.assertEqual(trade.tradecount, 24)
self.assertEqual(trade.openpx, 6387.0000000)
self.assertEqual(trade.closepx, 6386.5000000)
self.assertEqual(trade.highpx, 6387.0000000)
self.assertEqual(trade.lowpx, 6386.0000000)
def get_last_trades(self):
"""" get_last_trades. """
return Trade.get_last_trades(self.db_session)
def test_trades_are_deleted(self):
load_from_dataset('tests/example.csv')
self.assertEqual(Trade.query().count(), 1)
delete_all()
self.assertEqual(Trade.query().count(), 0)
def get_last_trades(self):
"""" get_last_trades. """
return Trade.get_last_trades()
def trade_add(request):
goods_top = Trade.objects.values('goods__id','goods__title').annotate(goods_count=Count('goods')).order_by('-goods_count')[:10]
price1 = 0
results = []
if request.method == 'POST': # If the form has been submitted...
form = TradeForm(request.POST) # A form bound to the POST data
if form.is_valid(): # All validation rules pass
# Process the data in form.cleaned_data
# ...
#return HttpResponseRedirect('/thanks/') # Redirect after POST
#results = GClass.objects.filter(title__icontains=form.cleaned_data['goodstitle'])
isOldTrade = False
if int(form.cleaned_data["trade_pk"]) > 0:
isOldTrade = True
shop1 = None
if int(form.cleaned_data["shop_pk"]) > 0:
shop1 = Shop.objects.get(pk=form.cleaned_data["shop_pk"])
else:
shop1 = Shop(title=form.cleaned_data["shop"], type='mag')
shop1.save()
#gclass1 = None
#if int(form.cleaned_data["gclass_pk"]) > 0:
# gclass1 = GClass.objects.get(pk=form.cleaned_data["gclass_pk"])
#else:
# gclass1 = GClass(title=form.cleaned_data["gclass"], section=GSection.objects.get(pk=1)) #TODO GSection
# gclass1.save()
goods1 = None
if int(form.cleaned_data["gtitle_pk"]) > 0:
goods1 = Goods.objects.get(pk=form.cleaned_data["gtitle_pk"])
goods1.title = form.cleaned_data["gtitle"]
goods1.ed = form.cleaned_data["ed"]
#goods1.gclass = gclass1
goods1.save()
else:
goods1 = Goods(title=form.cleaned_data["gtitle"], ed=form.cleaned_data["ed"])
goods1.save()
price1 = "%.2f" % ( float(form.cleaned_data['cost']) / float(form.cleaned_data['amount']) )
if isOldTrade:
trade1 = Trade.objects.get(pk=form.cleaned_data["trade_pk"])
else:
trade1 = Trade()
trade1.user = request.user
trade1.shop = shop1
trade1.goods = goods1
trade1.time = form.cleaned_data["time"]
trade1.amount = form.cleaned_data["amount"]
trade1.price = price1
trade1.cost = form.cleaned_data["cost"]
trade1.currency = form.cleaned_data["currency"]
trade1.spytrade = form.cleaned_data["spytrade"]
trade1.save()
return HttpResponseRedirect("/")
else:
data = {'time': datetime.datetime.now, 'trade_pk': '0', 'shop_pk': '0', 'gclass_pk': '0', 'gtitle_pk': '0' }
form = TradeForm(initial=data) # An unbound form
return render_to_response('trade_add.html',
{'price': price1, 'results': results, 'form': form, 'goods_top': goods_top},
context_instance=RequestContext(request))
def get_trades(self, symbol, since):
"""" get_trades. """
return Trade.get_trades(self.db_session, symbol, since)
def match(self, session, order, order_matcher_disabled=False):
other_side = []
self_side = []
if order.is_buy:
self_side = self.buy_side
other_side = self.sell_side
elif order.is_sell:
other_side = self.buy_side
self_side = self.sell_side
execution_reports = []
trades_to_publish = []
execution_side = '1' if order.is_buy else '2'
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
is_last_match_a_partial_execution_on_counter_order = False
execution_counter = 0
number_of_filled_counter_market_orders = 0
if not order_matcher_disabled:
for execution_counter in xrange(0, len(other_side) + 1):
if execution_counter == len(other_side):
break # workaround to make the execution_counter be counted until the last order.
if not order.leaves_qty > 0:
break
counter_order = other_side[execution_counter]
if not order.has_match(counter_order):
break
# check for self execution
if order.account_id == counter_order.account_id:
# self execution.... let's cancel the counter order
counter_order.cancel_qty( counter_order.leaves_qty )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# Get the desired executed price and qty, by matching against the counter_order
executed_qty = order.match( counter_order, order.leaves_qty)
if counter_order.type == '1': # Market Order
executed_price = order.price
number_of_filled_counter_market_orders += 1
else:
executed_price = counter_order.price
# let's get the available qty to execute on the order side
available_qty_on_order_side = order.get_available_qty_to_execute(session,
'1' if order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_order = 0
if available_qty_on_order_side < executed_qty:
# ops ... looks like the order.user didn't have enough to execute the order
executed_qty = available_qty_on_order_side
# cancel the remaining qty
qty_to_cancel_from_order = order.leaves_qty - executed_qty
# check if the order got fully cancelled
if not executed_qty:
order.cancel_qty( qty_to_cancel_from_order )
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
break
# let's get the available qty to execute on the counter side
available_qty_on_counter_side = counter_order.get_available_qty_to_execute(session,
'1' if counter_order.is_buy else '2',
executed_qty,
executed_price )
qty_to_cancel_from_counter_order = 0
if available_qty_on_counter_side < executed_qty:
if qty_to_cancel_from_order:
qty_to_cancel_from_order -= executed_qty - available_qty_on_order_side
# ops ... looks like the counter_order.user didn't have enough to execute the order
executed_qty = available_qty_on_counter_side
# cancel the remaining qty
qty_to_cancel_from_counter_order = counter_order.leaves_qty - executed_qty
# check if the counter order was fully cancelled due the lack
if not executed_qty:
# just cancel the counter order, and go to the next order.
counter_order.cancel_qty( qty_to_cancel_from_counter_order )
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
# go to the next order
is_last_match_a_partial_execution_on_counter_order = False
continue
# lets perform the execution
if executed_qty:
order.execute( executed_qty, executed_price )
counter_order.execute(executed_qty, executed_price )
trade = Trade.create(session, order, counter_order, self.symbol, executed_qty, executed_price )
trades_to_publish.append(trade)
rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, rpt_order.toJson() ) )
rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, rpt_counter_order.toJson() ) )
def generate_email_subject_and_body( session, order, trade ):
from json import dumps
from pyblinktrade.json_encoder import JsonEncoder
from models import Currency
qty_currency = order.symbol[:3]
formatted_qty = Currency.format_number( session, qty_currency, trade.size / 1.e8 )
price_currency = order.symbol[3:]
formatted_price = Currency.format_number( session, price_currency, trade.price / 1.e8 )
formatted_total_price = Currency.format_number( session, price_currency, trade.size/1.e8 * trade.price/1.e8 )
email_subject = 'E'
email_template = "order-execution"
email_params = {
'username': order.user.username,
'order_id': order.id,
'trade_id': trade.id,
'side': order.side,
'executed_when': trade.created,
'qty': formatted_qty,
'price': formatted_price,
'total': formatted_total_price
}
return email_subject, email_template, dumps(email_params, cls=JsonEncoder)
email_data = generate_email_subject_and_body(session, counter_order, trade)
UserEmail.create( session = session,
user_id = counter_order.account_id,
broker_id = counter_order.broker_id,
subject = email_data[0],
template= email_data[1],
language= counter_order.email_lang,
params = email_data[2])
#
# let's do the partial cancels
#
# Cancel the qty from the current order
if qty_to_cancel_from_order:
order.cancel_qty(qty_to_cancel_from_order)
# generate a cancel report
cancel_rpt_order = ExecutionReport( order, execution_side )
execution_reports.append( ( order.user_id, cancel_rpt_order.toJson() ) )
if order.user_id != order.account_id:
execution_reports.append( ( order.account_id, cancel_rpt_order.toJson() ) )
if qty_to_cancel_from_counter_order:
counter_order.cancel_qty(qty_to_cancel_from_counter_order)
# generate a cancel report
cancel_rpt_counter_order = ExecutionReport( counter_order, execution_side )
execution_reports.append( ( counter_order.user_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.user_id != counter_order.account_id:
execution_reports.append( ( counter_order.account_id, cancel_rpt_counter_order.toJson() ) )
if counter_order.leaves_qty > 0:
is_last_match_a_partial_execution_on_counter_order = True
md_entry_type = '0' if order.is_buy else '1'
counter_md_entry_type = '1' if order.is_buy else '0'
# let's include the order in the book if the order is not fully executed.
if order.leaves_qty > 0:
insert_pos = bisect.bisect_right(self_side, order)
self_side.insert( insert_pos, order )
if order.type == '2': # Limited orders go to the book.
MarketDataPublisher.publish_new_order( self.symbol, md_entry_type , insert_pos, order)
# don't send the first execution report (NEW) if the order was fully cancelled
if order.is_cancelled and order.cum_qty == 0:
execution_reports.pop(0)
# Publish all execution reports
for user_id, execution_report in execution_reports:
TradeApplication.instance().publish( user_id, execution_report )
# Publish Market Data for the counter order
if execution_counter:
if is_last_match_a_partial_execution_on_counter_order:
del other_side[0: execution_counter-1]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - 1 - number_of_filled_counter_market_orders,
other_side[0] )
else:
del other_side[0: execution_counter]
MarketDataPublisher.publish_executions( self.symbol,
counter_md_entry_type,
execution_counter - number_of_filled_counter_market_orders )
if trades_to_publish:
MarketDataPublisher.publish_trades(self.symbol, trades_to_publish)
return ""
def test_default_dataset_can_be_loaded(self):
load_from_dataset()
self.assertEqual(Trade.query().count(), 512)
def __init__(self, opt):
handlers = [
(r'/', WebSocketHandler),
(r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)', RestApiHandler)
]
settings = dict(
cookie_secret='cookie_secret'
)
tornado.web.Application.__init__(self, handlers, **settings)
self.replay_logger = logging.getLogger("REPLAY")
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
self.replay_logger.info('START')
self.log_start_data()
from models import ENGINE, db_bootstrap
self.db_session = scoped_session(sessionmaker(bind=ENGINE))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(opt.trade_in)
self.application_trade_client = TradeClient(
self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
instruments = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in instruments:
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(
self.zmq_context,
options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id()
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_username'] = trade[5]
msg['seller_username'] = trade[6]
msg['created'] = trade[7]
msg['trade_date'] = trade[7][:10]
msg['trade_time'] = trade[7][11:]
msg['order_id'] = trade[8]
msg['counter_order_id'] = trade[9]
Trade.create( self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[ t.symbol ].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade,
30000)
self.heart_beat_timer.start()
def __init__(self, opt, instance_name):
self.options = opt
self.instance_name = instance_name
handlers = [
(r'/', WebSocketHandler),
(r'/get_deposit(.*)', DepositHandler),
(r'/_webhook/verification_form', VerificationWebHookHandler),
(r'/_webhook/deposit_receipt', DepositReceiptWebHookHandler),
(r'/process_deposit(.*)', ProcessDepositHandler),
(r'/api/(?P<version>[^\/]+)/(?P<symbol>[^\/]+)/(?P<resource>[^\/]+)', RestApiHandler)
]
settings = dict(
cookie_secret='cookie_secret'
)
tornado.web.Application.__init__(self, handlers, **settings)
self.allowed_origins = json.loads(self.options.allowed_origins)
self.allow_all_origins = self.allowed_origins[0] == '*'
input_log_file_handler = logging.handlers.TimedRotatingFileHandler(
os.path.expanduser(self.options.gateway_log), when='MIDNIGHT')
formatter = logging.Formatter('%(asctime)s - %(message)s')
input_log_file_handler.setFormatter(formatter)
self.replay_logger = logging.getLogger(self.instance_name)
self.replay_logger.setLevel(logging.INFO)
self.replay_logger.addHandler(input_log_file_handler)
ch = logging.StreamHandler(sys.stdout)
ch.setLevel(logging.DEBUG)
ch.setFormatter(logging.Formatter('%(asctime)s - %(name)s - %(levelname)s - %(message)s'))
self.replay_logger.addHandler(ch)
self.replay_logger.info('START')
self.log_start_data()
from models import Base, db_bootstrap
db_engine = self.options.sqlalchemy_engine + ':///' +\
os.path.expanduser(self.options.sqlalchemy_connection_string)
engine = create_engine( db_engine, echo=self.options.db_echo)
Base.metadata.create_all(engine)
self.db_session = scoped_session(sessionmaker(bind=engine))
db_bootstrap(self.db_session)
self.zmq_context = zmq.Context()
self.trade_in_socket = self.zmq_context.socket(zmq.REQ)
self.trade_in_socket.connect(self.options.trade_in)
self.application_trade_client = TradeClient(
self.zmq_context,
self.trade_in_socket)
self.application_trade_client.connect()
self.security_list = self.application_trade_client.getSecurityList()
self.md_subscriber = {}
for instrument in self.security_list.get('Instruments'):
symbol = instrument['Symbol']
self.md_subscriber[symbol] = MarketDataSubscriber.get(symbol, self)
self.md_subscriber[symbol].subscribe(
self.zmq_context,
self.options.trade_pub,
self.application_trade_client)
last_trade_id = Trade.get_last_trade_id(self.db_session)
trade_list = self.application_trade_client.getLastTrades(last_trade_id)
for trade in trade_list:
msg = dict()
msg['id'] = trade[0]
msg['symbol'] = trade[1]
msg['side'] = trade[2]
msg['price'] = trade[3]
msg['size'] = trade[4]
msg['buyer_id'] = trade[5]
msg['seller_id'] = trade[6]
msg['buyer_username'] = trade[7]
msg['seller_username'] = trade[8]
msg['created'] = trade[9]
msg['trade_date'] = trade[9][:10]
msg['trade_time'] = trade[9][11:]
msg['order_id'] = trade[10]
msg['counter_order_id'] = trade[11]
Trade.create( self.db_session, msg)
all_trades = Trade.get_all_trades(self.db_session)
for t in all_trades:
trade_info = dict()
trade_info['price'] = t.price
trade_info['size'] = t.size
trade_info['trade_date'] = t.created.strftime('%Y-%m-%d')
trade_info['trade_time'] = t.created.strftime('%H:%M:%S')
self.md_subscriber[ t.symbol ].inst_status.push_trade(trade_info)
for symbol, subscriber in self.md_subscriber.iteritems():
subscriber.ready()
self.connections = {}
self.heart_beat_timer = tornado.ioloop.PeriodicCallback(
self.send_heartbeat_to_trade,
30000)
self.heart_beat_timer.start()
def match_orders(sec, buysell):
"""Match orders in cross"""
# Get buy and sell lists
b = Order.query(Order.security == sec, Order.buysell == 'Buy', Order.active == True, ancestor=sec.key).order(-Order.price, Order.timestamp)
s = Order.query(Order.security == sec, Order.buysell == 'Sell', Order.active == True, ancestor=sec.key).order(Order.price, Order.timestamp)
b = list(b)
s = list(s)
# Match orders until market uncrosses
bn = 0
sn = 0
while(1):
if bn + 1 > len(b):
break
if sn + 1 > len(s):
break
if b[bn].price >= s[sn].price:
t = Trade()
t.timestamp = datetime.utcnow()
t.buy_user = b[bn].user
t.sell_user = s[sn].user
t.security = b[bn].security
if buysell == "Buy":
t.price = s[sn].price
else:
t.price = b[bn].price
b[bn] = b[bn].key.get()
s[sn] = s[sn].key.get()
b_ptf = Portfolio.query(Portfolio.user == b[bn].user).get()
s_ptf = Portfolio.query(Portfolio.user == s[sn].user).get()
if b[bn].volume > s[sn].volume:
t.volume = s[sn].volume
b[bn].volume += -s[sn].volume
s[sn].active = False
b_ptf.points += s[sn].volume
s_ptf.points += s[sn].volume
b[bn].put()
s[sn].put()
sn += 1
elif b[bn].volume < s[sn].volume:
t.volume = b[bn].volume
s[sn].volume += -b[bn].volume
b[bn].active = False
b_ptf.points += b[bn].volume
s_ptf.points += b[bn].volume
b[bn].put()
s[sn].put()
bn += 1
elif b[bn].volume == s[sn].volume:
t.volume = b[bn].volume
b[bn].active = False
s[sn].active = False
b_ptf.points += b[bn].volume
s_ptf.points += b[bn].volume
b[bn].put()
s[sn].put()
bn += 1
sn += 1
b_ptf.put()
s_ptf.put()
t.put()
flash(u'Trade %s successfully completed.' % t.key.id(), 'success')
continue
break