This repository has been archived by the owner on Apr 12, 2024. It is now read-only.
-
Notifications
You must be signed in to change notification settings - Fork 120
/
exchange.py
459 lines (347 loc) · 12 KB
/
exchange.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
"""
trading-server is a multi-asset, multi-strategy, event-driven execution
and backtesting platform (OEMS) for trading common markets.
Copyright (C) 2020 Sam Breznikar <sam@sdbgroup.io>
Licensed under GNU General Public License 3.0 or later.
Some rights reserved. See LICENSE.md, AUTHORS.md.
"""
from abc import ABC, abstractmethod
from datetime import datetime, timedelta
import os
class Exchange(ABC):
"""
Exchange abstract class, concrete brokers/exchange classes to inherit this.
"""
def __init__(self):
pass
def get_new_bars(self):
"""
Args:
None.
Returns:
self.bars[symbol] tree (dict).
Raises:
None.
"""
return self.bars
def get_max_bin_size(self):
"""
Args:
None.
Returns:
Max amount of items returned per REST poll for http api (int).
Raises:
None.
"""
return self.MAX_BARS_PER_REQUEST
def get_symbols(self):
"""
Args:
None.
Returns:
List of all symbols ticker code strings.
Raises:
None.
"""
return self.symbols
def get_name(self):
"""
Args:
None.
Returns:
Venue name string.
Raises:
None.
"""
return self.name
def previous_minute(self):
"""
Args:
None.
Returns:
Previous minute epoch timestamp (int).
Raises:
None.
"""
d1 = datetime.now().second
d2 = datetime.now().microsecond
timestamp = datetime.now() - timedelta(
minutes=1, seconds=d1, microseconds=d2)
# convert to epoch
timestamp = int(timestamp.timestamp())
# # replace final digit with zero, can be 1 or more during a slow cycle
timestamp_str = list(str(timestamp))
timestamp_str[len(timestamp_str) - 1] = "0"
timestamp = int(''.join(timestamp_str))
return timestamp
def seconds_til_next_minute(self):
"""
Args:
None.
Returns:
Number of second to next minute (int).
Raises:
None.
"""
now = datetime.datetime.utcnow().second
delay = 60 - now - 1
return delay
def build_OHLCV(
self, ticks: list, symbol: str, close_as_open=True, offset=60):
"""
Args:
ticks: A list of ticks to aggregate. Assumes the list's first tick
is from the previous minute, this tick is used for open price.
symbol: instrument ticker code (string)
close_as_open: If true, first tick in arg "ticks" must be the final
tick from the previous minute, to be used for bar open price,
resulting in no gaps between bars (some exchanges follow this
practice as standard, some dont). If false, use arg "ticks" 1st
tick as the open price.
offset: number of second to advance timestamps by. Some venues
timestamp their bars differently. Tradingview bars are
timestamped 1 minute behind bitmex, for example.
Returns:
A 1 min OHLCV bar (dict).
Raises:
Tick data timestamp mismatch error.
"""
if ticks:
if close_as_open:
# Convert incoming timestamp format if required.
if type(ticks[0]['timestamp']) is not datetime:
median = parser.parse(
ticks[int((len(ticks) / 2))]['timestamp'])
first = parser.parse(ticks[0]['timestamp'])
else:
median = ticks[int((len(ticks) / 2))]['timestamp']
first = ticks[0]['timestamp']
# This should be the most common case if close_as_open=True.
# Dont include the first tick for volume and price calc.
if first.minute == median.minute - 1:
volume = sum(i['size'] for i in ticks) - ticks[0]['size']
prices = [i['price'] for i in ticks]
prices.pop(0)
# If the timestamps are same, may mean there were no early
# trades, proceed as though close_as_open=False
elif first.minute == median.minute:
volume = sum(i['size'] for i in ticks)
prices = [i['price'] for i in ticks]
# There's a timing/data problem is neither case above is true.
else:
raise Exception(
"Tick data timestamp error: timestamp mismatch." +
"\nFirst tick minute: " + str(first) +
"\nMedian tick minute: " + str(median))
elif not close_as_open or close_as_open is False:
volume = sum(i['size'] for i in ticks)
prices = [i['price'] for i in ticks]
high_price = max(prices) if len(prices) >= 1 else None
low_price = min(prices) if len(prices) >= 1 else None
open_price = ticks[0]['price'] if len(prices) >= 1 else None
close_price = ticks[-1]['price'] if len(prices) >= 1 else None
bar = {'symbol': symbol,
'timestamp': self.previous_minute() + offset,
'open': open_price,
'high': high_price,
'low': low_price,
'close': close_price,
'volume': volume}
return bar
elif ticks is None or not ticks:
bar = {'symbol': symbol,
'timestamp': self.previous_minute() + offset,
'open': None,
'high': None,
'low': None,
'close': None,
'volume': 0}
return bar
def finished_parsing_ticks(self):
return self.finished_parsing_ticks
def load_api_keys(self):
"""
Loads key and secret from environment variables.
Keys must be stored as follows (all capitalised):
API key: VENUE_NAME_API_KEY
API secret: VENUE_NAME_SECRET_KEY
Args:
None.
Returns:
key: api key matching exchange name.
secret: api secret key matching venue name.
Raises:
None.
"""
venue_name = self.get_name().upper()
key = os.environ[venue_name + '_API_KEY']
secret = os.environ[venue_name + '_API_SECRET']
return key, secret
def round_increment(self, number, symbol):
"""
Round a given number to its nearest minimum increment
"""
inc = self.symbol_min_increment[symbol]
if number < 1:
quote = number
else:
quote = (number // inc) * inc
# print("Rounded quote:", quote)
return quote
@abstractmethod
def place_bulk_orders(self, orders: list):
"""
Given a list of order events objects, place corresponding orders with
the respective trading venue.
Args:
orders: list of order objects
Returns:
Raises:
"""
@abstractmethod
def place_single_order(self, order):
"""
Place a single order with the respective trading venue.
Args:
order: order object
Returns:
Raises:
"""
@abstractmethod
def cancel_orders(self, order_ids: list):
"""
Cancel all orders matching list of given order IDs.
Args:
orders: list of orders.
Returns:
cancel_status: dict, {order_id: cancel succcess/fail message}
Raises:
"""
@abstractmethod
def close_position(self, symbol, qty, direction):
"""
Close 'qty' units of 'symbol' instrument in 'direction' direction.
Args:
symbol: instrument symbol to close.
qty: number of units of instrument to close.
direction: LONG or SHORT
Returns:
True if successful close, False if not.
Raises:
"""
@abstractmethod
def format_orders(self, orders: list):
"""
Converts internally formatted orders into relevant venue order format.
Args:
orders: list of order objects
Returns:
formatted_orders: new list of venue-appropirate formatted orders
Raises:
"""
@abstractmethod
def get_executions(self, symbol, start_timestamp, count):
"""
Args:
symbol: instrument ticker code (string)
start_timestamp: epoch timestamp (int)
count: amount of results to fetch (int)
Returns:
List of balance-affecting executions for the given symbol.
Each execution should be a dict with the following format:
{
'order_id': ???,
'venue_id': ???,
'timestamp': ???, epooch timestamp (int)
'avg_exc_price': ???,
'currency': ???,
'symbol': ???,
'direction': ???, LONG or SHORT
'size': ???,
'order_type': ???,
'fee_type': ???,
'fee_amt': ???, multiplicand to find total fee cost
'total_fee': ???, fees charged for transaction in USD
'status' ???: FILLED, CANCELLED, NEW, PARTIAL
}
Raises:
None.
"""
@abstractmethod
def get_bars_in_period(self, symbol: str, start_time: int, total: int):
"""
Args:
symbol: instrument ticker code (string)
start_time: epoch timestamp (int)
total: amount of bars to fetch (int)
Returns:
List of historic 1min OHLCV bars for specified period. Returns
specified amount of 1 min bars starting from start_time.
Raises:
None.
"""
@abstractmethod
def get_recent_bars(self, timeframe: str, symbol: str, n: int):
"""
Args:
timeframe: timeframe code (string)
symbol: instrument ticker code (string)
n: amount of bars
Returns:
List of n recent 1-min bars of specified timeframe and symbol.
Raises:
None.
"""
@abstractmethod
def get_origin_timestamp(self, symbol: str):
"""
Args:
symbol: instrument ticker code (string)
Returns:
Epoch timestamp (int) of first available (oldest) 1 min bar.
Raises:
"""
@abstractmethod
def get_recent_ticks(symbol: str, n: int):
"""
Args:
symbol:
n: number of minutes worth of ticks (int)
Returns:
Instrument ticker code (string).
Raises:
Tick data timestamp mismatch error.
"""
@abstractmethod
def parse_ticks(self):
"""
Args:
None.
Returns:
Converts streamed websocket tick data into a 1-min OHLCV bars, then
appends new bars to the exchange object self.bars[symbol] tree.
Raises:
None.
"""
@abstractmethod
def get_position(self, symbol):
"""
Args:
symbol: Instrument ticker code (string).
Returns:
Position dict for the specified symbol.
Raises:
None.
"""
@abstractmethod
def get_orders(self, symbol):
"""
Final versions of this method in subclasses should only return orders
placed by this program. Fetch only orders with venue ids.
Args:
symbol: Instrument ticker code (string).
Returns:
List containing all active and inactive orders for symbol.
Raises:
None.
"""