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Add cancel-multi, cancel and update order functions

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This commit is contained in:
Jacob Plaster
2018-11-19 13:27:12 +00:00
parent 7c538cd0eb
commit 66d0ec4c3e
3 changed files with 108 additions and 24 deletions
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5
bfxapi/models/Order.py
View File

@@ -25,7 +25,7 @@ def now_in_mills():
class Order:
def __init__(self, closingOrderArray):
self.id = closingOrderArray[OrderClosedModel.ID]
self.id = closingOrderArray[OrderClosedModel.ID]
self.gId = closingOrderArray[OrderClosedModel.GID]
self.cId = closingOrderArray[OrderClosedModel.CID]
self.symbol = closingOrderArray[OrderClosedModel.SYMBOL]
@@ -47,4 +47,5 @@ class Order:
def __str__(self):
''' Allow us to print the Order object in a pretty format '''
return "Order <'{0}' mtsCreate={1}>".format(self.symbol, self.mtsCreate)
return "Order <'{0}' mtsCreate={1} {}>".format(self.symbol, self.mtsCreate,
self.status)

8
bfxapi/websockets/GenericWebsocket.py
View File

@@ -43,12 +43,14 @@ class GenericWebsocket(object):
return self.events.on(event)
self.events.on(event, func)
def once(self, event, func=None):
if not func:
return self.events.once(event)
self.events.once(event, func)
def _emit(self, event, *args, **kwargs):
self.events.emit(event, *args, **kwargs)
def once(self, event, func):
self.events.once(event, func)
async def on_error(self, error):
self.logger.error(error)
self.events.emit('error', error)

119
bfxapi/websockets/LiveWebsocket.py
View File

@@ -72,7 +72,10 @@ class LiveBfxWebsocket(GenericWebsocket):
- authenticated: called when the websocket passes authentication
- notification (array): incoming account notification
- error (string): error from the websocket
- order_closed (string): when an order confirmation is recieved
- order_closed (Order, Trade): when an order has been closed
- order_new (Order, Trade): when an order has been created but not closed. Note: will
not be called if order is executed and filled instantly
- order_confirmed (Order, Trade): when an order has been submitted and received
- wallet_snapshot (string): Initial wallet balances (Fired once)
- order_snapshot (string): Initial open orders (Fired once)
- positions_snapshot (string): Initial open positions (Fired once)
@@ -85,6 +88,8 @@ class LiveBfxWebsocket(GenericWebsocket):
- balance_update when the state of a balance is changed
- new_trade: a new trade on the market has been executed
- new_candle: a new candle has been produced
- margin_info_update: new margin information has been broadcasted
- funding_info_update: new funding information has been broadcasted
'''
ERRORS = {
@@ -111,7 +116,7 @@ class LiveBfxWebsocket(GenericWebsocket):
20061: 'Websocket server resync complete'
}
def __init__(self, API_KEY=None, API_SECRET=None, backtest=False, host='wss://api.bitfinex.com/ws/2',
def __init__(self, API_KEY=None, API_SECRET=None, backtest=False, host='wss://test.bitfinex.com/ws/2',
onSeedCandleHook=None, onSeedTradeHook=None, *args, **kwargs):
self.channels = {}
self.API_KEY=API_KEY
@@ -125,8 +130,10 @@ class LiveBfxWebsocket(GenericWebsocket):
'tu': self._trade_update_handler,
'wu': self._wallet_update_handler,
'hb': self._heart_beat_handler,
'te': self._trade_event_handler,
'te': self._trade_executed_handler,
'oc': self._order_closed_handler,
'ou': self._order_update_handler,
'on': self._order_new_handler,
'os': self._order_snapshot_handler,
'ws': self._wallet_snapshot_handler,
'ps': self._position_snapshot_handler,
@@ -134,7 +141,9 @@ class LiveBfxWebsocket(GenericWebsocket):
'fcs': self._funding_credit_snapshot_handler,
'fls': self._funding_load_snapshot_handler,
'bu': self._balance_update_handler,
'n': self._notification_handler
'n': self._notification_handler,
'miu': self._margin_info_update_handler,
'fiu': self._funding_info_update_handler
}
self._WS_SYSTEM_HANDLERS = {
@@ -197,17 +206,19 @@ class LiveBfxWebsocket(GenericWebsocket):
async def _trade_update_handler(self, data):
tData = data[2]
# [209, 'tu', [312372989, 1542303108930, 0.35, 5688.61834032]]
channelData = self.channels[data[0]]
tradeObj = _parse_trade(tData, channelData.get('symbol'))
self._emit('new_trade', tradeObj)
if data[0] in self.channels:
channelData = self.channels[data[0]]
tradeObj = _parse_trade(tData, channelData.get('symbol'))
self._emit('new_trade', tradeObj)
async def _trade_event_handler(self, data):
async def _trade_executed_handler(self, data):
tData = data[2]
# [209, 'te', [312372989, 1542303108930, 0.35, 5688.61834032]]
channelData = self.channels[data[0]]
tradeObj = _parse_trade(tData, channelData.get('symbol'))
self._emit('new_trade', tradeObj)
if data[0] in self.channels:
channelData = self.channels[data[0]]
tradeObj = _parse_trade(tData, channelData.get('symbol'))
self._emit('new_trade', tradeObj)
async def _wallet_update_handler(self, data):
# [0,"wu",["exchange","USD",89134.66933283,0]]
@@ -218,6 +229,14 @@ class LiveBfxWebsocket(GenericWebsocket):
async def _heart_beat_handler(self, data):
self.logger.debug("Heartbeat - {}".format(self.host))
async def _margin_info_update_handler(self, data):
self._emit('margin_info_update', data)
self.logger.info("Margin info update: {}".format(data))
async def _funding_info_update_handler(self, data):
self._emit('funding_info_update', data)
self.logger.info("Funding info update: {}".format(data))
async def _notification_handler(self, data):
# [0, 'n', [1542289340429, 'on-req', None, None,
# [1151350600, None, 1542289341196, 'tBTCUSD', None, None, 0.01, None, 'EXCHANGE MARKET',
@@ -238,6 +257,7 @@ class LiveBfxWebsocket(GenericWebsocket):
self._emit('balance_update', data[2])
async def _order_closed_handler(self, data):
# order created and executed
# [0,"oc",[1151349678,null,1542203391995,"tBTCUSD",1542203389940,1542203389966,0,0.1,
# "EXCHANGE MARKET",null,null,null,0,"EXECUTED @ 18922.0(0.03299997): was PARTIALLY FILLED
# @ 18909.0(0.06700003)",null,null,18909,18913.2899961,0,0,null,null,null,0,0,null,null,null,
@@ -250,7 +270,42 @@ class LiveBfxWebsocket(GenericWebsocket):
if order.cId in self.pendingOrders:
if self.pendingOrders[order.cId][0]:
await self.pendingOrders[order.cId][0](order, trade)
del self.pendingOrders[order.cId]
del self.pendingOrders[order.cId]
self._emit('order_confirmed', order, trade)
async def _order_update_handler(self, data):
# order created but partially filled
# [0, 'ou', [1151351581, None, 1542629457873, 'tBTCUSD', 1542629458071,
# 1542629458189, 0.01, 0.01, 'EXCHANGE LIMIT', None, None, None, 0, 'ACTIVE',
# None, None, 100, 0, 0, 0, None, None, None, 0, 0, None, None, None, 'API>BFX',
# None, None, None]]
tInfo = data[2]
order = Order(tInfo)
trade = Trade(order)
self.logger.info("Order update: {} {}".format(order, trade))
self._emit('order_update', order, trade)
if order.cId in self.pendingOrders:
if self.pendingOrders[order.cId][0]:
await self.pendingOrders[order.cId][0](order, trade)
del self.pendingOrders[order.cId]
self._emit('order_confirmed', order, trade)
async def _order_new_handler(self, data):
# order created but not executed / created but partially filled
# [0, 'on', [1151351563, None, 1542624024383, 'tBTCUSD', 1542624024596,
# 1542624024617, 0.01, 0.01, 'EXCHANGE LIMIT', None, None, None, 0, 'ACTIVE',
# None, None, 100, 0, 0, 0, None, None, None, 0, 0, None, None, None, 'API>BFX',
# None, None, None]]
tInfo = data[2]
order = Order(tInfo)
trade = Trade(order)
self.logger.info("Order new: {} {}".format(order, trade))
self._emit('order_new', order, trade)
if order.cId in self.pendingOrders:
if self.pendingOrders[order.cId][0]:
await self.pendingOrders[order.cId][0](order, trade)
self._emit('order_confirmed', order, trade)
del self.pendingOrders[order.cId]
async def _order_snapshot_handler(self, data):
self._emit('order_snapshot', data)
@@ -344,11 +399,6 @@ class LiveBfxWebsocket(GenericWebsocket):
# Orders are simulated in backtest mode
if not self.backtest and self.API_KEY and self.API_SECRET:
await self._ws_authenticate_socket()
# subscribe to data feed
# TODO: allow for multiple subscriptions
# await self._subscribe('trades', symbol=self.symbol)
# key = 'trade:1m:{}'.format(self.symbol)
# await self._subscribe('candles', key=key, symbol=self.symbol)
async def send_auth_command(self, channel_name, data):
payload = [0, channel_name, None, data]
@@ -374,8 +424,39 @@ class LiveBfxWebsocket(GenericWebsocket):
"amount": str(amount),
"price": str(price)
}
self.pendingOrders[order_id] = payload
self.pendingOrders[order_id] = (onComplete, onError)
await self.send_auth_command('on', payload)
self.logger.info("Order cid={} ({} {} @ {}) dispatched".format(
order_id, symbol, amount, price))
self.pendingOrders[order_id] = (onComplete, onError)
async def update_order(self, orderId, price=None, amount=None, delta=None,
price_aux_limit=None, price_trailing=None, flags=None, time_in_force=None,
onComplete=None, onError=None):
payload = { "id": orderId }
if price is not None:
payload['price'] = str(price)
if amount is not None:
payload['amount'] = str(amount)
if delta is not None:
payload['delta'] = str(delta)
if price_aux_limit is not None:
payload['price_aux_limit'] = str(price_aux_limit)
if price_trailing is not None:
payload['price_trailing'] = str(price_trailing)
if flags is not None:
payload['flags'] = str(flags)
if time_in_force is not None:
payload['time_in_force'] = str(time_in_force)
self.pendingOrders[orderId] = (onComplete, onError)
await self.send_auth_command('ou', payload)
self.logger.info("Update Order order_id={} dispatched".format(orderId))
async def cancel_order(self, orderId, onComplete=None, onError=None):
self.pendingOrders[orderId] = (onComplete, onError)
await self.send_auth_command('oc', { 'id': orderId })
self.logger.info("Order cancel order_id={} dispatched".format(orderId))
async def cancel_order_multi(self, orderIds, onComplete=None, onError=None):
self.pendingOrders[orderIds[0]] = (onComplete, onError)
await self.send_auth_command('oc', { 'id': orderIds })
self.logger.info("Order cancel order_ids={} dispatched".format(orderIds))