Merge pull request #25 from JacobPlaster/support-derivatives

Support derivatives

CHANGELOG

@@ -1,3 +1,11 @@
+1.0.1
+
+- Added ws event `status_update`
+- Added rest function `get_derivative_status`
+- Added rest function `get_derivative_statuses`
+- Added rest function `set_derivative_collateral`
+- Added channel support `status`
+
 1.0.0
 
 - Removal of camel-casing file naming and git duplicates

README.md

@@ -114,6 +114,7 @@ The websocket exposes a collection of events that are triggered when certain dat
 - `order_snapshot` (array[Order]): Initial open orders (Fired once)
 - `positions_snapshot` (array): Initial open positions (Fired once)
 - `wallet_update` (Wallet): changes to the balance of wallets
+- `status_update` (json): new platform status info
 - `seed_candle` (json): initial past candle to prime strategy
 - `seed_trade` (json): initial past trade to prime strategy
 - `funding_offer_snapshot` (array): opening funding offer balances
@@ -227,6 +228,14 @@ Get the public orderbook of a given symbol
   Get tickers for the given symbols. Tickers shows you the current best bid and ask,
   as well as the last trade price.
 
+### `get_derivative_status(symbol)`
+
+  Get derivative platform information for the given symbol.
+
+### `get_derivative_statuses(symbols)`
+
+  Get derivative platform information for the given collection of symbols.
+
 ### `get_wallets()`
 
   Get all wallets on account associated with API_KEY - Requires authentication.
@@ -277,6 +286,10 @@ Get the public orderbook of a given symbol
 
   Get all of the funding credits between the start and end period associated with API_KEY - Requires authentication.
 
+### `set_derivative_collateral(symbol, collateral)`
+
+  Set the amount of collateral used to back a derivative position.
+
 # Examples
 
 For more info on how to use this library please see the example scripts in the `bfxapi/examples` directory. Here you will find usage of all interface exposed functions for both the rest and websocket.

bfxapi/examples/rest/get_authenticated_data.py

@@ -12,8 +12,7 @@ API_SECRET=os.getenv("BFX_SECRET")
 bfx = Client(
   API_KEY=API_KEY,
   API_SECRET=API_SECRET,
-  logLevel='DEBUG',
-  rest_host='https://test.bitfinex.com/v2'
+  logLevel='DEBUG'
 )
 
 now = int(round(time.time() * 1000))

bfxapi/examples/rest/get_public_data.py

@@ -38,12 +38,18 @@ async def log_mul_tickers():
   print ("Tickers:")
   print (tickers)
 
+async def log_derivative_status():
+  status = await bfx.rest.get_derivative_status('tBTCF0:USTF0')
+  print ("Deriv status:")
+  print (status)
+
 async def run():
   await log_historical_candles()
   await log_historical_trades()
   await log_books()
   await log_ticker()
   await log_mul_tickers()
+  await log_derivative_status()
   
 t = asyncio.ensure_future(run())
 asyncio.get_event_loop().run_until_complete(t)

bfxapi/examples/ws/subscribe_derivative_status.py

@@ -0,0 +1,23 @@
+import os
+import sys
+sys.path.append('../')
+
+from bfxapi import Client
+
+bfx = Client(
+  logLevel='INFO'
+)
+
+@bfx.ws.on('error')
+def log_error(err):
+  print ("Error: {}".format(err))
+
+@bfx.ws.on('status_update')
+def log_msg(msg):
+  print (msg)
+
+async def start():
+  await bfx.ws.subscribe_derivative_status('tBTCF0:USTF0')
+
+bfx.ws.on('connected', start)
+bfx.ws.run()

bfxapi/models/subscription.py

@@ -21,13 +21,13 @@ class Subscription:
     such as unsibscribe and subscribe.
     """
 
-    def __init__(self, socket, channel_name, symbol, timeframe=None, **kwargs):
+    def __init__(self, socket, channel_name, symbol, key=None, timeframe=None, **kwargs):
         self.socket = socket
         self.channel_name = channel_name
         self.symbol = symbol
         self.timeframe = timeframe
         self.is_subscribed_bool = False
-        self.key = None
+        self.key = key
         self.chan_id = None
         if timeframe:
             self.key = 'trade:{}:{}'.format(self.timeframe, self.symbol)
@@ -79,7 +79,7 @@ class Subscription:
     def _generate_payload(self, **kwargs):
         payload = {'event': 'subscribe',
                    'channel': self.channel_name, 'symbol': self.symbol}
-        if self.timeframe:
+        if self.timeframe or self.key:
             payload['key'] = self.key
         payload.update(**kwargs)
         return payload

bfxapi/rest/__init__.py

@@ -0,0 +1 @@
+NAME = 'rest'

bfxapi/rest/bfx_rest.py

@@ -33,7 +33,7 @@ class BfxRest:
 
     async def fetch(self, endpoint, params=""):
         """
-        Fetch a GET request from the bitfinex host
+        Send a GET request to the bitfinex api
 
         @return reponse
         """
@@ -49,7 +49,7 @@ class BfxRest:
 
     async def post(self, endpoint, data={}, params=""):
         """
-        Request a POST to the bitfinex host
+        Send a pre-signed POST request to the bitfinex api
 
         @return response
         """
@@ -151,7 +151,7 @@ class BfxRest:
         Get tickers for the given symbol. Tickers shows you the current best bid and ask,
         as well as the last trade price.
 
-        @parms symbols symbol string: pair symbol i.e tBTCUSD
+        @param symbols symbol string: pair symbol i.e tBTCUSD
         @return Array [ SYMBOL, BID, BID_SIZE, ASK, ASK_SIZE, DAILY_CHANGE,
           DAILY_CHANGE_PERC, LAST_PRICE, VOLUME, HIGH, LOW ]
         """
@@ -164,7 +164,7 @@ class BfxRest:
         Get tickers for the given symbols. Tickers shows you the current best bid and ask,
         as well as the last trade price.
 
-        @parms symbols Array<string>: array of symbols i.e [tBTCUSD, tETHUSD]
+        @param symbols Array<string>: array of symbols i.e [tBTCUSD, tETHUSD]
         @return Array [ SYMBOL, BID, BID_SIZE, ASK, ASK_SIZE, DAILY_CHANGE,  DAILY_CHANGE_PERC,
           LAST_PRICE, VOLUME, HIGH, LOW ]
         """
@@ -172,6 +172,31 @@ class BfxRest:
         ticker = await self.fetch(endpoint)
         return ticker
 
+    async def get_derivative_status(self, symbol):
+        """
+        Gets platform information for derivative symbol.
+
+        @param derivativeSymbol string: i.e tBTCF0:USTF0
+        @return [KEY/SYMBOL, MTS, PLACEHOLDER, DERIV_PRICE, SPOT_PRICE, PLACEHOLDER, INSURANCE_FUND_BALANCE4,
+            PLACEHOLDER, PLACEHOLDER, FUNDING_ACCRUED, FUNDING_STEP, PLACEHOLDER]
+        """
+        statuses = await self.get_derivative_statuses([symbol])
+        if len(statuses) > 0:
+            return statuses[0]
+        return []
+
+    async def get_derivative_statuses(self, symbols):
+        """
+        Gets platform information for a collection of derivative symbols.
+
+        @param derivativeSymbols Array<string>: array of symbols i.e [tBTCF0:USTF0 ...] or ["ALL"]
+        @return [KEY/SYMBOL, MTS, PLACEHOLDER, DERIV_PRICE, SPOT_PRICE, PLACEHOLDER, INSURANCE_FUND_BALANCE4,
+            PLACEHOLDER, PLACEHOLDER, FUNDING_ACCRUED, FUNDING_STEP, PLACEHOLDER]
+        """
+        endpoint = "status/deriv?keys={}".format(','.join(symbols))
+        status = await self.fetch(endpoint)
+        return status
+
     ##################################################
     #               Authenticated Data               #
     ##################################################
@@ -327,7 +352,7 @@ class BfxRest:
         return [FundingCredit.from_raw_credit(c) for c in credits]
 
     ##################################################
-    #                     Orders                     #
+    #                    Orders                      #
     ##################################################
 
     async def __submit_order(self, symbol, amount, price, oType=Order.Type.LIMIT,
@@ -368,3 +393,20 @@ class BfxRest:
             payload['sell_price_oco'] = stop_sell_price
         endpoint = 'order/new'
         return await self.post(endpoint, data=payload)
+
+    ##################################################
+    #                   Derivatives                  #
+    ##################################################
+
+    async def set_derivative_collateral(self, symbol, collateral):
+        """
+        Update the amount of callateral used to back a derivative position.
+
+        @param symbol of the derivative i.e 'tBTCF0:USTF0'
+        @param collateral: amount of collateral/value to apply to the open position
+        """
+        endpoint = 'auth/w/deriv/collateral/set'
+        payload = {}
+        payload['symbol'] = symbol
+        payload['collateral'] = collateral
+        return await self.post(endpoint, data=payload)

bfxapi/utils/__init__.py

@@ -0,0 +1 @@
+NAME = 'utils'

bfxapi/version.py

@@ -2,4 +2,4 @@
 This module contains the current version of the bfxapi lib
 """
 
-__version__ = '1.0.0'
+__version__ = '1.0.1'

bfxapi/websockets/__init__.py

@@ -0,0 +1 @@
+NAME = 'websockets'

bfxapi/websockets/bfx_websocket.py

@@ -65,6 +65,23 @@ def _parse_trade(tData, symbol):
         'symbol': symbol
     }
 
+def _parse_deriv_status_update(sData, symbol):
+    return {
+            'symbol': symbol,
+            'status_type': 'deriv',
+            'mts': sData[0],
+            # placeholder
+            'deriv_price': sData[2],
+            'spot_price': sData[3],
+            # placeholder
+            'insurance_fund_balance': sData[5],
+            # placeholder
+            # placeholder
+            'funding_accrued': sData[8],
+            'funding_step': sData[9],
+            # placeholder
+        }
+
 
 class BfxWebsocket(GenericWebsocket):
     """
@@ -167,6 +184,8 @@ class BfxWebsocket(GenericWebsocket):
                 await self._order_book_handler(data, raw_message_str)
             if subscription.channel_name == 'trades':
                 await self._trade_handler(data)
+            if subscription.channel_name == 'status':
+                await self._status_handler(data)
         else:
             self.logger.warn(
                 "Unknown data event: '{}' {}".format(dataEvent, data))
@@ -293,6 +312,18 @@ class BfxWebsocket(GenericWebsocket):
         self._emit('funding_credit_snapshot', data[2])
         self.logger.info("Funding credit snapshot: {}".format(data))
 
+    async def _status_handler(self, data):
+        sub = self.subscriptionManager.get(data[0])
+        symbol = sub.symbol
+        status_type = sub.key.split(":")[0]
+        rstatus = data[1]
+        if status_type == "deriv":
+            status = _parse_deriv_status_update(rstatus, symbol)
+        if status:
+            self._emit('status_update', status)
+        else:
+            self.logger.warn('Unknown status data type: {}'.format(data))
+
     async def _trade_handler(self, data):
         symbol = self.subscriptionManager.get(data[0]).symbol
         if type(data[1]) is list:
@@ -439,6 +470,22 @@ class BfxWebsocket(GenericWebsocket):
             if socket.isConnected:
                 await socket.ws.send(json.dumps(payload))
 
+    async def subscribe_order_book(self, symbol):
+        return await self.subscribe('book', symbol)
+
+    async def subscribe_candles(self, symbol, timeframe):
+        return await self.subscribe('candles', symbol, timeframe=timeframe)
+
+    async def subscribe_trades(self, symbol):
+        return await self.subscribe('trades', symbol)
+
+    async def subscribe_ticker(self, symbol):
+        return await self.subscribe('ticker', symbol)
+
+    async def subscribe_derivative_status(self, symbol):
+        key = 'deriv:{}'.format(symbol)
+        return await self.subscribe('status', symbol, key=key)
+
     async def subscribe(self, *args, **kwargs):
         return await self.subscriptionManager.subscribe(*args, **kwargs)
 

bfxapi/websockets/subscription_manager.py

@@ -32,7 +32,7 @@ class SubscriptionManager:
                 count += 1
         return count
 
-    async def subscribe(self, channel_name, symbol, timeframe=None, **kwargs):
+    async def subscribe(self, channel_name, symbol, key=None, timeframe=None, **kwargs):
         """
         Subscribe to a new channel
 
@@ -51,7 +51,7 @@ class SubscriptionManager:
             socket = self.bfxapi.get_most_available_socket()
         # create a new subscription
         subscription = Subscription(
-            socket, channel_name, symbol, timeframe, **kwargs)
+            socket, channel_name, symbol, key, timeframe, **kwargs)
         self.logger.info("Subscribing to channel {}".format(channel_name))
         self.pending_subscriptions[subscription.get_key()] = subscription
 

pylint.rc

@@ -10,4 +10,4 @@ disable=too-few-public-methods,
         too-many-instance-attributes,
         invalid-name
 
-ignore=tests
+ignore=tests,websockets,rest,utils

setup.py

@@ -0,0 +1,76 @@
+"""A setuptools based setup module.
+See:
+https://packaging.python.org/guides/distributing-packages-using-setuptools/
+https://github.com/pypa/sampleproject
+"""
+
+# Always prefer setuptools over distutils
+from setuptools import setup, find_packages
+from os import path
+# io.open is needed for projects that support Python 2.7
+# It ensures open() defaults to text mode with universal newlines,
+# and accepts an argument to specify the text encoding
+# Python 3 only projects can skip this import
+from io import open
+
+here = path.abspath(path.dirname(__file__))
+
+# Arguments marked as "Required" below must be included for upload to PyPI.
+# Fields marked as "Optional" may be commented out.
+
+setup(
+    name='bitfinex-api-py',
+    version='1.0.1',  # Required
+    description='Official Bitfinex API',  # Optional
+    long_description='This is an official python library that is used to connect interact with the Bitfinex api.',  # Optional
+    long_description_content_type='text/markdown',  # Optional
+    url='https://github.com/bitfinexcom/bitfinex-api-py',  # Optional
+    author='Bitfinex',  # Optional
+    author_email='support@bitfinex.com',  # Optional
+    classifiers=[  # Optional
+        # How mature is this project? Common values are
+        #   3 - Alpha
+        #   4 - Beta
+        #   5 - Production/Stable
+        'Development Status :: 4 - Beta',
+
+        # Indicate who your project is intended for
+        'Intended Audience :: Developers',
+        'Topic :: Software Development :: Build Tools',
+
+        # Pick your license as you wish
+        'License :: OSI Approved :: Apache 2.0',
+
+        # Specify the Python versions you support here. In particular, ensure
+        # that you indicate whether you support Python 2, Python 3 or both.
+        # These classifiers are *not* checked by 'pip install'. See instead
+        # 'python_requires' below.
+        'Programming Language :: Python :: 2.7',
+        'Programming Language :: Python :: 3.6',
+        'Programming Language :: Python :: 3.7',
+    ],
+
+    keywords='bitfinex',  # Optional
+
+    packages=find_packages(exclude=['examples', 'tests']),  # Required
+
+    # Specify which Python versions you support. In contrast to the
+    # 'Programming Language' classifiers above, 'pip install' will check this
+    # and refuse to install the project if the version does not match. If you
+    # do not support Python 2, you can simplify this to '>=3.5' or similar, see
+    # https://packaging.python.org/guides/distributing-packages-using-setuptools/#python-requires
+    python_requires='>=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*, !=3.5.*, <4',
+
+    # This field lists other packages that your project depends on to run.
+    # Any package you put here will be installed by pip when your project is
+    # installed, so they must be valid existing projects.
+    #
+    # For an analysis of "install_requires" vs pip's requirements files see:
+    # https://packaging.python.org/en/latest/requirements.html
+    install_requires=['eventemitter', 'asyncio', 'websockets', 'pylint', 'six', 'pyee', 'aiohttp'],  # Optional
+
+    project_urls={  # Optional
+        'Bug Reports': 'https://github.com/bitfinexcom/bitfinex-api-py/issues',
+        'Source': 'https://github.com/bitfinexcom/bitfinex-api-py',
+    },
+)