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bfxapi: add rest order endpoints

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This commit is contained in:
Jacob Plaster
2019-09-11 11:15:06 +01:00
committed by Jacob Plaster
parent e37474cafd
commit f6837452fb
4 changed files with 134 additions and 53 deletions
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19
bfxapi/models/order.py
View File

@@ -1,5 +1,5 @@
"""
Module used to describe all of the different data types
Module used to describe all of the different order data types
"""
import time
@@ -38,8 +38,7 @@ class OrderSide:
class OrderClosedModel:
"""
Enum used ad an index match to locate the different values in a
raw order array
Enum used index the different values in a raw order array
"""
ID = 0
GID = 1
@@ -151,7 +150,7 @@ class Order:
@staticmethod
def from_raw_order(raw_order):
"""
Parse a raw order object into an Order oject
Parse a raw order object into an Order object
@return Order
"""
@@ -178,6 +177,18 @@ class Order:
amount_orig, o_type, type_prev, flags, status, price, price_avg,
price_trailing, price_aux_limit, notfiy, place_id)
@staticmethod
def from_raw_order_snapshot(raw_order_snapshot):
"""
Parse a raw order snapshot array into an array of order objects
@return Orders: array of order objects
"""
parsed_orders = []
for raw_order in raw_order_snapshot:
parsed_orders += [Order.from_raw_order(raw_order)]
return parsed_orders
def set_confirmed(self):
"""
Set the state of the order to be confirmed

133
bfxapi/rest/bfx_rest.py
View File

@@ -8,9 +8,9 @@ import time
import json
from ..utils.custom_logger import CustomLogger
from ..utils.auth import generate_auth_headers
from ..utils.auth import generate_auth_headers, calculate_order_flags, gen_unique_cid
from ..models import Wallet, Order, Position, Trade, FundingLoan, FundingOffer
from ..models import FundingCredit
from ..models import FundingCredit, Notification
class BfxRest:
@@ -61,7 +61,7 @@ class BfxRest:
async with aiohttp.ClientSession() as session:
async with session.post(url + params, headers=headers, data=sData) as resp:
text = await resp.text()
if resp.status is not 200:
if resp.status < 200 or resp.status > 299:
raise Exception('POST {} failed with status {} - {}'
.format(url, resp.status, text))
parsed = json.loads(text, parse_float=self.parse_float)
@@ -355,44 +355,109 @@ class BfxRest:
# Orders #
##################################################
async def __submit_order(self, symbol, amount, price, oType=Order.Type.LIMIT,
is_hidden=False, is_postonly=False, use_all_available=False,
stop_order=False, stop_buy_price=0, stop_sell_price=0):
async def submit_order(self, symbol, price, amount, market_type=Order.Type.LIMIT,
hidden=False, price_trailing=None, price_aux_limit=None,
oco_stop_price=None, close=False, reduce_only=False,
post_only=False, oco=False, time_in_force=None, gid=None):
"""
Submit a new order
@param gid: assign the order to a group identifier
@param symbol: the name of the symbol i.e 'tBTCUSD
@param price: the price you want to buy/sell at (must be positive)
@param amount: order size: how much you want to buy/sell,
a negative amount indicates a sell order and positive a buy order
@param price: the price you want to buy/sell at (must be positive)
@param oType: order type, see Order.Type enum
@param is_hidden: True if order should be hidden from orderbooks
@param is_postonly: True if should be post only. Only relevant for limit
@param use_all_available: True if order should use entire balance
@param stop_order: True to set an additional STOP OCO order linked to the
current order
@param stop_buy_price: set the OCO stop buy price (requires stop_order True)
@param stop_sell_price: set the OCO stop sell price (requires stop_order True)
@param market_type Order.Type: please see Order.Type enum
amount decimal string Positive for buy, Negative for sell
@param hidden: if True, order should be hidden from orderbooks
@param price_trailing: decimal trailing price
@param price_aux_limit: decimal auxiliary Limit price (only for STOP LIMIT)
@param oco_stop_price: set the oco stop price (requires oco = True)
@param close: if True, close position if position present
@param reduce_only: if True, ensures that the executed order does not flip the opened position
@param post_only: if True, ensures the limit order will be added to the order book and not
match with a pre-existing order
@param oco: cancels other order option allows you to place a pair of orders stipulating
that if one order is executed fully or partially, then the other is automatically canceled
@param time_in_force: datetime for automatic order cancellation ie. 2020-01-01 10:45:23
"""
raise NotImplementedError(
"V2 submit order has not yet been added to the bfx api. Please use bfxapi.ws")
side = Order.Side.SELL if amount < 0 else Order.Side.BUY
use_all_balance = 1 if use_all_available else 0
payload = {}
payload['symbol'] = symbol
payload['amount'] = abs(amount)
payload['price'] = price
payload['side'] = side
payload['type'] = oType
payload['is_hidden'] = is_hidden
payload['is_postonly'] = is_postonly
payload['use_all_available'] = use_all_balance
payload['ocoorder'] = stop_order
if stop_order:
payload['buy_price_oco'] = stop_buy_price
payload['sell_price_oco'] = stop_sell_price
endpoint = 'order/new'
return await self.post(endpoint, data=payload)
cid = gen_unique_cid()
payload = {
"cid": cid,
"type": str(market_type),
"symbol": symbol,
"amount": str(amount),
"price": str(price),
}
# calculate and add flags
flags = calculate_order_flags(hidden, close, reduce_only, post_only, oco)
payload['flags'] = flags
# add extra parameters
if (price_trailing):
payload['price_trailing'] = price_trailing
if (price_aux_limit):
payload['price_aux_limit'] = price_aux_limit
if (oco_stop_price):
payload['price_oco_stop'] = str(oco_stop_price)
if (time_in_force):
payload['tif'] = time_in_force
if (gid):
payload['gid'] = gid
endpoint = "auth/w/order/submit"
raw_notification = await self.post(endpoint, payload)
return Notification.from_raw_order(raw_notification)
async def submit_cancel_order(self, orderId):
"""
Cancel an existing open order
@param orderId: the id of the order that you want to update
"""
endpoint = "auth/w/order/cancel"
raw_notification = await self.post(endpoint, { 'id': orderId })
return Notification.from_raw_order(raw_notification)
async def submit_update_order(self, orderId, price=None, amount=None, delta=None, price_aux_limit=None,
price_trailing=None, hidden=False, close=False, reduce_only=False,
post_only=False, time_in_force=None):
"""
Update an existing order
@param orderId: the id of the order that you want to update
@param price: the price you want to buy/sell at (must be positive)
@param amount: order size: how much you want to buy/sell,
a negative amount indicates a sell order and positive a buy order
@param delta: change of amount
@param price_trailing: decimal trailing price
@param price_aux_limit: decimal auxiliary Limit price (only for STOP LIMIT)
@param hidden: if True, order should be hidden from orderbooks
@param close: if True, close position if position present
@param reduce_only: if True, ensures that the executed order does not flip the opened position
@param post_only: if True, ensures the limit order will be added to the order book and not
match with a pre-existing order
@param time_in_force: datetime for automatic order cancellation ie. 2020-01-01 10:45:23
"""
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 time_in_force is not None:
payload['time_in_force'] = str(time_in_force)
flags = calculate_order_flags(
hidden, close, reduce_only, post_only, False)
payload['flags'] = flags
endpoint = "auth/w/order/update"
raw_notification = await self.post(endpoint, payload)
print (raw_notification)
return Notification.from_raw_order(raw_notification)
##################################################
# Derivatives #

13
bfxapi/utils/auth.py
View File

@@ -6,6 +6,7 @@ to handle the http authentication of the client
import hashlib
import hmac
import time
from ..models import Order
def generate_auth_payload(API_KEY, API_SECRET):
"""
@@ -48,3 +49,15 @@ def _gen_signature(API_KEY, API_SECRET, nonce):
def _gen_nonce():
return int(round(time.time() * 1000000))
def gen_unique_cid():
return int(round(time.time() * 1000))
def calculate_order_flags(hidden, close, reduce_only, post_only, oco):
flags = 0
flags = flags + Order.Flags.HIDDEN if hidden else flags
flags = flags + Order.Flags.CLOSE if close else flags
flags = flags + Order.Flags.REDUCE_ONLY if reduce_only else flags
flags = flags + Order.Flags.POST_ONLY if post_only else flags
flags = flags + Order.Flags.OCO if oco else flags
return flags

22
bfxapi/websockets/order_manager.py
View File

@@ -7,6 +7,7 @@ import asyncio
from ..utils.custom_logger import CustomLogger
from ..models import Order
from ..utils.auth import calculate_order_flags, gen_unique_cid
class OrderManager:
@@ -83,9 +84,6 @@ class OrderManager:
self.logger.info("Order new: {}".format(order))
self.bfxapi._emit('order_new', order)
def _gen_unqiue_cid(self):
return int(round(time.time() * 1000))
async def submit_order(self, symbol, price, amount, market_type=Order.Type.LIMIT,
hidden=False, price_trailing=None, price_aux_limit=None,
oco_stop_price=None, close=False, reduce_only=False,
@@ -94,7 +92,7 @@ class OrderManager:
"""
Submit a new order
@param gid: assign the order to a group identitfier
@param gid: assign the order to a group identifier
@param symbol: the name of the symbol i.e 'tBTCUSD
@param price: the price you want to buy/sell at (must be positive)
@param amount: order size: how much you want to buy/sell,
@@ -118,7 +116,7 @@ class OrderManager:
@param onClose: function called when the bitfinex websocket receives signal that the order
was closed due to being filled or cancelled
"""
cid = self._gen_unqiue_cid()
cid = self._gen_unique_cid()
# create base payload with required data
payload = {
"cid": cid,
@@ -128,7 +126,7 @@ class OrderManager:
"price": str(price),
}
# caclulate and add flags
flags = self._calculate_flags(hidden, close, reduce_only, post_only, oco)
flags = calculate_order_flags(hidden, close, reduce_only, post_only, oco)
payload['flags'] = flags
# add extra parameters
if (price_trailing):
@@ -187,7 +185,7 @@ class OrderManager:
payload['price_trailing'] = str(price_trailing)
if time_in_force is not None:
payload['time_in_force'] = str(time_in_force)
flags = self._calculate_flags(
flags = calculate_order_flags(
hidden, close, reduce_only, post_only, False)
payload['flags'] = flags
await self.bfxapi._send_auth_command('ou', payload)
@@ -261,11 +259,5 @@ class OrderManager:
del callback_storage[key]
await asyncio.gather(*tasks)
def _calculate_flags(self, hidden, close, reduce_only, post_only, oco):
flags = 0
flags = flags + Order.Flags.HIDDEN if hidden else flags
flags = flags + Order.Flags.CLOSE if close else flags
flags = flags + Order.Flags.REDUUCE_ONLY if reduce_only else flags
flags = flags + Order.Flags.POST_ONLY if post_only else flags
flags = flags + Order.Flags.OCO if oco else flags
return flags
def _gen_unique_cid(self):
return gen_unique_cid()