From fb8e7db149194f1cf071e00e6bbe0e9ed052d6a6 Mon Sep 17 00:00:00 2001
From: Jacob Plaster <jacob.plaster@bitfinex.com>
Date: Wed, 14 Nov 2018 12:22:48 +0100
Subject: [PATCH] Moved files into repo

---
 bfxapi/__init__.py                            |   4 +
 .../DataServerWebsocket.cpython-36.pyc        | Bin 0 -> 2960 bytes
 .../GenericWebsocket.cpython-36.pyc           | Bin 0 -> 2385 bytes
 .../__pycache__/LiveWebsocket.cpython-36.pyc  | Bin 0 -> 9544 bytes
 bfxapi/__pycache__/__init__.cpython-36.pyc    | Bin 0 -> 331 bytes
 bfxapi/utils/CustomLogger.py                  |  80 +++++
 .../__pycache__/CustomLogger.cpython-36.pyc   | Bin 0 -> 2698 bytes
 bfxapi/websockets/DataServerWebsocket.py      |  73 +++++
 bfxapi/websockets/GenericWebsocket.py         |  58 ++++
 bfxapi/websockets/LiveWebsocket.py            | 295 ++++++++++++++++++
 .../DataServerWebsocket.cpython-36.pyc        | Bin 0 -> 3008 bytes
 .../GenericWebsocket.cpython-36.pyc           | Bin 0 -> 2433 bytes
 .../__pycache__/LiveWebsocket.cpython-36.pyc  | Bin 0 -> 9592 bytes
 13 files changed, 510 insertions(+)
 create mode 100644 bfxapi/__init__.py
 create mode 100644 bfxapi/__pycache__/DataServerWebsocket.cpython-36.pyc
 create mode 100644 bfxapi/__pycache__/GenericWebsocket.cpython-36.pyc
 create mode 100644 bfxapi/__pycache__/LiveWebsocket.cpython-36.pyc
 create mode 100644 bfxapi/__pycache__/__init__.cpython-36.pyc
 create mode 100644 bfxapi/utils/CustomLogger.py
 create mode 100644 bfxapi/utils/__pycache__/CustomLogger.cpython-36.pyc
 create mode 100644 bfxapi/websockets/DataServerWebsocket.py
 create mode 100644 bfxapi/websockets/GenericWebsocket.py
 create mode 100644 bfxapi/websockets/LiveWebsocket.py
 create mode 100644 bfxapi/websockets/__pycache__/DataServerWebsocket.cpython-36.pyc
 create mode 100644 bfxapi/websockets/__pycache__/GenericWebsocket.cpython-36.pyc
 create mode 100644 bfxapi/websockets/__pycache__/LiveWebsocket.cpython-36.pyc

diff --git a/bfxapi/__init__.py b/bfxapi/__init__.py
new file mode 100644
index 0000000..34ba4fa
--- /dev/null
+++ b/bfxapi/__init__.py
@@ -0,0 +1,4 @@
+name = 'bfxapi'
+
+from bfxapi.websockets.LiveWebsocket import LiveBfxWebsocket
+from bfxapi.websockets.DataServerWebsocket import DataServerWebsocket
diff --git a/bfxapi/__pycache__/DataServerWebsocket.cpython-36.pyc b/bfxapi/__pycache__/DataServerWebsocket.cpython-36.pyc
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diff --git a/bfxapi/__pycache__/__init__.cpython-36.pyc b/bfxapi/__pycache__/__init__.cpython-36.pyc
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diff --git a/bfxapi/utils/CustomLogger.py b/bfxapi/utils/CustomLogger.py
new file mode 100644
index 0000000..7ee622d
--- /dev/null
+++ b/bfxapi/utils/CustomLogger.py
@@ -0,0 +1,80 @@
+import logging
+
+RESET_SEQ = "\033[0m"
+COLOR_SEQ = "\033[1;%dm"
+BOLD_SEQ = "\033[1m"
+UNDERLINE_SEQ = "\033[04m"
+
+YELLOW = '\033[93m'
+WHITE = '\33[37m'
+BLUE = '\033[34m'
+LIGHT_BLUE = '\033[94m'
+RED = '\033[91m'
+GREY = '\33[90m'
+
+KEYWORD_COLORS = {
+    'WARNING': YELLOW,
+    'INFO': LIGHT_BLUE,
+    'DEBUG': WHITE,
+    'CRITICAL': YELLOW,
+    'ERROR': RED,
+    'TRADE': '\33[102m\33[30m'
+}
+
+def formatter_message(message, use_color = True):
+  if use_color:
+      message = message.replace("$RESET", RESET_SEQ).replace("$BOLD", BOLD_SEQ)
+  else:
+      message = message.replace("$RESET", "").replace("$BOLD", "")
+  return message
+
+def format_word(message, word, color_seq, bold=False, underline=False):
+    replacer = color_seq + word + RESET_SEQ
+    if underline:
+        replacer = UNDERLINE_SEQ + replacer
+    if bold:
+        replacer = BOLD_SEQ + replacer
+    return message.replace(word, replacer)
+
+class Formatter(logging.Formatter):
+  '''
+  This Formatted simply colors in the levelname i.e 'INFO', 'DEBUG'
+  '''
+  def __init__(self, msg, use_color = True):
+    logging.Formatter.__init__(self, msg)
+    self.use_color = use_color
+
+  def format(self, record):
+    levelname = record.levelname
+    if self.use_color and levelname in KEYWORD_COLORS:
+        levelname_color = KEYWORD_COLORS[levelname] + levelname + RESET_SEQ
+        record.levelname = levelname_color
+    record.name = GREY + record.name + RESET_SEQ
+    return logging.Formatter.format(self, record)
+
+class CustomLogger(logging.Logger):
+    '''
+    This adds extra logging functions such as logger.trade and also
+    sets the logger to use the custom formatter
+    '''
+    FORMAT = "[$BOLD%(name)s$RESET] [%(levelname)s] %(message)s"
+    COLOR_FORMAT = formatter_message(FORMAT, True)
+    TRADE = 50
+
+    def __init__(self, name, logLevel='DEBUG'):
+        logging.Logger.__init__(self, name, logLevel)                
+        color_formatter = Formatter(self.COLOR_FORMAT)
+        console = logging.StreamHandler()
+        console.setFormatter(color_formatter)
+        self.addHandler(console)
+        logging.addLevelName(self.TRADE, "TRADE")
+        return
+    
+    def trade(self, message, *args, **kws):
+        if self.isEnabledFor(self.TRADE):
+            message = format_word(message, 'CLOSED ', YELLOW, bold=True)
+            message = format_word(message, 'OPENED ', LIGHT_BLUE, bold=True)
+            message = format_word(message, 'UPDATED ', BLUE, bold=True)
+            message = format_word(message, 'CLOSED_ALL ', RED, bold=True)
+            # Yes, logger takes its '*args' as 'args'.
+            self._log(self.TRADE, message, args, **kws) 
diff --git a/bfxapi/utils/__pycache__/CustomLogger.cpython-36.pyc b/bfxapi/utils/__pycache__/CustomLogger.cpython-36.pyc
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diff --git a/bfxapi/websockets/DataServerWebsocket.py b/bfxapi/websockets/DataServerWebsocket.py
new file mode 100644
index 0000000..464180a
--- /dev/null
+++ b/bfxapi/websockets/DataServerWebsocket.py
@@ -0,0 +1,73 @@
+import json
+
+from .GenericWebsocket import GenericWebsocket
+
+class DataServerWebsocket(GenericWebsocket):
+  '''
+  Basic websocket client that simply reads data from the DataServer. This instance
+  of the websocket should only ever be used in backtest mode since it isnt capable
+  of handling orders.
+  '''
+  WS_END = 'bt.end'
+  WS_CANDLE = 'bt.candle'
+  WS_TRADE = 'bt.trade'
+  WS_START = 'bt.start'
+  WS_SYNC_START = 'bt.sync.start'
+  WS_SYNC_END = 'bt.sync.end'
+  WS_CONNECT = 'connected'
+
+  def __init__(self, host='ws://localhost:8899', *args, **kwargs):
+    super(DataServerWebsocket, self).__init__(host,  *args, **kwargs)
+
+  def run(self, fromDate, toDate, syncTrades=True, syncCandles=True, tf='1m',
+      candleFields='*', tradeFields='*', syncMissing=True):
+    self.fromDate = fromDate
+    self.toDate = toDate
+    self.tf = tf
+    self.sync = syncCandles
+    self.syncTrades = syncTrades
+    self.syncCandles = syncCandles
+    self.syncMissing = syncMissing
+    self.candleFields = candleFields
+    self.tradeFields = tradeFields
+    super(DataServerWebsocket, self).run()
+  
+  async def on_message(self, message):
+    self.logger.debug(message)
+    msg = json.loads(message)
+    eType = msg[0]
+    if eType == self.WS_SYNC_START:
+      self.logger.info("Syncing data with backtest server, please wait...")
+    elif eType == self.WS_SYNC_END:
+      self.logger.info("Syncing complete.")
+    elif eType == self.WS_START:
+      self.logger.info("Backtest data stream starting...")
+    elif eType == self.WS_END:
+      self.logger.info("Backtest data stream complete.")
+      await self.on_close()
+    elif eType == self.WS_CANDLE:
+      self._onCandle(msg)
+    elif eType == self.WS_TRADE:
+      self._onTrade(msg)
+    elif eType == self.WS_CONNECT:
+      await self.on_open()
+    else:
+      self.logger.warn('Unknown websocket command: {}'.format(msg[0]))
+  
+  def _exec_bt_string(self):
+    data = '["exec.bt", [{}, {}, "{}", "{}", "{}", "{}", "{}", "{}", "{}"]]'.format(
+        self.fromDate, self.toDate, self.symbol, self.tf, json.dumps(self.syncCandles),
+        json.dumps(self.syncTrades), self.candleFields, self.tradeFields, json.dumps(self.sync))
+    return data
+  
+  async def on_open(self):
+    data = self._exec_bt_string()
+    await self.ws.send(data)
+  
+  async def _onCandle(self, data):
+    candle = data[3]
+    await self.onCandleHook(candle)
+  
+  async def _onTrade(self, data):
+    trade = data[2]
+    await self.onTradeHook(trade)
diff --git a/bfxapi/websockets/GenericWebsocket.py b/bfxapi/websockets/GenericWebsocket.py
new file mode 100644
index 0000000..851a15b
--- /dev/null
+++ b/bfxapi/websockets/GenericWebsocket.py
@@ -0,0 +1,58 @@
+import asyncio
+import websockets
+import json
+
+from ..utils.CustomLogger import CustomLogger
+
+class AuthError(Exception): pass
+
+def is_json(myjson):
+  try:
+      json_object = json.loads(myjson)
+  except ValueError as e:
+      return False
+  return True
+
+class GenericWebsocket(object):
+  def __init__(self, host, symbol='tBTCUSD', onCandleHook=None, onTradeHook=None, onCompleteHook=None):
+    if not onCandleHook:
+      raise KeyError("Expected `onCandleHook` in parameters.")
+    if not onTradeHook:
+      raise KeyError("Expected `onTradeHook` in parameters.")
+    if not onCompleteHook:
+      raise KeyError("Expected `onCompleteHook` in parameters.")
+    self.onCandleHook = onCandleHook
+    self.onTradeHook = onTradeHook
+    self.onCompleteHook = onCompleteHook
+    self.symbol = symbol
+    self.host = host
+    self.awaiting_request = False
+
+    self.logger = CustomLogger('HFWebSocket', logLevel='INFO')
+    self.loop = asyncio.get_event_loop()
+    # self.events = EventEmitter()
+
+  def run(self):
+    self.loop.run_until_complete(self._main(self.host))
+
+  async def _main(self, host):
+    async with websockets.connect(host) as websocket:
+      self.ws = websocket
+      while True:
+        await asyncio.sleep(0)
+        message = await websocket.recv()
+        await self.on_message(message)
+
+  async def on_error(self, error):
+    self.logger.error(error)
+
+  async def on_close(self):
+    self.logger.info("Websocket closed.")
+    await self.ws.close()
+    self.onCompleteHook()
+
+  async def on_open(self):
+    pass
+
+  async def on_message(self, message):
+    pass
diff --git a/bfxapi/websockets/LiveWebsocket.py b/bfxapi/websockets/LiveWebsocket.py
new file mode 100644
index 0000000..2b23a0d
--- /dev/null
+++ b/bfxapi/websockets/LiveWebsocket.py
@@ -0,0 +1,295 @@
+import asyncio
+import json
+import time
+import hashlib
+import hmac
+import random
+
+from .GenericWebsocket import GenericWebsocket, AuthError
+
+def _parse_candle(cData, symbol, tf):
+  return {
+    'mts': cData[0],
+    'open': cData[1],
+    'close': cData[2],
+    'high': cData[3],
+    'low': cData[4],
+    'volume': cData[5],
+    'symbol': symbol,
+    'tf': tf
+  }
+
+def _parse_trade(tData, symbol):
+  print (tData)
+  return {
+    'mts': tData[3],
+    'price': tData[4],
+    'amount': tData[5],
+    'symbol': symbol
+  }
+
+class LiveBfxWebsocket(GenericWebsocket):
+  '''
+  More complex websocket that heavily relies on the btfxwss module. This websocket requires
+  authentication and is capable of handling orders.
+  https://github.com/Crypto-toolbox/btfxwss
+
+  Translation names:
+
+  translation table for channel names:
+    Data Channels
+    os      -   Orders
+    hos     -   Historical Orders
+    ps      -   Positions
+    hts     -   Trades (snapshot)
+    te      -   Trade Event
+    tu      -   Trade Update
+    ws      -   Wallets
+    bu      -   Balance Info
+    miu     -   Margin Info
+    fiu     -   Funding Info
+    fos     -   Offers
+    hfos    -   Historical Offers
+    fcs     -   Credits
+    hfcs    -   Historical Credits
+    fls     -   Loans
+    hfls    -   Historical Loans
+    htfs    -   Funding Trades
+    n       -   Notifications (WIP)
+  '''
+
+  ERRORS = {
+    10000: 'Unknown event',
+    10001: 'Generic error',
+    10008: 'Concurrency error',
+    10020: 'Request parameters error',
+    10050: 'Configuration setup failed',
+    10100: 'Failed authentication',
+    10111: 'Error in authentication request payload',
+    10112: 'Error in authentication request signature',
+    10113: 'Error in authentication request encryption',
+    10114: 'Error in authentication request nonce',
+    10200: 'Error in un-authentication request',
+    10300: 'Subscription Failed (generic)',
+    10301: 'Already Subscribed',
+    10302: 'Unknown channel',
+    10400: 'Subscription Failed (generic)',
+    10401: 'Not subscribed',
+    11000: 'Not ready, try again later',
+    20000: 'User is invalid!',
+    20051: 'Websocket server stopping',
+    20060: 'Websocket server resyncing',
+    20061: 'Websocket server resync complete'
+  }
+
+  def __init__(self, API_KEY=None, API_SECRET=None, backtest=False, host='wss://test.bitfinex.com/ws',
+      onSeedCandleHook=None, onSeedTradeHook=None, *args, **kwargs):
+    self.channels = {}
+    self.tf = '1m'
+    if not onSeedCandleHook:
+      raise KeyError("Expected `onSeedCandleHook` in parameters.")
+    if not onSeedTradeHook:
+      raise KeyError("Expected `onSeedTradeHook` in parameters.")
+
+    self.onSeedCandleHook = onSeedCandleHook
+    self.onSeedTradeHook = onSeedTradeHook
+    self.API_KEY=API_KEY
+    self.API_SECRET=API_SECRET
+    self.backtest=backtest
+    self.pendingOrders = {}
+
+    super(LiveBfxWebsocket, self).__init__(host, *args, **kwargs)
+
+    self._WS_DATA_HANDLERS = {
+      'tu': self._trade_update_handler,
+      'wu': self._wallet_update_handler,
+      'hb': self._heart_beat_handler,
+      'te': self._trade_event_handler,
+      'oc': self._order_confirmed_handler,
+      'os': self._order_snapshot_handler,
+      'ws': self._wallet_snapshot_handler,
+      'ps': self._position_snapshot_handler
+    }
+
+    self._WS_SYSTEM_HANDLERS = {
+      'info': self._system_info_handler,
+      'subscribed': self._system_subscribed_handler,
+      'error': self._system_error_handler,
+      'auth': self._system_auth_handler
+    }
+
+  async def _ws_system_handler(self, msg):
+    eType = msg.get('event')
+    if eType in self._WS_SYSTEM_HANDLERS:
+      await self._WS_SYSTEM_HANDLERS[eType](msg)
+    else:
+      self.logger.warn('Unknown websocket event: {}'.format(eType))
+
+  async def _ws_data_handler(self, data):
+    dataEvent = data[1]
+    chanId = data[0]
+    
+    if type(dataEvent) is str and dataEvent in self._WS_DATA_HANDLERS:
+      return await self._WS_DATA_HANDLERS[dataEvent](data)
+    elif chanId in self.channels:
+      if self.channels[chanId] == 'trades':
+        await self._trade_handler(data)
+      elif self.channels[chanId] == 'candles':
+        candle = data[1]
+        await self._candle_handler(candle)
+    else:
+      self.logger.warn("Unknow data event: {}".format(dataEvent))
+
+  async def _system_info_handler(self, data):
+    self.logger.info(data)
+    if data.get('serverId', None):
+      ## connection has been established
+      await self.on_open()
+
+  async def _system_subscribed_handler(self, data):
+    chanEvent = data.get('channel')
+    self.logger.info("Subscribed to channel '{}'".format(chanEvent))
+    ## add channel to known list
+    chanId = data.get('chanId')
+    self.channels[chanId] = chanEvent
+
+  async def _system_error_handler(self, data):
+    code = data.get('code')
+    if code in self.ERRORS:
+      raise Exception(self.ERRORS[code])
+    else:
+      raise Exception(data)
+
+  async def _system_auth_handler(self, data):
+    if data.get('status') == 'FAILED':
+      raise AuthError(self.ERRORS[data.get('code')])
+    else:
+      self.logger.info("Authentication successful.")
+
+  async def _trade_update_handler(self, data):
+    pass
+  
+  async def _wallet_update_handler(self, data):
+    # [0,"wu",["exchange","USD",89134.66933283,0]]
+    wu = data[2]
+    self.logger.info("Wallet update: {}({}) = {}".format(wu[1], wu[0], wu[2]))
+
+  async def _heart_beat_handler(self, data):
+    self.logger.debug("Heartbeat - {}".format(self.host))
+
+  async def _trade_event_handler(self, data):
+    pass
+
+  async def _order_confirmed_handler(self, data):
+    # [0,"oc",[1151345759,"BTCUSD",0,-0.1,"EXCHANGE MARKET",
+    # "EXECUTED @ 16956.0(-0.05): was PARTIALLY FILLED @ 17051.0(-0.05)"
+    # ,17051,17003.5,"2018-11-13T14:54:29Z",0,0,0]]
+    tInfo = data[2]
+    self.logger.info("Order status: {} {}".format(tInfo[1], tInfo[5]))
+
+  async def _order_snapshot_handler(self, data):
+    self.logger.info("Position snapshot update: {}".format(data))
+  
+  async def _wallet_snapshot_handler(self, data):
+    self.logger.info("Wallet snapshot update: {}".format(data))
+  
+  async def _position_snapshot_handler(self, data):
+    self.logger.info("Position snapshot update: {}".format(data))
+  
+  async def _trade_handler(self, data):
+    if type(data[1]) is list:
+      data = data[1]
+      # Process the batch of seed trades on
+      # connection
+      data.reverse()
+      for t in data:
+        trade = {
+          'mts': t[1],
+          'price': t[2],
+          'amount': t[3],
+          'symbol': self.symbol
+        }
+        self.onSeedTradeHook(trade)
+    else:
+      tradeObj = _parse_trade(data, self.symbol)
+      await self.onTradeHook(tradeObj)
+
+  async def _candle_handler(self, data):
+    if type(data[0]) is list:
+      # Process the batch of seed candles on
+      # websocket subscription
+      data.reverse()
+      for c in data:
+        candle = _parse_candle(c, self.symbol, self.tf)
+        self.onSeedCandleHook(candle)
+    else:
+      candle = _parse_candle(data, self.symbol, self.tf)
+      await self.onCandleHook(candle)
+
+  async def on_message(self, message):
+    self.logger.info(message)
+    msg = json.loads(message)
+    if type(msg) is dict:
+      # System messages are received as json
+      await self._ws_system_handler(msg)
+    elif type(msg) is list:
+      # All data messages are received as a list
+      await self._ws_data_handler(msg)
+    else:
+      self.logger.warn('Unknown websocket response: {}'.format(msg))
+
+  async def _ws_authenticate_socket(self):
+    nonce = int(round(time.time() * 1000000))
+    authMsg = 'AUTH{}'.format(nonce)
+    secret = self.API_SECRET.encode()
+    sig = hmac.new(secret, authMsg.encode(), hashlib.sha384).hexdigest()
+    hmac.new(secret, self.API_SECRET.encode('utf'), hashlib.sha384).hexdigest()
+    jdata = {
+      'apiKey': self.API_KEY,
+      'authSig': sig,
+      'authNonce': nonce,
+      'authPayload': authMsg,
+      'event': 'auth'
+    }
+    await self.ws.send(json.dumps(jdata))
+
+  async def on_open(self):
+    self.logger.info("Websocket opened.")
+    # Orders are simulated in backtest mode
+    if not self.backtest:
+      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]
+    await self.ws.send(json.dumps(payload))  
+    print ("Order sent")
+    print (json.dumps(payload))
+
+  async def _subscribe(self, channel_name, **kwargs):
+    q = {'event': 'subscribe', 'channel': channel_name}
+    q.update(**kwargs)
+    self.logger.info("Subscribing to channel {}".format(channel_name))
+    await self.ws.send(json.dumps(q))
+
+  async def submit_order(self, symbol, price, amount, mtsCreate, market_type,
+      hidden=False, *args, **kwargs):
+    order_id = random.randint(1,999999999)
+    # send order over websocket
+    payload = {
+      "cid": order_id,
+      "type": market_type,
+      "symbol": symbol,
+      "amount": str(amount),
+      "price": str(price),
+      "hidden": 1 if hidden else 0
+    }
+    self.pendingOrders[order_id] = payload
+    await self.send_auth_command('on', payload)
+    # wait for order confirmation
+    # while True:
+    #   message = await websocket.recv()
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