1272 lines
51 KiB
Python
1272 lines
51 KiB
Python
# -*- coding: utf-8 -*-
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# PLEASE DO NOT EDIT THIS FILE, IT IS GENERATED AND WILL BE OVERWRITTEN:
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# https://github.com/ccxt/ccxt/blob/master/CONTRIBUTING.md#how-to-contribute-code
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import ccxt.async_support
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from ccxt.async_support.base.ws.cache import ArrayCache, ArrayCacheBySymbolById, ArrayCacheBySymbolBySide, ArrayCacheByTimestamp
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from ccxt.base.types import Any, Balances, Bool, Int, Order, OrderBook, Position, Str, Strings, Ticker, Tickers, Trade
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from ccxt.async_support.base.ws.client import Client
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from typing import List
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from ccxt.base.errors import AuthenticationError
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from ccxt.base.errors import NotSupported
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from ccxt.base.precise import Precise
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class modetrade(ccxt.async_support.modetrade):
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def describe(self) -> Any:
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return self.deep_extend(super(modetrade, self).describe(), {
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'has': {
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'ws': True,
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'watchBalance': True,
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'watchMyTrades': True,
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'watchOHLCV': True,
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'watchOrderBook': True,
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'watchOrders': True,
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'watchTicker': True,
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'watchTickers': True,
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'watchBidsAsks': True,
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'watchTrades': True,
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'watchTradesForSymbols': False,
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'watchPositions': True,
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},
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'urls': {
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'api': {
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'ws': {
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'public': 'wss://ws-evm.orderly.org/ws/stream',
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'private': 'wss://ws-private-evm.orderly.org/v2/ws/private/stream',
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},
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},
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'test': {
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'ws': {
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'public': 'wss://testnet-ws-evm.orderly.org/ws/stream',
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'private': 'wss://testnet-ws-private-evm.orderly.org/v2/ws/private/stream',
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},
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},
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},
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'requiredCredentials': {
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'apiKey': True,
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'secret': True,
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'accountId': True,
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},
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'options': {
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'tradesLimit': 1000,
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'ordersLimit': 1000,
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'requestId': {},
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'watchPositions': {
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'fetchPositionsSnapshot': True, # or False
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'awaitPositionsSnapshot': True, # whether to wait for the positions snapshot before providing updates
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},
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},
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'streaming': {
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'ping': self.ping,
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'keepAlive': 10000,
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},
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'exceptions': {
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'ws': {
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'exact': {
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'Auth is needed.': AuthenticationError,
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},
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},
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},
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})
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def request_id(self, url):
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options = self.safe_dict(self.options, 'requestId', {})
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previousValue = self.safe_integer(options, url, 0)
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newValue = self.sum(previousValue, 1)
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self.options['requestId'][url] = newValue
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return newValue
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async def watch_public(self, messageHash, message):
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# the default id
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id = 'OqdphuyCtYWxwzhxyLLjOWNdFP7sQt8RPWzmb5xY'
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if self.accountId is not None and self.accountId != '':
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id = self.accountId
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url = self.urls['api']['ws']['public'] + '/' + id
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requestId = self.request_id(url)
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subscribe: dict = {
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'id': requestId,
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}
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request = self.extend(subscribe, message)
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return await self.watch(url, messageHash, request, messageHash, subscribe)
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async def watch_order_book(self, symbol: str, limit: Int = None, params={}) -> OrderBook:
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"""
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https://orderly.network/docs/build-on-evm/evm-api/websocket-api/public/orderbook
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watches information on open orders with bid(buy) and ask(sell) prices, volumes and other data
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:param str symbol: unified symbol of the market to fetch the order book for
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:param int [limit]: the maximum amount of order book entries to return.
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: A dictionary of `order book structures <https://docs.ccxt.com/#/?id=order-book-structure>` indexed by market symbols
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"""
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await self.load_markets()
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name = 'orderbook'
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market = self.market(symbol)
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topic = market['id'] + '@' + name
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request: dict = {
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'event': 'subscribe',
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'topic': topic,
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}
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message = self.extend(request, params)
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orderbook = await self.watch_public(topic, message)
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return orderbook.limit()
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def handle_order_book(self, client: Client, message):
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#
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# {
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# "topic": "PERP_BTC_USDC@orderbook",
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# "ts": 1650121915308,
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# "data": {
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# "symbol": "PERP_BTC_USDC",
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# "bids": [
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# [
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# 0.30891,
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# 2469.98
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# ]
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# ],
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# "asks": [
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# [
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# 0.31075,
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# 2379.63
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# ]
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# ]
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# }
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# }
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#
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data = self.safe_dict(message, 'data', {})
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marketId = self.safe_string(data, 'symbol')
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market = self.safe_market(marketId)
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symbol = market['symbol']
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topic = self.safe_string(message, 'topic')
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if not (symbol in self.orderbooks):
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self.orderbooks[symbol] = self.order_book()
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orderbook = self.orderbooks[symbol]
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timestamp = self.safe_integer(message, 'ts')
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snapshot = self.parse_order_book(data, symbol, timestamp, 'bids', 'asks')
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orderbook.reset(snapshot)
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client.resolve(orderbook, topic)
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async def watch_ticker(self, symbol: str, params={}) -> Ticker:
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"""
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https://orderly.network/docs/build-on-evm/evm-api/websocket-api/public/24-hour-ticker
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watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
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:param str symbol: unified symbol of the market to fetch the ticker for
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
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"""
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await self.load_markets()
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name = 'ticker'
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market = self.market(symbol)
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symbol = market['symbol']
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topic = market['id'] + '@' + name
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request: dict = {
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'event': 'subscribe',
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'topic': topic,
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}
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message = self.extend(request, params)
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return await self.watch_public(topic, message)
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def parse_ws_ticker(self, ticker, market=None):
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#
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# {
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# "symbol": "PERP_BTC_USDC",
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# "open": 19441.5,
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# "close": 20147.07,
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# "high": 20761.87,
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# "low": 19320.54,
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# "volume": 2481.103,
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# "amount": 50037935.0286,
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# "count": 3689
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# }
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#
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return self.safe_ticker({
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'symbol': self.safe_symbol(None, market),
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'timestamp': None,
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'datetime': None,
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'high': self.safe_string(ticker, 'high'),
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'low': self.safe_string(ticker, 'low'),
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'bid': None,
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'bidVolume': None,
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'ask': None,
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'askVolume': None,
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'vwap': None,
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'open': self.safe_string(ticker, 'open'),
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'close': self.safe_string(ticker, 'close'),
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'last': None,
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'previousClose': None,
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'change': None,
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'percentage': None,
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'average': None,
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'baseVolume': self.safe_string(ticker, 'volume'),
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'quoteVolume': self.safe_string(ticker, 'amount'),
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'info': ticker,
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}, market)
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def handle_ticker(self, client: Client, message):
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#
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# {
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# "topic": "PERP_BTC_USDC@ticker",
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# "ts": 1657120017000,
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# "data": {
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# "symbol": "PERP_BTC_USDC",
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# "open": 19441.5,
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# "close": 20147.07,
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# "high": 20761.87,
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# "low": 19320.54,
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# "volume": 2481.103,
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# "amount": 50037935.0286,
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# "count": 3689
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# }
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# }
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#
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data = self.safe_dict(message, 'data', {})
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topic = self.safe_string(message, 'topic')
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marketId = self.safe_string(data, 'symbol')
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market = self.safe_market(marketId)
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timestamp = self.safe_integer(message, 'ts')
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data['date'] = timestamp
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ticker = self.parse_ws_ticker(data, market)
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ticker['symbol'] = market['symbol']
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self.tickers[market['symbol']] = ticker
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client.resolve(ticker, topic)
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return message
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async def watch_tickers(self, symbols: Strings = None, params={}) -> Tickers:
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"""
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https://orderly.network/docs/build-on-evm/evm-api/websocket-api/public/24-hour-tickers
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watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for all markets of a specific list
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:param str[] symbols: unified symbol of the market to fetch the ticker for
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
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"""
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await self.load_markets()
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symbols = self.market_symbols(symbols)
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name = 'tickers'
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topic = name
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request: dict = {
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'event': 'subscribe',
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'topic': topic,
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}
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message = self.extend(request, params)
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tickers = await self.watch_public(topic, message)
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return self.filter_by_array(tickers, 'symbol', symbols)
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def handle_tickers(self, client: Client, message):
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#
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# {
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# "topic":"tickers",
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# "ts":1618820615000,
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# "data":[
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# {
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# "symbol":"PERP_NEAR_USDC",
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# "open":16.297,
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# "close":17.183,
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# "high":24.707,
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# "low":11.997,
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# "volume":0,
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# "amount":0,
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# "count":0
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# },
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# ...
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# ]
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# }
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#
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topic = self.safe_string(message, 'topic')
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data = self.safe_list(message, 'data', [])
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timestamp = self.safe_integer(message, 'ts')
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result = []
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for i in range(0, len(data)):
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marketId = self.safe_string(data[i], 'symbol')
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market = self.safe_market(marketId)
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ticker = self.parse_ws_ticker(self.extend(data[i], {'date': timestamp}), market)
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self.tickers[market['symbol']] = ticker
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result.append(ticker)
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client.resolve(result, topic)
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async def watch_bids_asks(self, symbols: Strings = None, params={}) -> Tickers:
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"""
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https://orderly.network/docs/build-on-evm/evm-api/websocket-api/public/bbos
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watches best bid & ask for symbols
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:param str[] symbols: unified symbol of the market to fetch the ticker for
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
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"""
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await self.load_markets()
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symbols = self.market_symbols(symbols)
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name = 'bbos'
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topic = name
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request: dict = {
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'event': 'subscribe',
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'topic': topic,
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}
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message = self.extend(request, params)
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tickers = await self.watch_public(topic, message)
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return self.filter_by_array(tickers, 'symbol', symbols)
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def handle_bid_ask(self, client: Client, message):
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#
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# {
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# "topic": "bbos",
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# "ts": 1726212495000,
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# "data": [
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# {
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# "symbol": "PERP_BTC_USDC",
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# "ask": 0.16570,
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# "askSize": 4224,
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# "bid": 0.16553,
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# "bidSize": 6645
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# }
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# ]
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# }
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#
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topic = self.safe_string(message, 'topic')
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data = self.safe_list(message, 'data', [])
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timestamp = self.safe_integer(message, 'ts')
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result = []
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for i in range(0, len(data)):
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ticker = self.parse_ws_bid_ask(self.extend(data[i], {'ts': timestamp}))
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self.tickers[ticker['symbol']] = ticker
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result.append(ticker)
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client.resolve(result, topic)
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def parse_ws_bid_ask(self, ticker, market=None):
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marketId = self.safe_string(ticker, 'symbol')
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market = self.safe_market(marketId, market)
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symbol = self.safe_string(market, 'symbol')
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timestamp = self.safe_integer(ticker, 'ts')
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return self.safe_ticker({
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'symbol': symbol,
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'timestamp': timestamp,
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'datetime': self.iso8601(timestamp),
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'ask': self.safe_string(ticker, 'ask'),
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'askVolume': self.safe_string(ticker, 'askSize'),
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'bid': self.safe_string(ticker, 'bid'),
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'bidVolume': self.safe_string(ticker, 'bidSize'),
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'info': ticker,
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}, market)
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async def watch_ohlcv(self, symbol: str, timeframe: str = '1m', since: Int = None, limit: Int = None, params={}) -> List[list]:
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"""
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watches historical candlestick data containing the open, high, low, and close price, and the volume of a market
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https://orderly.network/docs/build-on-evm/evm-api/websocket-api/public/k-line
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:param str symbol: unified symbol of the market to fetch OHLCV data for
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:param str timeframe: the length of time each candle represents
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:param int [since]: timestamp in ms of the earliest candle to fetch
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:param int [limit]: the maximum amount of candles to fetch
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns int[][]: A list of candles ordered, open, high, low, close, volume
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"""
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await self.load_markets()
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if (timeframe != '1m') and (timeframe != '5m') and (timeframe != '15m') and (timeframe != '30m') and (timeframe != '1h') and (timeframe != '1d') and (timeframe != '1w') and (timeframe != '1M'):
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raise NotSupported(self.id + ' watchOHLCV timeframe argument must be 1m, 5m, 15m, 30m, 1h, 1d, 1w, 1M')
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market = self.market(symbol)
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interval = self.safe_string(self.timeframes, timeframe, timeframe)
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name = 'kline'
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topic = market['id'] + '@' + name + '_' + interval
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request: dict = {
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'event': 'subscribe',
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'topic': topic,
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}
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message = self.extend(request, params)
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ohlcv = await self.watch_public(topic, message)
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if self.newUpdates:
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limit = ohlcv.getLimit(market['symbol'], limit)
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return self.filter_by_since_limit(ohlcv, since, limit, 0, True)
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def handle_ohlcv(self, client: Client, message):
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#
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# {
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# "topic":"PERP_BTC_USDC@kline_1m",
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# "ts":1618822432146,
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# "data":{
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# "symbol":"PERP_BTC_USDC",
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# "type":"1m",
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# "open":56948.97,
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# "close":56891.76,
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# "high":56948.97,
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# "low":56889.06,
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# "volume":44.00947568,
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# "amount":2504584.9,
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# "startTime":1618822380000,
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# "endTime":1618822440000
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# }
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# }
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#
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data = self.safe_dict(message, 'data', {})
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topic = self.safe_string(message, 'topic')
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marketId = self.safe_string(data, 'symbol')
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market = self.safe_market(marketId)
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symbol = market['symbol']
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interval = self.safe_string(data, 'type')
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timeframe = self.find_timeframe(interval)
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parsed = [
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self.safe_integer(data, 'startTime'),
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self.safe_number(data, 'open'),
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self.safe_number(data, 'high'),
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self.safe_number(data, 'low'),
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self.safe_number(data, 'close'),
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self.safe_number(data, 'volume'),
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]
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self.ohlcvs[symbol] = self.safe_value(self.ohlcvs, symbol, {})
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stored = self.safe_value(self.ohlcvs[symbol], timeframe)
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if stored is None:
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limit = self.safe_integer(self.options, 'OHLCVLimit', 1000)
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stored = ArrayCacheByTimestamp(limit)
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self.ohlcvs[symbol][timeframe] = stored
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ohlcvCache = self.ohlcvs[symbol][timeframe]
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ohlcvCache.append(parsed)
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client.resolve(ohlcvCache, topic)
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async def watch_trades(self, symbol: str, since: Int = None, limit: Int = None, params={}) -> List[Trade]:
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"""
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watches information on multiple trades made in a market
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https://orderly.network/docs/build-on-evm/evm-api/websocket-api/public/trade
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:param str symbol: unified market symbol of the market trades were made in
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:param int [since]: the earliest time in ms to fetch trades for
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:param int [limit]: the maximum number of trade structures to retrieve
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=trade-structure>`
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"""
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await self.load_markets()
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market = self.market(symbol)
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symbol = market['symbol']
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topic = market['id'] + '@trade'
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request: dict = {
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'event': 'subscribe',
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'topic': topic,
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}
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message = self.extend(request, params)
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trades = await self.watch_public(topic, message)
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if self.newUpdates:
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limit = trades.getLimit(market['symbol'], limit)
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return self.filter_by_symbol_since_limit(trades, symbol, since, limit, True)
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def handle_trade(self, client: Client, message):
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#
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# {
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# "topic":"PERP_ADA_USDC@trade",
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# "ts":1618820361552,
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# "data":{
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# "symbol":"PERP_ADA_USDC",
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# "price":1.27988,
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# "size":300,
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# "side":"BUY",
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# }
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# }
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#
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topic = self.safe_string(message, 'topic')
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timestamp = self.safe_integer(message, 'ts')
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data = self.safe_dict(message, 'data', {})
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marketId = self.safe_string(data, 'symbol')
|
|
market = self.safe_market(marketId)
|
|
symbol = market['symbol']
|
|
trade = self.parse_ws_trade(self.extend(data, {'timestamp': timestamp}), market)
|
|
if not (symbol in self.trades):
|
|
limit = self.safe_integer(self.options, 'tradesLimit', 1000)
|
|
stored = ArrayCache(limit)
|
|
self.trades[symbol] = stored
|
|
trades = self.trades[symbol]
|
|
trades.append(trade)
|
|
self.trades[symbol] = trades
|
|
client.resolve(trades, topic)
|
|
|
|
def parse_ws_trade(self, trade, market=None):
|
|
#
|
|
# {
|
|
# "symbol":"PERP_ADA_USDC",
|
|
# "timestamp":1618820361552,
|
|
# "price":1.27988,
|
|
# "size":300,
|
|
# "side":"BUY",
|
|
# }
|
|
# private stream
|
|
# {
|
|
# symbol: 'PERP_XRP_USDC',
|
|
# clientOrderId: '',
|
|
# orderId: 1167632251,
|
|
# type: 'MARKET',
|
|
# side: 'BUY',
|
|
# quantity: 20,
|
|
# price: 0,
|
|
# tradeId: '1715179456664012',
|
|
# executedPrice: 0.5276,
|
|
# executedQuantity: 20,
|
|
# fee: 0.006332,
|
|
# feeAsset: 'USDC',
|
|
# totalExecutedQuantity: 20,
|
|
# avgPrice: 0.5276,
|
|
# averageExecutedPrice: 0.5276,
|
|
# status: 'FILLED',
|
|
# reason: '',
|
|
# totalFee: 0.006332,
|
|
# visible: 0,
|
|
# visibleQuantity: 0,
|
|
# timestamp: 1715179456660,
|
|
# orderTag: 'CCXT',
|
|
# createdTime: 1715179456656,
|
|
# maker: False
|
|
# }
|
|
#
|
|
marketId = self.safe_string(trade, 'symbol')
|
|
market = self.safe_market(marketId, market)
|
|
symbol = market['symbol']
|
|
price = self.safe_string_2(trade, 'executedPrice', 'price')
|
|
amount = self.safe_string_2(trade, 'executedQuantity', 'size')
|
|
cost = Precise.string_mul(price, amount)
|
|
side = self.safe_string_lower(trade, 'side')
|
|
timestamp = self.safe_integer(trade, 'timestamp')
|
|
takerOrMaker = None
|
|
maker = self.safe_bool(trade, 'maker')
|
|
if maker is not None:
|
|
takerOrMaker = 'maker' if maker else 'taker'
|
|
fee = None
|
|
feeValue = self.safe_string(trade, 'fee')
|
|
if feeValue is not None:
|
|
fee = {
|
|
'cost': feeValue,
|
|
'currency': self.safe_currency_code(self.safe_string(trade, 'feeAsset')),
|
|
}
|
|
return self.safe_trade({
|
|
'id': self.safe_string(trade, 'tradeId'),
|
|
'timestamp': timestamp,
|
|
'datetime': self.iso8601(timestamp),
|
|
'symbol': symbol,
|
|
'side': side,
|
|
'price': price,
|
|
'amount': amount,
|
|
'cost': cost,
|
|
'order': self.safe_string(trade, 'orderId'),
|
|
'takerOrMaker': takerOrMaker,
|
|
'type': self.safe_string_lower(trade, 'type'),
|
|
'fee': fee,
|
|
'info': trade,
|
|
}, market)
|
|
|
|
def handle_auth(self, client: Client, message):
|
|
#
|
|
# {
|
|
# "event": "auth",
|
|
# "success": True,
|
|
# "ts": 1657463158812
|
|
# }
|
|
#
|
|
messageHash = 'authenticated'
|
|
success = self.safe_value(message, 'success')
|
|
if success:
|
|
# client.resolve(message, messageHash)
|
|
future = self.safe_value(client.futures, 'authenticated')
|
|
future.resolve(True)
|
|
else:
|
|
error = AuthenticationError(self.json(message))
|
|
client.reject(error, messageHash)
|
|
# allows further authentication attempts
|
|
if messageHash in client.subscriptions:
|
|
del client.subscriptions['authenticated']
|
|
|
|
async def authenticate(self, params={}):
|
|
self.check_required_credentials()
|
|
url = self.urls['api']['ws']['private'] + '/' + self.accountId
|
|
client = self.client(url)
|
|
messageHash = 'authenticated'
|
|
event = 'auth'
|
|
future = client.reusableFuture(messageHash)
|
|
authenticated = self.safe_value(client.subscriptions, messageHash)
|
|
if authenticated is None:
|
|
ts = str(self.nonce())
|
|
auth = ts
|
|
secret = self.secret
|
|
if secret.find('ed25519:') >= 0:
|
|
parts = secret.split('ed25519:')
|
|
secret = parts[1]
|
|
signature = self.eddsa(self.encode(auth), self.base58_to_binary(secret), 'ed25519')
|
|
request: dict = {
|
|
'event': event,
|
|
'params': {
|
|
'orderly_key': self.apiKey,
|
|
'sign': signature,
|
|
'timestamp': ts,
|
|
},
|
|
}
|
|
message = self.extend(request, params)
|
|
self.watch(url, messageHash, message, messageHash)
|
|
return await future
|
|
|
|
async def watch_private(self, messageHash, message, params={}):
|
|
await self.authenticate(params)
|
|
url = self.urls['api']['ws']['private'] + '/' + self.accountId
|
|
requestId = self.request_id(url)
|
|
subscribe: dict = {
|
|
'id': requestId,
|
|
}
|
|
request = self.extend(subscribe, message)
|
|
return await self.watch(url, messageHash, request, messageHash, subscribe)
|
|
|
|
async def watch_private_multiple(self, messageHashes, message, params={}):
|
|
await self.authenticate(params)
|
|
url = self.urls['api']['ws']['private'] + '/' + self.accountId
|
|
requestId = self.request_id(url)
|
|
subscribe: dict = {
|
|
'id': requestId,
|
|
}
|
|
request = self.extend(subscribe, message)
|
|
return await self.watch_multiple(url, messageHashes, request, messageHashes, subscribe)
|
|
|
|
async def watch_orders(self, symbol: Str = None, since: Int = None, limit: Int = None, params={}) -> List[Order]:
|
|
"""
|
|
watches information on multiple orders made by the user
|
|
|
|
https://orderly.network/docs/build-on-evm/evm-api/websocket-api/private/execution-report
|
|
https://orderly.network/docs/build-on-evm/evm-api/websocket-api/private/algo-execution-report
|
|
|
|
:param str symbol: unified market symbol of the market orders were made in
|
|
:param int [since]: the earliest time in ms to fetch orders for
|
|
:param int [limit]: the maximum number of order structures to retrieve
|
|
:param dict [params]: extra parameters specific to the exchange API endpoint
|
|
:param bool [params.trigger]: True if trigger order
|
|
:returns dict[]: a list of `order structures <https://docs.ccxt.com/#/?id=order-structure>`
|
|
"""
|
|
await self.load_markets()
|
|
trigger = self.safe_bool_2(params, 'stop', 'trigger', False)
|
|
topic = 'algoexecutionreport' if (trigger) else 'executionreport'
|
|
params = self.omit(params, ['stop', 'trigger'])
|
|
messageHash = topic
|
|
if symbol is not None:
|
|
market = self.market(symbol)
|
|
symbol = market['symbol']
|
|
messageHash += ':' + symbol
|
|
request: dict = {
|
|
'event': 'subscribe',
|
|
'topic': topic,
|
|
}
|
|
message = self.extend(request, params)
|
|
orders = await self.watch_private(messageHash, message)
|
|
if self.newUpdates:
|
|
limit = orders.getLimit(symbol, limit)
|
|
return self.filter_by_symbol_since_limit(orders, symbol, since, limit, True)
|
|
|
|
async def watch_my_trades(self, symbol: Str = None, since: Int = None, limit: Int = None, params={}) -> List[Trade]:
|
|
"""
|
|
watches information on multiple trades made by the user
|
|
|
|
https://orderly.network/docs/build-on-evm/evm-api/websocket-api/private/execution-report
|
|
https://orderly.network/docs/build-on-evm/evm-api/websocket-api/private/algo-execution-report
|
|
|
|
:param str symbol: unified market symbol of the market orders were made in
|
|
:param int [since]: the earliest time in ms to fetch orders for
|
|
:param int [limit]: the maximum number of order structures to retrieve
|
|
:param dict [params]: extra parameters specific to the exchange API endpoint
|
|
:param bool [params.trigger]: True if trigger order
|
|
:returns dict[]: a list of `order structures <https://docs.ccxt.com/#/?id=order-structure>`
|
|
"""
|
|
await self.load_markets()
|
|
trigger = self.safe_bool_2(params, 'stop', 'trigger', False)
|
|
topic = 'algoexecutionreport' if (trigger) else 'executionreport'
|
|
params = self.omit(params, 'stop')
|
|
messageHash = 'myTrades'
|
|
if symbol is not None:
|
|
market = self.market(symbol)
|
|
symbol = market['symbol']
|
|
messageHash += ':' + symbol
|
|
request: dict = {
|
|
'event': 'subscribe',
|
|
'topic': topic,
|
|
}
|
|
message = self.extend(request, params)
|
|
orders = await self.watch_private(messageHash, message)
|
|
if self.newUpdates:
|
|
limit = orders.getLimit(symbol, limit)
|
|
return self.filter_by_symbol_since_limit(orders, symbol, since, limit, True)
|
|
|
|
def parse_ws_order(self, order, market=None):
|
|
#
|
|
# {
|
|
# "symbol": "PERP_BTC_USDT",
|
|
# "clientOrderId": 0,
|
|
# "orderId": 52952826,
|
|
# "type": "LIMIT",
|
|
# "side": "SELL",
|
|
# "quantity": 0.01,
|
|
# "price": 22000,
|
|
# "tradeId": 0,
|
|
# "executedPrice": 0,
|
|
# "executedQuantity": 0,
|
|
# "fee": 0,
|
|
# "feeAsset": "USDT",
|
|
# "totalExecutedQuantity": 0,
|
|
# "status": "NEW",
|
|
# "reason": '',
|
|
# "orderTag": "default",
|
|
# "totalFee": 0,
|
|
# "visible": 0.01,
|
|
# "timestamp": 1657515556799,
|
|
# "reduceOnly": False,
|
|
# "maker": False
|
|
# }
|
|
# algo order
|
|
# {
|
|
# "symbol":"PERP_MATIC_USDC",
|
|
# "rootAlgoOrderId":123,
|
|
# "parentAlgoOrderId":123,
|
|
# "algoOrderId":123,
|
|
# "orderTag":"some tags",
|
|
# "algoType": "STOP",
|
|
# "clientOrderId":"client_id",
|
|
# "type":"LIMIT",
|
|
# "side":"BUY",
|
|
# "quantity":7029.0,
|
|
# "price":0.7699,
|
|
# "tradeId":0,
|
|
# "triggerTradePrice":0,
|
|
# "triggerTime":1234567,
|
|
# "triggered": False,
|
|
# "activated": False,
|
|
# "executedPrice":0.0,
|
|
# "executedQuantity":0.0,
|
|
# "fee":0.0,
|
|
# "feeAsset":"USDC",
|
|
# "totalExecutedQuantity":0.0,
|
|
# "averageExecutedQuantity":0.0,
|
|
# "avgPrice":0,
|
|
# "triggerPrice":0.0,
|
|
# "triggerPriceType":"STOP",
|
|
# "isActivated": False,
|
|
# "status":"NEW",
|
|
# "rootAlgoStatus": "FILLED",
|
|
# "algoStatus": "FILLED",
|
|
# "reason":"",
|
|
# "totalFee":0.0,
|
|
# "visible": 7029.0,
|
|
# "visibleQuantity":7029.0,
|
|
# "timestamp":1704679472448,
|
|
# "maker":false,
|
|
# "isMaker":false,
|
|
# "createdTime":1704679472448
|
|
# }
|
|
#
|
|
orderId = self.safe_string(order, 'orderId')
|
|
marketId = self.safe_string(order, 'symbol')
|
|
market = self.market(marketId)
|
|
symbol = market['symbol']
|
|
timestamp = self.safe_integer(order, 'timestamp')
|
|
fee = {
|
|
'cost': self.safe_string(order, 'totalFee'),
|
|
'currency': self.safe_string(order, 'feeAsset'),
|
|
}
|
|
priceString = self.safe_string(order, 'price')
|
|
price = self.safe_number(order, 'price')
|
|
avgPrice = self.safe_number(order, 'avgPrice')
|
|
if Precise.string_eq(priceString, '0') and (avgPrice is not None):
|
|
price = avgPrice
|
|
amount = self.safe_string(order, 'quantity')
|
|
side = self.safe_string_lower(order, 'side')
|
|
type = self.safe_string_lower(order, 'type')
|
|
filled = self.safe_number(order, 'totalExecutedQuantity')
|
|
totalExecQuantity = self.safe_string(order, 'totalExecutedQuantity')
|
|
remaining = amount
|
|
if Precise.string_ge(amount, totalExecQuantity):
|
|
remaining = Precise.string_sub(remaining, totalExecQuantity)
|
|
rawStatus = self.safe_string(order, 'status')
|
|
status = self.parse_order_status(rawStatus)
|
|
trades = None
|
|
clientOrderId = self.safe_string(order, 'clientOrderId')
|
|
triggerPrice = self.safe_number(order, 'triggerPrice')
|
|
return self.safe_order({
|
|
'info': order,
|
|
'symbol': symbol,
|
|
'id': orderId,
|
|
'clientOrderId': clientOrderId,
|
|
'timestamp': timestamp,
|
|
'datetime': self.iso8601(timestamp),
|
|
'lastTradeTimestamp': timestamp,
|
|
'type': type,
|
|
'timeInForce': None,
|
|
'postOnly': None,
|
|
'side': side,
|
|
'price': price,
|
|
'stopPrice': triggerPrice,
|
|
'triggerPrice': triggerPrice,
|
|
'amount': amount,
|
|
'cost': None,
|
|
'average': None,
|
|
'filled': filled,
|
|
'remaining': remaining,
|
|
'status': status,
|
|
'fee': fee,
|
|
'trades': trades,
|
|
})
|
|
|
|
def handle_order_update(self, client: Client, message):
|
|
#
|
|
# {
|
|
# "topic": "executionreport",
|
|
# "ts": 1657515556799,
|
|
# "data": {
|
|
# "symbol": "PERP_BTC_USDT",
|
|
# "clientOrderId": 0,
|
|
# "orderId": 52952826,
|
|
# "type": "LIMIT",
|
|
# "side": "SELL",
|
|
# "quantity": 0.01,
|
|
# "price": 22000,
|
|
# "tradeId": 0,
|
|
# "executedPrice": 0,
|
|
# "executedQuantity": 0,
|
|
# "fee": 0,
|
|
# "feeAsset": "USDT",
|
|
# "totalExecutedQuantity": 0,
|
|
# "status": "NEW",
|
|
# "reason": '',
|
|
# "orderTag": "default",
|
|
# "totalFee": 0,
|
|
# "visible": 0.01,
|
|
# "timestamp": 1657515556799,
|
|
# "maker": False
|
|
# }
|
|
# }
|
|
#
|
|
topic = self.safe_string(message, 'topic')
|
|
data = self.safe_value(message, 'data')
|
|
if isinstance(data, list):
|
|
# algoexecutionreport
|
|
for i in range(0, len(data)):
|
|
order = data[i]
|
|
tradeId = self.omit_zero(self.safe_string(data, 'tradeId'))
|
|
if tradeId is not None:
|
|
self.handle_my_trade(client, order)
|
|
self.handle_order(client, order, topic)
|
|
else:
|
|
# executionreport
|
|
tradeId = self.omit_zero(self.safe_string(data, 'tradeId'))
|
|
if tradeId is not None:
|
|
self.handle_my_trade(client, data)
|
|
self.handle_order(client, data, topic)
|
|
|
|
def handle_order(self, client: Client, message, topic):
|
|
parsed = self.parse_ws_order(message)
|
|
symbol = self.safe_string(parsed, 'symbol')
|
|
orderId = self.safe_string(parsed, 'id')
|
|
if symbol is not None:
|
|
if self.orders is None:
|
|
limit = self.safe_integer(self.options, 'ordersLimit', 1000)
|
|
self.orders = ArrayCacheBySymbolById(limit)
|
|
cachedOrders = self.orders
|
|
orders = self.safe_dict(cachedOrders.hashmap, symbol, {})
|
|
order = self.safe_dict(orders, orderId)
|
|
if order is not None:
|
|
fee = self.safe_value(order, 'fee')
|
|
if fee is not None:
|
|
parsed['fee'] = fee
|
|
fees = self.safe_list(order, 'fees')
|
|
if fees is not None:
|
|
parsed['fees'] = fees
|
|
parsed['trades'] = self.safe_list(order, 'trades')
|
|
parsed['timestamp'] = self.safe_integer(order, 'timestamp')
|
|
parsed['datetime'] = self.safe_string(order, 'datetime')
|
|
cachedOrders.append(parsed)
|
|
client.resolve(self.orders, topic)
|
|
messageHashSymbol = topic + ':' + symbol
|
|
client.resolve(self.orders, messageHashSymbol)
|
|
|
|
def handle_my_trade(self, client: Client, message):
|
|
#
|
|
# {
|
|
# symbol: 'PERP_XRP_USDC',
|
|
# clientOrderId: '',
|
|
# orderId: 1167632251,
|
|
# type: 'MARKET',
|
|
# side: 'BUY',
|
|
# quantity: 20,
|
|
# price: 0,
|
|
# tradeId: '1715179456664012',
|
|
# executedPrice: 0.5276,
|
|
# executedQuantity: 20,
|
|
# fee: 0.006332,
|
|
# feeAsset: 'USDC',
|
|
# totalExecutedQuantity: 20,
|
|
# avgPrice: 0.5276,
|
|
# averageExecutedPrice: 0.5276,
|
|
# status: 'FILLED',
|
|
# reason: '',
|
|
# totalFee: 0.006332,
|
|
# visible: 0,
|
|
# visibleQuantity: 0,
|
|
# timestamp: 1715179456660,
|
|
# orderTag: 'CCXT',
|
|
# createdTime: 1715179456656,
|
|
# maker: False
|
|
# }
|
|
#
|
|
messageHash = 'myTrades'
|
|
marketId = self.safe_string(message, 'symbol')
|
|
market = self.safe_market(marketId)
|
|
symbol = market['symbol']
|
|
trade = self.parse_ws_trade(message, market)
|
|
trades = self.myTrades
|
|
if trades is None:
|
|
limit = self.safe_integer(self.options, 'tradesLimit', 1000)
|
|
trades = ArrayCacheBySymbolById(limit)
|
|
self.myTrades = trades
|
|
trades.append(trade)
|
|
client.resolve(trades, messageHash)
|
|
symbolSpecificMessageHash = messageHash + ':' + symbol
|
|
client.resolve(trades, symbolSpecificMessageHash)
|
|
|
|
async def watch_positions(self, symbols: Strings = None, since: Int = None, limit: Int = None, params={}) -> List[Position]:
|
|
"""
|
|
|
|
https://orderly.network/docs/build-on-evm/evm-api/websocket-api/private/position-push
|
|
|
|
watch all open positions
|
|
:param str[] [symbols]: list of unified market symbols
|
|
@param since timestamp in ms of the earliest position to fetch
|
|
@param limit the maximum number of positions to fetch
|
|
:param dict params: extra parameters specific to the exchange API endpoint
|
|
:returns dict[]: a list of `position structure <https://docs.ccxt.com/en/latest/manual.html#position-structure>`
|
|
"""
|
|
await self.load_markets()
|
|
messageHashes = []
|
|
symbols = self.market_symbols(symbols)
|
|
if not self.is_empty(symbols):
|
|
for i in range(0, len(symbols)):
|
|
symbol = symbols[i]
|
|
messageHashes.append('positions::' + symbol)
|
|
else:
|
|
messageHashes.append('positions')
|
|
url = self.urls['api']['ws']['private'] + '/' + self.accountId
|
|
client = self.client(url)
|
|
self.set_positions_cache(client, symbols)
|
|
fetchPositionsSnapshot = self.handle_option('watchPositions', 'fetchPositionsSnapshot', True)
|
|
awaitPositionsSnapshot = self.handle_option('watchPositions', 'awaitPositionsSnapshot', True)
|
|
if fetchPositionsSnapshot and awaitPositionsSnapshot and self.positions is None:
|
|
snapshot = await client.future('fetchPositionsSnapshot')
|
|
return self.filter_by_symbols_since_limit(snapshot, symbols, since, limit, True)
|
|
request: dict = {
|
|
'event': 'subscribe',
|
|
'topic': 'position',
|
|
}
|
|
newPositions = await self.watch_private_multiple(messageHashes, request, params)
|
|
if self.newUpdates:
|
|
return newPositions
|
|
return self.filter_by_symbols_since_limit(self.positions, symbols, since, limit, True)
|
|
|
|
def set_positions_cache(self, client: Client, type, symbols: Strings = None):
|
|
fetchPositionsSnapshot = self.handle_option('watchPositions', 'fetchPositionsSnapshot', False)
|
|
if fetchPositionsSnapshot:
|
|
messageHash = 'fetchPositionsSnapshot'
|
|
if not (messageHash in client.futures):
|
|
client.future(messageHash)
|
|
self.spawn(self.load_positions_snapshot, client, messageHash)
|
|
else:
|
|
self.positions = ArrayCacheBySymbolBySide()
|
|
|
|
async def load_positions_snapshot(self, client, messageHash):
|
|
positions = await self.fetch_positions()
|
|
self.positions = ArrayCacheBySymbolBySide()
|
|
cache = self.positions
|
|
for i in range(0, len(positions)):
|
|
position = positions[i]
|
|
contracts = self.safe_string(position, 'contracts', '0')
|
|
if Precise.string_gt(contracts, '0'):
|
|
cache.append(position)
|
|
# don't remove the future from the .futures cache
|
|
future = client.futures[messageHash]
|
|
future.resolve(cache)
|
|
client.resolve(cache, 'positions')
|
|
|
|
def handle_positions(self, client, message):
|
|
#
|
|
# {
|
|
# "topic":"position",
|
|
# "ts":1705292345255,
|
|
# "data":{
|
|
# "positions":[
|
|
# {
|
|
# "symbol":"PERP_ETH_USDC",
|
|
# "positionQty":3.1408,
|
|
# "costPosition":5706.51952,
|
|
# "lastSumUnitaryFunding":0.804,
|
|
# "sumUnitaryFundingVersion":0,
|
|
# "pendingLongQty":0.0,
|
|
# "pendingShortQty":-1.0,
|
|
# "settlePrice":1816.9,
|
|
# "averageOpenPrice":1804.51490427,
|
|
# "unsettledPnl":-2.79856,
|
|
# "pnl24H":-338.90179488,
|
|
# "fee24H":4.242423,
|
|
# "markPrice":1816.2,
|
|
# "estLiqPrice":0.0,
|
|
# "version":179967,
|
|
# "imrwithOrders":0.1,
|
|
# "mmrwithOrders":0.05,
|
|
# "mmr":0.05,
|
|
# "imr":0.1,
|
|
# "timestamp":1685154032762
|
|
# }
|
|
# ]
|
|
# }
|
|
# }
|
|
#
|
|
data = self.safe_dict(message, 'data', {})
|
|
rawPositions = self.safe_list(data, 'positions', [])
|
|
if self.positions is None:
|
|
self.positions = ArrayCacheBySymbolBySide()
|
|
cache = self.positions
|
|
newPositions = []
|
|
for i in range(0, len(rawPositions)):
|
|
rawPosition = rawPositions[i]
|
|
marketId = self.safe_string(rawPosition, 'symbol')
|
|
market = self.safe_market(marketId)
|
|
position = self.parse_ws_position(rawPosition, market)
|
|
newPositions.append(position)
|
|
cache.append(position)
|
|
messageHash = 'positions::' + market['symbol']
|
|
client.resolve(position, messageHash)
|
|
client.resolve(newPositions, 'positions')
|
|
|
|
def parse_ws_position(self, position, market=None):
|
|
#
|
|
# {
|
|
# "symbol":"PERP_ETH_USDC",
|
|
# "positionQty":3.1408,
|
|
# "costPosition":5706.51952,
|
|
# "lastSumUnitaryFunding":0.804,
|
|
# "sumUnitaryFundingVersion":0,
|
|
# "pendingLongQty":0.0,
|
|
# "pendingShortQty":-1.0,
|
|
# "settlePrice":1816.9,
|
|
# "averageOpenPrice":1804.51490427,
|
|
# "unsettledPnl":-2.79856,
|
|
# "pnl24H":-338.90179488,
|
|
# "fee24H":4.242423,
|
|
# "markPrice":1816.2,
|
|
# "estLiqPrice":0.0,
|
|
# "version":179967,
|
|
# "imrwithOrders":0.1,
|
|
# "mmrwithOrders":0.05,
|
|
# "mmr":0.05,
|
|
# "imr":0.1,
|
|
# "timestamp":1685154032762
|
|
# }
|
|
#
|
|
contract = self.safe_string(position, 'symbol')
|
|
market = self.safe_market(contract, market)
|
|
size = self.safe_string(position, 'positionQty')
|
|
side: Str = None
|
|
if Precise.string_gt(size, '0'):
|
|
side = 'long'
|
|
else:
|
|
side = 'short'
|
|
contractSize = self.safe_string(market, 'contractSize')
|
|
markPrice = self.safe_string(position, 'markPrice')
|
|
timestamp = self.safe_integer(position, 'timestamp')
|
|
entryPrice = self.safe_string(position, 'averageOpenPrice')
|
|
unrealisedPnl = self.safe_string(position, 'unsettledPnl')
|
|
size = Precise.string_abs(size)
|
|
notional = Precise.string_mul(size, markPrice)
|
|
return self.safe_position({
|
|
'info': position,
|
|
'id': None,
|
|
'symbol': self.safe_string(market, 'symbol'),
|
|
'timestamp': timestamp,
|
|
'datetime': self.iso8601(timestamp),
|
|
'lastUpdateTimestamp': None,
|
|
'initialMargin': None,
|
|
'initialMarginPercentage': None,
|
|
'maintenanceMargin': None,
|
|
'maintenanceMarginPercentage': None,
|
|
'entryPrice': self.parse_number(entryPrice),
|
|
'notional': self.parse_number(notional),
|
|
'leverage': None,
|
|
'unrealizedPnl': self.parse_number(unrealisedPnl),
|
|
'contracts': self.parse_number(size),
|
|
'contractSize': self.parse_number(contractSize),
|
|
'marginRatio': None,
|
|
'liquidationPrice': self.safe_number(position, 'estLiqPrice'),
|
|
'markPrice': self.parse_number(markPrice),
|
|
'lastPrice': None,
|
|
'collateral': None,
|
|
'marginMode': 'cross',
|
|
'marginType': None,
|
|
'side': side,
|
|
'percentage': None,
|
|
'hedged': None,
|
|
'stopLossPrice': None,
|
|
'takeProfitPrice': None,
|
|
})
|
|
|
|
async def watch_balance(self, params={}) -> Balances:
|
|
"""
|
|
watch balance and get the amount of funds available for trading or funds locked in orders
|
|
|
|
https://orderly.network/docs/build-on-evm/evm-api/websocket-api/private/balance
|
|
|
|
:param dict [params]: extra parameters specific to the exchange API endpoint
|
|
:returns dict: a `balance structure <https://docs.ccxt.com/#/?id=balance-structure>`
|
|
"""
|
|
await self.load_markets()
|
|
topic = 'balance'
|
|
messageHash = topic
|
|
request: dict = {
|
|
'event': 'subscribe',
|
|
'topic': topic,
|
|
}
|
|
message = self.extend(request, params)
|
|
return await self.watch_private(messageHash, message)
|
|
|
|
def handle_balance(self, client, message):
|
|
#
|
|
# {
|
|
# "topic":"balance",
|
|
# "ts":1651836695254,
|
|
# "data":{
|
|
# "balances":{
|
|
# "USDC":{
|
|
# "holding":5555815.47398272,
|
|
# "frozen":0,
|
|
# "interest":0,
|
|
# "pendingShortQty":0,
|
|
# "pendingExposure":0,
|
|
# "pendingLongQty":0,
|
|
# "pendingLongExposure":0,
|
|
# "version":894,
|
|
# "staked":51370692,
|
|
# "unbonding":0,
|
|
# "vault":0,
|
|
# "averageOpenPrice":0.00000574,
|
|
# "pnl24H":0,
|
|
# "fee24H":0.01914,
|
|
# "markPrice":0.31885
|
|
# }
|
|
# }
|
|
# }
|
|
# }
|
|
#
|
|
data = self.safe_dict(message, 'data', {})
|
|
balances = self.safe_dict(data, 'balances', {})
|
|
keys = list(balances.keys())
|
|
ts = self.safe_integer(message, 'ts')
|
|
self.balance['info'] = data
|
|
self.balance['timestamp'] = ts
|
|
self.balance['datetime'] = self.iso8601(ts)
|
|
for i in range(0, len(keys)):
|
|
key = keys[i]
|
|
value = balances[key]
|
|
code = self.safe_currency_code(key)
|
|
account = self.balance[code] if (code in self.balance) else self.account()
|
|
total = self.safe_string(value, 'holding')
|
|
used = self.safe_string(value, 'frozen')
|
|
account['total'] = total
|
|
account['used'] = used
|
|
account['free'] = Precise.string_sub(total, used)
|
|
self.balance[code] = account
|
|
self.balance = self.safe_balance(self.balance)
|
|
client.resolve(self.balance, 'balance')
|
|
|
|
def handle_error_message(self, client: Client, message) -> Bool:
|
|
#
|
|
# {"id":"1","event":"subscribe","success":false,"ts":1710780997216,"errorMsg":"Auth is needed."}
|
|
#
|
|
if not ('success' in message):
|
|
return False
|
|
success = self.safe_bool(message, 'success')
|
|
if success:
|
|
return False
|
|
errorMessage = self.safe_string(message, 'errorMsg')
|
|
try:
|
|
if errorMessage is not None:
|
|
feedback = self.id + ' ' + self.json(message)
|
|
self.throw_exactly_matched_exception(self.exceptions['exact'], errorMessage, feedback)
|
|
return False
|
|
except Exception as error:
|
|
if isinstance(error, AuthenticationError):
|
|
messageHash = 'authenticated'
|
|
client.reject(error, messageHash)
|
|
if messageHash in client.subscriptions:
|
|
del client.subscriptions[messageHash]
|
|
else:
|
|
client.reject(error)
|
|
return True
|
|
|
|
def handle_message(self, client: Client, message):
|
|
if self.handle_error_message(client, message):
|
|
return
|
|
methods: dict = {
|
|
'ping': self.handle_ping,
|
|
'pong': self.handle_pong,
|
|
'subscribe': self.handle_subscribe,
|
|
'orderbook': self.handle_order_book,
|
|
'ticker': self.handle_ticker,
|
|
'tickers': self.handle_tickers,
|
|
'kline': self.handle_ohlcv,
|
|
'trade': self.handle_trade,
|
|
'auth': self.handle_auth,
|
|
'executionreport': self.handle_order_update,
|
|
'algoexecutionreport': self.handle_order_update,
|
|
'position': self.handle_positions,
|
|
'balance': self.handle_balance,
|
|
'bbos': self.handle_bid_ask,
|
|
}
|
|
event = self.safe_string(message, 'event')
|
|
method = self.safe_value(methods, event)
|
|
if method is not None:
|
|
method(client, message)
|
|
return
|
|
topic = self.safe_string(message, 'topic')
|
|
if topic is not None:
|
|
method = self.safe_value(methods, topic)
|
|
if method is not None:
|
|
method(client, message)
|
|
return
|
|
splitTopic = topic.split('@')
|
|
splitLength = len(splitTopic)
|
|
if splitLength == 2:
|
|
name = self.safe_string(splitTopic, 1)
|
|
method = self.safe_value(methods, name)
|
|
if method is not None:
|
|
method(client, message)
|
|
return
|
|
splitName = name.split('_')
|
|
splitNameLength = len(splitTopic)
|
|
if splitNameLength == 2:
|
|
method = self.safe_value(methods, self.safe_string(splitName, 0))
|
|
if method is not None:
|
|
method(client, message)
|
|
|
|
def ping(self, client: Client):
|
|
return {'event': 'ping'}
|
|
|
|
def handle_ping(self, client: Client, message):
|
|
return {'event': 'pong'}
|
|
|
|
def handle_pong(self, client: Client, message):
|
|
#
|
|
# {event: "pong", ts: 1614667590000}
|
|
#
|
|
client.lastPong = self.milliseconds()
|
|
return message
|
|
|
|
def handle_subscribe(self, client: Client, message):
|
|
#
|
|
# {
|
|
# "id": "666888",
|
|
# "event": "subscribe",
|
|
# "success": True,
|
|
# "ts": 1657117712212
|
|
# }
|
|
#
|
|
return message
|