Files
ccxt_with_mt5/ccxt/pro/alpaca.py
lz_db 0fab423a18 add
2025-11-16 12:31:03 +08:00

717 lines
28 KiB
Python

# -*- coding: utf-8 -*-
# PLEASE DO NOT EDIT THIS FILE, IT IS GENERATED AND WILL BE OVERWRITTEN:
# https://github.com/ccxt/ccxt/blob/master/CONTRIBUTING.md#how-to-contribute-code
import ccxt.async_support
from ccxt.async_support.base.ws.cache import ArrayCache, ArrayCacheBySymbolById, ArrayCacheByTimestamp
from ccxt.base.types import Any, Bool, Int, Order, OrderBook, Str, Ticker, Trade
from ccxt.async_support.base.ws.client import Client
from typing import List
from ccxt.base.errors import ExchangeError
from ccxt.base.errors import AuthenticationError
class alpaca(ccxt.async_support.alpaca):
def describe(self) -> Any:
return self.deep_extend(super(alpaca, self).describe(), {
'has': {
'ws': True,
'createOrderWithTakeProfitAndStopLossWs': False,
'createReduceOnlyOrderWs': False,
'createStopLossOrderWs': False,
'createTakeProfitOrderWs': False,
'fetchPositionForSymbolWs': False,
'fetchPositionsForSymbolWs': False,
'fetchPositionsWs': False,
'fetchPositionWs': False,
'unWatchPositions': False,
'watchBalance': False,
'watchLiquidations': False,
'watchLiquidationsForSymbols': False,
'watchMarkPrice': False,
'watchMarkPrices': False,
'watchMyLiquidations': False,
'watchMyLiquidationsForSymbols': False,
'watchMyTrades': True,
'watchOHLCV': True,
'watchOrderBook': True,
'watchOrders': True,
'watchPosition': False,
'watchPositions': False,
'watchTicker': True,
'watchTickers': False, # for now
'watchTrades': True,
},
'urls': {
'api': {
'ws': {
'crypto': 'wss://stream.data.alpaca.markets/v1beta2/crypto',
'trading': 'wss://api.alpaca.markets/stream',
},
},
'test': {
'ws': {
'crypto': 'wss://stream.data.alpaca.markets/v1beta2/crypto',
'trading': 'wss://paper-api.alpaca.markets/stream',
},
},
},
'options': {
},
'streaming': {},
'exceptions': {
'ws': {
'exact': {
},
},
},
})
async def watch_ticker(self, symbol: str, params={}) -> Ticker:
"""
watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#quotes
:param str symbol: unified symbol of the market to fetch the ticker for
:param dict [params]: extra parameters specific to the exchange API endpoint
:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
"""
url = self.urls['api']['ws']['crypto']
await self.authenticate(url)
await self.load_markets()
market = self.market(symbol)
messageHash = 'ticker:' + market['symbol']
request: dict = {
'action': 'subscribe',
'quotes': [market['id']],
}
return await self.watch(url, messageHash, self.extend(request, params), messageHash)
def handle_ticker(self, client: Client, message):
#
# {
# "T": "q",
# "S": "BTC/USDT",
# "bp": 17394.44,
# "bs": 0.021981,
# "ap": 17397.99,
# "as": 0.02,
# "t": "2022-12-16T06:07:56.611063286Z"
# ]
#
ticker = self.parse_ticker(message)
symbol = ticker['symbol']
messageHash = 'ticker:' + symbol
self.tickers[symbol] = ticker
client.resolve(self.tickers[symbol], messageHash)
def parse_ticker(self, ticker, market=None) -> Ticker:
#
# {
# "T": "q",
# "S": "BTC/USDT",
# "bp": 17394.44,
# "bs": 0.021981,
# "ap": 17397.99,
# "as": 0.02,
# "t": "2022-12-16T06:07:56.611063286Z"
# }
#
marketId = self.safe_string(ticker, 'S')
datetime = self.safe_string(ticker, 't')
return self.safe_ticker({
'symbol': self.safe_symbol(marketId, market),
'timestamp': self.parse8601(datetime),
'datetime': datetime,
'high': None,
'low': None,
'bid': self.safe_string(ticker, 'bp'),
'bidVolume': self.safe_string(ticker, 'bs'),
'ask': self.safe_string(ticker, 'ap'),
'askVolume': self.safe_string(ticker, 'as'),
'vwap': None,
'open': None,
'close': None,
'last': None,
'previousClose': None,
'change': None,
'percentage': None,
'average': None,
'baseVolume': None,
'quoteVolume': None,
'info': ticker,
}, market)
async def watch_ohlcv(self, symbol: str, timeframe: str = '1m', since: Int = None, limit: Int = None, params={}) -> List[list]:
"""
watches historical candlestick data containing the open, high, low, and close price, and the volume of a market
https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#bars
:param str symbol: unified symbol of the market to fetch OHLCV data for
:param str timeframe: the length of time each candle represents
:param int [since]: timestamp in ms of the earliest candle to fetch
:param int [limit]: the maximum amount of candles to fetch
:param dict [params]: extra parameters specific to the exchange API endpoint
:returns int[][]: A list of candles ordered, open, high, low, close, volume
"""
url = self.urls['api']['ws']['crypto']
await self.authenticate(url)
await self.load_markets()
market = self.market(symbol)
symbol = market['symbol']
request: dict = {
'action': 'subscribe',
'bars': [market['id']],
}
messageHash = 'ohlcv:' + symbol
ohlcv = await self.watch(url, messageHash, self.extend(request, params), messageHash)
if self.newUpdates:
limit = ohlcv.getLimit(symbol, limit)
return self.filter_by_since_limit(ohlcv, since, limit, 0, True)
def handle_ohlcv(self, client: Client, message):
#
# {
# "T": "b",
# "S": "BTC/USDT",
# "o": 17416.39,
# "h": 17424.82,
# "l": 17416.39,
# "c": 17424.82,
# "v": 1.341054,
# "t": "2022-12-16T06:53:00Z",
# "n": 21,
# "vw": 17421.9529234915
# }
#
marketId = self.safe_string(message, 'S')
symbol = self.safe_symbol(marketId)
stored = self.safe_value(self.ohlcvs, symbol)
if stored is None:
limit = self.safe_integer(self.options, 'OHLCVLimit', 1000)
stored = ArrayCacheByTimestamp(limit)
self.ohlcvs[symbol] = stored
parsed = self.parse_ohlcv(message)
stored.append(parsed)
messageHash = 'ohlcv:' + symbol
client.resolve(stored, messageHash)
async def watch_order_book(self, symbol: str, limit: Int = None, params={}) -> OrderBook:
"""
watches information on open orders with bid(buy) and ask(sell) prices, volumes and other data
https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#orderbooks
:param str symbol: unified symbol of the market to fetch the order book for
:param int [limit]: the maximum amount of order book entries to return.
:param dict [params]: extra parameters specific to the exchange API endpoint
:returns dict: A dictionary of `order book structures <https://docs.ccxt.com/#/?id=order-book-structure>` indexed by market symbols
"""
url = self.urls['api']['ws']['crypto']
await self.authenticate(url)
await self.load_markets()
market = self.market(symbol)
symbol = market['symbol']
messageHash = 'orderbook' + ':' + symbol
request: dict = {
'action': 'subscribe',
'orderbooks': [market['id']],
}
orderbook = await self.watch(url, messageHash, self.extend(request, params), messageHash)
return orderbook.limit()
def handle_order_book(self, client: Client, message):
#
# snapshot
# {
# "T": "o",
# "S": "BTC/USDT",
# "t": "2022-12-16T06:35:31.585113205Z",
# "b": [{
# "p": 17394.37,
# "s": 0.015499,
# },
# ...
# ],
# "a": [{
# "p": 17398.8,
# "s": 0.042919,
# },
# ...
# ],
# "r": True,
# }
#
marketId = self.safe_string(message, 'S')
symbol = self.safe_symbol(marketId)
datetime = self.safe_string(message, 't')
timestamp = self.parse8601(datetime)
isSnapshot = self.safe_bool(message, 'r', False)
if not (symbol in self.orderbooks):
self.orderbooks[symbol] = self.order_book()
orderbook = self.orderbooks[symbol]
if isSnapshot:
snapshot = self.parse_order_book(message, symbol, timestamp, 'b', 'a', 'p', 's')
orderbook.reset(snapshot)
else:
asks = self.safe_list(message, 'a', [])
bids = self.safe_list(message, 'b', [])
self.handle_deltas(orderbook['asks'], asks)
self.handle_deltas(orderbook['bids'], bids)
orderbook['timestamp'] = timestamp
orderbook['datetime'] = datetime
messageHash = 'orderbook' + ':' + symbol
self.orderbooks[symbol] = orderbook
client.resolve(orderbook, messageHash)
def handle_delta(self, bookside, delta):
bidAsk = self.parse_bid_ask(delta, 'p', 's')
bookside.storeArray(bidAsk)
def handle_deltas(self, bookside, deltas):
for i in range(0, len(deltas)):
self.handle_delta(bookside, deltas[i])
async def watch_trades(self, symbol: str, since: Int = None, limit: Int = None, params={}) -> List[Trade]:
"""
watches information on multiple trades made in a market
https://docs.alpaca.markets/docs/real-time-crypto-pricing-data#trades
:param str symbol: unified market symbol of the market trades were made in
:param int [since]: the earliest time in ms to fetch orders for
:param int [limit]: the maximum number of trade structures to retrieve
:param dict [params]: extra parameters specific to the exchange API endpoint
:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=trade-structure>`
"""
url = self.urls['api']['ws']['crypto']
await self.authenticate(url)
await self.load_markets()
market = self.market(symbol)
symbol = market['symbol']
messageHash = 'trade:' + symbol
request: dict = {
'action': 'subscribe',
'trades': [market['id']],
}
trades = await self.watch(url, messageHash, self.extend(request, params), messageHash)
if self.newUpdates:
limit = trades.getLimit(symbol, limit)
return self.filter_by_since_limit(trades, since, limit, 'timestamp', True)
def handle_trades(self, client: Client, message):
#
# {
# "T": "t",
# "S": "BTC/USDT",
# "p": 17408.8,
# "s": 0.042919,
# "t": "2022-12-16T06:43:18.327Z",
# "i": 16585162,
# "tks": "B"
# ]
#
marketId = self.safe_string(message, 'S')
symbol = self.safe_symbol(marketId)
stored = self.safe_value(self.trades, symbol)
if stored is None:
limit = self.safe_integer(self.options, 'tradesLimit', 1000)
stored = ArrayCache(limit)
self.trades[symbol] = stored
parsed = self.parse_trade(message)
stored.append(parsed)
messageHash = 'trade' + ':' + symbol
client.resolve(stored, messageHash)
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://docs.alpaca.markets/docs/websocket-streaming#trade-updates
:param str symbol: unified market symbol of the market trades were made in
:param int [since]: the earliest time in ms to fetch trades for
:param int [limit]: the maximum number of trade structures to retrieve
:param dict [params]: extra parameters specific to the exchange API endpoint
:param boolean [params.unifiedMargin]: use unified margin account
:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=trade-structure>`
"""
url = self.urls['api']['ws']['trading']
await self.authenticate(url)
messageHash = 'myTrades'
await self.load_markets()
if symbol is not None:
symbol = self.symbol(symbol)
messageHash += ':' + symbol
request: dict = {
'action': 'listen',
'data': {
'streams': ['trade_updates'],
},
}
trades = await self.watch(url, messageHash, self.extend(request, params), messageHash)
if self.newUpdates:
limit = trades.getLimit(symbol, limit)
return self.filter_by_since_limit(trades, since, limit, 'timestamp', True)
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
: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
:returns dict[]: a list of `order structures <https://docs.ccxt.com/#/?id=order-structure>`
"""
url = self.urls['api']['ws']['trading']
await self.authenticate(url)
await self.load_markets()
messageHash = 'orders'
if symbol is not None:
market = self.market(symbol)
symbol = market['symbol']
messageHash = 'orders:' + symbol
request: dict = {
'action': 'listen',
'data': {
'streams': ['trade_updates'],
},
}
orders = await self.watch(url, messageHash, self.extend(request, params), messageHash)
if self.newUpdates:
limit = orders.getLimit(symbol, limit)
return self.filter_by_symbol_since_limit(orders, symbol, since, limit, True)
def handle_trade_update(self, client: Client, message):
self.handle_order(client, message)
self.handle_my_trade(client, message)
def handle_order(self, client: Client, message):
#
# {
# "stream": "trade_updates",
# "data": {
# "event": "new",
# "timestamp": "2022-12-16T07:28:51.67621869Z",
# "order": {
# "id": "c2470331-8993-4051-bf5d-428d5bdc9a48",
# "client_order_id": "0f1f3764-107a-4d09-8b9a-d75a11738f5c",
# "created_at": "2022-12-16T02:28:51.673531798-05:00",
# "updated_at": "2022-12-16T02:28:51.678736847-05:00",
# "submitted_at": "2022-12-16T02:28:51.673015558-05:00",
# "filled_at": null,
# "expired_at": null,
# "cancel_requested_at": null,
# "canceled_at": null,
# "failed_at": null,
# "replaced_at": null,
# "replaced_by": null,
# "replaces": null,
# "asset_id": "276e2673-764b-4ab6-a611-caf665ca6340",
# "symbol": "BTC/USD",
# "asset_class": "crypto",
# "notional": null,
# "qty": "0.01",
# "filled_qty": "0",
# "filled_avg_price": null,
# "order_class": '',
# "order_type": "market",
# "type": "market",
# "side": "buy",
# "time_in_force": "gtc",
# "limit_price": null,
# "stop_price": null,
# "status": "new",
# "extended_hours": False,
# "legs": null,
# "trail_percent": null,
# "trail_price": null,
# "hwm": null
# },
# "execution_id": "5f781a30-b9a3-4c86-b466-2175850cf340"
# }
# }
#
data = self.safe_value(message, 'data', {})
rawOrder = self.safe_value(data, 'order', {})
if self.orders is None:
limit = self.safe_integer(self.options, 'ordersLimit', 1000)
self.orders = ArrayCacheBySymbolById(limit)
orders = self.orders
order = self.parse_order(rawOrder)
orders.append(order)
messageHash = 'orders'
client.resolve(orders, messageHash)
messageHash = 'orders:' + order['symbol']
client.resolve(orders, messageHash)
def handle_my_trade(self, client: Client, message):
#
# {
# "stream": "trade_updates",
# "data": {
# "event": "new",
# "timestamp": "2022-12-16T07:28:51.67621869Z",
# "order": {
# "id": "c2470331-8993-4051-bf5d-428d5bdc9a48",
# "client_order_id": "0f1f3764-107a-4d09-8b9a-d75a11738f5c",
# "created_at": "2022-12-16T02:28:51.673531798-05:00",
# "updated_at": "2022-12-16T02:28:51.678736847-05:00",
# "submitted_at": "2022-12-16T02:28:51.673015558-05:00",
# "filled_at": null,
# "expired_at": null,
# "cancel_requested_at": null,
# "canceled_at": null,
# "failed_at": null,
# "replaced_at": null,
# "replaced_by": null,
# "replaces": null,
# "asset_id": "276e2673-764b-4ab6-a611-caf665ca6340",
# "symbol": "BTC/USD",
# "asset_class": "crypto",
# "notional": null,
# "qty": "0.01",
# "filled_qty": "0",
# "filled_avg_price": null,
# "order_class": '',
# "order_type": "market",
# "type": "market",
# "side": "buy",
# "time_in_force": "gtc",
# "limit_price": null,
# "stop_price": null,
# "status": "new",
# "extended_hours": False,
# "legs": null,
# "trail_percent": null,
# "trail_price": null,
# "hwm": null
# },
# "execution_id": "5f781a30-b9a3-4c86-b466-2175850cf340"
# }
# }
#
data = self.safe_value(message, 'data', {})
event = self.safe_string(data, 'event')
if event != 'fill' and event != 'partial_fill':
return
rawOrder = self.safe_value(data, 'order', {})
myTrades = self.myTrades
if myTrades is None:
limit = self.safe_integer(self.options, 'tradesLimit', 1000)
myTrades = ArrayCacheBySymbolById(limit)
trade = self.parse_my_trade(rawOrder)
myTrades.append(trade)
messageHash = 'myTrades:' + trade['symbol']
client.resolve(myTrades, messageHash)
messageHash = 'myTrades'
client.resolve(myTrades, messageHash)
def parse_my_trade(self, trade, market=None):
#
# {
# "id": "c2470331-8993-4051-bf5d-428d5bdc9a48",
# "client_order_id": "0f1f3764-107a-4d09-8b9a-d75a11738f5c",
# "created_at": "2022-12-16T02:28:51.673531798-05:00",
# "updated_at": "2022-12-16T02:28:51.678736847-05:00",
# "submitted_at": "2022-12-16T02:28:51.673015558-05:00",
# "filled_at": null,
# "expired_at": null,
# "cancel_requested_at": null,
# "canceled_at": null,
# "failed_at": null,
# "replaced_at": null,
# "replaced_by": null,
# "replaces": null,
# "asset_id": "276e2673-764b-4ab6-a611-caf665ca6340",
# "symbol": "BTC/USD",
# "asset_class": "crypto",
# "notional": null,
# "qty": "0.01",
# "filled_qty": "0",
# "filled_avg_price": null,
# "order_class": '',
# "order_type": "market",
# "type": "market",
# "side": "buy",
# "time_in_force": "gtc",
# "limit_price": null,
# "stop_price": null,
# "status": "new",
# "extended_hours": False,
# "legs": null,
# "trail_percent": null,
# "trail_price": null,
# "hwm": null
# }
#
marketId = self.safe_string(trade, 'symbol')
datetime = self.safe_string(trade, 'filled_at')
type = self.safe_string(trade, 'type')
if type.find('limit') >= 0:
# might be limit or stop-limit
type = 'limit'
return self.safe_trade({
'id': self.safe_string(trade, 'i'),
'info': trade,
'timestamp': self.parse8601(datetime),
'datetime': datetime,
'symbol': self.safe_symbol(marketId, None, '/'),
'order': self.safe_string(trade, 'id'),
'type': type,
'side': self.safe_string(trade, 'side'),
'takerOrMaker': 'taker' if (type == 'market') else 'maker',
'price': self.safe_string(trade, 'filled_avg_price'),
'amount': self.safe_string(trade, 'filled_qty'),
'cost': None,
'fee': None,
}, market)
async def authenticate(self, url, params={}):
self.check_required_credentials()
messageHash = 'authenticated'
client = self.client(url)
future = client.reusableFuture(messageHash)
authenticated = self.safe_value(client.subscriptions, messageHash)
if authenticated is None:
request = {
'action': 'auth',
'key': self.apiKey,
'secret': self.secret,
}
if url == self.urls['api']['ws']['trading']:
# self auth request is being deprecated in test environment
request = {
'action': 'authenticate',
'data': {
'key_id': self.apiKey,
'secret_key': self.secret,
},
}
self.watch(url, messageHash, request, messageHash, future)
return await future
def handle_error_message(self, client: Client, message) -> Bool:
#
# {
# "T": "error",
# "code": 400,
# "msg": "invalid syntax"
# }
#
code = self.safe_string(message, 'code')
msg = self.safe_value(message, 'msg', {})
raise ExchangeError(self.id + ' code: ' + code + ' message: ' + msg)
def handle_connected(self, client: Client, message):
#
# {
# "T": "success",
# "msg": "connected"
# }
#
return message
def handle_crypto_message(self, client: Client, message):
for i in range(0, len(message)):
data = message[i]
T = self.safe_string(data, 'T')
msg = self.safe_string(data, 'msg')
if T == 'subscription':
self.handle_subscription(client, data)
return
if T == 'success' and msg == 'connected':
self.handle_connected(client, data)
return
if T == 'success' and msg == 'authenticated':
self.handle_authenticate(client, data)
return
methods: dict = {
'error': self.handle_error_message,
'b': self.handle_ohlcv,
'q': self.handle_ticker,
't': self.handle_trades,
'o': self.handle_order_book,
}
method = self.safe_value(methods, T)
if method is not None:
method(client, data)
def handle_trading_message(self, client: Client, message):
stream = self.safe_string(message, 'stream')
methods: dict = {
'authorization': self.handle_authenticate,
'listening': self.handle_subscription,
'trade_updates': self.handle_trade_update,
}
method = self.safe_value(methods, stream)
if method is not None:
method(client, message)
def handle_message(self, client: Client, message):
if isinstance(message, list):
self.handle_crypto_message(client, message)
return
self.handle_trading_message(client, message)
def handle_authenticate(self, client: Client, message):
#
# crypto
# {
# "T": "success",
# "msg": "connected"
# ]
#
# trading
# {
# "stream": "authorization",
# "data": {
# "status": "authorized",
# "action": "authenticate"
# }
# }
# error
# {
# "stream": "authorization",
# "data": {
# "action": "authenticate",
# "message": "access key verification failed",
# "status": "unauthorized"
# }
# }
#
T = self.safe_string(message, 'T')
data = self.safe_value(message, 'data', {})
status = self.safe_string(data, 'status')
if T == 'success' or status == 'authorized':
promise = client.futures['authenticated']
promise.resolve(message)
return
raise AuthenticationError(self.id + ' failed to authenticate.')
def handle_subscription(self, client: Client, message):
#
# crypto
# {
# "T": "subscription",
# "trades": [],
# "quotes": ["BTC/USDT"],
# "orderbooks": [],
# "bars": [],
# "updatedBars": [],
# "dailyBars": []
# }
# trading
# {
# "stream": "listening",
# "data": {
# "streams": ["trade_updates"]
# }
# }
#
return message