965 lines
37 KiB
Python
965 lines
37 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, ArrayCacheByTimestamp
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import hashlib
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from ccxt.base.types import Any, Balances, Bool, Int, Order, OrderBook, Str, 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 NetworkError
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class ascendex(ccxt.async_support.ascendex):
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def describe(self) -> Any:
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return self.deep_extend(super(ascendex, self).describe(), {
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'has': {
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'ws': True,
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'watchBalance': True,
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'watchOHLCV': True,
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'watchOrderBook': True,
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'watchOrders': True,
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'watchTicker': False,
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'watchTrades': True,
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'watchTradesForSymbols': 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://ascendex.com:443/api/pro/v2/stream',
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'private': 'wss://ascendex.com:443/{accountGroup}/api/pro/v2/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://api-test.ascendex-sandbox.com:443/api/pro/v2/stream',
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'private': 'wss://api-test.ascendex-sandbox.com:443/{accountGroup}/api/pro/v2/stream',
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},
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},
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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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'OHLCVLimit': 1000,
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'categoriesAccount': {
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'cash': 'spot',
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'futures': 'swap',
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'margin': 'margin',
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},
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},
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})
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async def watch_public(self, messageHash, params={}):
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url = self.urls['api']['ws']['public']
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id = self.nonce()
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request: dict = {
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'id': str(id),
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'op': 'sub',
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}
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message = self.extend(request, params)
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return await self.watch(url, messageHash, message, messageHash)
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async def watch_public_multiple(self, messageHashes, params={}):
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url = self.urls['api']['ws']['public']
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id = self.nonce()
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request: dict = {
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'id': str(id),
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'op': 'sub',
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}
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message = self.extend(request, params)
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return await self.watch_multiple(url, messageHashes, message, messageHashes)
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async def watch_private(self, channel, messageHash, params={}):
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await self.load_accounts()
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accountGroup = self.safe_string(self.options, 'account-group')
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url = self.urls['api']['ws']['private']
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url = self.implode_params(url, {'accountGroup': accountGroup})
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id = self.nonce()
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request: dict = {
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'id': str(id),
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'op': 'sub',
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'ch': channel,
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}
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message = self.extend(request, params)
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await self.authenticate(url, params)
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return await self.watch(url, messageHash, message, channel)
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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://ascendex.github.io/ascendex-pro-api/#channel-bar-data
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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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market = self.market(symbol)
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symbol = market['symbol']
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if (limit is None) or (limit > 1440):
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limit = 100
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interval = self.safe_string(self.timeframes, timeframe, timeframe)
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channel = 'bar' + ':' + interval + ':' + market['id']
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params = {
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'ch': channel,
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}
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ohlcv = await self.watch_public(channel, params)
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if self.newUpdates:
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limit = ohlcv.getLimit(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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# "m": "bar",
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# "s": "ASD/USDT",
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# "data": {
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# "i": "1",
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# "ts": 1575398940000,
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# "o": "0.04993",
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# "c": "0.04970",
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# "h": "0.04993",
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# "l": "0.04970",
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# "v": "8052"
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# }
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# }
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#
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marketId = self.safe_string(message, 's')
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symbol = self.safe_symbol(marketId)
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channel = self.safe_string(message, 'm')
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data = self.safe_value(message, 'data', {})
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interval = self.safe_string(data, 'i')
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messageHash = channel + ':' + interval + ':' + marketId
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timeframe = self.find_timeframe(interval)
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market = self.market(symbol)
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parsed = self.parse_ohlcv(message, market)
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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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stored.append(parsed)
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client.resolve(stored, messageHash)
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return message
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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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get the list of most recent trades for a particular symbol
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https://ascendex.github.io/ascendex-pro-api/#channel-market-trades
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:param str symbol: unified symbol of the market to fetch trades for
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:param int [since]: timestamp in ms of the earliest trade to fetch
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:param int [limit]: the maximum amount of trades to fetch
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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=public-trades>`
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"""
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return await self.watch_trades_for_symbols([symbol], since, limit, params)
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async def watch_trades_for_symbols(self, symbols: List[str], since: Int = None, limit: Int = None, params={}) -> List[Trade]:
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"""
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get the list of most recent trades for a list of symbols
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https://ascendex.github.io/ascendex-pro-api/#channel-market-trades
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:param str[] symbols: unified symbol of the market to fetch trades for
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:param int [since]: timestamp in ms of the earliest trade to fetch
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:param int [limit]: the maximum amount of trades to fetch
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:param str [params.name]: the name of the method to call, 'trade' or 'aggTrade', default is 'trade'
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:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=public-trades>`
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"""
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await self.load_markets()
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symbols = self.market_symbols(symbols, None, False, True, True)
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marketIds = []
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messageHashes = []
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if symbols is not None:
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for i in range(0, len(symbols)):
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market = self.market(symbols[i])
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marketIds.append(market['id'])
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messageHashes.append('trades:' + market['id'])
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channel = 'trades:' + ','.join(marketIds)
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params = self.extend(params, {
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'ch': channel,
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})
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trades = await self.watch_public_multiple(messageHashes, params)
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if self.newUpdates:
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first = self.safe_value(trades, 0)
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tradeSymbol = self.safe_string(first, 'symbol')
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limit = trades.getLimit(tradeSymbol, limit)
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return self.filter_by_since_limit(trades, since, limit, 'timestamp', True)
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def handle_trades(self, client: Client, message):
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#
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# {
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# "m": "trades",
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# "symbol": "BTC/USDT",
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# "data": [
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# {
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# "p": "40744.28",
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# "q": "0.00150",
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# "ts": 1647514330758,
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# "bm": True,
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# "seqnum": 72057633465800320
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# }
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# ]
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# }
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#
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marketId = self.safe_string(message, 'symbol')
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symbol = self.safe_symbol(marketId)
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channel = self.safe_string(message, 'm')
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messageHash = channel + ':' + marketId
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market = self.market(symbol)
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rawData = self.safe_value(message, 'data')
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if rawData is None:
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rawData = []
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trades = self.parse_trades(rawData, market)
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tradesArray = self.safe_value(self.trades, symbol)
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if tradesArray is None:
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limit = self.safe_integer(self.options, 'tradesLimit', 1000)
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tradesArray = ArrayCache(limit)
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for i in range(0, len(trades)):
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tradesArray.append(trades[i])
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self.trades[symbol] = tradesArray
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client.resolve(tradesArray, messageHash)
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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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watches information on open orders with bid(buy) and ask(sell) prices, volumes and other data
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https://ascendex.github.io/ascendex-pro-api/#channel-level-2-order-book-updates
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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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market = self.market(symbol)
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channel = 'depth' + ':' + market['id']
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params = self.extend(params, {
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'ch': channel,
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})
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orderbook = await self.watch_public(channel, params)
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return orderbook.limit()
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async def watch_order_book_snapshot(self, symbol: str, limit: Int = None, params={}):
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await self.load_markets()
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market = self.market(symbol)
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action = 'depth-snapshot'
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channel = action + ':' + market['id']
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params = self.extend(params, {
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'action': action,
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'args': {
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'symbol': market['id'],
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},
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'op': 'req',
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})
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orderbook = await self.watch_public(channel, params)
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return orderbook.limit()
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async def fetch_order_book_snapshot_custom(self, symbol: str, limit: Int = None, params={}):
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restOrderBook = await self.fetch_rest_order_book_safe(symbol, limit, params)
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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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orderbook.reset(restOrderBook)
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return orderbook
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def handle_order_book_snapshot(self, client: Client, message):
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#
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# {
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# "m": "depth",
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# "symbol": "BTC/USDT",
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# "data": {
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# "ts": 1647520500149,
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# "seqnum": 28590487626,
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# "asks": [
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# [Array], [Array], [Array],
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# [Array], [Array], [Array],
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# ],
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# "bids": [
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# [Array], [Array], [Array],
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# [Array], [Array], [Array],
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# ]
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# }
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# }
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#
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marketId = self.safe_string(message, 'symbol')
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symbol = self.safe_symbol(marketId)
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channel = self.safe_string(message, 'm')
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messageHash = channel + ':' + symbol
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orderbook = self.orderbooks[symbol]
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data = self.safe_value(message, 'data')
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snapshot = self.parse_order_book(data, symbol)
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snapshot['nonce'] = self.safe_integer(data, 'seqnum')
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orderbook.reset(snapshot)
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# unroll the accumulated deltas
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messages = orderbook.cache
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for i in range(0, len(messages)):
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messageItem = messages[i]
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self.handle_order_book_message(client, messageItem, orderbook)
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self.orderbooks[symbol] = orderbook
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client.resolve(orderbook, messageHash)
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def handle_order_book(self, client: Client, message):
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#
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# {
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# "m": "depth",
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# "symbol": "BTC/USDT",
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# "data": {
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# "ts": 1647515136144,
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# "seqnum": 28590470736,
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# "asks": [[Array], [Array]],
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# "bids": [[Array], [Array], [Array], [Array], [Array], [Array]]
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# }
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# }
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#
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channel = self.safe_string(message, 'm')
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marketId = self.safe_string(message, 'symbol')
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symbol = self.safe_symbol(marketId)
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messageHash = channel + ':' + marketId
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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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if orderbook['nonce'] is None:
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orderbook.cache.append(message)
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else:
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self.handle_order_book_message(client, message, orderbook)
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client.resolve(orderbook, messageHash)
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def handle_delta(self, bookside, delta):
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#
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# ["40990.47","0.01619"],
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#
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price = self.safe_float(delta, 0)
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amount = self.safe_float(delta, 1)
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bookside.store(price, amount)
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def handle_deltas(self, bookside, deltas):
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for i in range(0, len(deltas)):
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self.handle_delta(bookside, deltas[i])
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def handle_order_book_message(self, client: Client, message, orderbook):
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#
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# {
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# "m":"depth",
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# "symbol":"BTC/USDT",
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# "data":{
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# "ts":1647527417715,
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# "seqnum":28590257013,
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# "asks":[
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# ["40990.47","0.01619"],
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# ["41021.21","0"],
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# ["41031.59","0.06096"]
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# ],
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# "bids":[
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# ["40990.46","0.76114"],
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# ["40985.18","0"]
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# ]
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# }
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# }
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#
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data = self.safe_value(message, 'data', {})
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seqNum = self.safe_integer(data, 'seqnum')
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if seqNum > orderbook['nonce']:
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asks = self.safe_value(data, 'asks', [])
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bids = self.safe_value(data, 'bids', [])
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self.handle_deltas(orderbook['asks'], asks)
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self.handle_deltas(orderbook['bids'], bids)
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orderbook['nonce'] = seqNum
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timestamp = self.safe_integer(data, 'ts')
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orderbook['timestamp'] = timestamp
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orderbook['datetime'] = self.iso8601(timestamp)
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return orderbook
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async def watch_balance(self, params={}) -> Balances:
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"""
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watch balance and get the amount of funds available for trading or funds locked in orders
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https://ascendex.github.io/ascendex-pro-api/#channel-order-and-balance
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `balance structure <https://docs.ccxt.com/#/?id=balance-structure>`
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"""
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await self.load_markets()
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type, query = self.handle_market_type_and_params('watchBalance', None, params)
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channel = None
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messageHash = None
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if (type == 'spot') or (type == 'margin'):
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accountCategories = self.safe_value(self.options, 'accountCategories', {})
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accountCategory = self.safe_string(accountCategories, type, 'cash') # cash, margin,
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accountCategory = accountCategory.upper()
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channel = 'order:' + accountCategory # order and balance share the same channel
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messageHash = 'balance:' + type
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else:
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channel = 'futures-account-update'
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messageHash = 'balance:swap'
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return await self.watch_private(channel, messageHash, query)
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def handle_balance(self, client: Client, message):
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#
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# cash account
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#
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# {
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# "m": "balance",
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# "accountId": "cshQtyfq8XLAA9kcf19h8bXHbAwwoqEo",
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# "ac": "CASH",
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# "data": {
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# "a" : "USDT",
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# "sn": 8159798,
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# "tb": "600",
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# "ab": "600"
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# }
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# }
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#
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# margin account
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#
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# {
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# "m": "balance",
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# "accountId": "marOxpKJV83dxTRx0Eyxpa0gxc4Txt0P",
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# "ac": "MARGIN",
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# "data": {
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# "a" : "USDT",
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# "sn" : 8159802,
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# "tb" : "400", # total Balance
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# "ab" : "400", # available balance
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# "brw": "0", # borrowws
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# "int": "0" # interest
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# }
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# }
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#
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# futures
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# {
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# "m" : "futures-account-update", # message
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# "e" : "ExecutionReport", # event type
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# "t" : 1612508562129, # time
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# "acc" : "futures-account-id", # account ID
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# "at" : "FUTURES", # account type
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# "sn" : 23128, # sequence number,
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# "id" : "r177710001cbU3813942147C5kbFGOan",
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# "col": [
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# {
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# "a": "USDT", # asset code
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# "b": "1000000", # balance
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# "f": "1" # discount factor
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# }
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# ],
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# (...)
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#
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channel = self.safe_string(message, 'm')
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result = None
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type = None
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if (channel == 'order') or (channel == 'futures-order'):
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data = self.safe_value(message, 'data')
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marketId = self.safe_string(data, 's')
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market = self.safe_market(marketId)
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baseAccount = self.account()
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baseAccount['free'] = self.safe_string(data, 'bab')
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baseAccount['total'] = self.safe_string(data, 'btb')
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quoteAccount = self.account()
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quoteAccount['free'] = self.safe_string(data, 'qab')
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quoteAccount['total'] = self.safe_string(data, 'qtb')
|
|
if market['contract']:
|
|
type = 'swap'
|
|
result = self.safe_value(self.balance, type, {})
|
|
else:
|
|
type = market['type']
|
|
result = self.safe_value(self.balance, type, {})
|
|
result[market['base']] = baseAccount
|
|
result[market['quote']] = quoteAccount
|
|
else:
|
|
accountType = self.safe_string_lower_2(message, 'ac', 'at')
|
|
categoriesAccounts = self.safe_value(self.options, 'categoriesAccount')
|
|
type = self.safe_string(categoriesAccounts, accountType, 'spot')
|
|
result = self.safe_value(self.balance, type, {})
|
|
data = self.safe_value(message, 'data')
|
|
balances = None
|
|
if data is None:
|
|
balances = self.safe_value(message, 'col')
|
|
else:
|
|
balances = [data]
|
|
for i in range(0, len(balances)):
|
|
balance = balances[i]
|
|
code = self.safe_currency_code(self.safe_string(balance, 'a'))
|
|
account = self.account()
|
|
account['free'] = self.safe_string(balance, 'ab')
|
|
account['total'] = self.safe_string_2(balance, 'tb', 'b')
|
|
result[code] = account
|
|
messageHash = 'balance' + ':' + type
|
|
client.resolve(self.safe_balance(result), messageHash)
|
|
|
|
async def watch_orders(self, symbol: Str = None, since: Int = None, limit: Int = None, params={}) -> List[Order]:
|
|
"""
|
|
|
|
https://ascendex.github.io/ascendex-pro-api/#channel-order-and-balance
|
|
|
|
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>`
|
|
"""
|
|
await self.load_markets()
|
|
market = None
|
|
if symbol is not None:
|
|
market = self.market(symbol)
|
|
symbol = market['symbol']
|
|
type, query = self.handle_market_type_and_params('watchOrders', market, params)
|
|
messageHash = None
|
|
channel = None
|
|
if type != 'spot' and type != 'margin':
|
|
channel = 'futures-order'
|
|
messageHash = 'order:FUTURES'
|
|
else:
|
|
accountCategories = self.safe_value(self.options, 'accountCategories', {})
|
|
accountCategory = self.safe_string(accountCategories, type, 'cash') # cash, margin
|
|
accountCategory = accountCategory.upper()
|
|
messageHash = 'order' + ':' + accountCategory
|
|
channel = messageHash
|
|
if symbol is not None:
|
|
messageHash = messageHash + ':' + symbol
|
|
orders = await self.watch_private(channel, messageHash, query)
|
|
if self.newUpdates:
|
|
limit = orders.getLimit(symbol, limit)
|
|
return self.filter_by_symbol_since_limit(orders, symbol, since, limit, True)
|
|
|
|
def handle_order(self, client: Client, message):
|
|
#
|
|
# spot order
|
|
# {
|
|
# "m": "order",
|
|
# "accountId": "cshF5SlR9ukAXoDOuXbND4dVpBMw9gzH",
|
|
# "ac": "CASH",
|
|
# "data": {
|
|
# "sn": 19399016185,
|
|
# "orderId": "r17f9d7983faU7223046196CMlrj3bfC",
|
|
# "s": "LTC/USDT",
|
|
# "ot": "Limit",
|
|
# "t": 1647614461160,
|
|
# "p": "50",
|
|
# "q": "0.1",
|
|
# "sd": "Buy",
|
|
# "st": "New",
|
|
# "ap": "0",
|
|
# "cfq": "0",
|
|
# "sp": '',
|
|
# "err": '',
|
|
# "btb": "0",
|
|
# "bab": "0",
|
|
# "qtb": "8",
|
|
# "qab": "2.995",
|
|
# "cf": "0",
|
|
# "fa": "USDT",
|
|
# "ei": "NULL_VAL"
|
|
# }
|
|
# }
|
|
#
|
|
# futures order
|
|
# {
|
|
# "m": "futures-order",
|
|
# "sn": 19399927636,
|
|
# "e": "ExecutionReport",
|
|
# "a": "futF5SlR9ukAXoDOuXbND4dVpBMw9gzH", # account id
|
|
# "ac": "FUTURES",
|
|
# "t": 1647622515434, # last execution time
|
|
# (...)
|
|
# }
|
|
#
|
|
accountType = self.safe_string(message, 'ac')
|
|
messageHash = 'order:' + accountType
|
|
data = self.safe_value(message, 'data', message)
|
|
order = self.parse_ws_order(data)
|
|
if self.orders is None:
|
|
limit = self.safe_integer(self.options, 'ordersLimit', 1000)
|
|
self.orders = ArrayCacheBySymbolById(limit)
|
|
orders = self.orders
|
|
orders.append(order)
|
|
symbolMessageHash = messageHash + ':' + order['symbol']
|
|
client.resolve(orders, symbolMessageHash)
|
|
client.resolve(orders, messageHash)
|
|
|
|
def parse_ws_order(self, order, market=None):
|
|
#
|
|
# spot order
|
|
# {
|
|
# "sn": 19399016185, #sequence number
|
|
# "orderId": "r17f9d7983faU7223046196CMlrj3bfC",
|
|
# "s": "LTC/USDT",
|
|
# "ot": "Limit", # order type
|
|
# "t": 1647614461160, # last execution timestamp
|
|
# "p": "50", # price
|
|
# "q": "0.1", # quantity
|
|
# "sd": "Buy", # side
|
|
# "st": "New", # status
|
|
# "ap": "0", # average fill price
|
|
# "cfq": "0", # cumulated fill quantity
|
|
# "sp": '', # stop price
|
|
# "err": '',
|
|
# "btb": "0", # base asset total balance
|
|
# "bab": "0", # base asset available balance
|
|
# "qtb": "8", # quote asset total balance
|
|
# "qab": "2.995", # quote asset available balance
|
|
# "cf": "0", # cumulated commission
|
|
# "fa": "USDT", # fee asset
|
|
# "ei": "NULL_VAL"
|
|
# }
|
|
#
|
|
# futures order
|
|
# {
|
|
# "m": "futures-order",
|
|
# "sn": 19399927636,
|
|
# "e": "ExecutionReport",
|
|
# "a": "futF5SlR9ukAXoDOuXbND4dVpBMw9gzH", # account id
|
|
# "ac": "FUTURES",
|
|
# "t": 1647622515434, # last execution time
|
|
# "ct": 1647622515413, # order creation time
|
|
# "orderId": "r17f9df469b1U7223046196Okf5Kbmd",
|
|
# "sd": "Buy", # side
|
|
# "ot": "Limit", # order type
|
|
# "ei": "NULL_VAL",
|
|
# "q": "1", # quantity
|
|
# "p": "50", #price
|
|
# "sp": "0", # stopPrice
|
|
# "spb": '', # stopTrigger
|
|
# "s": "LTC-PERP", # symbol
|
|
# "st": "New", # state
|
|
# "err": '',
|
|
# "lp": "0", # last filled price
|
|
# "lq": "0", # last filled quantity(base asset)
|
|
# "ap": "0", # average filled price
|
|
# "cfq": "0", # cummulative filled quantity(base asset)
|
|
# "f": "0", # commission fee of the current execution
|
|
# "cf": "0", # cumulative commission fee
|
|
# "fa": "USDT", # fee asset
|
|
# "psl": "0",
|
|
# "pslt": "market",
|
|
# "ptp": "0",
|
|
# "ptpt": "market"
|
|
# }
|
|
#
|
|
status = self.parse_order_status(self.safe_string(order, 'st'))
|
|
marketId = self.safe_string(order, 's')
|
|
timestamp = self.safe_integer(order, 't')
|
|
symbol = self.safe_symbol(marketId, market, '/')
|
|
lastTradeTimestamp = self.safe_integer(order, 't')
|
|
price = self.safe_string(order, 'p')
|
|
amount = self.safe_string(order, 'q')
|
|
average = self.safe_string(order, 'ap')
|
|
filled = self.safe_string(order, 'cfq')
|
|
id = self.safe_string(order, 'orderId')
|
|
type = self.safe_string_lower(order, 'ot')
|
|
side = self.safe_string_lower(order, 'sd')
|
|
feeCost = self.safe_number(order, 'cf')
|
|
fee = None
|
|
if feeCost is not None:
|
|
feeCurrencyId = self.safe_string(order, 'fa')
|
|
feeCurrencyCode = self.safe_currency_code(feeCurrencyId)
|
|
fee = {
|
|
'cost': feeCost,
|
|
'currency': feeCurrencyCode,
|
|
}
|
|
stopPrice = self.parse_number(self.omit_zero(self.safe_string(order, 'sp')))
|
|
return self.safe_order({
|
|
'info': order,
|
|
'id': id,
|
|
'clientOrderId': None,
|
|
'timestamp': timestamp,
|
|
'datetime': self.iso8601(timestamp),
|
|
'lastTradeTimestamp': lastTradeTimestamp,
|
|
'symbol': symbol,
|
|
'type': type,
|
|
'timeInForce': None,
|
|
'postOnly': None,
|
|
'side': side,
|
|
'price': price,
|
|
'stopPrice': stopPrice,
|
|
'triggerPrice': stopPrice,
|
|
'amount': amount,
|
|
'cost': None,
|
|
'average': average,
|
|
'filled': filled,
|
|
'remaining': None,
|
|
'status': status,
|
|
'fee': fee,
|
|
'trades': None,
|
|
}, market)
|
|
|
|
def handle_error_message(self, client: Client, message) -> Bool:
|
|
#
|
|
# {
|
|
# "m": "disconnected",
|
|
# "code": 100005,
|
|
# "reason": "INVALID_WS_REQUEST_DATA",
|
|
# "info": "Session is disconnected due to missing pong message from the client"
|
|
# }
|
|
#
|
|
errorCode = self.safe_integer(message, 'code')
|
|
try:
|
|
if errorCode is not None:
|
|
feedback = self.id + ' ' + self.json(message)
|
|
self.throw_exactly_matched_exception(self.exceptions['exact'], errorCode, feedback)
|
|
messageString = self.safe_value(message, 'message')
|
|
if messageString is not None:
|
|
self.throw_broadly_matched_exception(self.exceptions['broad'], messageString, feedback)
|
|
return False
|
|
except Exception as e:
|
|
if isinstance(e, AuthenticationError):
|
|
messageHash = 'authenticated'
|
|
client.reject(e, messageHash)
|
|
if messageHash in client.subscriptions:
|
|
del client.subscriptions[messageHash]
|
|
else:
|
|
client.reject(e)
|
|
return True
|
|
|
|
def handle_authenticate(self, client: Client, message):
|
|
#
|
|
# {m: "auth", id: "1647605234", code: 0}
|
|
#
|
|
messageHash = 'authenticated'
|
|
client.resolve(message, messageHash)
|
|
|
|
def handle_message(self, client: Client, message):
|
|
if self.handle_error_message(client, message):
|
|
return
|
|
#
|
|
# {m: "ping", hp: 3}
|
|
#
|
|
# {m: "sub", ch: "bar:BTC/USDT", code: 0}
|
|
#
|
|
# {m: 'sub', id: "1647515701", ch: "depth:BTC/USDT", code: 0}
|
|
#
|
|
# {m: "connected", type: "unauth"}
|
|
#
|
|
# {m: "auth", id: "1647605234", code: 0}
|
|
#
|
|
# order or balance sub
|
|
# {
|
|
# "m": "sub",
|
|
# "id": "1647605952",
|
|
# "ch": "order:cshF5SlR9ukAXoDOuXbND4dVpBMw9gzH", or futures-order
|
|
# "code": 0
|
|
# }
|
|
#
|
|
# ohlcv
|
|
# {
|
|
# "m": "bar",
|
|
# "s": "BTC/USDT",
|
|
# "data": {
|
|
# "i": "1",
|
|
# "ts": 1647510060000,
|
|
# "o": "40813.93",
|
|
# "c": "40804.57",
|
|
# "h": "40814.21",
|
|
# "l": "40804.56",
|
|
# "v": "0.01537"
|
|
# }
|
|
# }
|
|
#
|
|
# trades
|
|
#
|
|
# {
|
|
# "m": "trades",
|
|
# "symbol": "BTC/USDT",
|
|
# "data": [
|
|
# {
|
|
# "p": "40762.26",
|
|
# "q": "0.01500",
|
|
# "ts": 1647514306759,
|
|
# "bm": True,
|
|
# "seqnum": 72057633465795180
|
|
# }
|
|
# ]
|
|
# }
|
|
#
|
|
# orderbook deltas
|
|
#
|
|
# {
|
|
# "m":"depth",
|
|
# "symbol":"BTC/USDT",
|
|
# "data":{
|
|
# "ts":1647527417715,
|
|
# "seqnum":28590257013,
|
|
# "asks":[
|
|
# ["40990.47","0.01619"],
|
|
# ["41021.21","0"],
|
|
# ["41031.59","0.06096"]
|
|
# ],
|
|
# "bids":[
|
|
# ["40990.46","0.76114"],
|
|
# ["40985.18","0"]
|
|
# ]
|
|
# }
|
|
# }
|
|
#
|
|
# orderbook snapshot
|
|
# {
|
|
# "m": "depth-snapshot",
|
|
# "symbol": "BTC/USDT",
|
|
# "data": {
|
|
# "ts": 1647525938513,
|
|
# "seqnum": 28590504772,
|
|
# "asks": [
|
|
# [Array], [Array], [Array], [Array], [Array], [Array], [Array],
|
|
# [Array], [Array], [Array], [Array], [Array], [Array], [Array],
|
|
# [Array], [Array], [Array], [Array], [Array], [Array], [Array],
|
|
# (...)
|
|
# ]
|
|
# }
|
|
#
|
|
# spot order update
|
|
# {
|
|
# "m": "order",
|
|
# "accountId": "cshQtyfq8XLAA9kcf19h8bXHbAwwoqDo",
|
|
# "ac": "CASH",
|
|
# "data": {
|
|
# "s": "BTC/USDT",
|
|
# "sn": 8159711,
|
|
# "sd": "Buy",
|
|
# "ap": "0",
|
|
# "bab": "2006.5974027",
|
|
# "btb": "2006.5974027",
|
|
# "cf": "0",
|
|
# "cfq": "0",
|
|
# (...)
|
|
# }
|
|
# }
|
|
# future order update
|
|
# {
|
|
# "m": "futures-order",
|
|
# "sn": 19404258063,
|
|
# "e": "ExecutionReport",
|
|
# "a": "futF5SlR9ukAXoDOuXbND4dVpBMw9gzH",
|
|
# "ac": "FUTURES",
|
|
# "t": 1647681792543,
|
|
# "ct": 1647622515413,
|
|
# "orderId": "r17f9df469b1U7223046196Okf5KbmdL",
|
|
# (...)
|
|
# "ptpt": "None"
|
|
# }
|
|
#
|
|
# balance update cash
|
|
# {
|
|
# "m": "balance",
|
|
# "accountId": "cshQtyfq8XLAA9kcf19h8bXHbAwwoqDo",
|
|
# "ac": "CASH",
|
|
# "data": {
|
|
# "a" : "USDT",
|
|
# "sn": 8159798,
|
|
# "tb": "600",
|
|
# "ab": "600"
|
|
# }
|
|
# }
|
|
#
|
|
# balance update margin
|
|
# {
|
|
# "m": "balance",
|
|
# "accountId": "marOxpKJV83dxTRx0Eyxpa0gxc4Txt0P",
|
|
# "ac": "MARGIN",
|
|
# "data": {
|
|
# "a" : "USDT",
|
|
# "sn" : 8159802,
|
|
# "tb" : "400",
|
|
# "ab" : "400",
|
|
# "brw": "0",
|
|
# "int": "0"
|
|
# }
|
|
# }
|
|
#
|
|
subject = self.safe_string(message, 'm')
|
|
methods: dict = {
|
|
'ping': self.handle_ping,
|
|
'auth': self.handle_authenticate,
|
|
'sub': self.handle_subscription_status,
|
|
'depth': self.handle_order_book,
|
|
'depth-snapshot': self.handle_order_book_snapshot,
|
|
'trades': self.handle_trades,
|
|
'bar': self.handle_ohlcv,
|
|
'balance': self.handle_balance,
|
|
'futures-account-update': self.handle_balance,
|
|
}
|
|
method = self.safe_value(methods, subject)
|
|
if method is not None:
|
|
method(client, message)
|
|
if (subject == 'order') or (subject == 'futures-order'):
|
|
# self.handle_order(client, message)
|
|
# balance updates may be in the order structure
|
|
# they may also be standalone balance updates related to account transfers
|
|
self.handle_order(client, message)
|
|
if subject == 'order':
|
|
self.handle_balance(client, message)
|
|
|
|
def handle_subscription_status(self, client: Client, message):
|
|
#
|
|
# {m: "sub", ch: "bar:BTC/USDT", code: 0}
|
|
#
|
|
# {m: 'sub', id: "1647515701", ch: "depth:BTC/USDT", code: 0}
|
|
#
|
|
channel = self.safe_string(message, 'ch', '')
|
|
if channel.find('depth') > -1 and not (channel.find('depth-snapshot') > -1):
|
|
self.handle_order_book_subscription(client, message)
|
|
return message
|
|
|
|
def handle_order_book_subscription(self, client: Client, message):
|
|
channel = self.safe_string(message, 'ch')
|
|
parts = channel.split(':')
|
|
marketId = parts[1]
|
|
market = self.safe_market(marketId)
|
|
symbol = market['symbol']
|
|
if symbol in self.orderbooks:
|
|
del self.orderbooks[symbol]
|
|
self.orderbooks[symbol] = self.order_book({})
|
|
if self.options['defaultType'] == 'swap' or market['contract']:
|
|
self.spawn(self.fetch_order_book_snapshot_custom, symbol)
|
|
else:
|
|
self.spawn(self.watch_order_book_snapshot, symbol)
|
|
|
|
async def pong(self, client, message):
|
|
#
|
|
# {m: "ping", hp: 3}
|
|
#
|
|
try:
|
|
await client.send({'op': 'pong', 'hp': self.safe_integer(message, 'hp')})
|
|
except Exception as e:
|
|
error = NetworkError(self.id + ' handlePing failed with error ' + self.json(e))
|
|
client.reset(error)
|
|
|
|
def handle_ping(self, client: Client, message):
|
|
self.spawn(self.pong, client, message)
|
|
|
|
async def authenticate(self, url, params={}):
|
|
self.check_required_credentials()
|
|
messageHash = 'authenticated'
|
|
client = self.client(url)
|
|
future = self.safe_value(client.subscriptions, messageHash)
|
|
if future is None:
|
|
timestamp = str(self.milliseconds())
|
|
urlParts = url.split('/')
|
|
partsLength = len(urlParts)
|
|
path = self.safe_string(urlParts, partsLength - 1)
|
|
version = self.safe_string(urlParts, partsLength - 2)
|
|
auth = timestamp + '+' + version + '/' + path
|
|
secret = self.base64_to_binary(self.secret)
|
|
signature = self.hmac(self.encode(auth), secret, hashlib.sha256, 'base64')
|
|
request: dict = {
|
|
'op': 'auth',
|
|
'id': str(self.nonce()),
|
|
't': timestamp,
|
|
'key': self.apiKey,
|
|
'sig': signature,
|
|
}
|
|
future = await self.watch(url, messageHash, self.extend(request, params), messageHash)
|
|
client.subscriptions[messageHash] = future
|
|
return future
|