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CcxtExchange.py
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CcxtExchange.py
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import ccxt
import pandas as pd
from pprint import pprint
from decimal import Decimal
from datetime import datetime
import requests
import json
class FetchHistoricalDataException(Exception):
pass
class CcxtExchange():
def __init__(self, exchange_id, params={}):
self.exchange_id = exchange_id # 'binance'
self.exchange_class = getattr(ccxt, exchange_id)
self.ccxt = self.exchange_class(params)
def getOHLCV(self, symbol, interval, limit=1000, start_time=None, cast_to=float):
""" Converts cctx ohlcv data from list of lists to dataframe. """
if start_time != None:
start_time = int(start_time)
ohlcv = self.ccxt.fetchOHLCV(
symbol, interval, since=start_time, limit=limit)
if len(ohlcv) == 0:
return pd.DataFrame()
df = pd.DataFrame(ohlcv)
df.columns = ['time', 'open', 'high', 'low', 'close', 'volume']
# transform values from strings to floats
for col in df.columns:
df[col] = df[col].astype(cast_to)
df['date'] = pd.to_datetime(df['time'] * 1000000, infer_datetime_format=True)
return df
def getOHLCVHistory(self, symbol, interval, limit=None, start_time=None, cast_to=float):
""" Converts cctx ohlcv data from list of lists to dataframe. """
time_now = datetime.timestamp(datetime.now()) * 1000
if limit != None and limit < 1000:
return self.getOHLCV(symbol, interval, limit=limit, start_time=start_time, cast_to=cast_to)
df = self.getOHLCV(symbol, interval, limit=1000, start_time=start_time, cast_to=cast_to)
if df.empty:
raise FetchHistoricalDataException(
'{} doesn\'t provide access to this data.'.format(
self.exchange_id))
time_diff = self.ccxt.parse_timeframe(interval) * 1000
last_time = df.iloc[-1]['time']
max_limit = limit
# print(last_time)
while last_time + time_diff < time_now:
l = 1000
if max_limit != None:
print(max_limit)
l = max_limit
if l >= 1000:
l = 1000
max_limit = max_limit - 1000
df2 = self.getOHLCV(symbol, interval, limit=l, start_time=last_time, cast_to=cast_to)
df = df.append(df2, ignore_index = True)
last_time = df.iloc[-1]['time']
if l < 1000:
return df
# print(last_time)
# print(df.loc[len(df)-1])
return df
def placeOrder(self, symbol, params, test=False):
"""
Places order on exchange given a dictionary of parameters.
"""
return self.ccxt.createOrder(symbol, params)
def placeMarketOrder(self, symbol, side, amount, test=False, custom_id=False):
"""
Places side (buy/sell) market order for amount of symbol.
"""
args = dict()
if custom_id:
args['clientOrderId'] = custom_id
# try:
order = self.ccxt.createOrder(
symbol=symbol, type='market', side=side,
amount=amount, price=None, params=args)
# except:
# return None
return order
def placeLimitOrder(self, symbol, side, amount, price, test=False, custom_id=False):
"""
Places side (buy/sell) limit order for amount of symbol at price.
"""
args = dict()
if custom_id:
args['clientOrderId'] = custom_id
# try:
order = self.ccxt.createOrder(
symbol=symbol, type='limit', side=side,
amount=amount, price=price, params=args)
# except:
# return None
return order
def placeStopLossMarketOrder(self, symbol, side, amount, price, test=False, custom_id=False):
""" Places a STOP_LOSS market order for amount of symbol at price. """
args = dict()
if custom_id:
args['clientOrderId'] = custom_id
ret = dict()
if self.exchange_id == 'binance':
args['stopPrice'] = price
data = self.ccxt.createOrder(
symbol=symbol,
type='stop_loss_limit',
side=side,
amount=amount,
price=price * 0.98,
params=args)
ret = data
ret['id'] = data['orderId']
elif self.exchange_id == 'okex':
args = {
'instrument_id' : symbol.replace('/', '-'),
'order_type':'1', # trigger
'mode':'1', # spot
'side':side,
'size':amount,
'trigger_price':price,
'algo_type':'2'
}
data = self.ccxt.spotPostOrderAlgo(args)
ret = data
ret['id'] = data['algo_id']
else:
raise NotImplementedError('SL order not implemented for {}'.format(self.exchange_id))
# print('Placing SL Market order for {} returned'.format(self.exchange_id))
# pprint(data)
return ret
def cancelOrder(self, symbol, order_id, is_custom_id=False):
""" Cancels order given order id """
params = {}
if is_custom_id:
if self.exchange_id == 'kucoin':
result = self.ccxt.private_get_orders({'status':'active'})
orders = result['data']['items']
for order in orders:
if order['clientOid'] == order_id:
order_id = order['id']
break
else:
params['clientOrderId'] = order_id
return self.ccxt.cancelOrder(order_id, symbol, params)
def cancelAlgoOrder(self, symbol, order_id, order_type='1', is_custom_id=False):
params = {}
if is_custom_id:
params['clientOrderId'] = order_id
if self.exchange_id == 'binance':
# try:
order = self.ccxt.cancelOrder(order_id, symbol, params)
# except:
# return None
elif self.exchange_id == 'okex':
# try:
data = self.ccxt.spotPostCancelBatchAlgos(
{
'instrument_id':'ETH-BTC',
'algo_ids':[order_id],
'order_type':'1'
})
order = data
# except:
# return None
else:
raise NotImplementedError('Getting algo orders not implemented for {}'.format(self.exchange_id))
# print('Canceling algo order for {} returned'.format(self.exchange_id))
# pprint(order)
return order
def getOrder(self, symbol, order_id, is_custom_id=False):
""" Gets order given order id """
params = {}
# print('Getting Order {}'.format(order_id))
if is_custom_id:
# print('custom id')
if self.exchange_id == 'kucoin':
# print('Kucoin, custom id')
result = self.ccxt.private_get_orders({'status':'active'})
active_orders = result['data']['items']
result = self.ccxt.private_get_orders()
done_orders = result['data']['items']
# print('kucoin active orders len is {}, done_orders {}'.format(len(active_orders), len(done_orders)))
for order in active_orders:
# pprint(order)
if order['clientOid'] == order_id:
# print('Found!')
# pprint(order)
order_id = order['id']
break
for order in done_orders:
# pprint(order)
if order['clientOid'] == order_id:
# print('Found!')
# pprint(order)
order_id = order['id']
break
else:
params['clientOrderId'] = order_id
return self.ccxt.fetchOrder(order_id, symbol, params)
def getAlgoOrder(self, symbol, order_id, order_type='1', is_custom_id=False):
"""
Gets an algo order given order id (Trigger Order, Stop Loss or Take Profit )
"""
params = {}
if is_custom_id:
params['clientOrderId'] = order_id
if self.exchange_id == 'binance':
order = self.ccxt.fetchOrder(order_id, symbol, params)
elif self.exchange_id == 'okex':
data = self.ccxt.spotGetAlgo(
{
'instrument_id' : symbol.replace('/', '-'),
'order_type' : order_type,
'algo_id': order_id
})
order = [next(iter(data))][0]
else:
raise NotImplementedError('Getting algo orders not implemented for {}'.format(self.exchange_id))
# print('Getting order for {} returned'.format(self.exchange_id))
# pprint(data)
return order
def updateSQLOrderModel(self, order, order_response, bot):
"""
Updates an order based on it's state on the exchange given by
order_response. Should be part of the exchange interface """
# print("Order response is")
# pprint(order_response)
if order.is_test:
if order.side == 'buy':
order.entry_price = order.price
if order_response['filled'] is not None:
order.executed_quantity = Decimal(order_response['filled'])
if order_response['status'] is not None:
order.status = order_response['status']
if order_response['side'] is not None:
order.side = order_response['side']
if not order.is_test:
if order_response['timestamp'] is not None:
order.timestamp = datetime.fromtimestamp(
order_response['timestamp'] / 1000)
if order_response['price'] is not None:
order.price = order_response['price']
if order.side == 'buy':
order.entry_price = order_response['price']
if order_response['amount'] is not None:
order.original_quantity = Decimal(order_response['amount'])
if order_response['filled'] is not None:
order.executed_quantity = Decimal(order_response['filled'])
if order_response['status'] is not None:
order.status = order_response['status']
if order_response['side'] is not None:
order.side = order_response['side']
if order_response['type'] is not None:
order.order_type = order_response['type']
return order
def getOrderBook(self, symbol, limit):
if self.exchange_id == 'binance':
url = 'https://api.binance.com' + '/api/v3/depth' \
+ "?&symbol=" + str(symbol.replace('/', '')) + "&limit=" + str(limit)
response = requests.get(url)
payload = json.loads(response.text)
return payload
else:
raise NotImplementedError