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WIP: Poloniex exchange - balances, candles & cancel

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This commit is contained in:
Victor Grau Serrat
2017-09-25 22:01:04 -06:00
parent 5d1bdee4a6
commit cf20f78e55
2 changed files with 103 additions and 123 deletions
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catalyst/exchange/poloniex/poloniex.py
+87 -110
View File
@@ -9,7 +9,8 @@ import numpy as np
import pandas as pd
import pytz
import requests
import six
#import six
from six import iteritems
from catalyst.assets._assets import TradingPair
from logbook import Logger
@@ -37,12 +38,13 @@ class Poloniex(Exchange):
self.api = Poloniex_api(key=key, secret=secret.encode('UTF-8'))
self.name = 'poloniex'
self.assets = {}
#self.load_assets()
self.load_assets()
self.base_currency = base_currency
self._portfolio = portfolio
self.minute_writer = None
self.minute_reader = None
def sanitize_curency_symbol(self, exchange_symbol):
"""
Helper method used to build the universal pair.
@@ -53,47 +55,51 @@ class Poloniex(Exchange):
"""
return exchange_symbol.lower()
'''
def _create_order(self, order_status):
"""
Create a Catalyst order object from a Bitfinex order dictionary
Create a Catalyst order object from the Exchange order dictionary
:param order_status:
:return: Order
"""
if order_status['is_cancelled']:
status = ORDER_STATUS.CANCELLED
elif not order_status['is_live']:
log.info('found executed order {}'.format(order_status))
status = ORDER_STATUS.FILLED
else:
status = ORDER_STATUS.OPEN
#if order_status['is_cancelled']:
# status = ORDER_STATUS.CANCELLED
#elif not order_status['is_live']:
# log.info('found executed order {}'.format(order_status))
# status = ORDER_STATUS.FILLED
#else:
status = ORDER_STATUS.OPEN
amount = float(order_status['original_amount'])
filled = float(order_status['executed_amount'])
amount = float(order_status['amount'])
#filled = float(order_status['executed_amount'])
filled = None
if order_status['side'] == 'sell':
if order_status['type'] == 'sell':
amount = -amount
filled = -filled
#filled = -filled
price = float(order_status['price'])
price = float(order_status['rate'])
order_type = order_status['type']
stop_price = None
limit_price = None
# TODO: is this comprehensive enough?
if order_type.endswith('limit'):
limit_price = price
elif order_type.endswith('stop'):
stop_price = price
#if order_type.endswith('limit'):
# limit_price = price
#elif order_type.endswith('stop'):
# stop_price = price
executed_price = float(order_status['avg_execution_price'])
#executed_price = float(order_status['avg_execution_price'])
executed_price = price
# TODO: bitfinex does not specify comission. I could calculate it but not sure if it's worth it.
commission = None
date = pd.Timestamp.utcfromtimestamp(float(order_status['timestamp']))
date = pytz.utc.localize(date)
#date = pd.Timestamp.utcfromtimestamp(float(order_status['timestamp']))
#date = pytz.utc.localize(date)
date = None
order = Order(
dt=date,
asset=self.assets[order_status['symbol']],
@@ -101,36 +107,34 @@ class Poloniex(Exchange):
stop=stop_price,
limit=limit_price,
filled=filled,
id=str(order_status['id']),
id=str(order_status['orderNumber']),
commission=commission
)
order.status = status
return order, executed_price
'''
def get_balances(self):
pass
'''
log.debug('retrieving wallets balances')
try:
response = self._request('balances', None)
balances = response.json()
balances = self.api.returnbalances()
except Exception as e:
log.debug(e)
raise ExchangeRequestError(error=e)
if 'message' in balances:
if 'error' in balances:
raise ExchangeRequestError(
error='unable to fetch balance {}'.format(balances['message'])
error='unable to fetch balance {}'.format(balances['error'])
)
std_balances = dict()
for balance in balances:
currency = balance['currency'].lower()
std_balances[currency] = float(balance['available'])
for (key, value) in iteritems(balances):
currency = key.lower()
std_balances[currency] = float(value)
return std_balances
'''
@property
def account(self):
@@ -166,10 +170,8 @@ class Poloniex(Exchange):
return None
def get_candles(self, data_frequency, assets, bar_count=None):
pass
'''
"""
Retrieve OHLVC candles from Bitfinex
Retrieve OHLVC candles from Poloniex
:param data_frequency:
:param assets:
@@ -178,33 +180,22 @@ class Poloniex(Exchange):
Available Frequencies
---------------------
'1m', '5m', '15m', '30m', '1h', '3h', '6h', '12h', '1D', '7D', '14D',
'1M'
'5m', '15m', '30m', '2h', '4h', '1D'
"""
# TODO: use BcolzMinuteBarReader to read from cache
freq_match = re.match(r'([0-9].*)(m|h|d)', data_frequency, re.M | re.I)
if freq_match:
number = int(freq_match.group(1))
unit = freq_match.group(2)
if unit == 'd':
converted_unit = 'D'
else:
converted_unit = unit
frequency = '{}{}'.format(number, converted_unit)
allowed_frequencies = ['1m', '5m', '15m', '30m', '1h', '3h', '6h',
'12h', '1D', '7D', '14D', '1M']
if frequency not in allowed_frequencies:
raise InvalidHistoryFrequencyError(
frequency=data_frequency
)
elif data_frequency == 'minute':
frequency = '1m'
elif data_frequency == 'daily':
frequency = '1D'
if(data_frequency == '5m' or data_frequency == 'minute'): #TODO: Polo does not have '1m'
frequency = 300
elif(data_frequency == '15m'):
frequency = 900
elif(data_frequency == '30m'):
frequency = 1800
elif(data_frequency == '2h'):
frequency = 7200
elif(data_frequency == '4h'):
frequency = 14400
elif(data_frequency == '1D' or data_frequency == 'daily'):
frequency = 86400
else:
raise InvalidHistoryFrequencyError(
frequency=data_frequency
@@ -213,63 +204,51 @@ class Poloniex(Exchange):
# Making sure that assets are iterable
asset_list = [assets] if isinstance(assets, TradingPair) else assets
ohlc_map = dict()
for asset in asset_list:
symbol = self._get_v2_symbol(asset)
url = '{url}/v2/candles/trade:{frequency}:{symbol}'.format(
url=self.url,
frequency=frequency,
symbol=symbol
)
if bar_count:
is_list = True
url += '/hist?limit={}'.format(int(bar_count))
end = int(time.time())
if(bar_count is None):
start = end - 2 * frequency
else:
is_list = False
url += '/last'
start = end - bar_count * frequency
try:
response = requests.get(url)
try:
response = self.api.returnchartdata(self.get_symbol(asset),frequency, start, end)
except Exception as e:
raise ExchangeRequestError(error=e)
if 'error' in response.content:
if 'error' in response:
raise ExchangeRequestError(
error='Unable to retrieve candles: {}'.format(
response.content)
)
candles = response.json()
def ohlc_from_candle(candle):
ohlc = dict(
open=np.float64(candle[1]),
high=np.float64(candle[3]),
low=np.float64(candle[4]),
close=np.float64(candle[2]),
volume=np.float64(candle[5]),
price=np.float64(candle[2]),
last_traded=pd.Timestamp.utcfromtimestamp(
candle[0] / 1000.0)
open=np.float64(candle['open']),
high=np.float64(candle['high']),
low=np.float64(candle['low']),
close=np.float64(candle['close']),
volume=np.float64(candle['volume']),
price=np.float64(candle['close']),
last_traded=pd.Timestamp.utcfromtimestamp( candle['date'] )
)
return ohlc
if is_list:
if bar_count is None:
ohlc_map[asset] = ohlc_from_candle(response[0])
else:
ohlc_bars = []
# We can to list candles from old to new
for candle in reversed(candles):
for candle in response:
ohlc = ohlc_from_candle(candle)
ohlc_bars.append(ohlc)
ohlc_map[asset] = ohlc_bars
else:
ohlc = ohlc_from_candle(candles)
ohlc_map[asset] = ohlc
return ohlc_map[assets] \
if isinstance(assets, TradingPair) else ohlc_map
'''
def create_order(self, asset, amount, is_buy, style):
pass
@@ -338,7 +317,7 @@ class Poloniex(Exchange):
return order
'''
def get_open_orders(self, asset=None):
def get_open_orders(self, asset='all'):
"""Retrieve all of the current open orders.
Parameters
@@ -355,28 +334,29 @@ class Poloniex(Exchange):
If an asset is passed then this will return a list of the open
orders for this asset.
"""
pass
'''
try:
response = self._request('orders', None)
order_statuses = response.json()
if(asset=='all'):
response = self.api.returnopenorders('all')
else:
response = self.api.returnopenorders(self.get_symbol(asset))
except Exception as e:
raise ExchangeRequestError(error=e)
if 'message' in order_statuses:
if 'error' in response:
raise ExchangeRequestError(
error='Unable to retrieve open orders: {}'.format(
order_statuses['message'])
)
#TODO: Need to handle openOrders for 'all'
orders = list()
for order_status in order_statuses:
for order_status in response:
order, executed_price = self._create_order(order_status)
if asset is None or asset == order.sid:
orders.append(order)
return orders
'''
def get_order(self, order_id):
"""Lookup an order based on the order id returned from one of the
@@ -417,24 +397,21 @@ class Poloniex(Exchange):
order_param : str or Order
The order_id or order object to cancel.
"""
pass
'''
order_id = order_param.id \
if isinstance(order_param, Order) else order_param
try:
response = self._request('order/cancel', {'order_id': order_id})
status = response.json()
response = self.api.cancelorder(order_id)
except Exception as e:
raise ExchangeRequestError(error=e)
if 'message' in status:
if 'error' in response:
raise OrderCancelError(
order_id=order_id,
exchange=self.name,
error=status['message']
error=response['error']
)
'''
def tickers(self, assets):
"""
catalyst/exchange/poloniex/poloniex_api.py
+16 -13
View File
@@ -29,19 +29,22 @@ class Poloniex_api(object):
'cancelLoanOffer','returnOpenLoanOffers','returnActiveLoans',
'returnLendingHistory','toggleAutoRenew']
def query(self, method, values={}):
def query(self, method, req={}):
if method in self.public:
url = 'https://poloniex.com/public?command=' + method + urllib.parse.urlencode(values)
url = 'https://poloniex.com/public?command=' + method + '&' + urllib.parse.urlencode(req)
headers = {}
post_data = None
elif method in self.trading:
url = 'https://poloniex.com/tradingApi'
req['command'] = method
req['nonce'] = int(time.time()*1000)
post_data = urllib.urlencode(req)
post_data = urllib.parse.urlencode(req)
print(post_data)
signature = hmac.new(self.secret, post_data, hashlib.sha512).hexdigest()
headers = { 'Sign': signature, 'Key': self.key}
else:
raise ValueError('Method "' + method + '" not found in neither the Public API or Trading API endpoints')
req = urllib.request.Request(url, data=post_data, headers=headers)
return json.loads(urlopen(req).read())
@@ -70,7 +73,16 @@ class Poloniex_api(object):
return self.query('returnCurrencies')
def returnloadorders(self, market):
return self.query('returnLoanOrders', {'market': market})
return self.query('returnLoanOrders', {'currency': market})
def returnbalances(self):
return self.query('returnBalances')
def returnopenorders(self, market):
return self.query('returnOpenOrders', {'currencyPair': market})
def cancelorder(self, ordernumber):
return self.query('cancelOrder', {'orderNumber': ordernumber})
'''
def buylimit(self, market, quantity, rate):
@@ -89,15 +101,6 @@ class Poloniex_api(object):
return self.query('sellmarket',
{'market': market, 'quantity': quantity})
def cancel(self, uuid):
return self.query('cancel', {'uuid': uuid})
def getopenorders(self, market):
return self.query('getopenorders', {'market': market})
def getbalances(self):
return self.query('getbalances')
def getbalance(self, currency):
return self.query('getbalance', {'currency': currency})