WIP: Poloniex exchange class

This commit is contained in:
Victor Grau Serrat
2017-09-25 11:28:06 -06:00
parent 27f20a090a
commit f60abcd636
4 changed files with 643 additions and 1 deletions
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@@ -0,0 +1,508 @@
import base64
import hashlib
import hmac
import json
import re
import time
import numpy as np
import pandas as pd
import pytz
import requests
import six
from catalyst.assets._assets import TradingPair
from logbook import Logger
from catalyst.exchange.poloniex.poloniex_api import Poloniex_api
# from websocket import create_connection
from catalyst.exchange.exchange import Exchange
from catalyst.exchange.exchange_errors import (
ExchangeRequestError,
InvalidHistoryFrequencyError,
InvalidOrderStyle, OrderCancelError)
from catalyst.exchange.exchange_execution import ExchangeLimitOrder, \
ExchangeStopLimitOrder, ExchangeStopOrder
from catalyst.finance.order import Order, ORDER_STATUS
from catalyst.protocol import Account
from catalyst.exchange.exchange_utils import get_exchange_symbols_filename
log = Logger('Poloniex')
class Poloniex(Exchange):
def __init__(self, key, secret, base_currency, portfolio=None):
self.api = Poloniex_api(key=key, secret=secret.encode('UTF-8'))
self.name = 'poloniex'
self.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.
Include any symbol mapping here if appropriate.
:param exchange_symbol:
:return universal_symbol:
"""
return exchange_symbol.lower()
'''
def _create_order(self, order_status):
"""
Create a Catalyst order object from a Bitfinex 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
amount = float(order_status['original_amount'])
filled = float(order_status['executed_amount'])
if order_status['side'] == 'sell':
amount = -amount
filled = -filled
price = float(order_status['price'])
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
executed_price = float(order_status['avg_execution_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)
order = Order(
dt=date,
asset=self.assets[order_status['symbol']],
amount=amount,
stop=stop_price,
limit=limit_price,
filled=filled,
id=str(order_status['id']),
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()
except Exception as e:
raise ExchangeRequestError(error=e)
if 'message' in balances:
raise ExchangeRequestError(
error='unable to fetch balance {}'.format(balances['message'])
)
std_balances = dict()
for balance in balances:
currency = balance['currency'].lower()
std_balances[currency] = float(balance['available'])
return std_balances
'''
@property
def account(self):
account = Account()
account.settled_cash = None
account.accrued_interest = None
account.buying_power = None
account.equity_with_loan = None
account.total_positions_value = None
account.total_positions_exposure = None
account.regt_equity = None
account.regt_margin = None
account.initial_margin_requirement = None
account.maintenance_margin_requirement = None
account.available_funds = None
account.excess_liquidity = None
account.cushion = None
account.day_trades_remaining = None
account.leverage = None
account.net_leverage = None
account.net_liquidation = None
return account
@property
def time_skew(self):
# TODO: research the time skew conditions
return pd.Timedelta('0s')
def get_account(self):
# TODO: fetch account data and keep in cache
return None
def get_candles(self, data_frequency, assets, bar_count=None):
pass
'''
"""
Retrieve OHLVC candles from Bitfinex
:param data_frequency:
:param assets:
:param bar_count:
:return:
Available Frequencies
---------------------
'1m', '5m', '15m', '30m', '1h', '3h', '6h', '12h', '1D', '7D', '14D',
'1M'
"""
# 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'
else:
raise InvalidHistoryFrequencyError(
frequency=data_frequency
)
# 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))
else:
is_list = False
url += '/last'
try:
response = requests.get(url)
except Exception as e:
raise ExchangeRequestError(error=e)
if 'error' in response.content:
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)
)
return ohlc
if is_list:
ohlc_bars = []
# We can to list candles from old to new
for candle in reversed(candles):
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
'''
"""
Creating order on the exchange.
:param asset:
:param amount:
:param is_buy:
:param style:
:return:
"""
exchange_symbol = self.get_symbol(asset)
if isinstance(style, ExchangeLimitOrder) \
or isinstance(style, ExchangeStopLimitOrder):
price = style.get_limit_price(is_buy)
order_type = 'limit'
elif isinstance(style, ExchangeStopOrder):
price = style.get_stop_price(is_buy)
order_type = 'stop'
else:
raise InvalidOrderStyle(exchange=self.name,
style=style.__class__.__name__)
req = dict(
symbol=exchange_symbol,
amount=str(float(abs(amount))),
price="{:.20f}".format(float(price)),
side='buy' if is_buy else 'sell',
type='exchange ' + order_type, # TODO: support margin trades
exchange=self.name,
is_hidden=False,
is_postonly=False,
use_all_available=0,
ocoorder=False,
buy_price_oco=0,
sell_price_oco=0
)
date = pd.Timestamp.utcnow()
try:
response = self._request('order/new', req)
order_status = response.json()
except Exception as e:
raise ExchangeRequestError(error=e)
if 'message' in order_status:
raise ExchangeRequestError(
error='unable to create Bitfinex order {}'.format(
order_status['message'])
)
order_id = str(order_status['id'])
order = Order(
dt=date,
asset=asset,
amount=amount,
stop=style.get_stop_price(is_buy),
limit=style.get_limit_price(is_buy),
id=order_id
)
return order
'''
def get_open_orders(self, asset=None):
"""Retrieve all of the current open orders.
Parameters
----------
asset : Asset
If passed and not None, return only the open orders for the given
asset instead of all open orders.
Returns
-------
open_orders : dict[list[Order]] or list[Order]
If no asset is passed this will return a dict mapping Assets
to a list containing all the open orders for the asset.
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()
except Exception as e:
raise ExchangeRequestError(error=e)
if 'message' in order_statuses:
raise ExchangeRequestError(
error='Unable to retrieve open orders: {}'.format(
order_statuses['message'])
)
orders = list()
for order_status in order_statuses:
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
order functions.
Parameters
----------
order_id : str
The unique identifier for the order.
Returns
-------
order : Order
The order object.
"""
pass
'''
try:
response = self._request(
'order/status', {'order_id': int(order_id)})
order_status = response.json()
except Exception as e:
raise ExchangeRequestError(error=e)
if 'message' in order_status:
raise ExchangeRequestError(
error='Unable to retrieve order status: {}'.format(
order_status['message'])
)
return self._create_order(order_status)
'''
def cancel_order(self, order_param):
"""Cancel an open order.
Parameters
----------
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()
except Exception as e:
raise ExchangeRequestError(error=e)
if 'message' in status:
raise OrderCancelError(
order_id=order_id,
exchange=self.name,
error=status['message']
)
'''
def tickers(self, assets):
"""
Fetch ticket data for assets
https://docs.bitfinex.com/v2/reference#rest-public-tickers
:param assets:
:return:
"""
pass
'''
symbols = self._get_v2_symbols(assets)
log.debug('fetching tickers {}'.format(symbols))
try:
response = requests.get(
'{url}/v2/tickers?symbols={symbols}'.format(
url=self.url,
symbols=','.join(symbols),
)
)
except Exception as e:
raise ExchangeRequestError(error=e)
if 'error' in response.content:
raise ExchangeRequestError(
error='Unable to retrieve tickers: {}'.format(
response.content)
)
tickers = response.json()
ticks = dict()
for index, ticker in enumerate(tickers):
if not len(ticker) == 11:
raise ExchangeRequestError(
error='Invalid ticker in response: {}'.format(ticker)
)
ticks[assets[index]] = dict(
timestamp=pd.Timestamp.utcnow(),
bid=ticker[1],
ask=ticker[3],
last_price=ticker[7],
low=ticker[10],
high=ticker[9],
volume=ticker[8],
)
log.debug('got tickers {}'.format(ticks))
return ticks
'''
def generate_symbols_json(self, filename=None):
symbol_map = {}
response = self.api.returnticker()
for exchange_symbol in response:
base, market = self.sanitize_curency_symbol(exchange_symbol).split('_')
symbol = '{market}_{base}'.format( market=market, base=base )
symbol_map[exchange_symbol] = dict(
symbol = symbol,
start_date = '2010-01-01'
)
if(filename is None):
filename = get_exchange_symbols_filename(self.name)
with open(filename,'w') as f:
json.dump(symbol_map, f, sort_keys=True, indent=2, separators=(',',':'))
+126
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@@ -0,0 +1,126 @@
#!/usr/bin/env python
import json
import time
import hmac
import hashlib
from six.moves import urllib
# Workaround for backwards compatibility
# https://stackoverflow.com/questions/3745771/urllib-request-in-python-2-7
urlopen = urllib.request.urlopen
class Poloniex_api(object):
def __init__(self, key, secret):
self.key = key
self.secret = secret
self.public = ['returnTicker', 'return24Volume', 'returnOrderBook',
'returnTradeHistory', 'returnChartData',
'returnCurrencies', 'returnLoanOrders']
self.trading = ['returnBalances','returnCompleteBalances','returnDepositAddresses',
'generateNewAddress','returnDepositsWithdrawals','returnOpenOrders',
'returnTradeHistory','returnOrderTrades',
'buy', 'sell', 'cancelOrder', 'moveOrder',
'withdraw', 'returnFeeInfo','returnAvailableAccountBalances',
'returnTradableBalances', 'transferBalance',
'returnMarginAccountSummary','marginBuy','marginSell',
'getMarginPosition', 'closeMarginPosition','createLoanOffer',
'cancelLoanOffer','returnOpenLoanOffers','returnActiveLoans',
'returnLendingHistory','toggleAutoRenew']
def query(self, method, values={}):
if method in self.public:
url = 'https://poloniex.com/public?command=' + method + urllib.parse.urlencode(values)
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)
signature = hmac.new(self.secret, post_data, hashlib.sha512).hexdigest()
headers = { 'Sign': signature, 'Key': self.key}
req = urllib.request.Request(url, data=post_data, headers=headers)
return json.loads(urlopen(req).read())
def returnticker(self):
return self.query('returnTicker')
def return24volume(self):
return self.query('return24Volume')
def returnOrderBook(self, market='all'):
return self.query('returnOrderBook', {'currencyPair': market})
def returntradehistory(self, market, start=None, end=None):
if(start is not None and end is not None):
return self.query('returntradehistory',
{'currencyPair': market, 'start': start, 'end': end })
else:
return self.query('returntradehistory', {'currencyPair': market })
def returnchartdata(self, market, period, start, end):
return self.query('returnChartData', {'currencyPair': market, 'period': period,
'start': start, 'end': end})
def returncurrencies(self):
return self.query('returnCurrencies')
def returnloadorders(self, market):
return self.query('returnLoanOrders', {'market': market})
'''
def buylimit(self, market, quantity, rate):
return self.query('buylimit', {'market': market, 'quantity': quantity,
'rate': rate})
def buymarket(self, market, quantity):
return self.query('buymarket',
{'market': market, 'quantity': quantity})
def selllimit(self, market, quantity, rate):
return self.query('selllimit', {'market': market, 'quantity': quantity,
'rate': rate})
def sellmarket(self, market, quantity):
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})
def getdepositaddress(self, currency):
return self.query('getdepositaddress', {'currency': currency})
def withdraw(self, currency, quantity, address):
return self.query('withdraw',
{'currency': currency, 'quantity': quantity,
'address': address})
def getorder(self, uuid):
return self.query('getorder', {'uuid': uuid})
def getorderhistory(self, market, count):
return self.query('getorderhistory',
{'market': market, 'count': count})
def getwithdrawalhistory(self, currency, count):
return self.query('getwithdrawalhistory',
{'currency': currency, 'count': count})
def getdeposithistory(self, currency, count):
return self.query('getdeposithistory',
{'currency': currency, 'count': count})
'''
+9 -1
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@@ -11,6 +11,8 @@ import pandas as pd
import click
from catalyst.exchange.bittrex.bittrex import Bittrex
from catalyst.exchange.bitfinex.bitfinex import Bitfinex
from catalyst.exchange.poloniex.poloniex import Poloniex
try:
from pygments import highlight
@@ -39,7 +41,6 @@ import catalyst.utils.paths as pth
from catalyst.exchange.algorithm_exchange import ExchangeTradingAlgorithm
from catalyst.exchange.data_portal_exchange import DataPortalExchange
from catalyst.exchange.bitfinex.bitfinex import Bitfinex
from catalyst.exchange.asset_finder_exchange import AssetFinderExchange
from catalyst.exchange.exchange_portfolio import ExchangePortfolio
from catalyst.exchange.exchange_errors import (
@@ -178,6 +179,13 @@ def _run(handle_data,
base_currency=base_currency,
portfolio=portfolio
)
elif exchange_name == 'poloniex':
exchange = Poloniex(
key=exchange_auth['key'],
secret=exchange_auth['secret'],
base_currency=base_currency,
portfolio=portfolio
)
else:
raise NotImplementedError(
'exchange not supported: %s' % exchange_name)