binance: first draft live order ctl support B)
Untested fully but has ostensibly working position and balance loading (by delegating entirely to binance's internals for that) and an MVP ems order request handler; still need to fill out the order status update task implementation.. Notes: - uses user data stream for all per account balance and position tracking. - no support yet for `piker.accounting` position tracking. - no support yet for full order / position real-time update via user stream.basic_buy_bot
Tyler Goodlet
parent
43494e4994
commit
f36061a149
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@ -22,15 +22,23 @@ Live order control B)
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'''
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from __future__ import annotations
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from collections import ChainMap
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from pprint import pformat
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from typing import (
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Any,
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AsyncIterator,
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)
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import time
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from time import time_ns
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from bidict import bidict
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import tractor
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import trio
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from piker.accounting import (
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Asset,
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# MktPair,
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)
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from piker.brokers._util import (
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get_logger,
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)
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@ -48,57 +56,111 @@ from piker.clearing._messages import (
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BrokerdPosition,
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BrokerdFill,
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BrokerdCancel,
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# BrokerdError,
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BrokerdError,
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)
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from .venues import Pair
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from .api import Client
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log = get_logger('piker.brokers.binance')
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async def handle_order_requests(
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ems_order_stream: tractor.MsgStream
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ems_order_stream: tractor.MsgStream,
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client: Client,
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# TODO: update this from open orders loaded at boot!
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dialogs: ChainMap[str, BrokerdOrder] = ChainMap(),
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) -> None:
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async with open_cached_client('binance') as client:
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'''
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Receive order requests from `emsd`, translate tramsit API calls and transmit.
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async for request_msg in ems_order_stream:
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log.info(f'Received order request {request_msg}')
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'''
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msg: dict | BrokerdOrder | BrokerdCancel
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async for msg in ems_order_stream:
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log.info(f'Rx order request:\n{pformat(msg)}')
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match msg:
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case {
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'action': 'cancel',
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}:
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cancel = BrokerdCancel(**msg)
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existing: BrokerdOrder | None = dialogs.get(cancel.oid)
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if not existing:
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log.error(
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f'NO Existing order-dialog for {cancel.oid}!?'
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)
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await ems_order_stream.send(BrokerdError(
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oid=cancel.oid,
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symbol=cancel.symbol,
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reason=(
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'Invalid `binance` order request dialog oid',
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)
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))
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continue
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action = request_msg['action']
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else:
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await client.submit_cancel(
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cancel.symbol,
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cancel.oid,
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)
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case {
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'account': ('binance.futes' | 'binance.spot') as account,
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'action': action,
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} if action in {'buy', 'sell'}:
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if action in {'buy', 'sell'}:
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# validate
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order = BrokerdOrder(**request_msg)
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order = BrokerdOrder(**msg)
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# NOTE: check and report edits
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if existing := dialogs.get(order.oid):
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log.info(
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f'Existing order for {existing.oid} updated:\n'
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f'{pformat(existing.to_dict())} -> {pformat(msg)}'
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)
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# TODO: figure out what special params we have to send?
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# https://binance-docs.github.io/apidocs/futures/en/#modify-order-trade
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# XXX: ACK the request **immediately** before sending
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# the api side request to ensure the ems maps the oid ->
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# reqid correctly!
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resp = BrokerdOrderAck(
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oid=order.oid, # ems order request id
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reqid=order.oid, # our custom int mapping
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account='binance', # piker account
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)
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await ems_order_stream.send(resp)
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# call our client api to submit the order
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reqid = await client.submit_limit(
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order.symbol,
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order.action,
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order.size,
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order.price,
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symbol=order.symbol,
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side=order.action,
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quantity=order.size,
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price=order.price,
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oid=order.oid
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)
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# thank god at least someone lets us do this XD
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assert reqid == order.oid
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# deliver ack that order has been submitted to broker routing
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# track latest request state
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dialogs[reqid].maps.append(msg)
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case _:
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account = msg.get('account')
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if account not in {'binance.spot', 'binance.futes'}:
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log.error(
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'This is a binance account, \
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only a `binance.spot/.futes` selection is valid'
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)
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await ems_order_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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time_ns=time.time_ns(),
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).dict()
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BrokerdError(
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oid=msg['oid'],
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symbol=msg['symbol'],
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reason=(
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'Invalid `binance` broker request msg:\n{msg}'
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))
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)
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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await client.submit_cancel(msg.symbol, msg.reqid)
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else:
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log.error(f'Unknown order command: {request_msg}')
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@tractor.context
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async def open_trade_dialog(
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@ -115,74 +177,287 @@ async def open_trade_dialog(
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# ledger: TransactionLedger
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# TODO: load pps and accounts using accounting apis!
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positions: list[BrokerdPosition] = []
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accounts: list[str] = ['binance.default']
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await ctx.started((positions, accounts))
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async with (
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n,
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open_cached_client('binance') as client,
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client.manage_listen_key() as listen_key,
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):
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n.start_soon(handle_order_requests, ems_stream)
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client.mkt_mode: str = 'usdtm_futes'
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ws: NoBsWs
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async with open_autorecon_ws(
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f'wss://stream.binance.com:9443/ws/{listen_key}',
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) as ws:
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event = await ws.recv_msg()
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# if client.
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account: str = client.mkt_mode
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# https://binance-docs.github.io/apidocs/spot/en/#payload-balance-update
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if event.get('e') == 'executionReport':
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wss: NoBsWs
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async with (
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client.manage_listen_key() as listen_key,
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open_autorecon_ws(
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f'wss://stream.binancefuture.com/ws/{listen_key}',
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# f'wss://stream.binance.com:9443/ws/{listen_key}',
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) as wss,
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oid: str = event.get('c')
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side: str = event.get('S').lower()
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status: str = event.get('X')
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order_qty: float = float(event.get('q'))
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filled_qty: float = float(event.get('z'))
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cum_transacted_qty: float = float(event.get('Z'))
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price_avg: float = cum_transacted_qty / filled_qty
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broker_time: float = float(event.get('T'))
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commission_amount: float = float(event.get('n'))
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commission_asset: float = event.get('N')
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):
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nsid: int = time_ns()
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await wss.send_msg({
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# "method": "SUBSCRIBE",
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"method": "REQUEST",
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"params":
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[
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f"{listen_key}@account",
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f"{listen_key}@balance",
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f"{listen_key}@position",
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],
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"id": nsid
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})
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if status == 'TRADE':
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if order_qty == filled_qty:
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msg = BrokerdFill(
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with trio.fail_after(1):
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msg = await wss.recv_msg()
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assert msg['id'] == nsid
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# TODO: load other market wide data / statistics:
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# - OI: https://binance-docs.github.io/apidocs/futures/en/#open-interest
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# - OI stats: https://binance-docs.github.io/apidocs/futures/en/#open-interest-statistics
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accounts: bidict[str, str] = bidict()
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balances: dict[Asset, float] = {}
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positions: list[BrokerdPosition] = []
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for resp_dict in msg['result']:
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resp = resp_dict['res']
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req: str = resp_dict['req']
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# @account response should be something like:
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# {'accountAlias': 'sRFzFzAuuXsR',
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# 'canDeposit': True,
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# 'canTrade': True,
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# 'canWithdraw': True,
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# 'feeTier': 0}
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if 'account' in req:
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alias: str = resp['accountAlias']
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accounts['binance.usdtm_futes'] = alias
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# @balance response:
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# {'accountAlias': 'sRFzFzAuuXsR',
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# 'balances': [{'asset': 'BTC',
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# 'availableBalance': '0.00000000',
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# 'balance': '0.00000000',
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# 'crossUnPnl': '0.00000000',
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# 'crossWalletBalance': '0.00000000',
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# 'maxWithdrawAmount': '0.00000000',
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# 'updateTime': 0}]
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# ...
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# }
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elif 'balance' in req:
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for entry in resp['balances']:
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name: str = entry['asset']
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balance: float = float(entry['balance'])
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last_update_t: int = entry['updateTime']
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spot_asset: Asset = client._venue2assets['spot'][name]
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if balance > 0:
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balances[spot_asset] = (balance, last_update_t)
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# await tractor.breakpoint()
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# @position response:
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# {'positions': [{'entryPrice': '0.0',
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# 'isAutoAddMargin': False,
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# 'isolatedMargin': '0',
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# 'leverage': 20,
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# 'liquidationPrice': '0',
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# 'marginType': 'CROSSED',
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# 'markPrice': '0.60289650',
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# 'markPrice': '0.00000000',
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# 'maxNotionalValue': '25000',
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# 'notional': '0',
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# 'positionAmt': '0',
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# 'positionSide': 'BOTH',
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# 'symbol': 'ETHUSDT_230630',
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# 'unRealizedProfit': '0.00000000',
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# 'updateTime': 1672741444894}
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# ...
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# }
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elif 'position' in req:
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for entry in resp['positions']:
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bs_mktid: str = entry['symbol']
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entry_size: float = float(entry['positionAmt'])
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pair: Pair | None
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if (
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pair := client._venue2pairs[account].get(bs_mktid)
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and entry_size > 0
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):
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entry_price: float = float(entry['entryPrice'])
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ppmsg = BrokerdPosition(
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broker='binance',
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account='binance.futes',
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# TODO: maybe we should be passing back
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# a `MktPair` here?
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symbol=pair.bs_fqme.lower() + '.binance',
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size=entry_size,
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avg_price=entry_price,
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)
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positions.append(ppmsg)
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if pair is None:
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log.warning(
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f'`{bs_mktid}` Position entry but no market pair?\n'
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f'{pformat(entry)}\n'
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)
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await ctx.started((positions, list(accounts)))
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async with (
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trio.open_nursery() as tn,
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ctx.open_stream() as ems_stream,
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):
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tn.start_soon(
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handle_order_requests,
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ems_stream,
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client,
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)
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tn.start_soon(
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handle_order_updates,
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ems_stream,
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wss,
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)
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await trio.sleep_forever()
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async def handle_order_updates(
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ems_stream: tractor.MsgStream,
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wss: NoBsWs,
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# apiflows: dict[int, ChainMap[dict[str, dict]]],
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# ids: bidict[str, int],
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# reqids2txids: bidict[int, str],
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# table: PpTable,
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# ledger_trans: dict[str, Transaction],
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# acctid: str,
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# acc_name: str,
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# token: str,
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) -> None:
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'''
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Main msg handling loop for all things order management.
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This code is broken out to make the context explicit and state
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variables defined in the signature clear to the reader.
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'''
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async for msg in wss:
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match msg:
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# TODO:
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# POSITION update
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# futes: https://binance-docs.github.io/apidocs/futures/en/#event-balance-and-position-update
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# ORDER update
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# spot: https://binance-docs.github.io/apidocs/spot/en/#payload-balance-update
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# futes: https://binance-docs.github.io/apidocs/futures/en/#event-order-update
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case {
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'e': 'executionReport',
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'T': float(epoch_ms),
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'o': {
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's': bs_mktid,
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# XXX NOTE XXX see special ids for market
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# events or margin calls:
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# // special client order id:
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# // starts with "autoclose-": liquidation order
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# // "adl_autoclose": ADL auto close order
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# // "settlement_autoclose-": settlement order
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# for delisting or delivery
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'c': oid,
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# prices
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'a': float(submit_price),
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'ap': float(avg_price),
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'L': float(fill_price),
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# sizing
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'q': float(req_size),
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'l': float(clear_size_filled), # this event
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'z': float(accum_size_filled), # accum
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# commissions
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'n': float(cost),
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'N': str(cost_asset),
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# state
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'S': str(side),
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'X': str(status),
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},
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} as order_msg:
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log.info(
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f'{status} for {side} ORDER oid: {oid}\n'
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f'bs_mktid: {bs_mktid}\n\n'
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f'order size: {req_size}\n'
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f'cleared size: {clear_size_filled}\n'
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f'accum filled size: {accum_size_filled}\n\n'
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f'submit price: {submit_price}\n'
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f'fill_price: {fill_price}\n'
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f'avg clearing price: {avg_price}\n\n'
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f'cost: {cost}@{cost_asset}\n'
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)
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# status remap from binance to piker's
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# status set:
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# - NEW
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# - PARTIALLY_FILLED
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# - FILLED
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# - CANCELED
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# - EXPIRED
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# https://binance-docs.github.io/apidocs/futures/en/#event-order-update
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match status:
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case 'PARTIALLY_FILLED' | 'FILLED':
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status = 'fill'
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fill_msg = BrokerdFill(
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time_ns=time_ns(),
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reqid=oid,
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time_ns=time.time_ns(),
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action=side,
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price=price_avg,
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broker_details={
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'name': 'binance',
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'commissions': {
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'amount': commission_amount,
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'asset': commission_asset
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},
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'broker_time': broker_time
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},
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broker_time=broker_time
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# just use size value for now?
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# action=action,
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size=clear_size_filled,
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price=fill_price,
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# TODO: maybe capture more msg data
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# i.e fees?
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broker_details={'name': 'broker'} | order_msg,
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broker_time=time.time(),
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)
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await ems_stream.send(fill_msg)
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else:
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if status == 'NEW':
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status = 'submitted'
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if accum_size_filled == req_size:
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status = 'closed'
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elif status == 'CANCELED':
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status = 'cancelled'
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case 'NEW':
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status = 'open'
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msg = BrokerdStatus(
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reqid=oid,
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time_ns=time.time_ns(),
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status=status,
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filled=filled_qty,
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remaining=order_qty - filled_qty,
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broker_details={'name': 'binance'}
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)
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case 'EXPIRED':
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status = 'canceled'
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else:
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# XXX: temporary, to catch unhandled msgs
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breakpoint()
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case _:
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status = status.lower()
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await ems_stream.send(msg.dict())
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resp = BrokerdStatus(
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time_ns=time_ns(),
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reqid=oid,
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status=status,
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filled=accum_size_filled,
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remaining=req_size - accum_size_filled,
|
||||
broker_details={
|
||||
'name': 'binance',
|
||||
'broker_time': epoch_ms / 1000.
|
||||
}
|
||||
)
|
||||
await ems_stream.send(resp)
|
||||
|
|
|
|||
Loading…
Reference in New Issue