304 lines
8.2 KiB
Python
304 lines
8.2 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Per market data-type definitions and schemas types.
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"""
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from __future__ import annotations
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from typing import (
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Literal,
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)
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from decimal import Decimal
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from msgspec import field
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from piker.types import Struct
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# API endpoint paths by venue / sub-API
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_domain: str = 'binance.com'
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_spot_url = f'https://api.{_domain}'
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_futes_url = f'https://fapi.{_domain}'
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# WEBsocketz
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# NOTE XXX: see api docs which show diff addr?
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# https://developers.binance.com/docs/binance-trading-api/websocket_api#general-api-information
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_spot_ws: str = 'wss://stream.binance.com/ws'
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# or this one? ..
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# 'wss://ws-api.binance.com:443/ws-api/v3',
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# https://binance-docs.github.io/apidocs/futures/en/#websocket-market-streams
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_futes_ws: str = f'wss://fstream.{_domain}/ws'
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_auth_futes_ws: str = 'wss://fstream-auth.{_domain}/ws'
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# test nets
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# NOTE: spot test network only allows certain ep sets:
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# https://testnet.binance.vision/
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# https://www.binance.com/en/support/faq/how-to-test-my-functions-on-binance-testnet-ab78f9a1b8824cf0a106b4229c76496d
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_testnet_spot_url: str = 'https://testnet.binance.vision/api'
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_testnet_spot_ws: str = 'wss://testnet.binance.vision/ws'
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# or this one? ..
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# 'wss://testnet.binance.vision/ws-api/v3'
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_testnet_futes_url: str = 'https://testnet.binancefuture.com'
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_testnet_futes_ws: str = 'wss://stream.binancefuture.com/ws'
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MarketType = Literal[
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'spot',
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# 'margin',
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'usdtm_futes',
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# 'coinm_futes',
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]
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def get_api_eps(venue: MarketType) -> tuple[str, str]:
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'''
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Return API ep root paths per venue.
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'''
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return {
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'spot': (
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_spot_url,
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_spot_ws,
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),
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'usdtm_futes': (
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_futes_url,
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_futes_ws,
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),
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}[venue]
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class Pair(Struct, frozen=True, kw_only=True):
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symbol: str
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status: str
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orderTypes: list[str]
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# src
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quoteAsset: str
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quotePrecision: int
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# dst
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baseAsset: str
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baseAssetPrecision: int
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filters: dict[
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str,
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str | int | float,
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] = field(default_factory=dict)
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@property
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def price_tick(self) -> Decimal:
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# XXX: lul, after manually inspecting the response format we
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# just directly pick out the info we need
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step_size: str = self.filters['PRICE_FILTER']['tickSize'].rstrip('0')
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return Decimal(step_size)
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@property
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def size_tick(self) -> Decimal:
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step_size: str = self.filters['LOT_SIZE']['stepSize'].rstrip('0')
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return Decimal(step_size)
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@property
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def bs_fqme(self) -> str:
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return self.symbol
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@property
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def bs_mktid(self) -> str:
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return f'{self.symbol}.{self.venue}'
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class SpotPair(Pair, frozen=True):
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cancelReplaceAllowed: bool
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allowTrailingStop: bool
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quoteAssetPrecision: int
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baseCommissionPrecision: int
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quoteCommissionPrecision: int
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icebergAllowed: bool
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ocoAllowed: bool
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quoteOrderQtyMarketAllowed: bool
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isSpotTradingAllowed: bool
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isMarginTradingAllowed: bool
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otoAllowed: bool
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defaultSelfTradePreventionMode: str
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allowedSelfTradePreventionModes: list[str]
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permissions: list[str]
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permissionSets: list[list[str]]
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# NOTE: see `.data._symcache.SymbologyCache.load()` for why
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ns_path: str = 'piker.brokers.binance:SpotPair'
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@property
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def venue(self) -> str:
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return 'SPOT'
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@property
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def bs_fqme(self) -> str:
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return f'{self.symbol}.SPOT'
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@property
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def bs_src_asset(self) -> str:
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return f'{self.quoteAsset}'
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@property
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def bs_dst_asset(self) -> str:
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return f'{self.baseAsset}'
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class FutesPair(Pair):
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symbol: str # 'BTCUSDT',
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pair: str # 'BTCUSDT',
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baseAssetPrecision: int # 8,
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contractType: str # 'PERPETUAL',
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deliveryDate: int # 4133404800000,
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liquidationFee: float # '0.012500',
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maintMarginPercent: float # '2.5000',
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marginAsset: str # 'USDT',
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marketTakeBound: float # '0.05',
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maxMoveOrderLimit: int # 10000,
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onboardDate: int # 1569398400000,
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pricePrecision: int # 2,
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quantityPrecision: int # 3,
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quoteAsset: str # 'USDT',
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quotePrecision: int # 8,
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requiredMarginPercent: float # '5.0000',
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timeInForce: list[str] # ['GTC', 'IOC', 'FOK', 'GTX'],
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triggerProtect: float # '0.0500',
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underlyingSubType: list[str] # ['PoW'],
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underlyingType: str # 'COIN'
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# NOTE: see `.data._symcache.SymbologyCache.load()` for why
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ns_path: str = 'piker.brokers.binance:FutesPair'
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# NOTE: for compat with spot pairs and `MktPair.src: Asset`
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# processing..
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@property
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def quoteAssetPrecision(self) -> int:
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return self.quotePrecision
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@property
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def expiry(self) -> str:
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symbol: str = self.symbol
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contype: str = self.contractType
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match contype:
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case (
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'CURRENT_QUARTER'
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| 'CURRENT_QUARTER DELIVERING'
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| 'NEXT_QUARTER' # su madre binance..
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):
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pair, _, expiry = symbol.partition('_')
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assert pair == self.pair # sanity
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return f'{expiry}'
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case 'PERPETUAL':
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return 'PERP'
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case '':
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subtype: list[str] = self.underlyingSubType
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if not subtype:
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if self.status == 'PENDING_TRADING':
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return 'PENDING'
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match subtype:
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case ['DEFI']:
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return 'PERP'
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# wow, just wow you binance guys suck..
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if self.status == 'PENDING_TRADING':
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return 'PENDING'
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# XXX: yeah no clue then..
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raise ValueError(
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f'Bad .expiry token match: {contype} for {symbol}'
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)
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@property
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def venue(self) -> str:
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symbol: str = self.symbol
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ctype: str = self.contractType
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margin: str = self.marginAsset
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match ctype:
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case 'PERPETUAL':
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return f'{margin}M'
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case (
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'CURRENT_QUARTER'
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| 'CURRENT_QUARTER DELIVERING'
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| 'NEXT_QUARTER' # su madre binance..
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):
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_, _, expiry = symbol.partition('_')
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return f'{margin}M'
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case '':
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subtype: list[str] = self.underlyingSubType
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if not subtype:
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if self.status == 'PENDING_TRADING':
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return f'{margin}M'
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match subtype:
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case (
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['DEFI']
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| ['USDC']
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):
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return f'{subtype[0]}'
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# XXX: yeah no clue then..
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raise ValueError(
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f'Bad .venue token match: {ctype}'
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)
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@property
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def bs_fqme(self) -> str:
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symbol: str = self.symbol
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ctype: str = self.contractType
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venue: str = self.venue
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pair: str = self.pair
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match ctype:
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case (
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'CURRENT_QUARTER'
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| 'NEXT_QUARTER' # su madre binance..
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):
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pair, _, expiry = symbol.partition('_')
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assert pair == self.pair
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return f'{pair}.{venue}.{self.expiry}'
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@property
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def bs_src_asset(self) -> str:
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return f'{self.quoteAsset}'
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@property
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def bs_dst_asset(self) -> str:
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return f'{self.baseAsset}.{self.venue}'
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PAIRTYPES: dict[MarketType, Pair] = {
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'spot': SpotPair,
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'usdtm_futes': FutesPair,
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# TODO: support coin-margined venue:
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# https://binance-docs.github.io/apidocs/delivery/en/#change-log
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# 'coinm_futes': CoinFutesPair,
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}
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