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