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5 Commits
1de0d932a1
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main
| Author | SHA1 | Date | |
|---|---|---|---|
| ff209603b6 | |||
| 539e6004cf | |||
| 408a63fe58 | |||
| 64266366dd | |||
| d2068b1c73 |
1
.gitignore
vendored
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1
.gitignore
vendored
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.env
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4
.vscode/settings.json
vendored
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4
.vscode/settings.json
vendored
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{
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"python-envs.defaultEnvManager": "ms-python.python:conda",
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"python-envs.defaultPackageManager": "ms-python.python:conda"
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}
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198
apex.ipynb
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198
apex.ipynb
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{
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||||||
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 2,
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"id": "b6c46d40",
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||||||
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"metadata": {},
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||||||
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"outputs": [],
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"source": [
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||||||
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"import modules.apex_api as apex_api"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"id": "7fb6d9dc",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Authenticating...\n",
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"...Authenticated\n"
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]
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}
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],
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"source": [
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"client = apex_api.apex_create_client()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"id": "d5a1203a",
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"metadata": {},
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"outputs": [],
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"source": [
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"# print(\"*** POSTING ORDER ***\")\n",
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"# createOrderRes = client.create_order_v3(\n",
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"# symbol=\"ETH-USDT\", \n",
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"# side=\"BUY\",\n",
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"# type=\"LIMIT\",\n",
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"# size=\"0.01\",\n",
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"# price=\"2100\",\n",
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"# )\n",
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"# print(createOrderRes)\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "c21254eb",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"{'data': {'totalEquityValue': '13.840000000000000000',\n",
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" 'availableBalance': '13.840000000000000000',\n",
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" 'initialMargin': '0',\n",
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" 'maintenanceMargin': '0',\n",
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" 'walletBalance': '',\n",
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" 'realizedPnl': '-5.399416243793950000',\n",
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" 'unrealizedPnl': '0.00',\n",
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" 'totalRisk': '0',\n",
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" 'totalValueWithoutDiscount': '13.840000000000000000',\n",
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" 'liabilities': '13.840000000000000000',\n",
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" 'totalAvailableBalance': '13.840000000000000000'},\n",
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" 'timeCost': 6327944}"
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]
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},
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"execution_count": 7,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"client.get_account_balance_v3()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 8,
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"id": "7cba63d4",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"{'data': [], 'timeCost': 3984811}"
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]
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},
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"execution_count": 8,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"client.open_orders_v3()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 12,
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"id": "b072c0de",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"{'timeCost': 4389124}"
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]
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},
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"execution_count": 12,
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"metadata": {},
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"output_type": "execute_result"
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}
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],
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"source": [
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"client.delete_open_orders_v3(symbol=\"ETH-USDT\")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 11,
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"id": "5ea177f8",
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"TOKEN: USDT == 13.840000000000000000\n",
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"TOKEN: USDC == 0.000000000000000000\n"
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]
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}
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],
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"source": [
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"account_and_pos = client.get_account_v3()\n",
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"for c in account_and_pos['contractWallets']:\n",
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" print(f'TOKEN: {c['token']} == {c['balance']}')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "70eb3b4f",
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"metadata": {},
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"outputs": [],
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"source": []
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": []
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "fefca500",
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"metadata": {},
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"outputs": [],
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"source": []
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "dc048386",
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"metadata": {},
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"outputs": [],
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"source": []
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "py_313",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.13.12"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 5
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}
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357
aster.ipynb
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357
aster.ipynb
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@@ -0,0 +1,357 @@
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "3a269644",
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"metadata": {},
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"outputs": [],
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"source": [
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"import modules.aster_auth as aster_auth"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 27,
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"id": "4395fabb",
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"metadata": {},
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"outputs": [],
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"source": [
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"listen_key_request = {\n",
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" \"url\": \"/fapi/v3/listenKey\",\n",
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" \"method\": \"POST\",\n",
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" \"params\": {}\n",
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"}\n",
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"cancel_all_open_orders = {\n",
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" \"url\": \"/fapi/v3/allOpenOrders\",\n",
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" \"method\": \"DELETE\",\n",
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" \"params\": {\n",
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" 'symbol': 'ETHUSDT',\n",
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" }\n",
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"}\n",
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"fut_acct_balances = {\n",
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" \"url\": \"/fapi/v3/balance\",\n",
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" \"method\": \"GET\",\n",
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" \"params\": {}\n",
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"}\n",
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"commission_rate = {\n",
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" \"url\": \"/fapi/v3/commissionRate\",\n",
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" \"method\": \"GET\",\n",
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" \"params\": {\n",
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" 'symbol': 'ETHUSDT',\n",
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" }\n",
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"}\n",
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"post_order = {\n",
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" \"url\": \"/fapi/v3/order\",\n",
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" \"method\": \"POST\",\n",
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" \"params\": {\n",
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" 'symbol': 'ETHUSDT',\n",
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" 'side': 'BUY',\n",
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" 'type': 'LIMIT',\n",
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" 'timeInForce': 'GTC',\n",
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" 'quantity': '0.01',\n",
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" 'price': '2100',\n",
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" }\n",
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"}"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "2122885a",
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"metadata": {},
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"outputs": [
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{
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"data": {
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"text/plain": [
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"{'orderId': 17341253499,\n",
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" 'symbol': 'ETHUSDT',\n",
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" 'status': 'NEW',\n",
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" 'clientOrderId': 'J1SvsvvDhlDAqwGau1T77F',\n",
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" 'price': '2100',\n",
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" 'avgPrice': '0.00000',\n",
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" 'origQty': '0.010',\n",
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" 'executedQty': '0',\n",
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" 'cumQty': '0',\n",
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" 'cumQuote': '0',\n",
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" 'timeInForce': 'GTC',\n",
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" 'type': 'LIMIT',\n",
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" 'reduceOnly': False,\n",
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" 'closePosition': False,\n",
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" 'side': 'BUY',\n",
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" 'positionSide': 'BOTH',\n",
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" 'stopPrice': '0',\n",
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" 'workingType': 'CONTRACT_PRICE',\n",
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" 'priceProtect': False,\n",
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" 'origType': 'LIMIT',\n",
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|
" 'updateTime': 1776838867250,\n",
|
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|
" 'newChainData': {'hash': '0xa2c23513491587b2961bfa77d2077489a14522d7ce359a9e3635e7c4f0d12a22'}}"
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|
]
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||||||
|
},
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|
"execution_count": 28,
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|
"metadata": {},
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||||||
|
"output_type": "execute_result"
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|
}
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|
],
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"source": [
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|
"# j = aster_auth_api.post_authenticated_url(post_order)\n",
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"# j"
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]
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},
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{
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"cell_type": "code",
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|
"execution_count": null,
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||||||
|
"id": "45d68bf4",
|
||||||
|
"metadata": {},
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||||||
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"outputs": [
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||||||
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{
|
||||||
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"data": {
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||||||
|
"text/plain": [
|
||||||
|
"1776836583531"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 15,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"from datetime import datetime\n",
|
||||||
|
"round(datetime.now().timestamp())"
|
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|
]
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||||||
|
},
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||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 16,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"1800"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 16,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"30*60"
|
||||||
|
]
|
||||||
|
},
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||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "67a3bbb2",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 23,
|
||||||
|
"id": "e958e7da",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"import json\n",
|
||||||
|
"\n",
|
||||||
|
"### User Data Stream ###\n",
|
||||||
|
"# After posting limit order to rest\n",
|
||||||
|
"after_order_post = json.loads('{\"e\":\"ORDER_TRADE_UPDATE\",\"T\":1776836992350,\"E\":1776836992388,\"o\":{\"s\":\"ETHUSDT\",\"c\":\"KFi375tZh5kzHsQJWKMJHe\",\"S\":\"BUY\",\"o\":\"LIMIT\",\"f\":\"GTC\",\"q\":\"0.010\",\"p\":\"2100\",\"ap\":\"0\",\"sp\":\"0\",\"x\":\"NEW\",\"X\":\"NEW\",\"i\":17341121450,\"l\":\"0\",\"z\":\"0\",\"L\":\"0\",\"T\":1776836992350,\"t\":0,\"b\":\"21\",\"a\":\"0\",\"m\":false,\"R\":false,\"wt\":\"CONTRACT_PRICE\",\"ot\":\"LIMIT\",\"ps\":\"BOTH\",\"cp\":false,\"rp\":\"0\",\"pP\":false,\"si\":0,\"ss\":0,\"h\":\"0xeec41a368072d5a47c13b3ad83703eded2e2b8cf9ff427095beb8b7684968db0\"}}')\n",
|
||||||
|
"\n",
|
||||||
|
"# After order cancellation in GUI\n",
|
||||||
|
"after_order_cxl = json.loads('{\"e\":\"ORDER_TRADE_UPDATE\",\"T\":1776836998500,\"E\":1776836998533,\"o\":{\"s\":\"ETHUSDT\",\"c\":\"KFi375tZh5kzHsQJWKMJHe\",\"S\":\"BUY\",\"o\":\"LIMIT\",\"f\":\"GTC\",\"q\":\"0.010\",\"p\":\"2100\",\"ap\":\"0\",\"sp\":\"0\",\"x\":\"CANCELED\",\"X\":\"CANCELED\",\"i\":17341121450,\"l\":\"0\",\"z\":\"0\",\"L\":\"0\",\"T\":1776836998500,\"t\":0,\"b\":\"0\",\"a\":\"0\",\"m\":false,\"R\":false,\"wt\":\"CONTRACT_PRICE\",\"ot\":\"LIMIT\",\"ps\":\"BOTH\",\"cp\":false,\"rp\":\"0\",\"pP\":false,\"si\":0,\"ss\":0,\"h\":\"0x116bb48a4b41420aebbc76343d6f55f22d1ccbc36b04462e6172571fda836599\"}}')\n",
|
||||||
|
"\n"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 24,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"{'e': 'ORDER_TRADE_UPDATE',\n",
|
||||||
|
" 'T': 1776836992350,\n",
|
||||||
|
" 'E': 1776836992388,\n",
|
||||||
|
" 'o': {'s': 'ETHUSDT',\n",
|
||||||
|
" 'c': 'KFi375tZh5kzHsQJWKMJHe',\n",
|
||||||
|
" 'S': 'BUY',\n",
|
||||||
|
" 'o': 'LIMIT',\n",
|
||||||
|
" 'f': 'GTC',\n",
|
||||||
|
" 'q': '0.010',\n",
|
||||||
|
" 'p': '2100',\n",
|
||||||
|
" 'ap': '0',\n",
|
||||||
|
" 'sp': '0',\n",
|
||||||
|
" 'x': 'NEW',\n",
|
||||||
|
" 'X': 'NEW',\n",
|
||||||
|
" 'i': 17341121450,\n",
|
||||||
|
" 'l': '0',\n",
|
||||||
|
" 'z': '0',\n",
|
||||||
|
" 'L': '0',\n",
|
||||||
|
" 'T': 1776836992350,\n",
|
||||||
|
" 't': 0,\n",
|
||||||
|
" 'b': '21',\n",
|
||||||
|
" 'a': '0',\n",
|
||||||
|
" 'm': False,\n",
|
||||||
|
" 'R': False,\n",
|
||||||
|
" 'wt': 'CONTRACT_PRICE',\n",
|
||||||
|
" 'ot': 'LIMIT',\n",
|
||||||
|
" 'ps': 'BOTH',\n",
|
||||||
|
" 'cp': False,\n",
|
||||||
|
" 'rp': '0',\n",
|
||||||
|
" 'pP': False,\n",
|
||||||
|
" 'si': 0,\n",
|
||||||
|
" 'ss': 0,\n",
|
||||||
|
" 'h': '0xeec41a368072d5a47c13b3ad83703eded2e2b8cf9ff427095beb8b7684968db0'}}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 24,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"after_order_post"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 25,
|
||||||
|
"id": "1ea320f2",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"{'e': 'ORDER_TRADE_UPDATE',\n",
|
||||||
|
" 'T': 1776836998500,\n",
|
||||||
|
" 'E': 1776836998533,\n",
|
||||||
|
" 'o': {'s': 'ETHUSDT',\n",
|
||||||
|
" 'c': 'KFi375tZh5kzHsQJWKMJHe',\n",
|
||||||
|
" 'S': 'BUY',\n",
|
||||||
|
" 'o': 'LIMIT',\n",
|
||||||
|
" 'f': 'GTC',\n",
|
||||||
|
" 'q': '0.010',\n",
|
||||||
|
" 'p': '2100',\n",
|
||||||
|
" 'ap': '0',\n",
|
||||||
|
" 'sp': '0',\n",
|
||||||
|
" 'x': 'CANCELED',\n",
|
||||||
|
" 'X': 'CANCELED',\n",
|
||||||
|
" 'i': 17341121450,\n",
|
||||||
|
" 'l': '0',\n",
|
||||||
|
" 'z': '0',\n",
|
||||||
|
" 'L': '0',\n",
|
||||||
|
" 'T': 1776836998500,\n",
|
||||||
|
" 't': 0,\n",
|
||||||
|
" 'b': '0',\n",
|
||||||
|
" 'a': '0',\n",
|
||||||
|
" 'm': False,\n",
|
||||||
|
" 'R': False,\n",
|
||||||
|
" 'wt': 'CONTRACT_PRICE',\n",
|
||||||
|
" 'ot': 'LIMIT',\n",
|
||||||
|
" 'ps': 'BOTH',\n",
|
||||||
|
" 'cp': False,\n",
|
||||||
|
" 'rp': '0',\n",
|
||||||
|
" 'pP': False,\n",
|
||||||
|
" 'si': 0,\n",
|
||||||
|
" 'ss': 0,\n",
|
||||||
|
" 'h': '0x116bb48a4b41420aebbc76343d6f55f22d1ccbc36b04462e6172571fda836599'}}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 25,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"after_order_cxl"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 26,
|
||||||
|
"id": "07ef4360",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"Timestamp('2019-09-19 07:51:05.651000')"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 26,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"import pandas as pd\n",
|
||||||
|
"\n",
|
||||||
|
"pd.to_datetime(1568879465651, unit='ms')"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "284b7266",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "98ed3a27",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "940ceba7",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"metadata": {
|
||||||
|
"kernelspec": {
|
||||||
|
"display_name": "py_313",
|
||||||
|
"language": "python",
|
||||||
|
"name": "python3"
|
||||||
|
},
|
||||||
|
"language_info": {
|
||||||
|
"codemirror_mode": {
|
||||||
|
"name": "ipython",
|
||||||
|
"version": 3
|
||||||
|
},
|
||||||
|
"file_extension": ".py",
|
||||||
|
"mimetype": "text/x-python",
|
||||||
|
"name": "python",
|
||||||
|
"nbconvert_exporter": "python",
|
||||||
|
"pygments_lexer": "ipython3",
|
||||||
|
"version": "3.13.12"
|
||||||
|
}
|
||||||
|
},
|
||||||
|
"nbformat": 4,
|
||||||
|
"nbformat_minor": 5
|
||||||
|
}
|
||||||
65
docker-compose.yml
Normal file
65
docker-compose.yml
Normal file
@@ -0,0 +1,65 @@
|
|||||||
|
# tail -f Fund_Rate_Aster_User.log Fund_Rate_Aster.log Fund_Rate_Extended_FR.log Fund_Rate_Extended_OB.log Fund_Rate_Extended_User.log
|
||||||
|
|
||||||
|
services:
|
||||||
|
ws_aster:
|
||||||
|
container_name: ws_aster
|
||||||
|
restart: "unless-stopped"
|
||||||
|
build:
|
||||||
|
context: ./
|
||||||
|
dockerfile: ./ws_aster/Dockerfile
|
||||||
|
volumes:
|
||||||
|
- /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
|
||||||
|
- /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
|
||||||
|
network_mode: "host"
|
||||||
|
ws_aster_user:
|
||||||
|
container_name: ws_aster_user
|
||||||
|
restart: "unless-stopped"
|
||||||
|
build:
|
||||||
|
context: ./
|
||||||
|
dockerfile: ./ws_aster_user/Dockerfile
|
||||||
|
volumes:
|
||||||
|
- /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
|
||||||
|
- /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
|
||||||
|
network_mode: "host"
|
||||||
|
ws_extended_fund_rate:
|
||||||
|
container_name: ws_extended_fund_rate
|
||||||
|
restart: "unless-stopped"
|
||||||
|
build:
|
||||||
|
context: ./
|
||||||
|
dockerfile: ./ws_extended_fund_rate/Dockerfile
|
||||||
|
volumes:
|
||||||
|
- /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
|
||||||
|
- /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
|
||||||
|
network_mode: "host"
|
||||||
|
ws_extended_orderbook:
|
||||||
|
container_name: ws_extended_orderbook
|
||||||
|
restart: "unless-stopped"
|
||||||
|
build:
|
||||||
|
context: ./
|
||||||
|
dockerfile: ./ws_extended_orderbook/Dockerfile
|
||||||
|
volumes:
|
||||||
|
- /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
|
||||||
|
- /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
|
||||||
|
network_mode: "host"
|
||||||
|
ws_extended_user:
|
||||||
|
container_name: ws_extended_user
|
||||||
|
restart: "unless-stopped"
|
||||||
|
build:
|
||||||
|
context: ./
|
||||||
|
dockerfile: ./ws_extended_user/Dockerfile
|
||||||
|
volumes:
|
||||||
|
- /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
|
||||||
|
- /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
|
||||||
|
network_mode: "host"
|
||||||
|
|
||||||
|
|
||||||
|
# ng:
|
||||||
|
# container_name: ng
|
||||||
|
# restart: "unless-stopped"
|
||||||
|
# build:
|
||||||
|
# context: ./
|
||||||
|
# dockerfile: ./ng/Dockerfile
|
||||||
|
# volumes:
|
||||||
|
# - /home/ubuntu/data:/home/ubuntu/data:rw # Read-write access to data
|
||||||
|
# - /home/ubuntu/logs:/home/ubuntu/logs:rw # Read-write access to data
|
||||||
|
# network_mode: "host"
|
||||||
394
extended.ipynb
Normal file
394
extended.ipynb
Normal file
@@ -0,0 +1,394 @@
|
|||||||
|
{
|
||||||
|
"cells": [
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 4,
|
||||||
|
"id": "6c70a8c3",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"\n",
|
||||||
|
"import asyncio\n",
|
||||||
|
"import requests\n",
|
||||||
|
"from x10.config import MAINNET_CONFIG, TESTNET_CONFIG\n",
|
||||||
|
"from x10.core.stark_account import StarkPerpetualAccount\n",
|
||||||
|
"from x10.perpetual.trading_client import PerpetualTradingClient\n",
|
||||||
|
"from x10.models.order import OrderSide, OrderType\n",
|
||||||
|
"import time\n",
|
||||||
|
"from dotenv import load_dotenv\n",
|
||||||
|
"import os\n",
|
||||||
|
"import uuid\n",
|
||||||
|
"import asyncio\n",
|
||||||
|
"import logging\n",
|
||||||
|
"from decimal import Decimal\n",
|
||||||
|
"import modules.extended_auth as extend_auth\n",
|
||||||
|
"\n"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 5,
|
||||||
|
"id": "ff971ca9",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"load_dotenv()\n",
|
||||||
|
"\n",
|
||||||
|
"API_KEY = os.getenv('EXTENDED_API_KEY')\n",
|
||||||
|
"PUBLIC_KEY = os.getenv('EXTENDED_STARK_KEY_PUBLIC') # public Stark key (l2Key from account info)\n",
|
||||||
|
"PRIVATE_KEY = os.getenv('EXTENDED_STARK_KEY_PRIVATE') # private Stark key (hex)\n",
|
||||||
|
"VAULT = int(os.getenv('EXTENDED_VAULT_NUMBER')) # l2Vault from account info (integer)\n",
|
||||||
|
"\n",
|
||||||
|
"CONFIG = MAINNET_CONFIG\n",
|
||||||
|
"\n",
|
||||||
|
"ORDER_MARKET = \"BTC-USD\"\n",
|
||||||
|
"ORDER_SIDE = OrderSide.BUY\n",
|
||||||
|
"ORDER_QTY = Decimal(\"0.001\")\n",
|
||||||
|
"ORDER_PRICE = Decimal(\"75000\")"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 8,
|
||||||
|
"id": "fc2c6d2b",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"client, trading_client = await extend_auth.create_auth_account_and_trading_client()"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "c366706f",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"# placed_order = await trading_client.place_order(\n",
|
||||||
|
"# market_name=ORDER_MARKET,\n",
|
||||||
|
"# amount_of_synthetic=ORDER_QTY,\n",
|
||||||
|
"# price=ORDER_PRICE,\n",
|
||||||
|
"# side=ORDER_SIDE,\n",
|
||||||
|
"# taker_fee=Decimal(\"0.00025\")\n",
|
||||||
|
"# )"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "7cd3413d",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "a7212988",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 1,
|
||||||
|
"id": "2b5d7d21",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"{'type': 'SNAPSHOT',\n",
|
||||||
|
" 'data': {'t': 'SNAPSHOT',\n",
|
||||||
|
" 'm': 'ETH-USD',\n",
|
||||||
|
" 'b': [{'q': '362.381', 'p': '2318.1'}],\n",
|
||||||
|
" 'a': [{'q': '70.572', 'p': '2318.2'}],\n",
|
||||||
|
" 'd': '1'},\n",
|
||||||
|
" 'ts': 1776822518279,\n",
|
||||||
|
" 'seq': 14}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 1,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"{\"type\":\"SNAPSHOT\",\"data\":{\"t\":\"SNAPSHOT\",\"m\":\"ETH-USD\",\"b\":[{\"q\":\"362.381\",\"p\":\"2318.1\"}],\"a\":[{\"q\":\"70.572\",\"p\":\"2318.2\"}],\"d\":\"1\"},\"ts\":1776822518279,\"seq\":14}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 2,
|
||||||
|
"id": "19f51572",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"{'data': {'m': 'ETH-USD', 'f': '-0.000001', 'T': 1776823319595},\n",
|
||||||
|
" 'ts': 1776823319595,\n",
|
||||||
|
" 'seq': 2}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 2,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"{'data': {'m': 'ETH-USD', 'f': '-0.000001', 'T': 1776823319595}, 'ts': 1776823319595, 'seq': 2}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 41,
|
||||||
|
"id": "68006231",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"Timestamp('2026-04-22 03:00:00')"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 41,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"import pandas as pd\n",
|
||||||
|
"\n",
|
||||||
|
"pd.to_datetime(1776826800000, unit='ms')"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 12,
|
||||||
|
"id": "5561153b",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"def time_round_down(dt, interval_mins=5) -> int: # returns timestamp in seconds\n",
|
||||||
|
" interval_secs = interval_mins * 60\n",
|
||||||
|
" seconds = dt.timestamp()\n",
|
||||||
|
" rounded_seconds = math.floor(seconds / interval_secs) * interval_secs\n",
|
||||||
|
" \n",
|
||||||
|
" return rounded_seconds"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 40,
|
||||||
|
"id": "bd83b59f",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"1776826800000"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 40,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"(time_round_down(dt=datetime.now(timezone.utc), interval_mins=60)+(60*60))*1000"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "086dbfb3",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "2d734f79",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"\n"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 2,
|
||||||
|
"id": "e6b59c51",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"import json\n",
|
||||||
|
"\n",
|
||||||
|
"### USER DATA STREAM ###\n",
|
||||||
|
"order = json.loads('{\"type\":\"ORDER\",\"data\":{\"isSnapshot\":true,\"orders\":[]},\"ts\":1776839215443,\"seq\":1}')\n",
|
||||||
|
"position = json.loads('{\"type\":\"POSITION\",\"data\":{\"isSnapshot\":true,\"positions\":[]},\"ts\":1776839215443,\"seq\":2}')\n",
|
||||||
|
"balance = json.loads('{\"type\":\"BALANCE\",\"data\":{\"isSnapshot\":true,\"balance\":{\"collateralName\":\"USD\",\"balance\":\"25.979998\",\"status\":\"ACTIVE\",\"equity\":\"25.979998\",\"spotEquity\":\"0\",\"spotEquityForAvailableForTrade\":\"0\",\"availableForTrade\":\"25.979998\",\"availableForWithdrawal\":\"25.979998\",\"unrealisedPnl\":\"0\",\"initialMargin\":\"0.000000\",\"marginRatio\":\"0.0000\",\"updatedTime\":1776822250184,\"exposure\":\"0\",\"leverage\":\"0.0000\"}},\"ts\":1776839215443,\"seq\":3}')"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 3,
|
||||||
|
"id": "ee8420c4",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"{'type': 'ORDER',\n",
|
||||||
|
" 'data': {'isSnapshot': True, 'orders': []},\n",
|
||||||
|
" 'ts': 1776839215443,\n",
|
||||||
|
" 'seq': 1}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 3,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"order"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 4,
|
||||||
|
"id": "e8d20d9f",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"{'type': 'POSITION',\n",
|
||||||
|
" 'data': {'isSnapshot': True, 'positions': []},\n",
|
||||||
|
" 'ts': 1776839215443,\n",
|
||||||
|
" 'seq': 2}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 4,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"position"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 5,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"{'type': 'BALANCE',\n",
|
||||||
|
" 'data': {'isSnapshot': True,\n",
|
||||||
|
" 'balance': {'collateralName': 'USD',\n",
|
||||||
|
" 'balance': '25.979998',\n",
|
||||||
|
" 'status': 'ACTIVE',\n",
|
||||||
|
" 'equity': '25.979998',\n",
|
||||||
|
" 'spotEquity': '0',\n",
|
||||||
|
" 'spotEquityForAvailableForTrade': '0',\n",
|
||||||
|
" 'availableForTrade': '25.979998',\n",
|
||||||
|
" 'availableForWithdrawal': '25.979998',\n",
|
||||||
|
" 'unrealisedPnl': '0',\n",
|
||||||
|
" 'initialMargin': '0.000000',\n",
|
||||||
|
" 'marginRatio': '0.0000',\n",
|
||||||
|
" 'updatedTime': 1776822250184,\n",
|
||||||
|
" 'exposure': '0',\n",
|
||||||
|
" 'leverage': '0.0000'}},\n",
|
||||||
|
" 'ts': 1776839215443,\n",
|
||||||
|
" 'seq': 3}"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 5,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"balance"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "fb16dfb9",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "665377af",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "af5c751b",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"metadata": {
|
||||||
|
"kernelspec": {
|
||||||
|
"display_name": "py_313",
|
||||||
|
"language": "python",
|
||||||
|
"name": "python3"
|
||||||
|
},
|
||||||
|
"language_info": {
|
||||||
|
"codemirror_mode": {
|
||||||
|
"name": "ipython",
|
||||||
|
"version": 3
|
||||||
|
},
|
||||||
|
"file_extension": ".py",
|
||||||
|
"mimetype": "text/x-python",
|
||||||
|
"name": "python",
|
||||||
|
"nbconvert_exporter": "python",
|
||||||
|
"pygments_lexer": "ipython3",
|
||||||
|
"version": "3.13.12"
|
||||||
|
}
|
||||||
|
},
|
||||||
|
"nbformat": 4,
|
||||||
|
"nbformat_minor": 5
|
||||||
|
}
|
||||||
282
main.py
Normal file
282
main.py
Normal file
@@ -0,0 +1,282 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import math
|
||||||
|
import os
|
||||||
|
import time
|
||||||
|
import traceback
|
||||||
|
from dataclasses import asdict, dataclass
|
||||||
|
from datetime import datetime, timezone
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests
|
||||||
|
# import talib
|
||||||
|
import valkey
|
||||||
|
from sqlalchemy import text
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import modules.aster_auth as aster_auth
|
||||||
|
import modules.extended_auth as extend_auth
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
EXTEND_CLIENT = None
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Algo.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
ASTER_LH_ASSET: str = 'ETH'
|
||||||
|
ASTER_RH_ASSET: str = 'USDT'
|
||||||
|
ASTER_TICKER: str = ASTER_LH_ASSET + ASTER_RH_ASSET
|
||||||
|
EXTEND_LH_ASSET: str = 'ETH'
|
||||||
|
EXTEND_RH_ASSET: str = 'USD'
|
||||||
|
EXTEND_TICKER: str = EXTEND_LH_ASSET + '-' + EXTEND_RH_ASSET
|
||||||
|
|
||||||
|
TARGET_OPEN_CASH_POSITION: float = 10 # Each side (alpha and hedge)
|
||||||
|
|
||||||
|
### GLOBALS ###
|
||||||
|
ASTER_MULT = 150
|
||||||
|
EXTEND_MULT = 50
|
||||||
|
MAX_TARGET_NOTIONAL = min([ASTER_MULT, EXTEND_MULT]) * TARGET_OPEN_CASH_POSITION
|
||||||
|
|
||||||
|
ASTER_MIN_ORDER_QTY = 0.001
|
||||||
|
EXTEND_MIN_ORDER_QTY = 0.01
|
||||||
|
|
||||||
|
ASTER_AVAIL_COLLATERAL = 0
|
||||||
|
ASTER_NOTIONAL_POSITION = 0
|
||||||
|
EXTEND_AVAIL_COLLATERAL = 0
|
||||||
|
EXTEND_NOTIONAL_POSITION = 0
|
||||||
|
|
||||||
|
ASTER_OPEN_POSITIONS = []
|
||||||
|
EXTEND_OPEN_POSITIONS = []
|
||||||
|
|
||||||
|
ASTER_OPEN_ORDERS = []
|
||||||
|
EXTEND_OPEN_ORDERS = []
|
||||||
|
|
||||||
|
### FLAGS ###
|
||||||
|
LIQUIDATE_POS_AND_KILL_ALGO_FLAG: bool = False
|
||||||
|
|
||||||
|
async def aster_remainder_route():
|
||||||
|
# Check open orders...cancel replace or new order?
|
||||||
|
# Check collateral to confirm you have enough money to trade
|
||||||
|
# if CR, what should be the new price? has it changed? maybe no action needed? how long has it been working?
|
||||||
|
# if not enough collateral then need to liquidate and kill algo - flip flag
|
||||||
|
|
||||||
|
# if good to order, then create and post order. ADD to LOCAL OPEN ORDERS LIST
|
||||||
|
|
||||||
|
|
||||||
|
pass
|
||||||
|
|
||||||
|
async def extend_remainder_route():
|
||||||
|
pass
|
||||||
|
|
||||||
|
async def run_algo():
|
||||||
|
try:
|
||||||
|
while True:
|
||||||
|
loop_start = time.time()
|
||||||
|
print('__________Start___________')
|
||||||
|
|
||||||
|
ASTER_FUND_RATE_DICT = json.loads(VAL_KEY.get('fund_rate_aster'))
|
||||||
|
ASTER_TICKER_DICT = json.loads(VAL_KEY.get('fut_ticker_aster'))
|
||||||
|
# print(f'ASTER FUND RATE: {ASTER_FUND_RATE}')
|
||||||
|
# print(f'ASTER TICKER: {ASTER_TICKER}')
|
||||||
|
|
||||||
|
EXTENDED_FUND_RATE_DICT = json.loads(VAL_KEY.get('fund_rate_extended'))
|
||||||
|
EXTENDED_TICKER_DICT = json.loads(VAL_KEY.get('fut_ticker_extended'))
|
||||||
|
# print(f'EXTENDED FUND RATE: {EXTENDED_FUND_RATE}')
|
||||||
|
# print(f'EXTENDED TICKER: {EXTENDED_TICKER}')
|
||||||
|
|
||||||
|
ASTER_FUND_RATE = float(ASTER_FUND_RATE_DICT.get('funding_rate', 0))
|
||||||
|
EXTEND_FUND_RATE = float(EXTENDED_FUND_RATE_DICT.get('funding_rate', 0))
|
||||||
|
ASTER_FUND_RATE_TIME = float(ASTER_FUND_RATE_DICT.get('next_funding_time_ts_ms', 0))
|
||||||
|
EXTEND_FUND_RATE_TIME = float(EXTENDED_FUND_RATE_DICT.get('next_funding_time_ts_ms', 0))
|
||||||
|
|
||||||
|
ASTER_PAYOUT_DIRECTION_STR = 'LONG PAYS SHORT' if ASTER_FUND_RATE > 0 else 'SHORT PAYS LONG'
|
||||||
|
EXTEND_PAYOUT_DIRECTION_STR = 'LONG PAYS SHORT' if EXTEND_FUND_RATE > 0 else 'SHORT PAYS LONG'
|
||||||
|
|
||||||
|
FUNDINGS_AT_SAME_TIME_NEXT_HR = ( (ASTER_FUND_RATE_TIME < 60*60*1000) and (EXTEND_FUND_RATE < 60*60*1000) )
|
||||||
|
|
||||||
|
if ( abs(ASTER_FUND_RATE) > abs(EXTEND_FUND_RATE) ) and FUNDINGS_AT_SAME_TIME_NEXT_HR:
|
||||||
|
ALPHA_EXCH = 'ASTER'
|
||||||
|
ALPHA_FUND_RATE = ASTER_FUND_RATE
|
||||||
|
else:
|
||||||
|
ALPHA_EXCH = 'EXTEND'
|
||||||
|
ALPHA_FUND_RATE = EXTEND_FUND_RATE
|
||||||
|
|
||||||
|
if ALPHA_FUND_RATE < 0:
|
||||||
|
ALPHA_CARRY_SIDE = 'BUY'
|
||||||
|
ALPHA_TGT_NOTIONAL = MAX_TARGET_NOTIONAL
|
||||||
|
else:
|
||||||
|
ALPHA_CARRY_SIDE = 'SELL'
|
||||||
|
ALPHA_TGT_NOTIONAL = MAX_TARGET_NOTIONAL*-1
|
||||||
|
|
||||||
|
|
||||||
|
def calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR: bool) -> float:
|
||||||
|
if FUNDINGS_AT_SAME_TIME_NEXT_HR:
|
||||||
|
return ASTER_FUND_RATE + EXTEND_FUND_RATE
|
||||||
|
else:
|
||||||
|
return EXTEND_FUND_RATE
|
||||||
|
|
||||||
|
NEXT_NET_FUNDING_RATE = calc_next_net_fund_rate(FUNDINGS_AT_SAME_TIME_NEXT_HR)
|
||||||
|
|
||||||
|
if ALPHA_EXCH == 'EXTEND':
|
||||||
|
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
|
||||||
|
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
|
||||||
|
else:
|
||||||
|
ASTER_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL
|
||||||
|
EXTEND_TGT_NOTIONAL = ALPHA_TGT_NOTIONAL*-1
|
||||||
|
|
||||||
|
ASTER_TGT_TAIL = ASTER_TGT_NOTIONAL - ASTER_NOTIONAL_POSITION
|
||||||
|
EXTEND_TGT_TAIL = EXTEND_TGT_NOTIONAL - EXTEND_NOTIONAL_POSITION
|
||||||
|
|
||||||
|
ASTER_TGT_TAIL_ORDERABLE = abs(ASTER_TGT_TAIL) >= ASTER_MIN_ORDER_QTY
|
||||||
|
EXTEND_TGT_TAIL_ORDERABLE = abs(EXTEND_TGT_TAIL) >= EXTEND_MIN_ORDER_QTY
|
||||||
|
|
||||||
|
print(f'''
|
||||||
|
{pd.to_datetime(ASTER_FUND_RATE_TIME, unit='ms')} ({(pd.to_datetime(ASTER_FUND_RATE_TIME, unit='ms')-datetime.now()):}) | {pd.to_datetime(EXTEND_FUND_RATE_TIME, unit='ms')} ({(pd.to_datetime(EXTEND_FUND_RATE_TIME, unit='ms')-datetime.now()):})
|
||||||
|
ASTER: {ASTER_FUND_RATE:.6%} [{ASTER_FUND_RATE*10_000:.2f}bps] [{ASTER_FUND_RATE*1_000_000:.0f}pips] | EXTEND: {EXTEND_FUND_RATE:.6%} [{EXTEND_FUND_RATE*10_000:.2f}bps] [{EXTEND_FUND_RATE*1_000_000:.0f}pips]
|
||||||
|
ASTER: {ASTER_PAYOUT_DIRECTION_STR} | EXTEND: {EXTEND_PAYOUT_DIRECTION_STR}
|
||||||
|
ASTER: [ Available Collateral: {ASTER_AVAIL_COLLATERAL:.4f} ] | EXTEND: [ Available Collateral: {EXTEND_AVAIL_COLLATERAL:.4f} ]
|
||||||
|
ASTER: [ Notional Position $ : {ASTER_NOTIONAL_POSITION:.4f} ] | EXTEND: [ Notional Position $ : {EXTEND_NOTIONAL_POSITION:.4f} ]
|
||||||
|
|
||||||
|
SAME TIME? : {FUNDINGS_AT_SAME_TIME_NEXT_HR}
|
||||||
|
NET FUNDING : {NEXT_NET_FUNDING_RATE:.6%} [{NEXT_NET_FUNDING_RATE*10_000:.2f}bps] [{NEXT_NET_FUNDING_RATE*1_000_000:.0f}pips]
|
||||||
|
ALPHA SIDE : {ALPHA_EXCH} [{ALPHA_CARRY_SIDE}]
|
||||||
|
|
||||||
|
TGT NOTIONAL: $ {MAX_TARGET_NOTIONAL}
|
||||||
|
|
||||||
|
ASTER: {ASTER_NOTIONAL_POSITION:.4f} -> {ASTER_TGT_NOTIONAL:.2f} [ Remain: {ASTER_TGT_TAIL:.4f} ] | EXTEND: {EXTEND_NOTIONAL_POSITION:.4f} -> {EXTEND_TGT_NOTIONAL:.2f} [ Remain: {EXTEND_TGT_TAIL} ]
|
||||||
|
ASTER: {ASTER_TGT_TAIL:.4f} > {ASTER_MIN_ORDER_QTY:.4f} min [ Order: {ASTER_TGT_TAIL_ORDERABLE} ] | EXTEND: {EXTEND_TGT_TAIL:.4f} > {EXTEND_MIN_ORDER_QTY:.4f} min [ Order: {EXTEND_TGT_TAIL_ORDERABLE} ]
|
||||||
|
|
||||||
|
''')
|
||||||
|
|
||||||
|
### SCAN VALKEY USER FEEDS FOR BALANCE UPDATES ###
|
||||||
|
# or just to begin hit the rest API before ordering and update bals then
|
||||||
|
|
||||||
|
|
||||||
|
### ROUTES ###
|
||||||
|
if ASTER_TGT_TAIL_ORDERABLE:
|
||||||
|
await aster_remainder_route()
|
||||||
|
|
||||||
|
if EXTEND_TGT_TAIL_ORDERABLE:
|
||||||
|
await extend_remainder_route()
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
print(f'__________ End ___________ (Algo Engine ms: {(time.time() - loop_start)*1000})')
|
||||||
|
time.sleep(5)
|
||||||
|
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
print('...algo stopped')
|
||||||
|
# await cancel_all_orders(CLIENT=CLIENT)
|
||||||
|
except Exception as e:
|
||||||
|
logging.critical(f'*** ALGO ENGINE CRASHED: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
# await cancel_all_orders(CLIENT=CLIENT)
|
||||||
|
|
||||||
|
### WALLLET ###
|
||||||
|
async def get_aster_collateral():
|
||||||
|
global ASTER_AVAIL_COLLATERAL
|
||||||
|
|
||||||
|
fut_acct_balances = {
|
||||||
|
"url": "/fapi/v3/balance",
|
||||||
|
"method": "GET",
|
||||||
|
"params": {}
|
||||||
|
}
|
||||||
|
r = aster_auth.post_authenticated_url(fut_acct_balances)
|
||||||
|
ASTER_AVAIL_COLLATERAL = float([d for d in r if d.get('asset')==ASTER_RH_ASSET][0].get('availableBalance'))
|
||||||
|
|
||||||
|
async def get_aster_notional_position():
|
||||||
|
global ASTER_NOTIONAL_POSITION
|
||||||
|
global ASTER_MULT
|
||||||
|
|
||||||
|
fut_acct_positionRisk = {
|
||||||
|
"url": "/fapi/v3/positionRisk",
|
||||||
|
"method": "GET",
|
||||||
|
"params": {}
|
||||||
|
}
|
||||||
|
r = aster_auth.post_authenticated_url(fut_acct_positionRisk)
|
||||||
|
d = [d for d in r if d.get('symbol', None) == ASTER_TICKER][0]
|
||||||
|
|
||||||
|
ASTER_NOTIONAL_POSITION = float(d.get('notional' ,0))
|
||||||
|
ASTER_MULT = float(d.get('leverage', ASTER_MULT))
|
||||||
|
|
||||||
|
async def get_extend_collateral():
|
||||||
|
global EXTEND_AVAIL_COLLATERAL
|
||||||
|
|
||||||
|
get_bals = dict(dict(await EXTEND_CLIENT.account.get_balance()).get('data', {}))
|
||||||
|
EXTEND_AVAIL_COLLATERAL = get_bals.get('available_for_trade', 0) if get_bals.get('collateral_name', None)==EXTEND_RH_ASSET else 0
|
||||||
|
|
||||||
|
async def get_extend_notional():
|
||||||
|
global EXTEND_NOTIONAL_POSITION
|
||||||
|
global EXTEND_MULT
|
||||||
|
|
||||||
|
get_pos = dict(await EXTEND_CLIENT.account.get_positions()).get('data', {})
|
||||||
|
pos_dict = [d for d in get_pos if d.get('market') == EXTEND_TICKER]
|
||||||
|
if pos_dict:
|
||||||
|
pos_dict = pos_dict[0]
|
||||||
|
EXTEND_NOTIONAL_POSITION = pos_dict.get('value', 0)
|
||||||
|
EXTEND_MULT = pos_dict.get('leverage', EXTEND_MULT)
|
||||||
|
else:
|
||||||
|
EXTEND_NOTIONAL_POSITION = 0
|
||||||
|
|
||||||
|
### EXCHANGE INFO ###
|
||||||
|
async def get_aster_exch_info():
|
||||||
|
global ASTER_MIN_ORDER_QTY
|
||||||
|
|
||||||
|
fut_acct_exchangeInfo = {
|
||||||
|
"url": "/fapi/v3/exchangeInfo",
|
||||||
|
"method": "GET",
|
||||||
|
"params": {}
|
||||||
|
}
|
||||||
|
r = aster_auth.post_authenticated_url(fut_acct_exchangeInfo)
|
||||||
|
s = r['symbols']
|
||||||
|
d = [d for d in s if d.get('symbol', None) == 'ETHUSDT'][0]
|
||||||
|
f = [f for f in d['filters'] if f.get('filterType', None) == 'LOT_SIZE'][0]
|
||||||
|
ASTER_MIN_ORDER_QTY = float(f['minQty'])
|
||||||
|
|
||||||
|
async def get_extend_exch_info():
|
||||||
|
global EXTEND_MIN_ORDER_QTY
|
||||||
|
|
||||||
|
r = await EXTEND_CLIENT.markets_info.get_markets_dict()
|
||||||
|
EXTEND_MIN_ORDER_QTY = float(r['ETH-USD'].trading_config.min_order_size)
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global EXTEND_CLIENT
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
_, EXTEND_CLIENT = await extend_auth.create_auth_account_and_trading_client()
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0, decode_responses=True)
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
|
||||||
|
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
# await create_executions_orders_table(CON=CON)
|
||||||
|
await get_aster_collateral()
|
||||||
|
await get_aster_notional_position()
|
||||||
|
await get_extend_collateral()
|
||||||
|
await get_extend_notional()
|
||||||
|
|
||||||
|
await run_algo()
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
asyncio.run(main())
|
||||||
|
|
||||||
198
mexc.ipynb
198
mexc.ipynb
@@ -2,39 +2,52 @@
|
|||||||
"cells": [
|
"cells": [
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": 2,
|
"execution_count": 15,
|
||||||
"id": "7a3f41bd",
|
"id": "7a3f41bd",
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
"source": [
|
"source": [
|
||||||
"import pandas as pd\n",
|
"import pandas as pd\n",
|
||||||
"import requests"
|
"import requests\n",
|
||||||
|
"from datetime import datetime"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": 3,
|
"execution_count": 44,
|
||||||
"id": "3b48e1ce",
|
"id": "3b48e1ce",
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
"source": [
|
"source": [
|
||||||
"url_all_tickers = 'https://api.mexc.com/api/v1/contract/ticker'"
|
"mexc_all_tickers = 'https://api.mexc.com/api/v1/contract/ticker'\n",
|
||||||
|
"edgex_all_tickers = 'https://pro.edgex.exchange/api/v1/public/quote/getTicker/?contractId=10000001'"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": 10,
|
"execution_count": 34,
|
||||||
"id": "ab38d984",
|
"id": "ab38d984",
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
"source": [
|
"source": [
|
||||||
"r = requests.get(url_all_tickers)\n",
|
"r = requests.get(mexc_all_tickers)\n",
|
||||||
"data = r.json()['data']"
|
"data = r.json()['data']"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": 21,
|
"execution_count": 49,
|
||||||
|
"id": "2976b377",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"r = requests.get(edgex_all_tickers)\n",
|
||||||
|
"data = r.json()['data']"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 4,
|
||||||
"id": "1139b1a3",
|
"id": "1139b1a3",
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
@@ -45,19 +58,19 @@
|
|||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": 22,
|
"execution_count": null,
|
||||||
"id": "b00512dc",
|
"id": "b00512dc",
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
"source": [
|
"source": [
|
||||||
"df_trim = df[['symbol','fundingRate_pct','volume24']].copy()\n",
|
"df_trim = df[['symbol','fundingRate_pct','volume24']].copy()\n",
|
||||||
"df_trim = df_trim.loc[df_trim['volume24'] > 10_000]\n"
|
"df_trim = df_trim.loc[df_trim['volume24'] > 10_000]"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": 23,
|
"execution_count": 9,
|
||||||
"id": "43b053d0",
|
"id": "f7b44068",
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [
|
"outputs": [
|
||||||
{
|
{
|
||||||
@@ -88,34 +101,34 @@
|
|||||||
" </thead>\n",
|
" </thead>\n",
|
||||||
" <tbody>\n",
|
" <tbody>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>0</th>\n",
|
" <th>55</th>\n",
|
||||||
" <td>BTC_USDT</td>\n",
|
" <td>DRIFT_USDT</td>\n",
|
||||||
" <td>-0.0007</td>\n",
|
" <td>-1.1360</td>\n",
|
||||||
" <td>208341522</td>\n",
|
" <td>3308466</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>1</th>\n",
|
" <th>10</th>\n",
|
||||||
" <td>ETH_USDT</td>\n",
|
" <td>RED_USDT</td>\n",
|
||||||
" <td>0.0012</td>\n",
|
" <td>-1.1138</td>\n",
|
||||||
" <td>27134917</td>\n",
|
" <td>105826673</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>2</th>\n",
|
" <th>157</th>\n",
|
||||||
" <td>XAUT_USDT</td>\n",
|
" <td>PIXEL_USDT</td>\n",
|
||||||
" <td>0.0050</td>\n",
|
" <td>-0.4059</td>\n",
|
||||||
" <td>429520428</td>\n",
|
" <td>12415472</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>3</th>\n",
|
" <th>105</th>\n",
|
||||||
" <td>SOL_USDT</td>\n",
|
" <td>NIL_USDT</td>\n",
|
||||||
" <td>-0.0016</td>\n",
|
" <td>-0.3846</td>\n",
|
||||||
" <td>188591783</td>\n",
|
" <td>31438005</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>4</th>\n",
|
" <th>33</th>\n",
|
||||||
" <td>SILVER_USDT</td>\n",
|
" <td>SUPER_USDT</td>\n",
|
||||||
" <td>0.0000</td>\n",
|
" <td>-0.3718</td>\n",
|
||||||
" <td>634682239</td>\n",
|
" <td>2469502</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>...</th>\n",
|
" <th>...</th>\n",
|
||||||
@@ -124,34 +137,34 @@
|
|||||||
" <td>...</td>\n",
|
" <td>...</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>837</th>\n",
|
" <th>12</th>\n",
|
||||||
" <td>ENS_USDC</td>\n",
|
" <td>PLAY_USDT</td>\n",
|
||||||
" <td>0.0100</td>\n",
|
" <td>0.0838</td>\n",
|
||||||
" <td>196467</td>\n",
|
" <td>22168649</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>838</th>\n",
|
" <th>414</th>\n",
|
||||||
" <td>KAITO_USDC</td>\n",
|
" <td>PUMPBTC_USDT</td>\n",
|
||||||
" <td>-0.0106</td>\n",
|
" <td>0.0913</td>\n",
|
||||||
" <td>245467</td>\n",
|
" <td>745129</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>839</th>\n",
|
" <th>398</th>\n",
|
||||||
" <td>BIO_USDC</td>\n",
|
" <td>QQQSTOCK_USDT</td>\n",
|
||||||
" <td>0.0050</td>\n",
|
" <td>0.0969</td>\n",
|
||||||
" <td>586982</td>\n",
|
" <td>59485</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>840</th>\n",
|
" <th>222</th>\n",
|
||||||
" <td>ETC_USDC</td>\n",
|
" <td>GUA_USDT</td>\n",
|
||||||
" <td>0.0100</td>\n",
|
" <td>0.0996</td>\n",
|
||||||
" <td>117338</td>\n",
|
" <td>45623</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" <tr>\n",
|
" <tr>\n",
|
||||||
" <th>841</th>\n",
|
" <th>265</th>\n",
|
||||||
" <td>MNT_USDC</td>\n",
|
" <td>BROCCOLIF3B_USDT</td>\n",
|
||||||
" <td>0.0100</td>\n",
|
" <td>0.1647</td>\n",
|
||||||
" <td>150912</td>\n",
|
" <td>3936939</td>\n",
|
||||||
" </tr>\n",
|
" </tr>\n",
|
||||||
" </tbody>\n",
|
" </tbody>\n",
|
||||||
"</table>\n",
|
"</table>\n",
|
||||||
@@ -159,35 +172,88 @@
|
|||||||
"</div>"
|
"</div>"
|
||||||
],
|
],
|
||||||
"text/plain": [
|
"text/plain": [
|
||||||
" symbol fundingRate_pct volume24\n",
|
" symbol fundingRate_pct volume24\n",
|
||||||
"0 BTC_USDT -0.0007 208341522\n",
|
"55 DRIFT_USDT -1.1360 3308466\n",
|
||||||
"1 ETH_USDT 0.0012 27134917\n",
|
"10 RED_USDT -1.1138 105826673\n",
|
||||||
"2 XAUT_USDT 0.0050 429520428\n",
|
"157 PIXEL_USDT -0.4059 12415472\n",
|
||||||
"3 SOL_USDT -0.0016 188591783\n",
|
"105 NIL_USDT -0.3846 31438005\n",
|
||||||
"4 SILVER_USDT 0.0000 634682239\n",
|
"33 SUPER_USDT -0.3718 2469502\n",
|
||||||
".. ... ... ...\n",
|
".. ... ... ...\n",
|
||||||
"837 ENS_USDC 0.0100 196467\n",
|
"12 PLAY_USDT 0.0838 22168649\n",
|
||||||
"838 KAITO_USDC -0.0106 245467\n",
|
"414 PUMPBTC_USDT 0.0913 745129\n",
|
||||||
"839 BIO_USDC 0.0050 586982\n",
|
"398 QQQSTOCK_USDT 0.0969 59485\n",
|
||||||
"840 ETC_USDC 0.0100 117338\n",
|
"222 GUA_USDT 0.0996 45623\n",
|
||||||
"841 MNT_USDC 0.0100 150912\n",
|
"265 BROCCOLIF3B_USDT 0.1647 3936939\n",
|
||||||
"\n",
|
"\n",
|
||||||
"[837 rows x 3 columns]"
|
"[837 rows x 3 columns]"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
"execution_count": 23,
|
"execution_count": 9,
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"output_type": "execute_result"
|
"output_type": "execute_result"
|
||||||
}
|
}
|
||||||
],
|
],
|
||||||
"source": [
|
"source": [
|
||||||
"df_trim"
|
"df_trim.sort_values('fundingRate_pct', ascending=True)"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": 4,
|
||||||
|
"id": "6775a03f",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [
|
||||||
|
{
|
||||||
|
"data": {
|
||||||
|
"text/plain": [
|
||||||
|
"1775583908"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"execution_count": 4,
|
||||||
|
"metadata": {},
|
||||||
|
"output_type": "execute_result"
|
||||||
|
}
|
||||||
|
],
|
||||||
|
"source": [
|
||||||
|
"round(datetime.now().timestamp())"
|
||||||
]
|
]
|
||||||
},
|
},
|
||||||
{
|
{
|
||||||
"cell_type": "code",
|
"cell_type": "code",
|
||||||
"execution_count": null,
|
"execution_count": null,
|
||||||
"id": "f7b44068",
|
"id": "edca3b9f",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": [
|
||||||
|
"### PRIVATE API ###\n"
|
||||||
|
]
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "51e50e0d",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
|
"id": "21aabf30",
|
||||||
|
"metadata": {},
|
||||||
|
"outputs": [],
|
||||||
|
"source": []
|
||||||
|
},
|
||||||
|
{
|
||||||
|
"cell_type": "code",
|
||||||
|
"execution_count": null,
|
||||||
"metadata": {},
|
"metadata": {},
|
||||||
"outputs": [],
|
"outputs": [],
|
||||||
"source": []
|
"source": []
|
||||||
|
|||||||
BIN
modules/__pycache__/apex_api.cpython-313.pyc
Normal file
BIN
modules/__pycache__/apex_api.cpython-313.pyc
Normal file
Binary file not shown.
BIN
modules/__pycache__/aster_auth.cpython-313.pyc
Normal file
BIN
modules/__pycache__/aster_auth.cpython-313.pyc
Normal file
Binary file not shown.
BIN
modules/__pycache__/aster_auth_api.cpython-313.pyc
Normal file
BIN
modules/__pycache__/aster_auth_api.cpython-313.pyc
Normal file
Binary file not shown.
BIN
modules/__pycache__/aster_db.cpython-313.pyc
Normal file
BIN
modules/__pycache__/aster_db.cpython-313.pyc
Normal file
Binary file not shown.
BIN
modules/__pycache__/db.cpython-313.pyc
Normal file
BIN
modules/__pycache__/db.cpython-313.pyc
Normal file
Binary file not shown.
BIN
modules/__pycache__/extended_auth.cpython-313.pyc
Normal file
BIN
modules/__pycache__/extended_auth.cpython-313.pyc
Normal file
Binary file not shown.
BIN
modules/__pycache__/extended_db.cpython-313.pyc
Normal file
BIN
modules/__pycache__/extended_db.cpython-313.pyc
Normal file
Binary file not shown.
37
modules/apex_api.py
Normal file
37
modules/apex_api.py
Normal file
@@ -0,0 +1,37 @@
|
|||||||
|
from apexomni.http_private_v3 import HttpPrivate_v3
|
||||||
|
from apexomni.http_private_sign import HttpPrivateSign
|
||||||
|
from apexomni.constants import APEX_OMNI_HTTP_MAIN, NETWORKID_MAIN
|
||||||
|
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
import os
|
||||||
|
|
||||||
|
def apex_create_client() -> HttpPrivateSign:
|
||||||
|
load_dotenv()
|
||||||
|
print("Authenticating...")
|
||||||
|
eth_private_key = os.getenv("RABBY_PRIVATE_KEY")
|
||||||
|
key = os.getenv("APEX_API_KEY")
|
||||||
|
secret = os.getenv("APEX_API_SECRET")
|
||||||
|
passphrase = os.getenv("APEX_API_PASSPHRASE")
|
||||||
|
|
||||||
|
client = HttpPrivate_v3(APEX_OMNI_HTTP_MAIN, network_id=NETWORKID_MAIN, eth_private_key=eth_private_key)
|
||||||
|
zkKeys = client.derive_zk_key(client.default_address)
|
||||||
|
|
||||||
|
seeds = zkKeys['seeds']
|
||||||
|
l2Key = zkKeys['l2Key']
|
||||||
|
|
||||||
|
client = HttpPrivateSign(
|
||||||
|
APEX_OMNI_HTTP_MAIN,
|
||||||
|
network_id=NETWORKID_MAIN,
|
||||||
|
zk_seeds=seeds,
|
||||||
|
zk_l2Key=l2Key,
|
||||||
|
api_key_credentials={'key': key, 'secret': secret, 'passphrase': passphrase})
|
||||||
|
|
||||||
|
try:
|
||||||
|
client.configs_v3()
|
||||||
|
client.get_account_v3()
|
||||||
|
except Exception as e:
|
||||||
|
raise ConnectionError(f'Failed to authenticate with APEX OMNI: {e}')
|
||||||
|
|
||||||
|
print("...Authenticated")
|
||||||
|
|
||||||
|
return client
|
||||||
108
modules/aster_auth.py
Normal file
108
modules/aster_auth.py
Normal file
@@ -0,0 +1,108 @@
|
|||||||
|
import requests
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
import os
|
||||||
|
import time
|
||||||
|
import threading
|
||||||
|
import urllib
|
||||||
|
|
||||||
|
from eth_account.messages import encode_typed_data
|
||||||
|
from eth_account import Account
|
||||||
|
|
||||||
|
load_dotenv()
|
||||||
|
|
||||||
|
user = os.getenv("RABBY_WALLET")
|
||||||
|
signer = os.getenv("ASTER_API_WALLET_ADDRESS")
|
||||||
|
private_key = os.getenv("ASTER_API_PRIVATE_KEY")
|
||||||
|
|
||||||
|
_last_ms = 0
|
||||||
|
_i = 0
|
||||||
|
|
||||||
|
def post_authenticated_url(req: dict) -> dict:
|
||||||
|
typed_data = {
|
||||||
|
"types": {
|
||||||
|
"EIP712Domain": [
|
||||||
|
{"name": "name", "type": "string"},
|
||||||
|
{"name": "version", "type": "string"},
|
||||||
|
{"name": "chainId", "type": "uint256"},
|
||||||
|
{"name": "verifyingContract", "type": "address"}
|
||||||
|
],
|
||||||
|
"Message": [
|
||||||
|
{ "name": "msg", "type": "string" }
|
||||||
|
]
|
||||||
|
},
|
||||||
|
"primaryType": "Message",
|
||||||
|
"domain": {
|
||||||
|
"name": "AsterSignTransaction",
|
||||||
|
"version": "1",
|
||||||
|
"chainId": 1666,
|
||||||
|
"verifyingContract": "0x0000000000000000000000000000000000000000"
|
||||||
|
},
|
||||||
|
"message": {
|
||||||
|
"msg": "$msg"
|
||||||
|
}
|
||||||
|
}
|
||||||
|
headers = {
|
||||||
|
'Content-Type': 'application/x-www-form-urlencoded',
|
||||||
|
'User-Agent': 'PythonApp/1.0'
|
||||||
|
}
|
||||||
|
host = 'https://fapi.asterdex.com'
|
||||||
|
|
||||||
|
|
||||||
|
def get_nonce():
|
||||||
|
_nonce_lock = threading.Lock()
|
||||||
|
global _last_ms, _i
|
||||||
|
with _nonce_lock:
|
||||||
|
now_ms = int(time.time())
|
||||||
|
|
||||||
|
if now_ms == _last_ms:
|
||||||
|
_i += 1
|
||||||
|
else:
|
||||||
|
_last_ms = now_ms
|
||||||
|
_i = 0
|
||||||
|
|
||||||
|
return now_ms * 1_000_000 + _i
|
||||||
|
|
||||||
|
def sign_typed_data(data: dict, private_key: str):
|
||||||
|
"""Sign EIP-712 typed data using encode_typed_data."""
|
||||||
|
message = encode_typed_data(
|
||||||
|
domain_data=data["domain"],
|
||||||
|
message_types={"Message": data["types"]["Message"]},
|
||||||
|
message_data=data["message"],
|
||||||
|
)
|
||||||
|
return Account.sign_message(message, private_key=private_key)
|
||||||
|
|
||||||
|
def send_by_url(req):
|
||||||
|
my_dict = req['params'].copy()
|
||||||
|
url = host + req['url']
|
||||||
|
method = req['method']
|
||||||
|
|
||||||
|
my_dict['nonce'] = str(get_nonce())
|
||||||
|
my_dict['user'] = user
|
||||||
|
my_dict['signer'] = signer
|
||||||
|
|
||||||
|
param = urllib.parse.urlencode(my_dict)
|
||||||
|
|
||||||
|
typed_data['message']['msg'] = param
|
||||||
|
signed = sign_typed_data(typed_data, private_key)
|
||||||
|
|
||||||
|
full_url = url + '?' + param + '&signature=' + signed.signature.hex()
|
||||||
|
# print(full_url)
|
||||||
|
|
||||||
|
if method == 'GET':
|
||||||
|
res = requests.get(full_url, headers=headers)
|
||||||
|
# print(res.status_code, res.text)
|
||||||
|
return res.json()
|
||||||
|
elif method == 'POST':
|
||||||
|
res = requests.post(full_url, headers=headers)
|
||||||
|
# print(res.status_code, res.text)
|
||||||
|
return res.json()
|
||||||
|
elif method == 'PUT':
|
||||||
|
res = requests.put(full_url, headers=headers)
|
||||||
|
# print(res.status_code, res.text)
|
||||||
|
return res.json()
|
||||||
|
elif method == 'DELETE':
|
||||||
|
res = requests.delete(full_url, headers=headers)
|
||||||
|
# print(res.status_code, res.text)
|
||||||
|
return res.json()
|
||||||
|
|
||||||
|
return send_by_url(req=req)
|
||||||
147
modules/aster_db.py
Normal file
147
modules/aster_db.py
Normal file
@@ -0,0 +1,147 @@
|
|||||||
|
import logging
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
from sqlalchemy import text
|
||||||
|
|
||||||
|
|
||||||
|
### Orders and Trades Tables ####
|
||||||
|
async def create_fr_aster_user_order_trade_table(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_aster_user_order_trade')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_aster_user_order_trade (
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
timestamp_value BIGINT,
|
||||||
|
symbol VARCHAR(20),
|
||||||
|
client_order_id VARCHAR(100),
|
||||||
|
side VARCHAR(20),
|
||||||
|
order_type VARCHAR(100),
|
||||||
|
time_in_force VARCHAR(20),
|
||||||
|
original_qty DOUBLE,
|
||||||
|
original_price DOUBLE,
|
||||||
|
avg_price DOUBLE,
|
||||||
|
stop_price DOUBLE,
|
||||||
|
execution_type VARCHAR(100),
|
||||||
|
order_status VARCHAR(100),
|
||||||
|
order_id BIGINT,
|
||||||
|
last_filled_qty DOUBLE,
|
||||||
|
filled_accumulated_qty DOUBLE,
|
||||||
|
last_filled_price DOUBLE,
|
||||||
|
commission_asset VARCHAR(20),
|
||||||
|
commission DOUBLE,
|
||||||
|
order_trade_time_ts BIGINT,
|
||||||
|
trade_id VARCHAR(100),
|
||||||
|
bid_notional DOUBLE,
|
||||||
|
ask_notional DOUBLE,
|
||||||
|
trade_is_maker BOOL,
|
||||||
|
trade_is_reduce_only BOOL,
|
||||||
|
stop_px_working_type VARCHAR(100),
|
||||||
|
original_order_type VARCHAR(100),
|
||||||
|
position_side VARCHAR(100),
|
||||||
|
pushed_w_conditional_order BOOL,
|
||||||
|
activation_price DOUBLE,
|
||||||
|
callback_rate DOUBLE,
|
||||||
|
realized_profit DOUBLE
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Margin Calls Table ####
|
||||||
|
async def create_fr_aster_user_margin_table(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_aster_user_margin')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_aster_user_margin (
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
cross_wallet_balance DOUBLE,
|
||||||
|
symbol VARCHAR(20),
|
||||||
|
position_side VARCHAR(20),
|
||||||
|
position_amount DOUBLE,
|
||||||
|
margin_type VARCHAR(20),
|
||||||
|
isolated_wallet DOUBLE,
|
||||||
|
mark_price DOUBLE,
|
||||||
|
unrealized_pnl DOUBLE,
|
||||||
|
maint_margin_required DOUBLE
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Account Balance Table ####
|
||||||
|
async def create_fr_aster_user_account_bal(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_aster_user_account_bal')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_aster_user_account_bal (
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
timestamp_transaction BIGINT,
|
||||||
|
event_reason_type VARCHAR(20),
|
||||||
|
asset VARCHAR(20),
|
||||||
|
wallet_balance DOUBLE,
|
||||||
|
cross_wallet_balance DOUBLE,
|
||||||
|
balance_change_excl_pnl_comms DOUBLE
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Account Positions Table ####
|
||||||
|
async def create_fr_aster_user_account_pos(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_aster_user_account_pos')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_aster_user_account_pos (
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
timestamp_transaction BIGINT,
|
||||||
|
event_reason_type VARCHAR(20),
|
||||||
|
symbol VARCHAR(20),
|
||||||
|
position_amount DOUBLE,
|
||||||
|
entry_price DOUBLE,
|
||||||
|
accumulated_realized_pre_fees DOUBLE,
|
||||||
|
unrealized_pnl DOUBLE,
|
||||||
|
margin_type VARCHAR(20),
|
||||||
|
isolated_wallet DOUBLE,
|
||||||
|
position_side VARCHAR(20)
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
27
modules/db.py
Normal file
27
modules/db.py
Normal file
@@ -0,0 +1,27 @@
|
|||||||
|
### Database Funcs ###
|
||||||
|
import logging
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
import pandas as pd
|
||||||
|
|
||||||
|
|
||||||
|
async def insert_df_to_mysql(
|
||||||
|
table_name: str,
|
||||||
|
params: dict | list | pd.DataFrame,
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
if not isinstance(params, pd.DataFrame):
|
||||||
|
if isinstance(params, dict):
|
||||||
|
params = [params]
|
||||||
|
df = pd.DataFrame(params)
|
||||||
|
|
||||||
|
await CON.run_sync(
|
||||||
|
lambda sync_conn: df.to_sql(name=table_name, con=sync_conn, if_exists='append', index=False)
|
||||||
|
)
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
30
modules/extended_auth.py
Normal file
30
modules/extended_auth.py
Normal file
@@ -0,0 +1,30 @@
|
|||||||
|
import os
|
||||||
|
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
from x10.config import MAINNET_CONFIG
|
||||||
|
from x10.core.stark_account import StarkPerpetualAccount
|
||||||
|
from x10.perpetual.trading_client import PerpetualTradingClient
|
||||||
|
import logging
|
||||||
|
|
||||||
|
async def create_auth_account_and_trading_client() -> tuple[StarkPerpetualAccount, PerpetualTradingClient]:
|
||||||
|
load_dotenv()
|
||||||
|
API_KEY = os.getenv('EXTENDED_API_KEY')
|
||||||
|
PUBLIC_KEY = os.getenv('EXTENDED_STARK_KEY_PUBLIC')
|
||||||
|
PRIVATE_KEY = os.getenv('EXTENDED_STARK_KEY_PRIVATE')
|
||||||
|
VAULT = int(os.getenv('EXTENDED_VAULT_NUMBER'))
|
||||||
|
|
||||||
|
stark_account = StarkPerpetualAccount(
|
||||||
|
vault=VAULT,
|
||||||
|
private_key=PRIVATE_KEY,
|
||||||
|
public_key=PUBLIC_KEY,
|
||||||
|
api_key=API_KEY,
|
||||||
|
)
|
||||||
|
|
||||||
|
trading_client = PerpetualTradingClient(MAINNET_CONFIG, stark_account)
|
||||||
|
|
||||||
|
try:
|
||||||
|
await trading_client.account.get_balance()
|
||||||
|
except ValueError as e:
|
||||||
|
logging.critical(f'Failed to get balance after creation of trading account: {e}')
|
||||||
|
|
||||||
|
return stark_account, trading_client
|
||||||
152
modules/extended_db.py
Normal file
152
modules/extended_db.py
Normal file
@@ -0,0 +1,152 @@
|
|||||||
|
import logging
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
from sqlalchemy import text
|
||||||
|
|
||||||
|
|
||||||
|
### Orders Table ####
|
||||||
|
async def create_fr_extended_user_order(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_extended_user_order')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_extended_user_order (
|
||||||
|
sequence_id INT,
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
order_id VARCHAR(100),
|
||||||
|
account_id VARCHAR(100),
|
||||||
|
external_id VARCHAR(100),
|
||||||
|
market VARCHAR(20),
|
||||||
|
type VARCHAR(20),
|
||||||
|
side VARCHAR(20),
|
||||||
|
status VARCHAR(20),
|
||||||
|
status_reason VARCHAR(100),
|
||||||
|
price DOUBLE,
|
||||||
|
averagePrice DOUBLE,
|
||||||
|
qty DOUBLE,
|
||||||
|
filled_qty DOUBLE,
|
||||||
|
payed_fee DOUBLE,
|
||||||
|
tp_sl_type VARCHAR(20),
|
||||||
|
reduce_only BOOL,
|
||||||
|
post_only BOOL,
|
||||||
|
created_time_ts BIGINT,
|
||||||
|
updated_time_ts BIGINT,
|
||||||
|
expire_time_ts BIGINT
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Orders Table ####
|
||||||
|
async def create_fr_extended_user_trade(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_extended_user_trade')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_extended_user_trade (
|
||||||
|
sequence_id INT,
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
trade_id VARCHAR(100),
|
||||||
|
account_id VARCHAR(100),
|
||||||
|
market VARCHAR(20),
|
||||||
|
order_id VARCHAR(100),
|
||||||
|
external_order_id VARCHAR(100),
|
||||||
|
side VARCHAR(20),
|
||||||
|
price DOUBLE,
|
||||||
|
qty DOUBLE,
|
||||||
|
value DOUBLE,
|
||||||
|
fee DOUBLE,
|
||||||
|
trade_type VARCHAR(20),
|
||||||
|
created_time_ts BIGINT,
|
||||||
|
is_taker BOOL
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Balance Table ####
|
||||||
|
async def create_fr_extended_user_balance(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_extended_user_balance')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_extended_user_balance (
|
||||||
|
sequence_id INT,
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
collateral_name VARCHAR(20),
|
||||||
|
balance DOUBLE,
|
||||||
|
equity DOUBLE,
|
||||||
|
available_for_trade DOUBLE,
|
||||||
|
available_for_withdrawal DOUBLE,
|
||||||
|
unrealised_pnl DOUBLE,
|
||||||
|
initial_margin DOUBLE,
|
||||||
|
margin_ratio DOUBLE,
|
||||||
|
updated_time_ts BIGINT,
|
||||||
|
exposure DOUBLE,
|
||||||
|
leverage DOUBLE
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Balance Table ####
|
||||||
|
async def create_fr_extended_user_position(
|
||||||
|
CON: AsyncContextManager,
|
||||||
|
engine: str = 'mysql', # mysql | duckdb
|
||||||
|
) -> None:
|
||||||
|
if CON is None:
|
||||||
|
logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
else:
|
||||||
|
if engine == 'mysql':
|
||||||
|
logging.info('Creating Table if Does Not Exist: fr_extended_user_position')
|
||||||
|
await CON.execute(text("""
|
||||||
|
CREATE TABLE IF NOT EXISTS fr_extended_user_position (
|
||||||
|
sequence_id INT,
|
||||||
|
timestamp_arrival BIGINT,
|
||||||
|
timestamp_msg BIGINT,
|
||||||
|
position_id VARCHAR(100),
|
||||||
|
account_id VARCHAR(100),
|
||||||
|
market VARCHAR(20),
|
||||||
|
side VARCHAR(20),
|
||||||
|
leverage DOUBLE,
|
||||||
|
size DOUBLE,
|
||||||
|
value DOUBLE,
|
||||||
|
open_price DOUBLE,
|
||||||
|
mark_price DOUBLE,
|
||||||
|
liquidation_price DOUBLE,
|
||||||
|
margin DOUBLE,
|
||||||
|
unrealised_pnl DOUBLE,
|
||||||
|
realised_pnl DOUBLE,
|
||||||
|
tp_trigger_price DOUBLE,
|
||||||
|
tp_limit_price DOUBLE,
|
||||||
|
sl_trigger_price DOUBLE,
|
||||||
|
sl_limit_price DOUBLE,
|
||||||
|
adl_percentile INT,
|
||||||
|
created_at_ts BIGINT,
|
||||||
|
updated_at_ts BIGINT
|
||||||
|
);
|
||||||
|
"""))
|
||||||
|
await CON.commit()
|
||||||
|
else:
|
||||||
|
raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
25
requirements.txt
Normal file
25
requirements.txt
Normal file
@@ -0,0 +1,25 @@
|
|||||||
|
pandas
|
||||||
|
rel
|
||||||
|
websockets
|
||||||
|
pyarrow
|
||||||
|
# plotly
|
||||||
|
mysql-connector-python
|
||||||
|
sqlalchemy
|
||||||
|
requests
|
||||||
|
pymysql
|
||||||
|
scipy
|
||||||
|
asyncmy
|
||||||
|
cryptography
|
||||||
|
# TA-Lib
|
||||||
|
valkey
|
||||||
|
nicegui
|
||||||
|
# py_clob_client
|
||||||
|
# google
|
||||||
|
# google-api-core==2.30.0
|
||||||
|
# google-api-python-client==2.190.0
|
||||||
|
# googleapis-common-protos==1.72.0
|
||||||
|
# grpcio==1.76.0
|
||||||
|
# grpcio-tools==1.76.0
|
||||||
|
x10-python-trading-starknet
|
||||||
|
eth-keys
|
||||||
|
eth-account
|
||||||
248
ws_apex.py
Normal file
248
ws_apex.py
Normal file
@@ -0,0 +1,248 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import socket
|
||||||
|
import traceback
|
||||||
|
from datetime import datetime
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||||
|
from sqlalchemy import text
|
||||||
|
import websockets
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import valkey
|
||||||
|
import os
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
|
||||||
|
|
||||||
|
### Allow only ipv4 ###
|
||||||
|
def allowed_gai_family():
|
||||||
|
return socket.AF_INET
|
||||||
|
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
USE_DB: bool = False
|
||||||
|
USE_VK: bool = True
|
||||||
|
# VK_FUND_RATE = 'fund_rate_apex'
|
||||||
|
VK_TICKER = 'fut_ticker_apex'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Apex.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
PING_INTERVAL_SEC = 15
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
WSS_URL = "wss://quote.omni.apex.exchange/realtime_public?v=2×tamp="
|
||||||
|
TICKER_SNAPSHOT_DATA_LAST: dict = {}
|
||||||
|
|
||||||
|
# HIST_TRADES = np.empty((0, 3))
|
||||||
|
# HIST_TRADES_LOOKBACK_SEC = 6
|
||||||
|
|
||||||
|
# ### Database Funcs ###
|
||||||
|
# async def create_rtds_btcusd_table(
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# logging.info('Creating Table if Does Not Exist: binance_btcusd_trades')
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# CREATE TABLE IF NOT EXISTS binance_btcusd_trades (
|
||||||
|
# timestamp_arrival BIGINT,
|
||||||
|
# timestamp_msg BIGINT,
|
||||||
|
# timestamp_value BIGINT,
|
||||||
|
# value DOUBLE,
|
||||||
|
# qty DOUBLE
|
||||||
|
# );
|
||||||
|
# """))
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
# async def insert_rtds_btcusd_table(
|
||||||
|
# timestamp_arrival: int,
|
||||||
|
# timestamp_msg: int,
|
||||||
|
# timestamp_value: int,
|
||||||
|
# value: float,
|
||||||
|
# qty: float,
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# params={
|
||||||
|
# 'timestamp_arrival': timestamp_arrival,
|
||||||
|
# 'timestamp_msg': timestamp_msg,
|
||||||
|
# 'timestamp_value': timestamp_value,
|
||||||
|
# 'value': value,
|
||||||
|
# 'qty': qty,
|
||||||
|
# }
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# INSERT INTO binance_btcusd_trades
|
||||||
|
# (
|
||||||
|
# timestamp_arrival,
|
||||||
|
# timestamp_msg,
|
||||||
|
# timestamp_value,
|
||||||
|
# value,
|
||||||
|
# qty
|
||||||
|
# )
|
||||||
|
# VALUES
|
||||||
|
# (
|
||||||
|
# :timestamp_arrival,
|
||||||
|
# :timestamp_msg,
|
||||||
|
# :timestamp_value,
|
||||||
|
# :value,
|
||||||
|
# :qty
|
||||||
|
# )
|
||||||
|
# """),
|
||||||
|
# parameters=params
|
||||||
|
# )
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Websocket ###
|
||||||
|
async def heartbeat(ws):
|
||||||
|
while True:
|
||||||
|
await asyncio.sleep(PING_INTERVAL_SEC)
|
||||||
|
logging.info("SENDING PING...")
|
||||||
|
ping_msg = {"op":"ping","args":[ str(round(datetime.now().timestamp()*1000)) ]}
|
||||||
|
await ws.send(json.dumps(ping_msg))
|
||||||
|
|
||||||
|
async def ws_stream():
|
||||||
|
global TICKER_SNAPSHOT_DATA_LAST
|
||||||
|
|
||||||
|
async for websocket in websockets.connect(f'{WSS_URL}{round(datetime.now().timestamp())}'):
|
||||||
|
logging.info(f"Connected to {WSS_URL}")
|
||||||
|
|
||||||
|
asyncio.create_task(heartbeat(ws=websocket))
|
||||||
|
|
||||||
|
subscribe_msg = {
|
||||||
|
"op": "subscribe",
|
||||||
|
"args": ["instrumentInfo.H.ETHUSDT"]
|
||||||
|
}
|
||||||
|
|
||||||
|
await websocket.send(json.dumps(subscribe_msg))
|
||||||
|
|
||||||
|
try:
|
||||||
|
async for message in websocket:
|
||||||
|
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||||
|
if isinstance(message, str):
|
||||||
|
try:
|
||||||
|
data = json.loads(message)
|
||||||
|
if data.get('op', None) == 'ping':
|
||||||
|
pong_msg = {"op":"pong","args":[ str(round(datetime.now().timestamp()*1000)) ]}
|
||||||
|
logging.info(f'RECEIVED PING: {data}; SENDING PONG: {pong_msg}')
|
||||||
|
await websocket.send(json.dumps(pong_msg))
|
||||||
|
continue
|
||||||
|
elif data.get('success', None):
|
||||||
|
# logging.info('CONNECTION SUCCESFUL RESP MSG')
|
||||||
|
continue
|
||||||
|
|
||||||
|
msg_type = data.get('type', None)
|
||||||
|
if msg_type is not None:
|
||||||
|
match msg_type:
|
||||||
|
case 'snapshot':
|
||||||
|
TICKER_SNAPSHOT_DATA_LAST = data['data']
|
||||||
|
|
||||||
|
nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000)
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'],
|
||||||
|
'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']),
|
||||||
|
'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']),
|
||||||
|
'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']),
|
||||||
|
'volume24h': float(TICKER_SNAPSHOT_DATA_LAST['volume24h']),
|
||||||
|
'fundingRate': float(TICKER_SNAPSHOT_DATA_LAST['fundingRate']),
|
||||||
|
'predictedFundingRate': float(TICKER_SNAPSHOT_DATA_LAST['predictedFundingRate']),
|
||||||
|
'nextFundingTime_ts_ms': nextFundingTime_ts,
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
|
||||||
|
continue
|
||||||
|
case 'delta':
|
||||||
|
TICKER_SNAPSHOT_DATA_LAST.update(data['data'])
|
||||||
|
|
||||||
|
nextFundingTime_ts = round(datetime.strptime(TICKER_SNAPSHOT_DATA_LAST['nextFundingTime'], "%Y-%m-%dT%H:%M:%SZ").timestamp()*1000)
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
'symbol': TICKER_SNAPSHOT_DATA_LAST['symbol'],
|
||||||
|
'lastPrice': float(TICKER_SNAPSHOT_DATA_LAST['lastPrice']),
|
||||||
|
'markPrice': float(TICKER_SNAPSHOT_DATA_LAST['markPrice']),
|
||||||
|
'indexPrice': float(TICKER_SNAPSHOT_DATA_LAST['indexPrice']),
|
||||||
|
'volume24h': float(TICKER_SNAPSHOT_DATA_LAST['volume24h']),
|
||||||
|
'fundingRate': float(TICKER_SNAPSHOT_DATA_LAST['fundingRate']),
|
||||||
|
'predictedFundingRate': float(TICKER_SNAPSHOT_DATA_LAST['predictedFundingRate']),
|
||||||
|
'nextFundingTime_ts_ms': nextFundingTime_ts,
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
|
||||||
|
continue
|
||||||
|
case _:
|
||||||
|
logging.warning(f'UNMATCHED OTHER MSG: {data}')
|
||||||
|
else:
|
||||||
|
logging.info(f'Initial or unexpected data struct, skipping: {data}')
|
||||||
|
continue
|
||||||
|
except (json.JSONDecodeError, ValueError):
|
||||||
|
logging.warning(f'Message not in JSON format, skipping: {message}')
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Type: {type(data)} not expected: {message}')
|
||||||
|
except websockets.ConnectionClosed as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
continue
|
||||||
|
except Exception as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
if USE_VK:
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||||
|
else:
|
||||||
|
VAL_KEY = None
|
||||||
|
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||||
|
|
||||||
|
if USE_DB:
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
# await create_rtds_btcusd_table(CON=CON)
|
||||||
|
await ws_stream()
|
||||||
|
else:
|
||||||
|
CON = None
|
||||||
|
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||||
|
await ws_stream()
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
asyncio.run(main())
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
logging.info("Stream stopped")
|
||||||
216
ws_aster.py
Normal file
216
ws_aster.py
Normal file
@@ -0,0 +1,216 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import socket
|
||||||
|
import traceback
|
||||||
|
from datetime import datetime
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||||
|
from sqlalchemy import text
|
||||||
|
import websockets
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import valkey
|
||||||
|
import os
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
|
||||||
|
|
||||||
|
### Allow only ipv4 ###
|
||||||
|
def allowed_gai_family():
|
||||||
|
return socket.AF_INET
|
||||||
|
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
USE_DB: bool = False
|
||||||
|
USE_VK: bool = True
|
||||||
|
VK_FUND_RATE = 'fund_rate_aster'
|
||||||
|
VK_TICKER = 'fut_ticker_aster'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Aster.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
SYMBOL: str = 'ETHUSDT'
|
||||||
|
STREAM_MARKPRICE: str = f'{SYMBOL.lower()}@markPrice@1s'
|
||||||
|
STREAM_BOOKTICKER: str = f'{SYMBOL.lower()}@bookTicker'
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
WSS_URL = f"wss://fstream.asterdex.com/stream?streams={STREAM_MARKPRICE}/{STREAM_BOOKTICKER}"
|
||||||
|
# WSS_URL = f"wss://fstream.asterdex.com/stream?streams={STREAM_MARKPRICE}"
|
||||||
|
|
||||||
|
# HIST_TRADES = np.empty((0, 3))
|
||||||
|
# HIST_TRADES_LOOKBACK_SEC = 6
|
||||||
|
|
||||||
|
# ### Database Funcs ###
|
||||||
|
# async def create_rtds_btcusd_table(
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# logging.info('Creating Table if Does Not Exist: binance_btcusd_trades')
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# CREATE TABLE IF NOT EXISTS binance_btcusd_trades (
|
||||||
|
# timestamp_arrival BIGINT,
|
||||||
|
# timestamp_msg BIGINT,
|
||||||
|
# timestamp_value BIGINT,
|
||||||
|
# value DOUBLE,
|
||||||
|
# qty DOUBLE
|
||||||
|
# );
|
||||||
|
# """))
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
# async def insert_rtds_btcusd_table(
|
||||||
|
# timestamp_arrival: int,
|
||||||
|
# timestamp_msg: int,
|
||||||
|
# timestamp_value: int,
|
||||||
|
# value: float,
|
||||||
|
# qty: float,
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# params={
|
||||||
|
# 'timestamp_arrival': timestamp_arrival,
|
||||||
|
# 'timestamp_msg': timestamp_msg,
|
||||||
|
# 'timestamp_value': timestamp_value,
|
||||||
|
# 'value': value,
|
||||||
|
# 'qty': qty,
|
||||||
|
# }
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# INSERT INTO binance_btcusd_trades
|
||||||
|
# (
|
||||||
|
# timestamp_arrival,
|
||||||
|
# timestamp_msg,
|
||||||
|
# timestamp_value,
|
||||||
|
# value,
|
||||||
|
# qty
|
||||||
|
# )
|
||||||
|
# VALUES
|
||||||
|
# (
|
||||||
|
# :timestamp_arrival,
|
||||||
|
# :timestamp_msg,
|
||||||
|
# :timestamp_value,
|
||||||
|
# :value,
|
||||||
|
# :qty
|
||||||
|
# )
|
||||||
|
# """),
|
||||||
|
# parameters=params
|
||||||
|
# )
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Websocket ###
|
||||||
|
async def ws_stream():
|
||||||
|
async for websocket in websockets.connect(WSS_URL):
|
||||||
|
logging.info(f"Connected to {WSS_URL}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
async for message in websocket:
|
||||||
|
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||||
|
if isinstance(message, str):
|
||||||
|
try:
|
||||||
|
data = json.loads(message)
|
||||||
|
channel = data.get('stream', None)
|
||||||
|
if channel is not None:
|
||||||
|
match channel:
|
||||||
|
case c if c == STREAM_MARKPRICE:
|
||||||
|
# print(f'MP: {data}')
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['data']['E'],
|
||||||
|
'symbol': data['data']['s'],
|
||||||
|
'mark_price': data['data']['p'],
|
||||||
|
'index_price': data['data']['i'],
|
||||||
|
'estimated_settle_price': data['data']['P'],
|
||||||
|
'funding_rate': data['data']['r'],
|
||||||
|
'next_funding_time_ts_ms': data['data']['T'],
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_FUND_RATE, VAL_KEY_OBJ)
|
||||||
|
continue
|
||||||
|
case c if c == STREAM_BOOKTICKER:
|
||||||
|
# print(f'BT: {data}')
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['data']['E'],
|
||||||
|
'timestamp_transaction': data['data']['T'],
|
||||||
|
'orderbook_update_id': data['data']['u'],
|
||||||
|
'symbol': data['data']['s'],
|
||||||
|
'best_bid_px': data['data']['b'],
|
||||||
|
'best_bid_qty': data['data']['B'],
|
||||||
|
'best_ask_px': data['data']['a'],
|
||||||
|
'best_ask_qty': data['data']['A'],
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
|
||||||
|
continue
|
||||||
|
case _:
|
||||||
|
logging.warning(f'UNMATCHED OTHER MSG: {data}')
|
||||||
|
else:
|
||||||
|
logging.info(f'Initial or unexpected data struct, skipping: {data}')
|
||||||
|
continue
|
||||||
|
except (json.JSONDecodeError, ValueError):
|
||||||
|
logging.warning(f'Message not in JSON format, skipping: {message}')
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Type: {type(data)} not expected: {message}')
|
||||||
|
except websockets.ConnectionClosed as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
continue
|
||||||
|
except Exception as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
if USE_VK:
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||||
|
else:
|
||||||
|
VAL_KEY = None
|
||||||
|
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||||
|
|
||||||
|
if USE_DB:
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
# await create_rtds_btcusd_table(CON=CON)
|
||||||
|
await ws_stream()
|
||||||
|
else:
|
||||||
|
CON = None
|
||||||
|
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||||
|
await ws_stream()
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
asyncio.run(main())
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
logging.info("Stream stopped")
|
||||||
19
ws_aster/Dockerfile
Normal file
19
ws_aster/Dockerfile
Normal file
@@ -0,0 +1,19 @@
|
|||||||
|
FROM python:3.13-slim
|
||||||
|
|
||||||
|
RUN apt-get update && \
|
||||||
|
apt-get install -y build-essential
|
||||||
|
|
||||||
|
RUN gcc --version
|
||||||
|
RUN rm -rf /var/lib/apt/lists/*
|
||||||
|
|
||||||
|
WORKDIR /app
|
||||||
|
|
||||||
|
COPY requirements.txt .
|
||||||
|
|
||||||
|
RUN pip install --no-cache-dir -r requirements.txt
|
||||||
|
|
||||||
|
COPY . .
|
||||||
|
|
||||||
|
# Finally, run gunicorn.
|
||||||
|
CMD [ "python", "ws_aster.py"]
|
||||||
|
# CMD [ "gunicorn", "--workers=5", "--threads=1", "-b 0.0.0.0:8000", "app:server"]
|
||||||
301
ws_aster_user.py
Normal file
301
ws_aster_user.py
Normal file
@@ -0,0 +1,301 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import socket
|
||||||
|
import traceback
|
||||||
|
from datetime import datetime
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||||
|
from sqlalchemy import text
|
||||||
|
import websockets
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import valkey
|
||||||
|
import os
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
import modules.aster_auth as aster_auth
|
||||||
|
import modules.aster_db as aster_db
|
||||||
|
import modules.db as db
|
||||||
|
|
||||||
|
### Allow only ipv4 ###
|
||||||
|
def allowed_gai_family():
|
||||||
|
return socket.AF_INET
|
||||||
|
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
USE_DB: bool = True
|
||||||
|
USE_VK: bool = True
|
||||||
|
VK_ORDERS_TRADES = 'fr_aster_user_orders'
|
||||||
|
VK_MARGIN_CALLS = 'fr_aster_user_margin_calls'
|
||||||
|
VK_BALANCES = 'fr_aster_user_balances'
|
||||||
|
VK_POSITIONS = 'fr_aster_user_positions'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Aster_User.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
WSS_URL = "wss://fstream.asterdex.com/ws/"
|
||||||
|
LOCAL_RECENT_UPDATES_LOOKBACK_SEC = 30
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
LISTEN_KEY: str | None = None
|
||||||
|
LISTEN_KEY_LAST_UPDATE_TS_S: int = 0
|
||||||
|
LISTEN_KEY_PUT_INTERVAL_SEC = 1800
|
||||||
|
|
||||||
|
LOCAL_RECENT_ORDERS: list = []
|
||||||
|
LOCAL_RECENT_MARGIN_CALLS: list = []
|
||||||
|
LOCAL_RECENT_BALANCES: list = []
|
||||||
|
LOCAL_RECENT_POSITIONS: list = []
|
||||||
|
|
||||||
|
|
||||||
|
def upsert_list_of_dicts_by_id(list_of_dicts, new_dict, id='id'):
|
||||||
|
for index, item in enumerate(list_of_dicts):
|
||||||
|
if item.get(id) == new_dict.get(id):
|
||||||
|
list_of_dicts[index] = new_dict
|
||||||
|
return list_of_dicts
|
||||||
|
|
||||||
|
list_of_dicts.append(new_dict)
|
||||||
|
return list_of_dicts
|
||||||
|
|
||||||
|
|
||||||
|
def get_new_listen_key() -> str:
|
||||||
|
global LISTEN_KEY_LAST_UPDATE_TS_S
|
||||||
|
|
||||||
|
listen_key_request = {
|
||||||
|
"url": "/fapi/v3/listenKey",
|
||||||
|
"method": "POST",
|
||||||
|
"params": {}
|
||||||
|
}
|
||||||
|
r = aster_auth.post_authenticated_url(listen_key_request)
|
||||||
|
listen_key = r.get('listenKey', None)
|
||||||
|
print(f'LISTEN KEY: {listen_key}')
|
||||||
|
if listen_key is not None:
|
||||||
|
LISTEN_KEY_LAST_UPDATE_TS_S = round(datetime.now().timestamp())
|
||||||
|
return listen_key
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Listen Key is None; Failed to Update. response: {r}')
|
||||||
|
|
||||||
|
async def listen_key_interval():
|
||||||
|
global LISTEN_KEY
|
||||||
|
|
||||||
|
while True:
|
||||||
|
await asyncio.sleep(LISTEN_KEY_PUT_INTERVAL_SEC)
|
||||||
|
LISTEN_KEY = get_new_listen_key()
|
||||||
|
|
||||||
|
### Websocket ###
|
||||||
|
async def ws_stream():
|
||||||
|
global LISTEN_KEY
|
||||||
|
global LOCAL_RECENT_ORDERS
|
||||||
|
global LOCAL_RECENT_MARGIN_CALLS
|
||||||
|
global LOCAL_RECENT_BALANCES
|
||||||
|
global LOCAL_RECENT_POSITIONS
|
||||||
|
|
||||||
|
LISTEN_KEY = get_new_listen_key()
|
||||||
|
|
||||||
|
async for websocket in websockets.connect(WSS_URL+LISTEN_KEY):
|
||||||
|
logging.info(f"Connected to {WSS_URL}")
|
||||||
|
asyncio.create_task(listen_key_interval())
|
||||||
|
try:
|
||||||
|
async for message in websocket:
|
||||||
|
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
if isinstance(message, str):
|
||||||
|
try:
|
||||||
|
data = json.loads(message)
|
||||||
|
channel = data.get('e', None)
|
||||||
|
if channel is not None:
|
||||||
|
LOOKBACK_MIN_TS_MS = ts_arrival - (LOCAL_RECENT_UPDATES_LOOKBACK_SEC*1000)
|
||||||
|
|
||||||
|
match channel:
|
||||||
|
case 'ORDER_TRADE_UPDATE':
|
||||||
|
logging.info(f'ORDER_TRADE_UPDATE: {data}')
|
||||||
|
new_order_update = {
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['E'],
|
||||||
|
'timestamp_transaction': data['T'],
|
||||||
|
|
||||||
|
'symbol': data['o']["s"], # "BTCUSDT", // Symbol
|
||||||
|
'client_order_id': data['o']["c"], # "TEST", // Client Order Id
|
||||||
|
'side': data['o']["S"], # "SELL", // Side
|
||||||
|
'order_type': data['o']["o"], # "TRAILING_STOP_MARKET", // Order Type
|
||||||
|
'time_in_force': data['o']["f"], # "GTC", // Time in Force
|
||||||
|
'original_qty': float(data['o']["q"]), # "0.001", // Original Quantity
|
||||||
|
'original_price': float(data['o']["p"]), # "0", // Original Price
|
||||||
|
'avg_price': float(data['o']["ap"]), # :"0", // Average Price
|
||||||
|
'stop_price': float(data['o'].get("sp", 0)), # :"7103.04", // Stop Price. Please ignore with TRAILING_STOP_MARKET order
|
||||||
|
'execution_type': data['o']["x"], # "NEW", // Execution Type
|
||||||
|
'order_status': data['o']["X"], # "NEW", // Order Status
|
||||||
|
'order_id': data['o']["i"], # 8886774, // Order Id
|
||||||
|
'last_filled_qty': float(data['o']["l"]), # "0", // Order Last Filled Quantity
|
||||||
|
'filled_accumulated_qty': float(data['o']["z"]), # "0", // Order Filled Accumulated Quantity
|
||||||
|
'last_filled_price': float(data['o']["L"]), # "0", // Last Filled Price
|
||||||
|
'commission_asset': data['o'].get("N", None), # "USDT", // Commission Asset, will not push if no commission
|
||||||
|
'commission': float(data['o'].get("n",0)), # "0", // Commission, will not push if no commission
|
||||||
|
'order_trade_time_ts': data['o']["T"], # 1568879465651, // Order Trade Time
|
||||||
|
'trade_id': data['o']["t"], # 0, // Trade Id
|
||||||
|
'bid_notional': float(data['o']["b"]), # "0", // Bids Notional
|
||||||
|
'ask_notional': float(data['o']["a"]), # "9.91", // Ask Notional
|
||||||
|
'trade_is_maker': data['o']["m"], # false, // Is this trade the maker side?
|
||||||
|
'trade_is_reduce_only': data['o']["R"], # false, // Is this reduce only
|
||||||
|
'stop_px_working_type': data['o']["wt"], # :"CONTRACT_PRICE", // Stop Price Working Type
|
||||||
|
'original_order_type': data['o']["ot"], # :"TRAILING_STOP_MARKET", // Original Order Type
|
||||||
|
'position_side': data['o']["ps"], # :"LONG", // Position Side
|
||||||
|
'pushed_w_conditional_order': bool(data['o'].get("cp", False)), # :false, // If Close-All, pushed with conditional order
|
||||||
|
'activation_price': float(data['o'].get("AP", 0)), # :"7476.89", // Activation Price, only puhed with TRAILING_STOP_MARKET order
|
||||||
|
'callback_rate': float(data['o'].get("cr", 0)), # :"5.0", // Callback Rate, only puhed with TRAILING_STOP_MARKET order
|
||||||
|
'realized_profit': float(data['o']["rp"]), # :"0" // Realized Profit of the trade
|
||||||
|
}
|
||||||
|
LOCAL_RECENT_ORDERS = upsert_list_of_dicts_by_id(LOCAL_RECENT_ORDERS, new_order_update, id='client_order_id')
|
||||||
|
LOCAL_RECENT_ORDERS = [t for t in LOCAL_RECENT_ORDERS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
|
||||||
|
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_ORDERS)
|
||||||
|
VAL_KEY.set(VK_ORDERS_TRADES, VAL_KEY_OBJ)
|
||||||
|
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_aster_user_order_trade', params=new_order_update, CON=CON)
|
||||||
|
continue
|
||||||
|
case 'MARGIN_CALL':
|
||||||
|
logging.info(f'MARGIN_CALL: {data}')
|
||||||
|
list_for_df = []
|
||||||
|
for p in list(data['p']):
|
||||||
|
margin_call_update = {
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['E'],
|
||||||
|
'cross_wallet_balance': float(data.get('cw', 0)),
|
||||||
|
|
||||||
|
'symbol': p["s"], # "ETHUSDT", // Symbol
|
||||||
|
'position_side': p["ps"], # :"LONG", // Position Side
|
||||||
|
'position_amount': float(p["pa"]), # :"1.327", // Position Amount
|
||||||
|
'margin_type': p["mt"], # :"CROSSED", // Margin Type
|
||||||
|
'isolated_wallet': float(p.get("iw", 0)), # :"0", // Isolated Wallet (if isolated position)
|
||||||
|
'mark_price': float(p["mp"]), # :"187.17127", // Mark Price
|
||||||
|
'unrealized_pnl': float(p["up"]), # :"-1.166074", // Unrealized PnL
|
||||||
|
'maint_margin_required': float(p["mm"]), # :"1.614445" // Maintenance Margin Required
|
||||||
|
}
|
||||||
|
list_for_df.append(margin_call_update)
|
||||||
|
LOCAL_RECENT_MARGIN_CALLS = upsert_list_of_dicts_by_id(LOCAL_RECENT_MARGIN_CALLS, margin_call_update, id='symbol')
|
||||||
|
LOCAL_RECENT_MARGIN_CALLS = [t for t in LOCAL_RECENT_MARGIN_CALLS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
|
||||||
|
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_MARGIN_CALLS)
|
||||||
|
VAL_KEY.set(VK_MARGIN_CALLS, VAL_KEY_OBJ)
|
||||||
|
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_aster_user_margin', params=list_for_df, CON=CON)
|
||||||
|
continue
|
||||||
|
case 'ACCOUNT_UPDATE':
|
||||||
|
logging.info(f'ACCOUNT_UPDATE: {data}')
|
||||||
|
list_for_df_bal = []
|
||||||
|
list_for_df_pos = []
|
||||||
|
### Balance Updates ###
|
||||||
|
if len(list(data['a']['B'])) > 0:
|
||||||
|
for b in list(data['a']['B']):
|
||||||
|
balance_update = {
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['E'],
|
||||||
|
'timestamp_transaction': data['T'],
|
||||||
|
|
||||||
|
'event_reason_type': data['a']["m"],
|
||||||
|
|
||||||
|
'asset': b['a'],
|
||||||
|
'wallet_balance': float(b['wb']),
|
||||||
|
'cross_wallet_balance': float(b.get('cw', 0)),
|
||||||
|
'balance_change_excl_pnl_comms': float(b['bc']),
|
||||||
|
}
|
||||||
|
list_for_df_bal.append(balance_update)
|
||||||
|
LOCAL_RECENT_BALANCES = upsert_list_of_dicts_by_id(LOCAL_RECENT_BALANCES, balance_update, id='asset')
|
||||||
|
LOCAL_RECENT_BALANCES = [t for t in LOCAL_RECENT_BALANCES if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
VAL_KEY.set(VK_BALANCES, json.dumps(LOCAL_RECENT_BALANCES))
|
||||||
|
### Position Updates ###
|
||||||
|
if len(list(data['a']['P'])) > 0:
|
||||||
|
for p in list(data['a']['P']):
|
||||||
|
position_update = {
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['E'],
|
||||||
|
'timestamp_transaction': data['T'],
|
||||||
|
|
||||||
|
'event_reason_type': data['a']["m"],
|
||||||
|
|
||||||
|
'symbol': p['s'],
|
||||||
|
'position_amount': float(p['pa']),
|
||||||
|
'entry_price': float(p['ep']),
|
||||||
|
'accumulated_realized_pre_fees': float(p['cr']),
|
||||||
|
'unrealized_pnl': float(p['up']),
|
||||||
|
'margin_type': p['mt'],
|
||||||
|
'isolated_wallet': float(p.get('iw', 0)),
|
||||||
|
'position_side': p['ps'],
|
||||||
|
}
|
||||||
|
list_for_df_pos.append(position_update)
|
||||||
|
LOCAL_RECENT_POSITIONS = upsert_list_of_dicts_by_id(LOCAL_RECENT_POSITIONS, position_update, id='symbol')
|
||||||
|
LOCAL_RECENT_POSITIONS = [t for t in LOCAL_RECENT_POSITIONS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
VAL_KEY.set(VK_POSITIONS, json.dumps(LOCAL_RECENT_POSITIONS))
|
||||||
|
if balance_update:
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_aster_user_account_bal', params=list_for_df_bal, CON=CON)
|
||||||
|
if position_update:
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_aster_user_account_pos', params=list_for_df_bal, CON=CON)
|
||||||
|
continue
|
||||||
|
case 'listenKeyExpired':
|
||||||
|
raise('Listen Key Has Expired; Failed to Update Properly. Restarting.')
|
||||||
|
case _:
|
||||||
|
logging.warning(f'UNMATCHED OTHER MSG: {data}')
|
||||||
|
else:
|
||||||
|
logging.info(f'Initial or unexpected data struct, skipping: {data}')
|
||||||
|
continue
|
||||||
|
except (json.JSONDecodeError, ValueError):
|
||||||
|
logging.warning(f'Message not in JSON format, skipping: {message}')
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Type: {type(data)} not expected: {message}')
|
||||||
|
except websockets.ConnectionClosed as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
continue
|
||||||
|
except Exception as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
if USE_VK:
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||||
|
else:
|
||||||
|
VAL_KEY = None
|
||||||
|
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||||
|
|
||||||
|
if USE_DB:
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
await aster_db.create_fr_aster_user_order_trade_table(CON=CON)
|
||||||
|
await aster_db.create_fr_aster_user_margin_table(CON=CON)
|
||||||
|
await aster_db.create_fr_aster_user_account_bal(CON=CON)
|
||||||
|
await aster_db.create_fr_aster_user_account_pos(CON=CON)
|
||||||
|
await ws_stream()
|
||||||
|
else:
|
||||||
|
CON = None
|
||||||
|
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||||
|
await ws_stream()
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
asyncio.run(main())
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
logging.info("Stream stopped")
|
||||||
19
ws_aster_user/Dockerfile
Normal file
19
ws_aster_user/Dockerfile
Normal file
@@ -0,0 +1,19 @@
|
|||||||
|
FROM python:3.13-slim
|
||||||
|
|
||||||
|
RUN apt-get update && \
|
||||||
|
apt-get install -y build-essential
|
||||||
|
|
||||||
|
RUN gcc --version
|
||||||
|
RUN rm -rf /var/lib/apt/lists/*
|
||||||
|
|
||||||
|
WORKDIR /app
|
||||||
|
|
||||||
|
COPY requirements.txt .
|
||||||
|
|
||||||
|
RUN pip install --no-cache-dir -r requirements.txt
|
||||||
|
|
||||||
|
COPY . .
|
||||||
|
|
||||||
|
# Finally, run gunicorn.
|
||||||
|
CMD [ "python", "ws_aster_user.py"]
|
||||||
|
# CMD [ "gunicorn", "--workers=5", "--threads=1", "-b 0.0.0.0:8000", "app:server"]
|
||||||
203
ws_extended_fund_rate.py
Normal file
203
ws_extended_fund_rate.py
Normal file
@@ -0,0 +1,203 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import socket
|
||||||
|
import traceback
|
||||||
|
from datetime import datetime, timezone
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
import math
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||||
|
from sqlalchemy import text
|
||||||
|
import websockets
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import valkey
|
||||||
|
import os
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
|
||||||
|
|
||||||
|
### Allow only ipv4 ###
|
||||||
|
def allowed_gai_family():
|
||||||
|
return socket.AF_INET
|
||||||
|
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
USE_DB: bool = False
|
||||||
|
USE_VK: bool = True
|
||||||
|
VK_FUND_RATE = 'fund_rate_extended'
|
||||||
|
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Extended_FR.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
WS_SYMBOL: str = 'ETH-USD'
|
||||||
|
FUNDING_RATE_INTERVAL_MIN = 60
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
WSS_URL = f"wss://api.starknet.extended.exchange/stream.extended.exchange/v1/funding/{WS_SYMBOL}"
|
||||||
|
|
||||||
|
|
||||||
|
# HIST_TRADES = np.empty((0, 3))
|
||||||
|
# HIST_TRADES_LOOKBACK_SEC = 6
|
||||||
|
|
||||||
|
def time_round_down(dt, interval_mins=5) -> int: # returns timestamp in seconds
|
||||||
|
interval_secs = interval_mins * 60
|
||||||
|
seconds = dt.timestamp()
|
||||||
|
rounded_seconds = math.floor(seconds / interval_secs) * interval_secs
|
||||||
|
|
||||||
|
return rounded_seconds
|
||||||
|
|
||||||
|
|
||||||
|
# ### Database Funcs ###
|
||||||
|
# async def create_rtds_btcusd_table(
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# logging.info('Creating Table if Does Not Exist: binance_btcusd_trades')
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# CREATE TABLE IF NOT EXISTS binance_btcusd_trades (
|
||||||
|
# timestamp_arrival BIGINT,
|
||||||
|
# timestamp_msg BIGINT,
|
||||||
|
# timestamp_value BIGINT,
|
||||||
|
# value DOUBLE,
|
||||||
|
# qty DOUBLE
|
||||||
|
# );
|
||||||
|
# """))
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
# async def insert_rtds_btcusd_table(
|
||||||
|
# timestamp_arrival: int,
|
||||||
|
# timestamp_msg: int,
|
||||||
|
# timestamp_value: int,
|
||||||
|
# value: float,
|
||||||
|
# qty: float,
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# params={
|
||||||
|
# 'timestamp_arrival': timestamp_arrival,
|
||||||
|
# 'timestamp_msg': timestamp_msg,
|
||||||
|
# 'timestamp_value': timestamp_value,
|
||||||
|
# 'value': value,
|
||||||
|
# 'qty': qty,
|
||||||
|
# }
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# INSERT INTO binance_btcusd_trades
|
||||||
|
# (
|
||||||
|
# timestamp_arrival,
|
||||||
|
# timestamp_msg,
|
||||||
|
# timestamp_value,
|
||||||
|
# value,
|
||||||
|
# qty
|
||||||
|
# )
|
||||||
|
# VALUES
|
||||||
|
# (
|
||||||
|
# :timestamp_arrival,
|
||||||
|
# :timestamp_msg,
|
||||||
|
# :timestamp_value,
|
||||||
|
# :value,
|
||||||
|
# :qty
|
||||||
|
# )
|
||||||
|
# """),
|
||||||
|
# parameters=params
|
||||||
|
# )
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Websocket ###
|
||||||
|
async def ws_stream():
|
||||||
|
async for websocket in websockets.connect(WSS_URL):
|
||||||
|
logging.info(f"Connected to {WSS_URL}")
|
||||||
|
try:
|
||||||
|
async for message in websocket:
|
||||||
|
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||||
|
if isinstance(message, str):
|
||||||
|
try:
|
||||||
|
data = json.loads(message)
|
||||||
|
if data.get('data', None) is not None:
|
||||||
|
# print(f'FR: {data}')
|
||||||
|
fr_next_update_ts = (time_round_down(dt=datetime.now(timezone.utc), interval_mins=60)+(60*60))*1000
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'sequence_id': data['seq'],
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
'symbol': data['data']['m'],
|
||||||
|
'funding_rate': float(data['data']['f']),
|
||||||
|
'funding_rate_updated_ts_ms': data['data']['T'],
|
||||||
|
'next_funding_time_ts_ms': fr_next_update_ts,
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_FUND_RATE, VAL_KEY_OBJ)
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
logging.info(f'Initial or unexpected data struct, skipping: {data}')
|
||||||
|
continue
|
||||||
|
except (json.JSONDecodeError, ValueError):
|
||||||
|
logging.warning(f'Message not in JSON format, skipping: {message}')
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Type: {type(data)} not expected: {message}')
|
||||||
|
except websockets.ConnectionClosed as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
continue
|
||||||
|
except Exception as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
if USE_VK:
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||||
|
else:
|
||||||
|
VAL_KEY = None
|
||||||
|
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||||
|
|
||||||
|
if USE_DB:
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
# await create_rtds_btcusd_table(CON=CON)
|
||||||
|
await ws_stream()
|
||||||
|
else:
|
||||||
|
CON = None
|
||||||
|
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||||
|
await ws_stream()
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
asyncio.run(main())
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
logging.info("Stream stopped")
|
||||||
19
ws_extended_fund_rate/Dockerfile
Normal file
19
ws_extended_fund_rate/Dockerfile
Normal file
@@ -0,0 +1,19 @@
|
|||||||
|
FROM python:3.13-slim
|
||||||
|
|
||||||
|
RUN apt-get update && \
|
||||||
|
apt-get install -y build-essential
|
||||||
|
|
||||||
|
RUN gcc --version
|
||||||
|
RUN rm -rf /var/lib/apt/lists/*
|
||||||
|
|
||||||
|
WORKDIR /app
|
||||||
|
|
||||||
|
COPY requirements.txt .
|
||||||
|
|
||||||
|
RUN pip install --no-cache-dir -r requirements.txt
|
||||||
|
|
||||||
|
COPY . .
|
||||||
|
|
||||||
|
# Finally, run gunicorn.
|
||||||
|
CMD [ "python", "ws_extended_fund_rate.py"]
|
||||||
|
# CMD [ "gunicorn", "--workers=5", "--threads=1", "-b 0.0.0.0:8000", "app:server"]
|
||||||
122
ws_extended_orderbook.py
Normal file
122
ws_extended_orderbook.py
Normal file
@@ -0,0 +1,122 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import socket
|
||||||
|
import traceback
|
||||||
|
from datetime import datetime
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||||
|
from sqlalchemy import text
|
||||||
|
import websockets
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import valkey
|
||||||
|
import os
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
|
||||||
|
|
||||||
|
### Allow only ipv4 ###
|
||||||
|
def allowed_gai_family():
|
||||||
|
return socket.AF_INET
|
||||||
|
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
USE_DB: bool = False
|
||||||
|
USE_VK: bool = True
|
||||||
|
|
||||||
|
VK_TICKER = 'fut_ticker_extended'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Extended_OB.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
WS_SYMBOL: str = 'ETH-USD'
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
WSS_URL = f"wss://api.starknet.extended.exchange/stream.extended.exchange/v1/orderbooks/{WS_SYMBOL}?depth=1"
|
||||||
|
|
||||||
|
### Websocket ###
|
||||||
|
async def ws_stream():
|
||||||
|
async for websocket in websockets.connect(WSS_URL):
|
||||||
|
logging.info(f"Connected to {WSS_URL}")
|
||||||
|
try:
|
||||||
|
async for message in websocket:
|
||||||
|
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||||
|
if isinstance(message, str):
|
||||||
|
try:
|
||||||
|
data = json.loads(message)
|
||||||
|
if data.get('type', None) is not None:
|
||||||
|
# print(f'OB: {data}')
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'sequence_id': data['seq'],
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
'symbol': data['data']['m'],
|
||||||
|
'best_bid_px': float(data['data']['b'][0]['p']),
|
||||||
|
'best_bid_qty': float(data['data']['b'][0]['q']),
|
||||||
|
'best_ask_px': float(data['data']['a'][0]['p']),
|
||||||
|
'best_ask_qty': float(data['data']['a'][0]['q']),
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
logging.info(f'Initial or unexpected data struct, skipping: {data}')
|
||||||
|
continue
|
||||||
|
except (json.JSONDecodeError, ValueError):
|
||||||
|
logging.warning(f'Message not in JSON format, skipping: {message}')
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Type: {type(data)} not expected: {message}')
|
||||||
|
except websockets.ConnectionClosed as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
continue
|
||||||
|
except Exception as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
if USE_VK:
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||||
|
else:
|
||||||
|
VAL_KEY = None
|
||||||
|
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||||
|
|
||||||
|
if USE_DB:
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
# await create_rtds_btcusd_table(CON=CON)
|
||||||
|
await ws_stream()
|
||||||
|
else:
|
||||||
|
CON = None
|
||||||
|
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||||
|
await ws_stream()
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
asyncio.run(main())
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
logging.info("Stream stopped")
|
||||||
19
ws_extended_orderbook/Dockerfile
Normal file
19
ws_extended_orderbook/Dockerfile
Normal file
@@ -0,0 +1,19 @@
|
|||||||
|
FROM python:3.13-slim
|
||||||
|
|
||||||
|
RUN apt-get update && \
|
||||||
|
apt-get install -y build-essential
|
||||||
|
|
||||||
|
RUN gcc --version
|
||||||
|
RUN rm -rf /var/lib/apt/lists/*
|
||||||
|
|
||||||
|
WORKDIR /app
|
||||||
|
|
||||||
|
COPY requirements.txt .
|
||||||
|
|
||||||
|
RUN pip install --no-cache-dir -r requirements.txt
|
||||||
|
|
||||||
|
COPY . .
|
||||||
|
|
||||||
|
# Finally, run gunicorn.
|
||||||
|
CMD [ "python", "ws_extended_orderbook.py"]
|
||||||
|
# CMD [ "gunicorn", "--workers=5", "--threads=1", "-b 0.0.0.0:8000", "app:server"]
|
||||||
273
ws_extended_user.py
Normal file
273
ws_extended_user.py
Normal file
@@ -0,0 +1,273 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import socket
|
||||||
|
import traceback
|
||||||
|
from datetime import datetime, timezone
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
import math
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||||
|
from sqlalchemy import text
|
||||||
|
import websockets
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import valkey
|
||||||
|
import os
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
import modules.extended_db as extended_db
|
||||||
|
import modules.db as db
|
||||||
|
|
||||||
|
### Allow only ipv4 ###
|
||||||
|
def allowed_gai_family():
|
||||||
|
return socket.AF_INET
|
||||||
|
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
USE_DB: bool = True
|
||||||
|
USE_VK: bool = True
|
||||||
|
VK_ORDERS = 'fr_extended_user_orders'
|
||||||
|
VK_TRADES = 'fr_extended_user_trades'
|
||||||
|
VK_BALANCES = 'fr_extended_user_balances'
|
||||||
|
VK_POSITIONS = 'fr_extended_user_positions'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_Extended_User.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
WSS_URL = "wss://api.starknet.extended.exchange/stream.extended.exchange/v1/account"
|
||||||
|
API_KEY = os.getenv('EXTENDED_API_KEY')
|
||||||
|
LOCAL_RECENT_UPDATES_LOOKBACK_SEC = 30
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
LOCAL_RECENT_ORDERS: list = []
|
||||||
|
LOCAL_RECENT_TRADES: list = []
|
||||||
|
LOCAL_RECENT_BALANCES: list = []
|
||||||
|
LOCAL_RECENT_POSITIONS: list = []
|
||||||
|
|
||||||
|
def upsert_list_of_dicts_by_id(list_of_dicts, new_dict, id='id', seq_check_field: str | None = None):
|
||||||
|
for index, item in enumerate(list_of_dicts):
|
||||||
|
if item.get(id) == new_dict.get(id):
|
||||||
|
if seq_check_field is not None:
|
||||||
|
if item.get(seq_check_field) < new_dict.get(seq_check_field):
|
||||||
|
logging.info('Skipping out of sequence msg')
|
||||||
|
return list_of_dicts
|
||||||
|
list_of_dicts[index] = new_dict
|
||||||
|
return list_of_dicts
|
||||||
|
|
||||||
|
list_of_dicts.append(new_dict)
|
||||||
|
return list_of_dicts
|
||||||
|
|
||||||
|
### Websocket ###
|
||||||
|
async def ws_stream():
|
||||||
|
global LOCAL_RECENT_ORDERS
|
||||||
|
global LOCAL_RECENT_TRADES
|
||||||
|
global LOCAL_RECENT_BALANCES
|
||||||
|
global LOCAL_RECENT_POSITIONS
|
||||||
|
|
||||||
|
async for websocket in websockets.connect(WSS_URL, extra_headers={'X-Api-Key': API_KEY}):
|
||||||
|
logging.info(f"Connected to {WSS_URL}")
|
||||||
|
try:
|
||||||
|
async for message in websocket:
|
||||||
|
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||||
|
if isinstance(message, str):
|
||||||
|
try:
|
||||||
|
data = json.loads(message)
|
||||||
|
channel = data.get('type', None)
|
||||||
|
if channel is not None:
|
||||||
|
LOOKBACK_MIN_TS_MS = ts_arrival - (LOCAL_RECENT_UPDATES_LOOKBACK_SEC*1000)
|
||||||
|
match channel:
|
||||||
|
case 'ORDER':
|
||||||
|
list_for_df = []
|
||||||
|
for o in data['data']['orders']:
|
||||||
|
order_update = {
|
||||||
|
'sequence_id': data['seq'],
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
|
||||||
|
'order_id': o['id'],
|
||||||
|
'account_id': o['accountId'],
|
||||||
|
'external_id': o.get('externalId', None),
|
||||||
|
'market': o['market'],
|
||||||
|
'type': o['type'],
|
||||||
|
'side': o['side'],
|
||||||
|
'status': o['status'],
|
||||||
|
'status_reason': o.get('statusReason', None),
|
||||||
|
'price': float(o.get('price', 0)),
|
||||||
|
'averagePrice': float(o.get('averagePrice', 0)),
|
||||||
|
'qty': float(o['qty']),
|
||||||
|
'filled_qty': float(o.get('filledQty', 0)),
|
||||||
|
'payed_fee': float(o.get('payedFee', 0)),
|
||||||
|
# 'trigger_dict': o.get('trigger', None),
|
||||||
|
'tp_sl_type': o.get('tpSlType', None),
|
||||||
|
# 'take_profit_dict': o.get('takeProfit', None),
|
||||||
|
# 'stop_loss_dict': o.get('stopLoss', None),
|
||||||
|
'reduce_only': o.get('reduceOnly', False),
|
||||||
|
'post_only': o.get('postOnly', False),
|
||||||
|
'created_time_ts': o['createdTime'],
|
||||||
|
'updated_time_ts': o['updatedTime'],
|
||||||
|
'expire_time_ts': o['expireTime'],
|
||||||
|
}
|
||||||
|
list_for_df.append(order_update)
|
||||||
|
LOCAL_RECENT_ORDERS = upsert_list_of_dicts_by_id(LOCAL_RECENT_ORDERS, order_update, id='order_id', seq_check_field='sequence_id')
|
||||||
|
LOCAL_RECENT_ORDERS = [t for t in LOCAL_RECENT_ORDERS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
|
||||||
|
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_ORDERS)
|
||||||
|
VAL_KEY.set(VK_ORDERS, VAL_KEY_OBJ)
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_extended_user_order', params=list_for_df, CON=CON)
|
||||||
|
continue
|
||||||
|
case 'TRADE':
|
||||||
|
list_for_df = []
|
||||||
|
for t in data['data']['trades']:
|
||||||
|
trade_update = {
|
||||||
|
'sequence_id': data['seq'],
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
|
||||||
|
'trade_id': t['id'],
|
||||||
|
'account_id': t['accountId'],
|
||||||
|
'market': t['market'],
|
||||||
|
'order_id': t['orderId'],
|
||||||
|
'external_order_id': t.get('externalOrderId', None),
|
||||||
|
'side': t['side'],
|
||||||
|
'price': float(t['price']),
|
||||||
|
'qty': float(t['qty']),
|
||||||
|
'value': float(t['value']),
|
||||||
|
'fee': float(t['fee']),
|
||||||
|
'trade_type': t['tradeType'],
|
||||||
|
'created_time_ts': t['createdTime'],
|
||||||
|
'is_taker': t['isTaker'],
|
||||||
|
}
|
||||||
|
LOCAL_RECENT_TRADES = upsert_list_of_dicts_by_id(LOCAL_RECENT_TRADES, trade_update, id='trade_id', seq_check_field='sequence_id')
|
||||||
|
LOCAL_RECENT_TRADES = [t for t in LOCAL_RECENT_TRADES if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
|
||||||
|
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_TRADES)
|
||||||
|
VAL_KEY.set(VK_TRADES, VAL_KEY_OBJ)
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_extended_user_trade', params=list_for_df, CON=CON)
|
||||||
|
continue
|
||||||
|
case 'BALANCE':
|
||||||
|
balance_update = {
|
||||||
|
'sequence_id': data['seq'],
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
|
||||||
|
'collateral_name': data['data']['balance']['collateralName'],
|
||||||
|
'balance': float(data['data']['balance']['balance']),
|
||||||
|
'equity': float(data['data']['balance']['equity']),
|
||||||
|
'available_for_trade': float(data['data']['balance']['availableForTrade']),
|
||||||
|
'available_for_withdrawal': float(data['data']['balance']['availableForWithdrawal']),
|
||||||
|
'unrealised_pnl': float(data['data']['balance']['unrealisedPnl']),
|
||||||
|
'initial_margin': float(data['data']['balance']['initialMargin']),
|
||||||
|
'margin_ratio': float(data['data']['balance']['marginRatio']),
|
||||||
|
'updated_time_ts': data['data']['balance']['updatedTime'],
|
||||||
|
'exposure': float(data['data']['balance']['exposure']),
|
||||||
|
'leverage': float(data['data']['balance']['leverage']),
|
||||||
|
}
|
||||||
|
LOCAL_RECENT_BALANCES = upsert_list_of_dicts_by_id(LOCAL_RECENT_BALANCES, balance_update, id='collateral_name', seq_check_field='sequence_id')
|
||||||
|
LOCAL_RECENT_BALANCES = [t for t in LOCAL_RECENT_BALANCES if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
|
||||||
|
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_BALANCES)
|
||||||
|
VAL_KEY.set(VK_BALANCES, VAL_KEY_OBJ)
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_extended_user_balance', params=balance_update, CON=CON)
|
||||||
|
continue
|
||||||
|
case 'POSITION':
|
||||||
|
list_for_df = []
|
||||||
|
for p in data['data']['positions']:
|
||||||
|
position_update = {
|
||||||
|
'sequence_id': data['seq'],
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
|
||||||
|
'position_id': p['id'],
|
||||||
|
'account_id': p['accountId'],
|
||||||
|
'market': p['market'],
|
||||||
|
'side': p['side'],
|
||||||
|
'leverage': float(p['leverage']),
|
||||||
|
'size': float(p['size']),
|
||||||
|
'value': float(p['value']),
|
||||||
|
'open_price': float(p['openPrice']),
|
||||||
|
'mark_price': float(p['markPrice']),
|
||||||
|
'liquidation_price': float(p['liquidationPrice']),
|
||||||
|
'margin': float(p['margin']),
|
||||||
|
'unrealised_pnl': float(p['unrealisedPnl']),
|
||||||
|
'realised_pnl': float(p['realisedPnl']),
|
||||||
|
'tp_trigger_price': float(p.get('tpTriggerPrice', 0)),
|
||||||
|
'tp_limit_price': float(p.get('tpLimitPrice', 0)),
|
||||||
|
'sl_trigger_price': float(p.get('slTriggerPrice', 0)),
|
||||||
|
'sl_limit_price': float(p.get('slLimitPrice', 0)),
|
||||||
|
'adl_percentile': p['adl'], # closer to 100 means higher chance of auto-deleveraging
|
||||||
|
'created_at_ts': p['createdAt'],
|
||||||
|
'updated_at_ts': p['updatedAt'],
|
||||||
|
}
|
||||||
|
LOCAL_RECENT_POSITIONS = upsert_list_of_dicts_by_id(LOCAL_RECENT_POSITIONS, position_update, id='position_id', seq_check_field='sequence_id')
|
||||||
|
LOCAL_RECENT_POSITIONS = [t for t in LOCAL_RECENT_POSITIONS if t.get('timestamp_arrival', 0) >= LOOKBACK_MIN_TS_MS]
|
||||||
|
|
||||||
|
VAL_KEY_OBJ = json.dumps(LOCAL_RECENT_POSITIONS)
|
||||||
|
VAL_KEY.set(VK_POSITIONS, VAL_KEY_OBJ)
|
||||||
|
await db.insert_df_to_mysql(table_name='fr_extended_user_position', params=list_for_df, CON=CON)
|
||||||
|
continue
|
||||||
|
case _:
|
||||||
|
logging.warning(f'UNMATCHED OTHER MSG: {data}')
|
||||||
|
else:
|
||||||
|
logging.info(f'Initial or unexpected data struct, skipping: {data}')
|
||||||
|
continue
|
||||||
|
except (json.JSONDecodeError, ValueError):
|
||||||
|
logging.warning(f'Message not in JSON format, skipping: {message}')
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Type: {type(data)} not expected: {message}')
|
||||||
|
except websockets.ConnectionClosed as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
continue
|
||||||
|
except Exception as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
if USE_VK:
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||||
|
else:
|
||||||
|
VAL_KEY = None
|
||||||
|
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||||
|
|
||||||
|
if USE_DB:
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/fund_rate')
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
await extended_db.create_fr_extended_user_balance(CON=CON)
|
||||||
|
await extended_db.create_fr_extended_user_order(CON=CON)
|
||||||
|
await extended_db.create_fr_extended_user_position(CON=CON)
|
||||||
|
await extended_db.create_fr_extended_user_trade(CON=CON)
|
||||||
|
await ws_stream()
|
||||||
|
else:
|
||||||
|
CON = None
|
||||||
|
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||||
|
await ws_stream()
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
asyncio.run(main())
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
logging.info("Stream stopped")
|
||||||
19
ws_extended_user/Dockerfile
Normal file
19
ws_extended_user/Dockerfile
Normal file
@@ -0,0 +1,19 @@
|
|||||||
|
FROM python:3.13-slim
|
||||||
|
|
||||||
|
RUN apt-get update && \
|
||||||
|
apt-get install -y build-essential
|
||||||
|
|
||||||
|
RUN gcc --version
|
||||||
|
RUN rm -rf /var/lib/apt/lists/*
|
||||||
|
|
||||||
|
WORKDIR /app
|
||||||
|
|
||||||
|
COPY requirements.txt .
|
||||||
|
|
||||||
|
RUN pip install --no-cache-dir -r requirements.txt
|
||||||
|
|
||||||
|
COPY . .
|
||||||
|
|
||||||
|
# Finally, run gunicorn.
|
||||||
|
CMD [ "python", "ws_extended_user.py"]
|
||||||
|
# CMD [ "gunicorn", "--workers=5", "--threads=1", "-b 0.0.0.0:8000", "app:server"]
|
||||||
244
ws_mexc.py
244
ws_mexc.py
@@ -0,0 +1,244 @@
|
|||||||
|
import asyncio
|
||||||
|
import json
|
||||||
|
import logging
|
||||||
|
import socket
|
||||||
|
import traceback
|
||||||
|
from datetime import datetime
|
||||||
|
from typing import AsyncContextManager
|
||||||
|
|
||||||
|
import numpy as np
|
||||||
|
import pandas as pd
|
||||||
|
import requests.packages.urllib3.util.connection as urllib3_cn # type: ignore
|
||||||
|
from sqlalchemy import text
|
||||||
|
import websockets
|
||||||
|
from sqlalchemy.ext.asyncio import create_async_engine
|
||||||
|
import valkey
|
||||||
|
import os
|
||||||
|
from dotenv import load_dotenv
|
||||||
|
|
||||||
|
|
||||||
|
### Allow only ipv4 ###
|
||||||
|
def allowed_gai_family():
|
||||||
|
return socket.AF_INET
|
||||||
|
urllib3_cn.allowed_gai_family = allowed_gai_family
|
||||||
|
|
||||||
|
### Database ###
|
||||||
|
USE_DB: bool = False
|
||||||
|
USE_VK: bool = True
|
||||||
|
VK_FUND_RATE = 'fund_rate_mexc'
|
||||||
|
VK_TICKER = 'fut_ticker_mexc'
|
||||||
|
CON: AsyncContextManager | None = None
|
||||||
|
VAL_KEY = None
|
||||||
|
|
||||||
|
### Logging ###
|
||||||
|
load_dotenv()
|
||||||
|
LOG_FILEPATH: str = os.getenv("LOGS_PATH") + '/Fund_Rate_MEXC.log'
|
||||||
|
|
||||||
|
### CONSTANTS ###
|
||||||
|
PING_INTERVAL_SEC = 20
|
||||||
|
|
||||||
|
### Globals ###
|
||||||
|
WSS_URL = "wss://contract.mexc.com/edge"
|
||||||
|
# HIST_TRADES = np.empty((0, 3))
|
||||||
|
# HIST_TRADES_LOOKBACK_SEC = 6
|
||||||
|
|
||||||
|
# ### Database Funcs ###
|
||||||
|
# async def create_rtds_btcusd_table(
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Create Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# logging.info('Creating Table if Does Not Exist: binance_btcusd_trades')
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# CREATE TABLE IF NOT EXISTS binance_btcusd_trades (
|
||||||
|
# timestamp_arrival BIGINT,
|
||||||
|
# timestamp_msg BIGINT,
|
||||||
|
# timestamp_value BIGINT,
|
||||||
|
# value DOUBLE,
|
||||||
|
# qty DOUBLE
|
||||||
|
# );
|
||||||
|
# """))
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
# async def insert_rtds_btcusd_table(
|
||||||
|
# timestamp_arrival: int,
|
||||||
|
# timestamp_msg: int,
|
||||||
|
# timestamp_value: int,
|
||||||
|
# value: float,
|
||||||
|
# qty: float,
|
||||||
|
# CON: AsyncContextManager,
|
||||||
|
# engine: str = 'mysql', # mysql | duckdb
|
||||||
|
# ) -> None:
|
||||||
|
# params={
|
||||||
|
# 'timestamp_arrival': timestamp_arrival,
|
||||||
|
# 'timestamp_msg': timestamp_msg,
|
||||||
|
# 'timestamp_value': timestamp_value,
|
||||||
|
# 'value': value,
|
||||||
|
# 'qty': qty,
|
||||||
|
# }
|
||||||
|
# if CON is None:
|
||||||
|
# logging.info("NO DB CONNECTION, SKIPPING Insert Statements")
|
||||||
|
# else:
|
||||||
|
# if engine == 'mysql':
|
||||||
|
# await CON.execute(text("""
|
||||||
|
# INSERT INTO binance_btcusd_trades
|
||||||
|
# (
|
||||||
|
# timestamp_arrival,
|
||||||
|
# timestamp_msg,
|
||||||
|
# timestamp_value,
|
||||||
|
# value,
|
||||||
|
# qty
|
||||||
|
# )
|
||||||
|
# VALUES
|
||||||
|
# (
|
||||||
|
# :timestamp_arrival,
|
||||||
|
# :timestamp_msg,
|
||||||
|
# :timestamp_value,
|
||||||
|
# :value,
|
||||||
|
# :qty
|
||||||
|
# )
|
||||||
|
# """),
|
||||||
|
# parameters=params
|
||||||
|
# )
|
||||||
|
# await CON.commit()
|
||||||
|
# else:
|
||||||
|
# raise ValueError('Only MySQL engine is implemented')
|
||||||
|
|
||||||
|
### Websocket ###
|
||||||
|
async def heartbeat(ws):
|
||||||
|
while True:
|
||||||
|
await asyncio.sleep(PING_INTERVAL_SEC)
|
||||||
|
logging.info("SENDING PING...")
|
||||||
|
ping_msg = {
|
||||||
|
"method": "ping"
|
||||||
|
}
|
||||||
|
await ws.send(json.dumps(ping_msg))
|
||||||
|
|
||||||
|
|
||||||
|
async def ws_stream():
|
||||||
|
# global HIST_TRADES
|
||||||
|
|
||||||
|
async for websocket in websockets.connect(WSS_URL):
|
||||||
|
logging.info(f"Connected to {WSS_URL}")
|
||||||
|
|
||||||
|
asyncio.create_task(heartbeat(ws=websocket))
|
||||||
|
|
||||||
|
subscribe_msg = {
|
||||||
|
"method": "sub.ticker",
|
||||||
|
"param": {
|
||||||
|
"symbol": "ETH_USDT"
|
||||||
|
},
|
||||||
|
# "gzip": false
|
||||||
|
}
|
||||||
|
await websocket.send(json.dumps(subscribe_msg))
|
||||||
|
subscribe_msg = {
|
||||||
|
"method": "sub.funding.rate",
|
||||||
|
"param": {
|
||||||
|
"symbol": "ETH_USDT"
|
||||||
|
},
|
||||||
|
# "gzip": false
|
||||||
|
}
|
||||||
|
await websocket.send(json.dumps(subscribe_msg))
|
||||||
|
|
||||||
|
try:
|
||||||
|
async for message in websocket:
|
||||||
|
ts_arrival = round(datetime.now().timestamp()*1000)
|
||||||
|
if isinstance(message, str):
|
||||||
|
try:
|
||||||
|
data = json.loads(message)
|
||||||
|
channel = data.get('channel', None)
|
||||||
|
if channel is not None:
|
||||||
|
match channel:
|
||||||
|
case 'push.ticker':
|
||||||
|
# logging.info(f'TICKER: {data}')
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
'timestamp_data': data['data']['timestamp'],
|
||||||
|
'symbol': data['data']['symbol'],
|
||||||
|
'lastPrice': float(data['data']['lastPrice']),
|
||||||
|
'fairPrice': float(data['data']['fairPrice']),
|
||||||
|
'indexPrice': float(data['data']['indexPrice']),
|
||||||
|
'volume24': float(data['data']['volume24']),
|
||||||
|
'bid1': float(data['data']['bid1']),
|
||||||
|
'ask1': float(data['data']['ask1']),
|
||||||
|
'fundingRate': float(data['data']['fundingRate']),
|
||||||
|
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_TICKER, VAL_KEY_OBJ)
|
||||||
|
case 'push.funding.rate':
|
||||||
|
# logging.info(f'FUNDING RATE: {data}')
|
||||||
|
VAL_KEY_OBJ = json.dumps({
|
||||||
|
'timestamp_arrival': ts_arrival,
|
||||||
|
'timestamp_msg': data['ts'],
|
||||||
|
'symbol': data['data']['symbol'],
|
||||||
|
'rate': float(data['data']['rate']),
|
||||||
|
'nextSettleTime_ts_ms': data['data']['nextSettleTime'],
|
||||||
|
})
|
||||||
|
VAL_KEY.set(VK_FUND_RATE, VAL_KEY_OBJ)
|
||||||
|
case 'pong':
|
||||||
|
logging.info(f'PING RESPONSE: {data}')
|
||||||
|
case _:
|
||||||
|
logging.info(f'OTHER: {data}')
|
||||||
|
|
||||||
|
else:
|
||||||
|
logging.info(f'Initial or unexpected data struct, skipping: {data}')
|
||||||
|
continue
|
||||||
|
except (json.JSONDecodeError, ValueError):
|
||||||
|
logging.warning(f'Message not in JSON format, skipping: {message}')
|
||||||
|
continue
|
||||||
|
else:
|
||||||
|
raise ValueError(f'Type: {type(data)} not expected: {message}')
|
||||||
|
except websockets.ConnectionClosed as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
continue
|
||||||
|
except Exception as e:
|
||||||
|
logging.error(f'Connection closed: {e}')
|
||||||
|
logging.error(traceback.format_exc())
|
||||||
|
|
||||||
|
|
||||||
|
async def main():
|
||||||
|
global VAL_KEY
|
||||||
|
global CON
|
||||||
|
|
||||||
|
if USE_VK:
|
||||||
|
VAL_KEY = valkey.Valkey(host='localhost', port=6379, db=0)
|
||||||
|
else:
|
||||||
|
VAL_KEY = None
|
||||||
|
logging.warning("VALKEY NOT BEING USED, NO DATA WILL BE PUBLISHED")
|
||||||
|
|
||||||
|
if USE_DB:
|
||||||
|
engine = create_async_engine('mysql+asyncmy://root:pwd@localhost/polymarket')
|
||||||
|
async with engine.connect() as CON:
|
||||||
|
# await create_rtds_btcusd_table(CON=CON)
|
||||||
|
await ws_stream()
|
||||||
|
else:
|
||||||
|
CON = None
|
||||||
|
logging.warning("DATABASE NOT BEING USED, NO DATA WILL BE RECORDED")
|
||||||
|
await ws_stream()
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
START_TIME = round(datetime.now().timestamp()*1000)
|
||||||
|
|
||||||
|
logging.info(f'Log FilePath: {LOG_FILEPATH}')
|
||||||
|
|
||||||
|
logging.basicConfig(
|
||||||
|
force=True,
|
||||||
|
filename=LOG_FILEPATH,
|
||||||
|
level=logging.INFO,
|
||||||
|
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||||
|
filemode='w'
|
||||||
|
)
|
||||||
|
logging.info(f"STARTED: {START_TIME}")
|
||||||
|
|
||||||
|
try:
|
||||||
|
asyncio.run(main())
|
||||||
|
except KeyboardInterrupt:
|
||||||
|
logging.info("Stream stopped")
|
||||||
Reference in New Issue
Block a user