ccxt 4.2.77__py2.py3-none-any.whl → 4.4.48__py2.py3-none-any.whl

ccxt/pro/bitfinex1.py

@@ -0,0 +1,635 @@
+# -*- coding: utf-8 -*-
+
+# PLEASE DO NOT EDIT THIS FILE, IT IS GENERATED AND WILL BE OVERWRITTEN:
+# https://github.com/ccxt/ccxt/blob/master/CONTRIBUTING.md#how-to-contribute-code
+
+import ccxt.async_support
+from ccxt.async_support.base.ws.cache import ArrayCache, ArrayCacheBySymbolById
+import hashlib
+from ccxt.base.types import Int, Order, OrderBook, Str, Ticker, Trade
+from ccxt.async_support.base.ws.client import Client
+from typing import List
+from ccxt.base.errors import ExchangeError
+from ccxt.base.errors import AuthenticationError
+from ccxt.base.precise import Precise
+
+
+class bitfinex1(ccxt.async_support.bitfinex1):
+
+    def describe(self):
+        return self.deep_extend(super(bitfinex1, self).describe(), {
+            'has': {
+                'ws': True,
+                'watchTicker': True,
+                'watchTickers': False,
+                'watchOrderBook': True,
+                'watchTrades': True,
+                'watchTradesForSymbols': False,
+                'watchBalance': False,  # for now
+                'watchOHLCV': False,  # missing on the exchange side in v1
+            },
+            'urls': {
+                'api': {
+                    'ws': {
+                        'public': 'wss://api-pub.bitfinex.com/ws/1',
+                        'private': 'wss://api.bitfinex.com/ws/1',
+                    },
+                },
+            },
+            'options': {
+                'watchOrderBook': {
+                    'prec': 'P0',
+                    'freq': 'F0',
+                },
+                'ordersLimit': 1000,
+            },
+        })
+
+    async def subscribe(self, channel, symbol, params={}):
+        await self.load_markets()
+        market = self.market(symbol)
+        marketId = market['id']
+        url = self.urls['api']['ws']['public']
+        messageHash = channel + ':' + marketId
+        # channel = 'trades'
+        request: dict = {
+            'event': 'subscribe',
+            'channel': channel,
+            'symbol': marketId,
+            'messageHash': messageHash,
+        }
+        return await self.watch(url, messageHash, self.deep_extend(request, params), messageHash)
+
+    async def watch_trades(self, symbol: str, since: Int = None, limit: Int = None, params={}) -> List[Trade]:
+        """
+        get the list of most recent trades for a particular symbol
+
+        https://docs.bitfinex.com/v1/reference/ws-public-trades
+
+        :param str symbol: unified symbol of the market to fetch trades for
+        :param int [since]: timestamp in ms of the earliest trade to fetch
+        :param int [limit]: the maximum amount of trades to fetch
+        :param dict [params]: extra parameters specific to the exchange API endpoint
+        :returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=public-trades>`
+        """
+        await self.load_markets()
+        symbol = self.symbol(symbol)
+        trades = await self.subscribe('trades', symbol, params)
+        if self.newUpdates:
+            limit = trades.getLimit(symbol, limit)
+        return self.filter_by_since_limit(trades, since, limit, 'timestamp', True)
+
+    async def watch_ticker(self, symbol: str, params={}) -> Ticker:
+        """
+        watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
+
+        https://docs.bitfinex.com/v1/reference/ws-public-ticker
+
+        :param str symbol: unified symbol of the market to fetch the ticker for
+        :param dict [params]: extra parameters specific to the exchange API endpoint
+        :returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
+        """
+        return await self.subscribe('ticker', symbol, params)
+
+    def handle_trades(self, client: Client, message, subscription):
+        #
+        # initial snapshot
+        #
+        #     [
+        #         2,
+        #         [
+        #             [null, 1580565020, 9374.9, 0.005],
+        #             [null, 1580565004, 9374.9, 0.005],
+        #             [null, 1580565003, 9374.9, 0.005],
+        #         ]
+        #     ]
+        #
+        # when a trade does not have an id yet
+        #
+        #     # channel id, update type, seq, time, price, amount
+        #     [2, "te", "28462857-BTCUSD", 1580565041, 9374.9, 0.005],
+        #
+        # when a trade already has an id
+        #
+        #     # channel id, update type, seq, trade id, time, price, amount
+        #     [2, "tu", "28462857-BTCUSD", 413357662, 1580565041, 9374.9, 0.005]
+        #
+        channel = self.safe_value(subscription, 'channel')
+        marketId = self.safe_string(subscription, 'pair')
+        messageHash = channel + ':' + marketId
+        tradesLimit = self.safe_integer(self.options, 'tradesLimit', 1000)
+        market = self.safe_market(marketId)
+        symbol = market['symbol']
+        data = self.safe_value(message, 1)
+        stored = self.safe_value(self.trades, symbol)
+        if stored is None:
+            stored = ArrayCache(tradesLimit)
+            self.trades[symbol] = stored
+        if isinstance(data, list):
+            trades = self.parse_trades(data, market)
+            for i in range(0, len(trades)):
+                stored.append(trades[i])
+        else:
+            second = self.safe_string(message, 1)
+            if second != 'tu':
+                return
+            trade = self.parse_trade(message, market)
+            stored.append(trade)
+        client.resolve(stored, messageHash)
+
+    def parse_trade(self, trade, market=None) -> Trade:
+        #
+        # snapshot trade
+        #
+        #     # null, time, price, amount
+        #     [null, 1580565020, 9374.9, 0.005],
+        #
+        # when a trade does not have an id yet
+        #
+        #     # channel id, update type, seq, time, price, amount
+        #     [2, "te", "28462857-BTCUSD", 1580565041, 9374.9, 0.005],
+        #
+        # when a trade already has an id
+        #
+        #     # channel id, update type, seq, trade id, time, price, amount
+        #     [2, "tu", "28462857-BTCUSD", 413357662, 1580565041, 9374.9, 0.005]
+        #
+        if not isinstance(trade, list):
+            return super(bitfinex1, self).parse_trade(trade, market)
+        tradeLength = len(trade)
+        event = self.safe_string(trade, 1)
+        id = None
+        if event == 'tu':
+            id = self.safe_string(trade, tradeLength - 4)
+        timestamp = self.safe_timestamp(trade, tradeLength - 3)
+        price = self.safe_string(trade, tradeLength - 2)
+        amount = self.safe_string(trade, tradeLength - 1)
+        side = None
+        if amount is not None:
+            side = 'buy' if Precise.string_gt(amount, '0') else 'sell'
+            amount = Precise.string_abs(amount)
+        seq = self.safe_string(trade, 2)
+        parts = seq.split('-')
+        marketId = self.safe_string(parts, 1)
+        if marketId is not None:
+            marketId = marketId.replace('t', '')
+        symbol = self.safe_symbol(marketId, market)
+        takerOrMaker = None
+        orderId = None
+        return self.safe_trade({
+            'info': trade,
+            'timestamp': timestamp,
+            'datetime': self.iso8601(timestamp),
+            'symbol': symbol,
+            'id': id,
+            'order': orderId,
+            'type': None,
+            'takerOrMaker': takerOrMaker,
+            'side': side,
+            'price': price,
+            'amount': amount,
+            'cost': None,
+            'fee': None,
+        })
+
+    def handle_ticker(self, client: Client, message, subscription):
+        #
+        #     [
+        #         2,             # 0 CHANNEL_ID integer Channel ID
+        #         236.62,        # 1 BID float Price of last highest bid
+        #         9.0029,        # 2 BID_SIZE float Size of the last highest bid
+        #         236.88,        # 3 ASK float Price of last lowest ask
+        #         7.1138,        # 4 ASK_SIZE float Size of the last lowest ask
+        #         -1.02,         # 5 DAILY_CHANGE float Amount that the last price has changed since yesterday
+        #         0,             # 6 DAILY_CHANGE_PERC float Amount that the price has changed expressed in percentage terms
+        #         236.52,        # 7 LAST_PRICE float Price of the last trade.
+        #         5191.36754297,  # 8 VOLUME float Daily volume
+        #         250.01,        # 9 HIGH float Daily high
+        #         220.05,        # 10 LOW float Daily low
+        #     ]
+        #
+        marketId = self.safe_string(subscription, 'pair')
+        symbol = self.safe_symbol(marketId)
+        channel = 'ticker'
+        messageHash = channel + ':' + marketId
+        last = self.safe_string(message, 7)
+        change = self.safe_string(message, 5)
+        open = None
+        if (last is not None) and (change is not None):
+            open = Precise.string_sub(last, change)
+        result = self.safe_ticker({
+            'symbol': symbol,
+            'timestamp': None,
+            'datetime': None,
+            'high': self.safe_string(message, 9),
+            'low': self.safe_string(message, 10),
+            'bid': self.safe_string(message, 1),
+            'bidVolume': None,
+            'ask': self.safe_string(message, 3),
+            'askVolume': None,
+            'vwap': None,
+            'open': self.parse_number(open),
+            'close': self.parse_number(last),
+            'last': self.parse_number(last),
+            'previousClose': None,
+            'change': self.parse_number(change),
+            'percentage': self.safe_string(message, 6),
+            'average': None,
+            'baseVolume': self.safe_string(message, 8),
+            'quoteVolume': None,
+            'info': message,
+        })
+        self.tickers[symbol] = result
+        client.resolve(result, messageHash)
+
+    async def watch_order_book(self, symbol: str, limit: Int = None, params={}) -> OrderBook:
+        """
+        watches information on open orders with bid(buy) and ask(sell) prices, volumes and other data
+
+        https://docs.bitfinex.com/v1/reference/ws-public-order-books
+
+        :param str symbol: unified symbol of the market to fetch the order book for
+        :param int [limit]: the maximum amount of order book entries to return
+        :param dict [params]: extra parameters specific to the exchange API endpoint
+        :returns dict: A dictionary of `order book structures <https://docs.ccxt.com/#/?id=order-book-structure>` indexed by market symbols
+        """
+        if limit is not None:
+            if (limit != 25) and (limit != 100):
+                raise ExchangeError(self.id + ' watchOrderBook limit argument must be None, 25 or 100')
+        options = self.safe_value(self.options, 'watchOrderBook', {})
+        prec = self.safe_string(options, 'prec', 'P0')
+        freq = self.safe_string(options, 'freq', 'F0')
+        request: dict = {
+            # "event": "subscribe",  # added in subscribe()
+            # "channel": channel,  # added in subscribe()
+            # "symbol": marketId,  # added in subscribe()
+            'prec': prec,  # string, level of price aggregation, 'P0', 'P1', 'P2', 'P3', 'P4', default P0
+            'freq': freq,  # string, frequency of updates 'F0' = realtime, 'F1' = 2 seconds, default is 'F0'
+            'len': limit,  # string, number of price points, '25', '100', default = '25'
+        }
+        orderbook = await self.subscribe('book', symbol, self.deep_extend(request, params))
+        return orderbook.limit()
+
+    def handle_order_book(self, client: Client, message, subscription):
+        #
+        # first message(snapshot)
+        #
+        #     [
+        #         18691,  # channel id
+        #         [
+        #             [7364.8, 10, 4.354802],  # price, count, size > 0 = bid
+        #             [7364.7, 1, 0.00288831],
+        #             [7364.3, 12, 0.048],
+        #             [7364.9, 3, -0.42028976],  # price, count, size < 0 = ask
+        #             [7365, 1, -0.25],
+        #             [7365.5, 1, -0.00371937],
+        #         ]
+        #     ]
+        #
+        # subsequent updates
+        #
+        #     [
+        #         30,     # channel id
+        #         9339.9,  # price
+        #         0,      # count
+        #         -1,     # size > 0 = bid, size < 0 = ask
+        #     ]
+        #
+        marketId = self.safe_string(subscription, 'pair')
+        symbol = self.safe_symbol(marketId)
+        channel = 'book'
+        messageHash = channel + ':' + marketId
+        prec = self.safe_string(subscription, 'prec', 'P0')
+        isRaw = (prec == 'R0')
+        # if it is an initial snapshot
+        if isinstance(message[1], list):
+            limit = self.safe_integer(subscription, 'len')
+            if isRaw:
+                # raw order books
+                self.orderbooks[symbol] = self.indexed_order_book({}, limit)
+            else:
+                # P0, P1, P2, P3, P4
+                self.orderbooks[symbol] = self.counted_order_book({}, limit)
+            orderbook = self.orderbooks[symbol]
+            if isRaw:
+                deltas = message[1]
+                for i in range(0, len(deltas)):
+                    delta = deltas[i]
+                    id = self.safe_string(delta, 0)
+                    price = self.safe_float(delta, 1)
+                    delta2Value = delta[2]
+                    size = -delta2Value if (delta2Value < 0) else delta2Value
+                    side = 'asks' if (delta2Value < 0) else 'bids'
+                    bookside = orderbook[side]
+                    bookside.storeArray([price, size, id])
+            else:
+                deltas = message[1]
+                for i in range(0, len(deltas)):
+                    delta = deltas[i]
+                    delta2 = delta[2]
+                    size = -delta2 if (delta2 < 0) else delta2
+                    side = 'asks' if (delta2 < 0) else 'bids'
+                    countedBookSide = orderbook[side]
+                    countedBookSide.storeArray([delta[0], size, delta[1]])
+            client.resolve(orderbook, messageHash)
+        else:
+            orderbook = self.orderbooks[symbol]
+            if isRaw:
+                id = self.safe_string(message, 1)
+                price = self.safe_string(message, 2)
+                message3 = message[3]
+                size = -message3 if (message3 < 0) else message3
+                side = 'asks' if (message3 < 0) else 'bids'
+                bookside = orderbook[side]
+                # price = 0 means that you have to remove the order from your book
+                amount = size if Precise.string_gt(price, '0') else '0'
+                bookside.storeArray([self.parse_number(price), self.parse_number(amount), id])
+            else:
+                message3Value = message[3]
+                size = -message3Value if (message3Value < 0) else message3Value
+                side = 'asks' if (message3Value < 0) else 'bids'
+                countedBookSide = orderbook[side]
+                countedBookSide.storeArray([message[1], size, message[2]])
+            client.resolve(orderbook, messageHash)
+
+    def handle_heartbeat(self, client: Client, message):
+        #
+        # every second(approx) if no other updates are sent
+        #
+        #     {"event": "heartbeat"}
+        #
+        event = self.safe_string(message, 'event')
+        client.resolve(message, event)
+
+    def handle_system_status(self, client: Client, message):
+        #
+        # todo: answer the question whether handleSystemStatus should be renamed
+        # and unified for any usage pattern that
+        # involves system status and maintenance updates
+        #
+        #     {
+        #         "event": "info",
+        #         "version": 2,
+        #         "serverId": "e293377e-7bb7-427e-b28c-5db045b2c1d1",
+        #         "platform": {status: 1},  # 1 for operative, 0 for maintenance
+        #     }
+        #
+        return message
+
+    def handle_subscription_status(self, client: Client, message):
+        #
+        #     {
+        #         "event": "subscribed",
+        #         "channel": "book",
+        #         "chanId": 67473,
+        #         "symbol": "tBTCUSD",
+        #         "prec": "P0",
+        #         "freq": "F0",
+        #         "len": "25",
+        #         "pair": "BTCUSD"
+        #     }
+        #
+        channelId = self.safe_string(message, 'chanId')
+        client.subscriptions[channelId] = message
+        return message
+
+    async def authenticate(self, params={}):
+        url = self.urls['api']['ws']['private']
+        client = self.client(url)
+        future = client.future('authenticated')
+        method = 'auth'
+        authenticated = self.safe_value(client.subscriptions, method)
+        if authenticated is None:
+            nonce = self.milliseconds()
+            payload = 'AUTH' + str(nonce)
+            signature = self.hmac(self.encode(payload), self.encode(self.secret), hashlib.sha384, 'hex')
+            request: dict = {
+                'apiKey': self.apiKey,
+                'authSig': signature,
+                'authNonce': nonce,
+                'authPayload': payload,
+                'event': method,
+                'filter': [
+                    'trading',
+                    'wallet',
+                ],
+            }
+            self.spawn(self.watch, url, method, request, 1)
+        return await future
+
+    def handle_authentication_message(self, client: Client, message):
+        status = self.safe_string(message, 'status')
+        if status == 'OK':
+            # we resolve the future here permanently so authentication only happens once
+            future = self.safe_value(client.futures, 'authenticated')
+            future.resolve(True)
+        else:
+            error = AuthenticationError(self.json(message))
+            client.reject(error, 'authenticated')
+            # allows further authentication attempts
+            method = self.safe_string(message, 'event')
+            if method in client.subscriptions:
+                del client.subscriptions[method]
+
+    async def watch_order(self, id, symbol: Str = None, params={}):
+        await self.load_markets()
+        url = self.urls['api']['ws']['private']
+        await self.authenticate()
+        return await self.watch(url, id, None, 1)
+
+    async def watch_orders(self, symbol: Str = None, since: Int = None, limit: Int = None, params={}) -> List[Order]:
+        """
+        watches information on multiple orders made by the user
+
+        https://docs.bitfinex.com/v1/reference/ws-auth-order-updates
+        https://docs.bitfinex.com/v1/reference/ws-auth-order-snapshots
+
+        :param str symbol: unified market symbol of the market orders were made in
+        :param int [since]: the earliest time in ms to fetch orders for
+        :param int [limit]: the maximum number of order structures to retrieve
+        :param dict [params]: extra parameters specific to the exchange API endpoint
+        :returns dict[]: a list of `order structures <https://docs.ccxt.com/#/?id=order-structure>`
+        """
+        await self.load_markets()
+        await self.authenticate()
+        if symbol is not None:
+            symbol = self.symbol(symbol)
+        url = self.urls['api']['ws']['private']
+        orders = await self.watch(url, 'os', None, 1)
+        if self.newUpdates:
+            limit = orders.getLimit(symbol, limit)
+        return self.filter_by_symbol_since_limit(orders, symbol, since, limit, True)
+
+    def handle_orders(self, client: Client, message, subscription):
+        #
+        # order snapshot
+        #
+        #     [
+        #         0,
+        #         "os",
+        #         [
+        #             [
+        #                 45287766631,
+        #                 "ETHUST",
+        #                 -0.07,
+        #                 -0.07,
+        #                 "EXCHANGE LIMIT",
+        #                 "ACTIVE",
+        #                 210,
+        #                 0,
+        #                 "2020-05-16T13:17:46Z",
+        #                 0,
+        #                 0,
+        #                 0
+        #             ]
+        #         ]
+        #     ]
+        #
+        # order cancel
+        #
+        #     [
+        #         0,
+        #         "oc",
+        #         [
+        #             45287766631,
+        #             "ETHUST",
+        #             -0.07,
+        #             -0.07,
+        #             "EXCHANGE LIMIT",
+        #             "CANCELED",
+        #             210,
+        #             0,
+        #             "2020-05-16T13:17:46Z",
+        #             0,
+        #             0,
+        #             0,
+        #         ]
+        #     ]
+        #
+        data = self.safe_value(message, 2, [])
+        messageType = self.safe_string(message, 1)
+        if messageType == 'os':
+            for i in range(0, len(data)):
+                value = data[i]
+                self.handle_order(client, value)
+        else:
+            self.handle_order(client, data)
+        if self.orders is not None:
+            client.resolve(self.orders, 'os')
+
+    def parse_ws_order_status(self, status):
+        statuses: dict = {
+            'ACTIVE': 'open',
+            'CANCELED': 'canceled',
+        }
+        return self.safe_string(statuses, status, status)
+
+    def handle_order(self, client: Client, order):
+        # [45287766631,
+        #     "ETHUST",
+        #     -0.07,
+        #     -0.07,
+        #     "EXCHANGE LIMIT",
+        #     "CANCELED",
+        #     210,
+        #     0,
+        #     "2020-05-16T13:17:46Z",
+        #     0,
+        #     0,
+        #     0]
+        id = self.safe_string(order, 0)
+        marketId = self.safe_string(order, 1)
+        symbol = self.safe_symbol(marketId)
+        amount = self.safe_string(order, 2)
+        remaining = self.safe_string(order, 3)
+        side = 'buy'
+        if Precise.string_lt(amount, '0'):
+            amount = Precise.string_abs(amount)
+            remaining = Precise.string_abs(remaining)
+            side = 'sell'
+        type = self.safe_string(order, 4)
+        if type.find('LIMIT') > -1:
+            type = 'limit'
+        elif type.find('MARKET') > -1:
+            type = 'market'
+        status = self.parse_ws_order_status(self.safe_string(order, 5))
+        price = self.safe_string(order, 6)
+        rawDatetime = self.safe_string(order, 8)
+        timestamp = self.parse8601(rawDatetime)
+        parsed = self.safe_order({
+            'info': order,
+            'id': id,
+            'clientOrderId': None,
+            'timestamp': timestamp,
+            'datetime': self.iso8601(timestamp),
+            'lastTradeTimestamp': None,
+            'symbol': symbol,
+            'type': type,
+            'side': side,
+            'price': price,
+            'stopPrice': None,
+            'triggerPrice': None,
+            'average': None,
+            'amount': amount,
+            'remaining': remaining,
+            'filled': None,
+            'status': status,
+            'fee': None,
+            'cost': None,
+            'trades': None,
+        })
+        if self.orders is None:
+            limit = self.safe_integer(self.options, 'ordersLimit', 1000)
+            self.orders = ArrayCacheBySymbolById(limit)
+        orders = self.orders
+        orders.append(parsed)
+        client.resolve(parsed, id)
+        return parsed
+
+    def handle_message(self, client: Client, message):
+        if isinstance(message, list):
+            channelId = self.safe_string(message, 0)
+            #
+            #     [
+            #         1231,
+            #         "hb",
+            #     ]
+            #
+            if message[1] == 'hb':
+                return  # skip heartbeats within subscription channels for now
+            subscription = self.safe_value(client.subscriptions, channelId, {})
+            channel = self.safe_string(subscription, 'channel')
+            name = self.safe_string(message, 1)
+            methods: dict = {
+                'book': self.handle_order_book,
+                # 'ohlc': self.handleOHLCV,
+                'ticker': self.handle_ticker,
+                'trades': self.handle_trades,
+                'os': self.handle_orders,
+                'on': self.handle_orders,
+                'oc': self.handle_orders,
+            }
+            method = self.safe_value_2(methods, channel, name)
+            if method is not None:
+                method(client, message, subscription)
+        else:
+            # todo add bitfinex handleErrorMessage
+            #
+            #     {
+            #         "event": "info",
+            #         "version": 2,
+            #         "serverId": "e293377e-7bb7-427e-b28c-5db045b2c1d1",
+            #         "platform": {status: 1},  # 1 for operative, 0 for maintenance
+            #     }
+            #
+            event = self.safe_string(message, 'event')
+            if event is not None:
+                methods: dict = {
+                    'info': self.handle_system_status,
+                    # 'book': 'handleOrderBook',
+                    'subscribed': self.handle_subscription_status,
+                    'auth': self.handle_authentication_message,
+                }
+                method = self.safe_value(methods, event)
+                if method is not None:
+                    method(client, message)