siglab-py 0.1.11__py3-none-any.whl → 0.1.13__py3-none-any.whl

siglab_py/market_data_providers/orderbooks_provider.py

@@ -290,6 +290,9 @@ async def _handle_ticker(
     task : ThreadTask
     ):
     exchange = await instantiate_exhange(exchange_name=exchange_name, old_exchange=None)
+
+    asyncio.create_task(send_heartbeat(exchange))
+    
     ob = OrderBook(ticker=ticker, exchange_name=exchange_name)
     candles_publish_topic = candles_publish_topic.replace("$SYMBOL$", ticker)
     candles_publish_topic = candles_publish_topic.replace("$EXCHANGE$", exchange_name)
@@ -318,6 +321,21 @@ async def _handle_ticker(
             exchange = await instantiate_exhange(exchange_name=exchange_name, old_exchange=exchange) # type: ignore Otherwise, Error: Argument of type "Coroutine[Any, Any, Exchange] | Exchange" cannot be assigned to parameter "old_exchange" of type "Exchange | None" in function "instantiate_exhange"
             ob = OrderBook(ticker=ticker, exchange_name=exchange_name)
 
+async def send_heartbeat(exchange):
+
+    await asyncio.sleep(10)
+
+    while True:
+        try:
+            first_ws_url = next(iter(exchange.clients))
+            client = exchange.clients[first_ws_url]
+            message = exchange.ping(client)
+            await client.send(message)
+            log('Heartbeat sent')
+        except Exception as hb_error:
+            log(f'Failed to send heartbeat: {hb_error}')
+        finally:
+            await asyncio.sleep(30)
     
 async def main():
     parse_args()

siglab_py/ordergateway/client.py

@@ -31,13 +31,17 @@ class Order:
         side : str,  # buy/sell
         amount : float,
         order_type : str, # market/limit
-        leg_room_bps : float = 0
+        leg_room_bps : float = 0,
+        reduce_only : bool = False,
+        fees_ccy : Union[str, None] = None
     ) -> None:
         self.ticker = ticker
         self.side = side.strip().lower()
         self.amount = amount
         self.order_type = order_type.strip().lower()
         self.leg_room_bps = leg_room_bps
+        self.reduce_only = reduce_only
+        self.fees_ccy = fees_ccy
 
     def to_dict(self) -> Dict[JSON_SERIALIZABLE_TYPES, JSON_SERIALIZABLE_TYPES]:
         return {
@@ -45,7 +49,9 @@ class Order:
             "side" : self.side,
             "amount" : self.amount,
             "order_type" : self.order_type,
-            "leg_room_bps" : self.leg_room_bps
+            "leg_room_bps" : self.leg_room_bps,
+            "reduce_only" : self.reduce_only,
+            "fees_ccy" : self.fees_ccy
         }
 
 '''
@@ -60,15 +66,18 @@ class DivisiblePosition(Order):
         amount : float,
         order_type : str, # market/limit
         leg_room_bps : float,
+        reduce_only : bool = False,
+        fees_ccy : Union[str, None] = None,
         slices : int = 1,
         wait_fill_threshold_ms : float = -1
     ) -> None:
-        super().__init__(ticker, side, amount, order_type, leg_room_bps)
+        super().__init__(ticker, side, amount, order_type, leg_room_bps, reduce_only, fees_ccy)
         self.slices = slices
         self.wait_fill_threshold_ms = wait_fill_threshold_ms
         self.multiplier = 1
         self.filled_amount : Union[float, None] = None
         self.average_cost : Union[float, None] = None
+        self.fees : Union[float, None] = None
         self.pos : Union[float, None] = None # in base ccy, after execution. (Not in USDT or quote ccy, Not in # contracts)
 
         self.executions : Dict[str, Dict[str, Any]] = {}
@@ -86,6 +95,8 @@ class DivisiblePosition(Order):
                         side=self.side, 
                         amount=slice_amount_in_base_ccy, 
                         leg_room_bps=self.leg_room_bps, 
+                        reduce_only=self.reduce_only,
+                        fees_ccy=self.fees_ccy,
                         order_type=self.order_type)
                     
                 else:
@@ -95,6 +106,8 @@ class DivisiblePosition(Order):
                         side=self.side, 
                         amount=remaining_amount_in_base_ccy, 
                         leg_room_bps=self.leg_room_bps, 
+                        reduce_only=self.reduce_only,
+                        fees_ccy=self.fees_ccy,
                         order_type=self.order_type)
 
                 slices.append(slice)
@@ -171,6 +184,12 @@ class DivisiblePosition(Order):
         average_cost = average_cost / sum([ self.executions[order_id]['amount'] for order_id in self.executions ])
         return average_cost
 
+    def get_fees(self) -> float:
+        fees : float = 0
+        if self.fees_ccy:
+            fees = sum([ float(self.executions[order_id]['fee']['cost'])  for order_id in self.executions if self.executions[order_id]['fee'] and self.executions[order_id]['fee']['currency'].strip().upper()==self.fees_ccy.strip().upper() ])
+        return fees
+
     def to_dict(self) -> Dict[JSON_SERIALIZABLE_TYPES, JSON_SERIALIZABLE_TYPES]:
         rv = super().to_dict()
         rv['slices'] = self.slices

siglab_py/ordergateway/gateway.py

@@ -184,7 +184,8 @@ param : Dict = {
     "incoming_orders_topic_regex" : r"ordergateway_pending_orders_$GATEWAY_ID$", 
     "executions_publish_topic" : r"ordergateway_executions_$GATEWAY_ID$",
 
-    "loop_freq_ms" : 500,
+    "default_fees_ccy" : None,
+    "loop_freq_ms" : 500, # reduce this if you need trade faster
 
     'mds' : {
         'topics' : {
@@ -261,6 +262,9 @@ def parse_args():
     parser.add_argument("--default_type", help="default_type: spot, linear, inverse, futures ...etc", default='linear')
     parser.add_argument("--rate_limit_ms", help="rate_limit_ms: Check your exchange rules", default=100)
 
+    parser.add_argument("--default_fees_ccy", help="If you're trading crypto, CEX fees USDT, DEX fees USDC in many cases. Default None, in which case gateway won't aggregatge fees from executions for you.", default=None)
+    parser.add_argument("--loop_freq_ms", help="Loop delays. Reduce this if you want to trade faster.", default=500)
+
     parser.add_argument("--encrypt_decrypt_with_aws_kms", help="Y or N. If encrypt_decrypt_with_aws_kms=N, pass in apikey, secret and passphrase unencrypted (Not recommended, for testing only). If Y, they will be decrypted using AMS KMS key.", default='N')
     parser.add_argument("--aws_kms_key_id", help="AWS KMS key ID", default=None)
     parser.add_argument("--apikey", help="Exchange apikey", default=None)
@@ -280,6 +284,8 @@ def parse_args():
 
     param['default_type'] = args.default_type
     param['rate_limit_ms'] = int(args.rate_limit_ms)
+    param['default_fees_ccy'] = args.default_fees_ccy
+    param['loop_freq_ms'] = int(args.loop_freq_ms)
 
     if args.encrypt_decrypt_with_aws_kms:
         if args.encrypt_decrypt_with_aws_kms=='Y':
@@ -422,6 +428,22 @@ async def watch_orders_task(
         
         await asyncio.sleep(int(param['loop_freq_ms']/1000))
 
+async def send_heartbeat(exchange):
+
+    await asyncio.sleep(10)
+
+    while True:
+        try:
+            first_ws_url = next(iter(exchange.clients))
+            client = exchange.clients[first_ws_url]
+            message = exchange.ping(client)
+            await client.send(message)
+            log('Heartbeat sent')
+        except Exception as hb_error:
+            log(f'Failed to send heartbeat: {hb_error}')
+        finally:
+            await asyncio.sleep(30)
+
 async def execute_one_position(
     exchange : AnyExchange,
     position : DivisiblePosition,
@@ -649,6 +671,7 @@ async def execute_one_position(
 
     position.filled_amount = position.get_filled_amount()
     position.average_cost = position.get_average_cost()
+    position.fees = position.get_fees()
 
     balances = await exchange.fetch_balance() # type: ignore
     if param['default_type']!='spot':
@@ -673,10 +696,12 @@ async def work(
 
     # This is how we avoid reprocess same message twice. We check message hash and cache it.
     processed_hash_queue = deque(maxlen=10)
-
+    
     executions : Dict[str, Dict[str, Any]] = {}
     asyncio.create_task(watch_orders_task(exchange, executions))
 
+    asyncio.create_task(send_heartbeat(exchange))
+
     while True:
         try:
             keys = redis_client.keys()
@@ -700,6 +725,8 @@ async def work(
                                         amount=order['amount'],
                                         order_type=order['order_type'],
                                         leg_room_bps=order['leg_room_bps'],
+                                        reduce_only=order['reduce_only'],
+                                        fees_ccy=order['fees_ccy'] if 'fees_ccy' in order else param['default_fees_ccy'],
                                         slices=order['slices'],
                                         wait_fill_threshold_ms=order['wait_fill_threshold_ms']
                                     )

siglab_py/ordergateway/test_ordergateway.py

@@ -69,6 +69,7 @@ if __name__ == '__main__':
             side = 'buy',
             amount = 10,
             leg_room_bps = 5,
+            reduce_only=False,
             order_type = 'limit',
             slices=5,
             wait_fill_threshold_ms=15000
@@ -77,12 +78,13 @@ if __name__ == '__main__':
 
     positions_2 : List[DivisiblePosition] = [
         DivisiblePosition(
-            ticker = 'SUSHI/USDC:USDC',
-            side = 'sell',
-            amount = 15,
+            ticker = 'SUSHI/USDT:USDT',
+            side = 'buy',
+            amount = 10,
             leg_room_bps = 5,
+            reduce_only=False,
             order_type = 'limit',
-            slices=1,
+            slices=5,
             wait_fill_threshold_ms=15000
         ),
     ]
@@ -93,6 +95,7 @@ if __name__ == '__main__':
             side = 'sell',
             amount = 0.01,
             leg_room_bps = 5,
+            reduce_only=False,
             order_type = 'limit',
             slices=1,
             wait_fill_threshold_ms=60000

{siglab_py-0.1.11.dist-info → siglab_py-0.1.13.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.11
+Version: 0.1.13
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.11.dist-info → siglab_py-0.1.13.dist-info}/RECORD

@@ -7,13 +7,13 @@ siglab_py/market_data_providers/aggregated_orderbook_provider.py,sha256=FZRobEBN
 siglab_py/market_data_providers/candles_provider.py,sha256=fqHJjlECsBiBlpgyywrc4gTgxiROPNzZM8KxQBB5cOg,14139
 siglab_py/market_data_providers/candles_ta_provider.py,sha256=uiAhbEZZdTF-YulBHpSLwabos5LHCKU91NTiTmpUc0w,12001
 siglab_py/market_data_providers/deribit_options_expiry_provider.py,sha256=e9Ee8TmC8pXaid8-jouSLKIpuW6_JBBgwRTieI665yQ,8684
-siglab_py/market_data_providers/orderbooks_provider.py,sha256=cBp-HYCups2Uiwzw0SaUwxrg4unJvnm2TDqIK8f4hUg,15674
+siglab_py/market_data_providers/orderbooks_provider.py,sha256=olt-3LIkoyzQWfNNQRhJtKibLbkTutt_q_rCCTM7i1g,16216
 siglab_py/market_data_providers/test_provider.py,sha256=wBLCgcWjs7FGZJXWsNyn30lkOLa_cgpuvqRakMC0wbA,2221
 siglab_py/ordergateway/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-siglab_py/ordergateway/client.py,sha256=1Y0g2AT_Sh7Y-2YdEpnrGHwu2Ml1iqKFmj8_LOoF8YU,8301
+siglab_py/ordergateway/client.py,sha256=4X5rR_jebh7rkw5ANGMHSmoONXbFHzxX5SPt6ZzeOdA,9257
 siglab_py/ordergateway/encrypt_keys_util.py,sha256=-qi87db8To8Yf1WS1Q_Cp2Ya7ZqgWlRqSHfNXCM7wE4,1339
-siglab_py/ordergateway/gateway.py,sha256=N0XrsQDsycSjRDMC9jnC5B1q9LAfz4er0vjlDaGOhYc,35446
-siglab_py/ordergateway/test_ordergateway.py,sha256=vYdB6IypDI8-9Ts3-7g6F9CMKf4nUVG4qQalS4fUu-8,3806
+siglab_py/ordergateway/gateway.py,sha256=9y60GXrvRnzOO28rhsa4mBV-eV0vetnBAj1Gr3azCFQ,36747
+siglab_py/ordergateway/test_ordergateway.py,sha256=_Gz2U_VqljogGWqGyNDYYls1INqUiig9veyPttfGRpg,3901
 siglab_py/tests/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 siglab_py/tests/integration/market_data_util_tests.py,sha256=HFESIXEdQmrbDV3DvLiDLq0iE-4itysxSFur_Th4jjE,5207
@@ -24,7 +24,7 @@ siglab_py/util/analytic_util.py,sha256=QLabbEMqM4rKKH2PE_LqxIyo-BUdCRhkLybLATBIm
 siglab_py/util/aws_util.py,sha256=KGmjHrr1rpnnxr33nXHNzTul4tvyyxl9p6gpwNv0Ygc,2557
 siglab_py/util/market_data_util.py,sha256=3qTq71xGvQXj0ORKJV50IN5FP_mCBF_gvdmlPyhdyco,16439
 siglab_py/util/retry_util.py,sha256=mxYuRFZRZoaQQjENcwPmxhxixtd1TFvbxIdPx4RwfRc,743
-siglab_py-0.1.11.dist-info/METADATA,sha256=PLGWh1JwOPtp8Ai8kIZvCxgCMbpV0SkAvLB2Ey5Qj5g,1097
-siglab_py-0.1.11.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
-siglab_py-0.1.11.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
-siglab_py-0.1.11.dist-info/RECORD,,
+siglab_py-0.1.13.dist-info/METADATA,sha256=K059FaL9RhsHiKNV3rKYnOArB9K93ePUg8r39ZIPJrQ,1097
+siglab_py-0.1.13.dist-info/WHEEL,sha256=yQN5g4mg4AybRjkgi-9yy4iQEFibGQmlz78Pik5Or-A,92
+siglab_py-0.1.13.dist-info/top_level.txt,sha256=AbD4VR9OqmMOGlMJLkAVPGQMtUPIQv0t1BF5xmcLJSk,10
+siglab_py-0.1.13.dist-info/RECORD,,