siglab-py 0.1.12__tar.gz → 0.1.15__tar.gz

{siglab_py-0.1.12 → siglab_py-0.1.15}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab_py
-Version: 0.1.12
+Version: 0.1.15
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>

{siglab_py-0.1.12 → siglab_py-0.1.15}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "siglab_py"
-version = "0.1.12"
+version = "0.1.15"
 description = "Market data fetches, TA calculations and generic order gateway."
 authors = [{name = "r0bbarh00d", email = "r0bbarh00d@gmail.com"}]
 license = {text = "MIT"}

{siglab_py-0.1.12 → siglab_py-0.1.15}/setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = siglab_py
-version = 0.1.12
+version = 0.1.15
 description = Market data fetches, TA calculations and generic order gateway.
 author = r0bbarh00d
 author_email = r0bbarh00d@gmail.com

{siglab_py-0.1.12 → siglab_py-0.1.15}/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-0.1.12 → siglab_py-0.1.15}/siglab_py/ordergateway/client.py

@@ -32,6 +32,7 @@ class Order:
         amount : float,
         order_type : str, # market/limit
         leg_room_bps : float = 0,
+        reduce_only : bool = False,
         fees_ccy : Union[str, None] = None
     ) -> None:
         self.ticker = ticker
@@ -39,6 +40,7 @@ class Order:
         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]:
@@ -48,6 +50,7 @@ class Order:
             "amount" : self.amount,
             "order_type" : self.order_type,
             "leg_room_bps" : self.leg_room_bps,
+            "reduce_only" : self.reduce_only,
             "fees_ccy" : self.fees_ccy
         }
 
@@ -63,11 +66,12 @@ 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, fees_ccy)
+        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
@@ -91,6 +95,7 @@ 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)
                     
@@ -101,6 +106,7 @@ 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)
 

{siglab_py-0.1.12 → siglab_py-0.1.15}/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,
@@ -461,6 +483,9 @@ async def execute_one_position(
             rounded_limit_price : float = exchange.price_to_precision(position.ticker, limit_price) # type: ignore
             rounded_limit_price = float(rounded_limit_price)
             
+            order_params = {
+                'reduceOnly': slice.reduce_only
+            }
             if position.order_type=='limit':
                 if not param['dry_run']:
                     executed_order = await exchange.create_order( # type: ignore
@@ -468,7 +493,8 @@ async def execute_one_position(
                         type = position.order_type,
                         amount = rounded_slice_amount_in_base_ccy,
                         price = rounded_limit_price,
-                        side = position.side
+                        side = position.side,
+                        params = order_params
                     )
                 else:
                     executed_order = DUMMY_EXECUTION.copy()
@@ -493,7 +519,8 @@ async def execute_one_position(
                         symbol = position.ticker,
                         type = position.order_type,
                         amount = rounded_slice_amount_in_base_ccy,
-                        side = position.side
+                        side = position.side,
+                        params = order_params
                     )
                 else:
                     executed_order = DUMMY_EXECUTION.copy()
@@ -674,10 +701,12 @@ 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()
@@ -701,6 +730,8 @@ 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-0.1.12 → siglab_py-0.1.15}/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
@@ -81,6 +82,7 @@ if __name__ == '__main__':
             side = 'buy',
             amount = 10,
             leg_room_bps = 5,
+            reduce_only=False,
             order_type = 'limit',
             slices=5,
             wait_fill_threshold_ms=15000
@@ -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-0.1.12 → siglab_py-0.1.15}/siglab_py.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: siglab-py
-Version: 0.1.12
+Version: 0.1.15
 Summary: Market data fetches, TA calculations and generic order gateway.
 Author: r0bbarh00d
 Author-email: r0bbarh00d <r0bbarh00d@gmail.com>