walrasquant-lib 0.4.20__py3-none-any.whl

walrasquant/constants.py

@@ -0,0 +1,413 @@
+import os
+import sys
+from typing import Literal, Dict, List, TypedDict, NotRequired
+from enum import Enum
+from dynaconf import Dynaconf
+
+BACKEND_LITERAL = Literal["memory", "redis"]
+
+
+def is_sphinx_build():
+    return "sphinx" in sys.modules
+
+
+if not os.path.exists(".keys/"):
+    os.makedirs(".keys/")
+
+_SECRETS_CANDIDATES = [
+    ".keys/.secrets.toml",
+    ".keys/.secrets.yaml",
+    ".keys/.secrets.yml",
+]
+_SETTINGS_CANDIDATES = [
+    ".keys/settings.toml",
+    ".keys/settings.yaml",
+    ".keys/settings.yml",
+]
+
+_secrets_file = next((f for f in _SECRETS_CANDIDATES if os.path.exists(f)), None)
+_settings_file = next((f for f in _SETTINGS_CANDIDATES if os.path.exists(f)), None)
+_config_files = [f for f in (_settings_file, _secrets_file) if f]
+
+if _secrets_file is None and not is_sphinx_build():
+    raise FileNotFoundError(
+        "Config file not found, please create a secrets file at one of: "
+        + ", ".join(_SECRETS_CANDIDATES)
+    )
+
+
+settings = Dynaconf(
+    envvar_prefix="NEXUS",
+    settings_files=_config_files,
+    secrets=_secrets_file,
+    environments=False,
+    load_dotenv=True,
+)
+
+
+def get_postgresql_config():
+    """Get PostgreSQL configuration from environment variables or settings files."""
+    return {
+        "host": settings.get("PG_HOST", "localhost"),
+        "port": settings.get("PG_PORT", 5432),
+        "user": settings.get("PG_USER", "postgres"),
+        "password": settings.get("PG_PASSWORD", ""),
+        "database": settings.get("PG_DATABASE", "postgres"),
+    }
+
+
+def get_redis_config():
+    try:
+        return {
+            "host": settings.REDIS_HOST,
+            "port": settings.REDIS_PORT,
+            "db": settings.REDIS_DB,
+            "password": settings.REDIS_PASSWORD,
+        }
+    except Exception as e:
+        raise ValueError(f"Failed to get Redis password: {e}")
+
+
+IntervalType = Literal[
+    "1s",
+    "1m",
+    "3m",
+    "5m",
+    "15m",
+    "30m",
+    "1h",
+    "2h",
+    "4h",
+    "6h",
+    "8h",
+    "12h",
+    "1d",
+    "3d",
+    "1w",
+    "1M",
+]
+
+
+class BookLevel(Enum):
+    L5 = "5"
+    L10 = "10"
+    L20 = "20"
+    L50 = "50"
+    L200 = "200"
+    L400 = "400"
+    L1000 = "1000"
+
+
+class KlineInterval(Enum):
+    SECOND_1 = "1s"
+    MINUTE_1 = "1m"
+    MINUTE_3 = "3m"
+    MINUTE_5 = "5m"
+    MINUTE_15 = "15m"
+    MINUTE_30 = "30m"
+    HOUR_1 = "1h"
+    HOUR_2 = "2h"
+    HOUR_4 = "4h"
+    HOUR_6 = "6h"
+    HOUR_8 = "8h"
+    HOUR_12 = "12h"
+    DAY_1 = "1d"
+    DAY_3 = "3d"
+    WEEK_1 = "1w"
+    MONTH_1 = "1M"
+    VOLUME = "volume"
+
+    @property
+    def seconds(self) -> int:
+        return {
+            KlineInterval.SECOND_1: 1,
+            KlineInterval.MINUTE_1: 60,
+            KlineInterval.MINUTE_3: 180,
+            KlineInterval.MINUTE_5: 300,
+            KlineInterval.MINUTE_15: 900,
+            KlineInterval.MINUTE_30: 1800,
+            KlineInterval.HOUR_1: 3600,
+            KlineInterval.HOUR_2: 7200,
+            KlineInterval.HOUR_4: 14400,
+            KlineInterval.HOUR_6: 21600,
+            KlineInterval.HOUR_8: 28800,
+            KlineInterval.HOUR_12: 43200,
+            KlineInterval.DAY_1: 86400,
+            KlineInterval.DAY_3: 259200,
+            KlineInterval.WEEK_1: 604800,
+            KlineInterval.MONTH_1: 2592000,
+            KlineInterval.VOLUME: 0,
+        }[self]
+
+    @property
+    def nanoseconds(self) -> int:
+        return self.seconds * 1_000_000_000
+
+    @property
+    def microseconds(self) -> int:
+        return self.seconds * 1_000_000
+
+    @property
+    def milliseconds(self) -> int:
+        return self.seconds * 1_000
+
+
+class SubmitType(Enum):
+    CREATE = 0
+    CANCEL = 1
+    TWAP = 2
+    CANCEL_TWAP = 3
+    VWAP = 4
+    CANCEL_VWAP = 5
+    TAKE_PROFIT_AND_STOP_LOSS = 6
+    MODIFY = 7
+    CANCEL_ALL = 8
+    BATCH = 9
+    CREATE_WS = 10
+    CANCEL_WS = 11
+    CANCEL_BATCH = 12
+
+    @property
+    def priority(self) -> int:
+        """Lower value = higher priority. CREATE types return 5 (lowest); call
+        ``order_priority()`` instead when the order payload is available."""
+        if self in CANCEL_SUBMIT_TYPES:
+            return 0
+        if self == SubmitType.MODIFY:
+            return 1
+        return 5  # CREATE / CREATE_WS / BATCH / TP_SL — refined by order_priority()
+
+
+CANCEL_SUBMIT_TYPES: frozenset = frozenset(
+    {
+        SubmitType.CANCEL,
+        SubmitType.CANCEL_WS,
+        SubmitType.CANCEL_ALL,
+        SubmitType.CANCEL_BATCH,
+        SubmitType.CANCEL_TWAP,
+        SubmitType.CANCEL_VWAP,
+    }
+)
+
+
+class EventType(Enum):
+    BOOKL1 = 0
+    TRADE = 1
+    KLINE = 2
+    MARK_PRICE = 3
+    FUNDING_RATE = 4
+    INDEX_PRICE = 5
+
+
+class OrderStatus(Enum):
+    # LOCAL
+    INITIALIZED = "INITIALIZED"
+    FAILED = "FAILED"
+    CANCEL_FAILED = "CANCEL_FAILED"
+
+    # IN-FLOW
+    PENDING = "PENDING"
+    CANCELING = "CANCELING"
+
+    # OPEN
+    ACCEPTED = "ACCEPTED"
+    PARTIALLY_FILLED = "PARTIALLY_FILLED"
+
+    # CLOSED
+    FILLED = "FILLED"
+    CANCELED = "CANCELED"
+    EXPIRED = "EXPIRED"
+
+
+class ExchangeType(Enum):
+    BINANCE = "binance"
+    OKX = "okx"
+    BYBIT = "bybit"
+    HYPERLIQUID = "hyperliquid"
+    BITGET = "bitget"
+
+
+class AccountType(Enum):
+    pass
+
+
+class OrderType(Enum):
+    MARKET = "MARKET"
+    LIMIT = "LIMIT"
+    TAKE_PROFIT_MARKET = "TAKE_PROFIT_MARKET"
+    TAKE_PROFIT_LIMIT = "TAKE_PROFIT_LIMIT"
+    STOP_LOSS_MARKET = "STOP_LOSS_MARKET"
+    STOP_LOSS_LIMIT = "STOP_LOSS_LIMIT"
+    POST_ONLY = "POST_ONLY"
+
+    @property
+    def is_take_profit(self) -> bool:
+        return self in (OrderType.TAKE_PROFIT_MARKET, OrderType.TAKE_PROFIT_LIMIT)
+
+    @property
+    def is_stop_loss(self) -> bool:
+        return self in (OrderType.STOP_LOSS_MARKET, OrderType.STOP_LOSS_LIMIT)
+
+    @property
+    def is_market(self) -> bool:
+        return self in (
+            OrderType.MARKET,
+            OrderType.TAKE_PROFIT_MARKET,
+            OrderType.STOP_LOSS_MARKET,
+        )
+
+    @property
+    def is_limit(self) -> bool:
+        return self in (
+            OrderType.LIMIT,
+            OrderType.TAKE_PROFIT_LIMIT,
+            OrderType.STOP_LOSS_LIMIT,
+        )
+
+    @property
+    def is_post_only(self) -> bool:
+        return self == OrderType.POST_ONLY
+
+
+class TriggerType(Enum):
+    LAST_PRICE = "LAST_PRICE"
+    MARK_PRICE = "MARK_PRICE"
+    INDEX_PRICE = "INDEX_PRICE"
+
+
+class OrderSide(Enum):
+    BUY = "BUY"
+    SELL = "SELL"
+
+    @property
+    def is_buy(self) -> bool:
+        return self == OrderSide.BUY
+
+    @property
+    def is_sell(self) -> bool:
+        return self == OrderSide.SELL
+
+
+class TimeInForce(Enum):
+    GTC = "GTC"
+    IOC = "IOC"
+    FOK = "FOK"
+
+
+class PositionSide(Enum):
+    LONG = "LONG"
+    SHORT = "SHORT"
+    FLAT = "FLAT"
+
+    @property
+    def is_long(self) -> bool:
+        return self == PositionSide.LONG
+
+    @property
+    def is_short(self) -> bool:
+        return self == PositionSide.SHORT
+
+    @property
+    def is_flat(self) -> bool:
+        return self == PositionSide.FLAT
+
+
+class InstrumentType(Enum):
+    SPOT = "spot"
+    MARGIN = "margin"
+    FUTURE = "future"
+    OPTION = "option"
+    SWAP = "swap"
+    LINEAR = "linear"
+    INVERSE = "inverse"
+
+
+class OptionType(Enum):
+    CALL = "call"
+    PUT = "put"
+
+
+STATUS_TRANSITIONS: Dict[OrderStatus, List[OrderStatus]] = {
+    OrderStatus.PENDING: [
+        OrderStatus.PENDING,
+        OrderStatus.CANCELED,
+        OrderStatus.CANCELING,
+        OrderStatus.ACCEPTED,
+        OrderStatus.PARTIALLY_FILLED,
+        OrderStatus.FILLED,
+        OrderStatus.CANCEL_FAILED,
+        OrderStatus.FAILED,  # e.g., rejected by exchange we mark as failed
+    ],
+    OrderStatus.CANCELING: [
+        OrderStatus.ACCEPTED,
+        OrderStatus.CANCELED,
+        OrderStatus.PARTIALLY_FILLED,
+        OrderStatus.FILLED,
+        OrderStatus.EXPIRED,
+    ],
+    OrderStatus.ACCEPTED: [
+        OrderStatus.ACCEPTED,  # for modify order, pending -> accepted -> accepted -> (not allowed) -> pending
+        OrderStatus.PARTIALLY_FILLED,
+        OrderStatus.FILLED,
+        OrderStatus.CANCELING,
+        OrderStatus.CANCELED,
+        OrderStatus.EXPIRED,
+        OrderStatus.CANCEL_FAILED,
+    ],
+    OrderStatus.PARTIALLY_FILLED: [
+        OrderStatus.ACCEPTED,  # for modify order, accepted -> partially filled -> accepted -> (not allowed) -> pending
+        OrderStatus.PARTIALLY_FILLED,
+        OrderStatus.FILLED,
+        OrderStatus.CANCELING,
+        OrderStatus.CANCELED,
+        OrderStatus.EXPIRED,
+        OrderStatus.CANCEL_FAILED,
+    ],
+    OrderStatus.CANCEL_FAILED: [
+        OrderStatus.CANCEL_FAILED,
+        OrderStatus.ACCEPTED,
+        OrderStatus.PARTIALLY_FILLED,
+        OrderStatus.CANCELING,
+        OrderStatus.CANCELED,
+        OrderStatus.FILLED,
+        OrderStatus.EXPIRED,
+    ],
+    OrderStatus.FILLED: [],
+    OrderStatus.CANCELED: [],
+    OrderStatus.EXPIRED: [],
+    OrderStatus.FAILED: [],
+}
+
+
+class DataType(Enum):
+    BOOKL1 = "bookl1"
+    BOOKL2 = "bookl2"
+    TRADE = "trade"
+    KLINE = "kline"
+    VOLUME_KLINE = "volume_kline"
+    MARK_PRICE = "mark_price"
+    FUNDING_RATE = "funding_rate"
+    INDEX_PRICE = "index_price"
+
+
+class StorageType(Enum):
+    SQLITE = "sqlite"
+    POSTGRESQL = "postgresql"
+    MEMORY = "memory"
+
+
+class ParamBackend(Enum):
+    MEMORY = "memory"
+    REDIS = "redis"
+
+
+class RateLimiter:
+    pass
+
+
+class ConfigType(TypedDict):
+    apiKey: str
+    secret: str
+    exchange_id: str
+    sandbox: bool
+    password: NotRequired[str]