| commit | author | age | ||
| 5d61a1 | 1 | """.#protocol.py handling protocol.""" |
| JG | 2 | import book |
| 4497ee | 3 | from enum import Enum |
| JG | 4 | import httpx |
| 5 | import json | |
| 6 | ||
| 7 | test = True | |
| 8 | ||
| 9 | HOST: str = "sytev070" | |
| 10 | if (test): | |
| 11 | PORT = "9005" | |
| 12 | else: | |
| 13 | PORT = "9000" | |
| 14 | ||
| 15 | USER: str = "jgrunbau" | |
| 16 | PASS: str = "b7d630945a0854581d9f86ba147f34a5" | |
| 5d61a1 | 17 | |
| JG | 18 | |
| 19 | def handleMessage(bs: {str, book.Book}, message: {str, str}): | |
| 20 | """Handle message from exchange.""" | |
| 21 | if (message["type"] in {"FUTURE", "SPREAD", "CALL", "PUT"}): | |
| 22 | announce(bs, message) | |
| 23 | elif (message["type"] == "SETTLEMENT"): | |
| 24 | settle(bs, message) | |
| 25 | elif (message["type"] == "ADDED"): | |
| 26 | addOrder(bs, message) | |
| 27 | elif (message["type"] == "DELETED"): | |
| 4497ee | 28 | deleteOrder(bs, message) |
| JG | 29 | elif (message["type"] == "TRADE"): |
| 30 | tradeOrder(bs, message) | |
| 31 | elif (message["type"] in {"BROKER_REQUEST", "BROKER_ACK", | |
| 32 | "BROKER_CONFIRM"}): | |
| 33 | broker(bs, message) | |
| 5d61a1 | 34 | |
| JG | 35 | |
| 36 | def announce(bs: {str, book.Book}, message: {str, str}): | |
| 37 | """Announce message.""" | |
| 38 | # print(message) | |
| 39 | bs[message["product"]] = book.Book(message["type"], message["product"], | |
| 40 | message["stationId"], message["unit"], | |
| 41 | message["expiry"], | |
| 42 | message["aggressiveFee"], | |
| 43 | message["passiveFee"], | |
| 44 | message["brokerFee"]) | |
| 45 | ||
| 46 | ||
| 47 | def settle(bs: {str, book.Book}, message: {str, str}): | |
| 48 | """Settle order.""" | |
| 4497ee | 49 | b = bs.pop(message["product"]) |
| JG | 50 | if (False): |
| 51 | b.printBook() | |
| 52 | print() | |
| 53 | if (len(b.askSide.levels) > 0): | |
| 54 | print(b.askSide.levels[0]) | |
| 55 | if (len(b.bidSide.levels)): | |
| 56 | print(b.bidSide.levels[0]) | |
| 57 | print() | |
| 58 | ||
| 5d61a1 | 59 | |
| JG | 60 | def addOrder(bs: {str, book.Book}, message: {str, str}): |
| 61 | """Order added to exchange.""" | |
| 62 | if (message["side"] == "BUY"): | |
| 4497ee | 63 | bs[message["product"]].bid( |
| JG | 64 | book.Order(message["price"], book.OrderSide.Buy, |
| 65 | message["resting"], | |
| 66 | message["timestamp"], message["id"])) | |
| 5d61a1 | 67 | else: |
| 4497ee | 68 | bs[message["product"]].ask( |
| JG | 69 | book.Order(message["price"], book.OrderSide.Sell, |
| 70 | message["resting"], | |
| 71 | message["timestamp"], message["id"])) | |
| 72 | ||
| 73 | ||
| 74 | def deleteOrder(bs: {str, book.Book}, message: {str, str}): | |
| 75 | """Delete order from market.""" | |
| 76 | if (message["side"] == "BUY"): | |
| 77 | bs[message["product"]].bidSide.delete(message["id"]) | |
| 78 | else: | |
| 79 | bs[message["product"]].askSide.delete(message["id"]) | |
| 80 | ||
| 81 | ||
| 82 | def tradeOrder(bs: {str, book.Book}, message: {str, str}): | |
| 83 | """Order traded.""" | |
| 84 | if (message["tradeType"] == "BUY_AGGRESSOR"): | |
| 85 | bs[message["product"]].bidSide.delete(message["passiveOrder"]) | |
| 86 | elif (message["tradeType"] == "SELL_AGGRESSOR"): | |
| 87 | bs[message["product"]].askSide.delete(message["passiveOrder"]) | |
| 88 | ||
| 89 | ||
| 90 | def broker(bs: {str, book.Book}, message: {str, str}): | |
| 91 | """Broker trades.""" | |
| 92 | pass | |
| 93 | ||
| 94 | ||
| 95 | def send(message): | |
| 96 | """Send message with exchange.""" | |
| 97 | return httpx.post(f"http://{HOST}:{PORT}/execution", | |
| 98 | data={"message": json.dumps(message), | |
| 99 | "username": USER, | |
| 100 | "password": PASS}).json() | |
| 101 | ||
| 102 | ||
| 103 | class OrderEnum(Enum): | |
| 104 | """Enum for ordering from the exchange.""" | |
| 105 | ||
| 106 | ADD = 0, | |
| 107 | DELETE = 1, | |
| 108 | BROKER_REQUEST = 2, | |
| 109 | BROKER_CONFIRM = 3 | |
| 110 | ||
| 111 | ||
| 112 | def order(orderType: OrderEnum, product: str, price: float = 0, | |
| 113 | side: book.OrderSide = book.OrderSide.Buy, | |
| 114 | volume: int = 0, orderId: str = "", counterparty: str = ""): | |
| 115 | """Order from exchange.""" | |
| 116 | if (orderType == OrderEnum.ADD): | |
| 117 | resp = send({"type": "ADD", | |
| 118 | "product": product, | |
| 119 | "price": price, | |
| 120 | "side": side, | |
| 121 | "volume": volume}) | |
| 122 | elif (orderType == OrderEnum.DELETE): | |
| 123 | resp = send({"type": "DELETE", | |
| 124 | "product": product, | |
| 125 | "id": id}) | |
| 126 | elif (orderType == OrderEnum.BROKER_REQUEST): | |
| 127 | pass | |
| 128 | elif (orderType == OrderEnum.BROKER_CONFIRM): | |
| 129 | pass | |
| 130 | return resp | |
