Merge pull request #74 from AsyncAlgoTrading/coinbase

starting work on coinbase

Makefile

@@ -8,15 +8,12 @@ run:    ## Clean and make target, run target
 iex:    ## Clean and make target, run target
 	$(PYTHON) -m aat ./config/iex.cfg
 
-iexintraday:    ## Clean and make target, run target
-	$(PYTHON) -m aat ./config/iex_intraday.cfg
-
-iexlive:    ## Clean and make target, run target
-	$(PYTHON) -m aat ./config/iex_live.cfg
-
 ib:    ## Clean and make target, run target
 	$(PYTHON) -m aat ./config/ib.cfg
 
+coinbasesandbox:    ## Clean and make target, run target
+	$(PYTHON) -m aat ./config/coinbase_sandbox.cfg
+
 runcpp:  build  ## Clean and make target, run target
 	AAT_USE_CPP=1 $(PYTHON) -m aat $(CONFIG)
 

aat/exchange/base/market_data.py

@@ -9,7 +9,7 @@ async def instruments(self):
         '''get list of available instruments'''
         return []
 
-    def subscribe(self, instrument):
+    async def subscribe(self, instrument):
         '''subscribe to market data for a given instrument'''
 
     async def tick(self):

aat/exchange/base/order_entry.py

@@ -8,7 +8,7 @@ class _OrderEntry(metaclass=ABCMeta):
     '''internal only class to represent the rest-sink
     side of a data source'''
 
-    def accounts(self) -> List:
+    async def accounts(self) -> List:
         '''get accounts from source'''
         return []
 

aat/exchange/crypto/coinbase/__init__.py

@@ -0,0 +1 @@
+from .coinbase import CoinbaseProExchange  # noqa: F401

aat/exchange/crypto/coinbase/coinbase.py

@@ -0,0 +1,117 @@
+from cbpro import PublicClient, AuthenticatedClient, WebsocketClient  # type: ignore
+
+from aat.core import ExchangeType, Order
+from aat.config import TradingType, OrderType, OrderFlag, InstrumentType
+from aat.exchange import Exchange
+from .instruments import _get_instruments
+
+
+class CoinbaseProExchange(Exchange):
+    '''Coinbase Pro Exchange'''
+
+    def __init__(self,
+                 trading_type,
+                 verbose,
+                 api_key='',
+                 api_secret='',
+                 api_passphrase='',
+                 **kwargs):
+        self._trading_type = trading_type
+        self._verbose = verbose
+
+        if trading_type == TradingType.BACKTEST:
+            raise NotImplementedError()
+
+        if self._trading_type == TradingType.SANDBOX:
+            super().__init__(ExchangeType('coinbaseprosandbox'))
+        else:
+            super().__init__(ExchangeType('coinbasepro'))
+
+        auth = api_key and api_secret and api_passphrase
+        self._public_client = PublicClient()
+
+        if trading_type == TradingType.SANDBOX:
+            self._auth_client = AuthenticatedClient(api_key, api_secret, api_passphrase, api_url="https://api-public.sandbox.pro.coinbase.com") if auth else None
+        else:
+            self._auth_client = AuthenticatedClient(api_key, api_secret, api_passphrase) if auth else None
+
+        # TODO
+        self._subscriptions = []
+        self._ws_client = WebsocketClient(url="wss://ws-feed.pro.coinbase.com", products="BTC-USD")
+
+    # *************** #
+    # General methods #
+    # *************** #
+    async def connect(self):
+        '''connect to exchange. should be asynchronous.'''
+
+        # instantiate instruments
+        _get_instruments(self._public_client, self.exchange())
+
+    async def lookup(self, instrument):
+        '''lookup an instrument on the exchange'''
+        # TODO
+        raise NotImplementedError()
+
+    # ******************* #
+    # Market Data Methods #
+    # ******************* #
+    async def tick(self):
+        '''return data from exchange'''
+
+    async def subscribe(self, instrument):
+        self._subscriptions.append(instrument)
+
+    # ******************* #
+    # Order Entry Methods #
+    # ******************* #
+    async def accounts(self):
+        '''get accounts from source'''
+        # TODO
+        raise NotImplementedError()
+
+    async def newOrder(self, order):
+        '''submit a new order to the exchange. should set the given order's `id` field to exchange-assigned id'''
+        if not self._auth_client:
+            raise NotImplementedError()
+
+        if order.instrument.type != InstrumentType.PAIR:
+            raise NotImplementedError()
+
+        if order.type == OrderType.LIMIT:
+            time_in_force = 'GTC'
+            if order.flag == OrderFlag.FILL_OR_KILL:
+                time_in_force = 'FOK'
+            elif order.flag == OrderFlag.IMMEDIATE_OR_CANCEL:
+                time_in_force = 'IOC'
+
+            ret = self._auth_client.place_limit_order(product_id='{}-{}'.format(order.instrument.leg1.name, order.instrument.leg2.name),
+                                                      side=order.side.value.lower(),
+                                                      price=order.price,
+                                                      size=order.volume,
+                                                      time_in_force=time_in_force)
+
+        elif order.type == OrderType.MARKET:
+            ret = self._auth_client.place_limit_order(product_id='{}-{}'.format(order.instrument.leg1.name, order.instrument.leg2.name),
+                                                      side=order.side.value.lower(),
+                                                      funds=order.price * order.volume)
+
+        elif order.type == OrderType.STOP:
+            # TODO
+            raise NotImplementedError()
+            # self._auth_client.place_stop_order(product_id='BTC-USD',
+            #                             side='buy',
+            #                             price='200.00',
+            #                             size='0.01')
+
+        # Set ID
+        order.id = ret['id']
+        return order
+
+    async def cancelOrder(self, order: Order):
+        '''cancel a previously submitted order to the exchange.'''
+        self._auth_client.cancel_order(order.id)
+        return order
+
+
+Exchange.registerExchange('coinbase', CoinbaseProExchange)

aat/exchange/crypto/coinbase/instruments.py

@@ -0,0 +1,29 @@
+from functools import lru_cache
+from aat import Instrument, InstrumentType, Side
+
+
+@lru_cache(None)
+def _get_currency(symbol):
+    return Instrument(name=symbol, type=InstrumentType.CURRENCY)
+
+
+@lru_cache(None)
+def _get_instruments(public_client, exchange):
+    ret = []
+
+    products = public_client.get_products()
+
+    for product in products:
+        first = product['base_currency']
+        second = product['quote_currency']
+
+        ret.append(
+            Instrument(name='{}/{}'.format(first, second),
+                       type=InstrumentType.PAIR,
+                       exchange=exchange,
+                       leg1=_get_currency(first),
+                       leg2=_get_currency(second),
+                       leg1_side=Side.BUY,
+                       leg2_side=Side.SELL)
+        )
+    return ret

aat/exchange/exchange.py

@@ -41,7 +41,7 @@ async def connect(self):
         For OrderEntry-only, can just return None
         '''
 
-    def lookup(self, instrument):
+    async def lookup(self, instrument):
         '''lookup an instrument on the exchange'''
         return []
 

aat/exchange/public/ib/ib.py

@@ -57,7 +57,7 @@ def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId,
 class InteractiveBrokersExchange(Exchange):
     '''Interactive Brokers Exchange'''
 
-    def __init__(self, trading_type=None, verbose=False, **kwargs):
+    def __init__(self, trading_type, verbose, **kwargs):
         self._trading_type = trading_type
         self._verbose = verbose
 
@@ -155,7 +155,7 @@ async def tick(self):
     # ******************* #
     # Order Entry Methods #
     # ******************* #
-    def accounts(self):
+    async def accounts(self):
         '''get accounts from source'''
         return []
 

aat/exchange/public/iex.py

@@ -90,7 +90,7 @@ async def instruments(self):
             instruments.append(inst)
         return instruments
 
-    def subscribe(self, instrument):
+    async def subscribe(self, instrument):
         self._subscriptions.append(instrument)
 
     async def tick(self):

aat/strategy/__init__.py

@@ -245,6 +245,10 @@ def exchanges(self, instrument_type=None):
         '''Return list of all available exchanges'''
         return list(set(__ for _ in Instrument._instrumentdb.instruments(type=instrument_type) for __ in _.exchanges))
 
+    def accounts(self, type=None, exchange=None):
+        '''Return list of all accounts'''
+        raise NotImplementedError()
+
     def subscribe(self, instrument=None):
         '''Subscribe to market data for the given instrument'''
         return self._manager.subscribe(instrument=instrument, strategy=self)

aat/strategy/sample/readonly.py

@@ -0,0 +1,19 @@
+from aat import Strategy, Event
+from pprint import pprint
+
+
+class ReadOnlyStrategy(Strategy):
+    def __init__(self, *args, **kwargs) -> None:
+        super(ReadOnlyStrategy, self).__init__(*args, **kwargs)
+
+    async def onStart(self, event: Event) -> None:
+        pprint(self.instruments())
+
+    async def onTrade(self, event: Event) -> None:
+        pprint(event)
+
+    async def onOrder(self, event):
+        pprint(event)
+
+    async def onExit(self, event: Event) -> None:
+        print('Finishing...')

config/coinbase_sandbox.cfg

@@ -0,0 +1,11 @@
+[general]
+verbose=0
+trading_type=sandbox
+
+[exchange]
+exchanges=
+    aat.exchange.crypto.coinbase:CoinbaseProExchange
+
+[strategy]
+strategies = 
+    aat.strategy.sample.readonly:ReadOnlyStrategy