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ftx.py
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ftx.py
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from __future__ import annotations
import asyncio
import logging
from typing import Any, Awaitable, Optional
import aiohttp
from ..auth import Auth
from ..store import DataStore, DataStoreManager
from ..typedefs import Item
from ..ws import ClientWebSocketResponse
logger = logging.getLogger(__name__)
class FTXDataStore(DataStoreManager):
"""
FTXのデータストアマネージャー
"""
def _init(self) -> None:
self.create("ticker", datastore_class=Ticker)
self.create("markets", datastore_class=Markets)
self.create("trades", datastore_class=Trades)
self.create("orderbook", datastore_class=OrderBook)
self.create("fills", datastore_class=Fills)
self.create("orders", datastore_class=Orders)
self.create("positions", datastore_class=Positions)
async def initialize(self, *aws: Awaitable[aiohttp.ClientResponse]) -> None:
"""
対応エンドポイント
- GET /orders (DataStore: orders)
- GET /conditional_orders (DataStore: orders)
- GET /positions (DataStore: positions)
- fills 受信時に GET /positions の自動フェッチする機能が有効化される。
"""
for f in asyncio.as_completed(aws):
resp = await f
data = await resp.json()
if resp.url.path in (
"/api/orders",
"/api/conditional_orders",
):
self.orders._onresponse(data["result"])
elif resp.url.path in ("/api/positions",):
self.positions._onresponse(data["result"])
self.positions._fetch = True
def _onmessage(self, msg: Any, ws: ClientWebSocketResponse) -> None:
if "type" in msg:
if msg["type"] == "error":
logger.warning(msg)
if "data" in msg:
channel: str = msg["channel"]
market: str = msg["market"] if "market" in msg else ""
data: Any = msg["data"]
if channel == "ticker":
self.ticker._onmessage(market, data)
elif channel == "markets":
self.markets._onmessage(data)
elif channel == "trades":
self.trades._onmessage(market, data)
elif channel == "orderbook":
self.orderbook._onmessage(market, data)
elif channel == "orderbookGrouped":
data["action"] = msg["type"]
self.orderbook._onmessage(market, data)
elif channel == "fills":
self.fills._onmessage(data)
if self.positions._fetch:
asyncio.create_task(self.positions._onfills(ws._response._session))
elif channel == "orders":
self.orders._onmessage(data)
@property
def ticker(self) -> "Ticker":
return self.get("ticker", Ticker)
@property
def markets(self) -> "Markets":
return self.get("markets", Markets)
@property
def trades(self) -> "Trades":
return self.get("trades", Trades)
@property
def orderbook(self) -> "OrderBook":
return self.get("orderbook", OrderBook)
@property
def fills(self) -> "Fills":
return self.get("fills", Fills)
@property
def orders(self) -> "Orders":
"""
アクティブオーダーのみ(約定・キャンセル済みは削除される)
"""
return self.get("orders", Orders)
@property
def positions(self) -> "Positions":
return self.get("positions", Positions)
class Ticker(DataStore):
_KEYS = ["market"]
def _onmessage(self, market: str, item: Item) -> None:
self._update([{"market": market, **item}])
class Markets(DataStore):
_KEYS = ["name"]
def _onmessage(self, item: Item) -> None:
if item["action"] == "partial":
self._clear()
self._update([item["data"][k] for k in item["data"]])
class Trades(DataStore):
_MAXLEN = 99999
def _onmessage(self, market: str, data: list[Item]) -> None:
for item in data:
self._insert([{"market": market, **item}])
class OrderBook(DataStore):
_KEYS = ["market", "side", "price"]
_BDSIDE = {"sell": "asks", "buy": "bids"}
def sorted(self, query: Optional[Item] = None) -> dict[str, list[float]]:
if query is None:
query = {}
result = {"asks": [], "bids": []}
for item in self:
if all(k in item and query[k] == item[k] for k in query):
result[self._BDSIDE[item["side"]]].append([item["price"], item["size"]])
result["asks"].sort(key=lambda x: x[0])
result["bids"].sort(key=lambda x: x[0], reverse=True)
return result
def _onmessage(self, market: str, data: list[Item]) -> None:
if data["action"] == "partial":
result = self.find({"market": market})
self._delete(result)
for boardside, side in (("bids", "buy"), ("asks", "sell")):
for item in data[boardside]:
if item[1]:
self._update(
[
{
"market": market,
"side": side,
"price": item[0],
"size": item[1],
}
]
)
else:
self._delete([{"market": market, "side": side, "price": item[0]}])
class Fills(DataStore):
def _onmessage(self, item: Item) -> None:
self._insert([item])
class Orders(DataStore):
_KEYS = ["id"]
def _onresponse(self, data: list[Item]) -> None:
if data:
results = self.find({"market": data[0]["market"]})
self._delete(results)
self._update(data)
def _onmessage(self, item: Item) -> None:
if item["status"] != "closed":
self._update([item])
else:
self._delete([item])
class Positions(DataStore):
_KEYS = ["future"]
def _init(self) -> None:
self._fetch = False
def _onresponse(self, data: list[Item]) -> None:
self._update(data)
async def _onfills(self, session: aiohttp.ClientSession) -> None:
async with session.get(
"https://ftx.com/api/positions?showAvgPrice=true", auth=Auth
) as resp:
data = await resp.json()
self._onresponse(data["result"])