forked from Polygant/OpenCEX-backend
-
Notifications
You must be signed in to change notification settings - Fork 0
/
stack_processor.py
244 lines (198 loc) · 7.58 KB
/
stack_processor.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
import logging
from django.conf import settings
from django.core import serializers as core_serializer
from django.core.cache import cache
from django.db.models import Sum
from lib.helpers import to_decimal
from core.otcupdater import OtcOrdersBulkUpdater
from core.consts.orders import EXTERNAL, STOP_LIMIT, LIMIT
from core.consts.orders import BUY
from core.consts.orders import MARKET
from core.consts.orders import EXCHANGE
from core.consts.orders import ORDER_OPENED
from core.models.orders import Exchange
from core.models.orders import Order
from core.orderbook.book import OrderBook
from core.models.inouts.pair import Pair
from core.serializers.orders import ExchangeResultSerialzier
from core.serializers.orders import OrderSerializer
log = logging.getLogger(__name__)
class StackProcessor:
_instance = None
_pair_instance = None
_place_order_delay: int = getattr(settings, 'PLACE_ORDER_DELAY', 300)
def __init__(self, loglevel=logging.INFO, pairs=None):
self.pairs = [i.code.upper() for i in pairs or Pair.objects.all()]
self.books = {}
self.loglevel = loglevel
self.setup_books()
self.cancelled = {}
@staticmethod
def get_order_from_json(order_data):
order_d = next(core_serializer.deserialize('json', order_data))
return order_d.object
def setup_books(self):
for pair in self.pairs:
self.books[pair] = OrderBook(pair, loglevel=self.loglevel)
def load_opened_orders(self):
for pair_name in self.pairs:
pair = Pair.get(pair_name)
orders = Order.objects.filter(
state=ORDER_OPENED,
pair=pair,
quantity_left__gt=0,
in_stack=True,
).order_by(
'created',
'id',
)
for order in orders:
self.books[pair_name].process_order(order)
def place_order(self, order_data):
# TODO check if exist order -> except
order: Order = self.get_order_from_json(order_data)
key = f'place_order-{order.id}'
if key in cache:
log.error(f'order[{order.id}] already on place_order; user[{order.user_id}]')
cache.touch(key, self._place_order_delay) # update cache time
return
cache.set(key, True, self._place_order_delay)
book = self.get_book_for_order(order)
book.process_order(order)
def get_book_for_order(self, order):
return self._book_by_pair(order.pair)
def _book_by_pair(self, pair):
pair_name = self._pair_name_by_id(pair)
return self.books[pair_name]
def start_cache_updaters(self):
for book in self.books.values():
book.actions.start_updater()
@staticmethod
def _pair_name_by_id(pair_id):
return Pair.get(pair_id).code
@classmethod
def get_order_from_data(cls, order_data):
order_id = order_data['id']
# TODO изменить выборку на фильтр только открытых ордеров ???
order = Order.objects.select_related('user').filter(id=order_id).first()
return order
def cancel_order(self, order_data):
order_id = order_data['id']
key = f'stackoncancel-{order_id}'
if key in cache:
log.info(f'on cancel {order_id}')
return
order: Order = self.get_order_from_data(order_data)
book: OrderBook = self.get_book_for_order(order)
book.cancel_order(order)
cache.set(key, True, 60)
def update_order(self, order_data):
order = self.get_order_from_data(order_data)
book = self.get_book_for_order(order)
exist_in_stack = book.is_exists_in_stack(order)
book.remove_order_from_stack(order)
order._update_order(order_data)
if exist_in_stack:
book.process_order(order)
@classmethod
def get_instance(cls, loglevel=logging.INFO, renew=False, pairs=None):
if renew or not cls._instance:
cls._instance = cls(loglevel=loglevel, pairs=pairs)
return cls._instance
def stop_limit_order(self, data):
order = self.create_stop_limit_order(data)
if not order:
return {}
order = OrderSerializer(instance=order).data
return order
def create_stop_limit_order(self, data):
pair = Pair.get(data['pair'])
order = Order(
type=data.get('type', STOP_LIMIT),
operation=data['operation'],
user_id=data['user_id'],
pair=pair,
price=to_decimal(data.get('price', 0)),
stop=to_decimal(data.get('stop', 0)),
quantity=to_decimal(data.get('quantity', 0)),
in_stack=False,
)
order.save()
return order
def market_order(self, data):
book, order = self.create_market_order(data)
if not order:
return {}
book.process_order(order)
order = OrderSerializer(instance=order).data
return order
def create_market_order(self, data):
pair = Pair.get(data['pair'])
book = self.books[pair.code]
order = Order(type=data.get('type', MARKET),
operation=data['operation'],
user_id=data['user_id'],
pair=pair,
# price=to_decimal(price),
)
if 'quantity' in data:
order.quantity = to_decimal(data['quantity'])
else:
order.quantity = to_decimal('0')
if 'cost' in data:
order.cost = to_decimal(data['cost'])
order.save()
return book, order
def exchange_order(self, data):
pair = data['pair']
book = self.books[pair.code]
order_data = {'pair': pair,
# 'quantity': data['quantity'],
# 'cost': data['quantity'],
'type': EXCHANGE,
'operation': data['operation'],
'user_id': data['user_id'],
}
if data['strict_pair']:
order_data['operation'] = data['operation']
order_data['quantity'] = data['quantity']
else:
order_data['operation'] = BUY
order_data['cost'] = data['quantity']
_, order = self.create_market_order(order_data)
if not order:
return {}
book.process_order(order)
# is correct?
order_cost = order.executionresult_set.aggregate(
total=Sum('transaction__amount'),
)['total']
exchange = Exchange(
user_id=data['user_id'],
quote_currency=data['quote_currency'],
base_currency=data['base_currency'],
quantity=data['quantity'],
order=order,
cost=order_cost,
operation=data['operation']
)
exchange.save()
exchange = ExchangeResultSerialzier(instance=exchange).data
return exchange
def otc_bulk_update(self, pair='BTC-USDT'):
pair = Pair.get(pair)
orders = list(Order.objects.filter(
type=EXTERNAL,
state=ORDER_OPENED,
pair=pair)
)
book = self._book_by_pair(pair)
updater = OtcOrdersBulkUpdater(orders, pair)
orders2reload = updater.start()
book.actions.set_cache_update(False)
for order in orders2reload:
book.remove_order_from_stack(order)
for order in orders2reload:
book.process_order(order)
book.actions.set_cache_update(True)
book.actions.set_cache()