Merge branch '0.39/connector-altmarkets' into 0.39-altmarkets

Author: TheHolyRoger

README.md

@@ -54,6 +54,7 @@ We created hummingbot to promote **decentralized market-making**: enabling membe
 | <img src="assets/okex_logo.png" alt="OKEx" width="90" /> | okex | [OKEx](https://www.okex.com/) | 3 | [API](https://www.okex.com/docs/en/) |![YELLOW](https://via.placeholder.com/15/ffff00/?text=+) |
 | <img src="assets/probit_global_logo.png" alt="Probit Global" width="90" /> | probit | [Probit Global](https://www.probit.com/en-us/) | 1 | [API](https://docs-en.probit.com/docs) |![YELLOW](https://via.placeholder.com/15/ffff00/?text=+) |
 | <img src="assets/probit_korea_logo.png" alt="Probit Korea" width="90" /> | probit_kr | [Probit Korea](https://www.probit.kr/en-us/) | 1 | [API](https://docs-en.probit.com/docs) |![YELLOW](https://via.placeholder.com/15/ffff00/?text=+) |
+| <img src="assets/altmarkets_logo1.png" alt="AltMarkets.io" width="90" /> | altmarkets | [AltMarkets.io](https://altmarkets.io/) | 2 | [API](https://altmarkets.io/) |![GREEN](https://via.placeholder.com/15/008000/?text=+) |
 
 
 ## Supported decentralized exchanges

assets/altmarkets_logo1.png

@@ -113,6 +113,10 @@
 coinzoom_secret_key = os.getenv("COINZOOM_SECRET_KEY")
 coinzoom_username = os.getenv("COINZOOM_USERNAME")
 
+# AltMarkets.io Test
+altmarkets_api_key = os.getenv("ALTMARKETS_API_KEY")
+altmarkets_secret_key = os.getenv("ALTMARKETS_SECRET_KEY")
+
 # Wallet Tests
 test_erc20_token_address = os.getenv("TEST_ERC20_TOKEN_ADDRESS")
 web3_test_private_key_a = os.getenv("TEST_WALLET_PRIVATE_KEY_A")

conf/__init__.py

@@ -1,6 +1,7 @@
 #!/usr/bin/env python
 
 connector_status = {
+    'altmarkets': 'green',
     'ascend_ex': 'yellow',
     'balancer': 'green',
     'beaxy': 'green',

hummingbot/connector/connector_status.py

@@ -0,0 +1,10 @@
+# distutils: language=c++
+cimport numpy as np
+
+cdef class AltmarketsActiveOrderTracker:
+    cdef dict _active_bids
+    cdef dict _active_asks
+
+    cdef tuple c_convert_diff_message_to_np_arrays(self, object message)
+    cdef tuple c_convert_snapshot_message_to_np_arrays(self, object message)
+    cdef np.ndarray[np.float64_t, ndim=1] c_convert_trade_message_to_np_array(self, object message)

hummingbot/connector/exchange/altmarkets/__init__.py

@@ -0,0 +1,160 @@
+# distutils: language=c++
+# distutils: sources=hummingbot/core/cpp/OrderBookEntry.cpp
+
+import logging
+import numpy as np
+
+from decimal import Decimal
+from typing import Dict
+from hummingbot.logger import HummingbotLogger
+from hummingbot.core.data_type.order_book_row import OrderBookRow
+
+_logger = None
+s_empty_diff = np.ndarray(shape=(0, 4), dtype="float64")
+AltmarketsOrderBookTrackingDictionary = Dict[Decimal, Dict[str, Dict[str, any]]]
+
+cdef class AltmarketsActiveOrderTracker:
+    def __init__(self,
+                 active_asks: AltmarketsOrderBookTrackingDictionary = None,
+                 active_bids: AltmarketsOrderBookTrackingDictionary = None):
+        super().__init__()
+        self._active_asks = active_asks or {}
+        self._active_bids = active_bids or {}
+
+    @classmethod
+    def logger(cls) -> HummingbotLogger:
+        global _logger
+        if _logger is None:
+            _logger = logging.getLogger(__name__)
+        return _logger
+
+    @property
+    def active_asks(self) -> AltmarketsOrderBookTrackingDictionary:
+        return self._active_asks
+
+    @property
+    def active_bids(self) -> AltmarketsOrderBookTrackingDictionary:
+        return self._active_bids
+
+    # TODO: research this more
+    def volume_for_ask_price(self, price) -> float:
+        return NotImplementedError
+
+    # TODO: research this more
+    def volume_for_bid_price(self, price) -> float:
+        return NotImplementedError
+
+    def get_rates_and_quantities(self, entry) -> tuple:
+        # price, quantity
+        amount = float(entry[1]) if len(entry[1].replace('.', '')) > 0 else 0.0
+        return float(entry[0]), amount
+
+    cdef tuple c_convert_diff_message_to_np_arrays(self, object message):
+        cdef:
+            dict content = message.content
+            list content_keys = list(content.keys())
+            list bid_entry = []
+            list ask_entry = []
+            str order_id
+            str order_side
+            str price_raw
+            object price
+            dict order_dict
+            double timestamp = message.timestamp
+            double amount = 0
+
+        if "bids" in content_keys:
+            bid_entry = content["bids"]
+        if "asks" in content_keys:
+            ask_entry = content["asks"]
+
+        bids = s_empty_diff
+        asks = s_empty_diff
+
+        if len(bid_entry) > 0:
+            bids = np.array(
+                [[timestamp,
+                  price,
+                  amount,
+                  message.update_id]
+                 for price, amount in [self.get_rates_and_quantities(bid_entry)]],
+                dtype="float64",
+                ndmin=2
+            )
+
+        if len(ask_entry) > 0:
+            asks = np.array(
+                [[timestamp,
+                  price,
+                  amount,
+                  message.update_id]
+                 for price, amount in [self.get_rates_and_quantities(ask_entry)]],
+                dtype="float64",
+                ndmin=2
+            )
+
+        return bids, asks
+
+    cdef tuple c_convert_snapshot_message_to_np_arrays(self, object message):
+        cdef:
+            float price
+            float amount
+            str order_id
+            dict order_dict
+
+        # Refresh all order tracking.
+        self._active_bids.clear()
+        self._active_asks.clear()
+        timestamp = message.timestamp
+        content = message.content
+
+        for snapshot_orders, active_orders in [(content["bids"], self._active_bids), (content["asks"], self._active_asks)]:
+            for entry in snapshot_orders:
+                price, amount = self.get_rates_and_quantities(entry)
+                active_orders[price] = amount
+
+        # Return the sorted snapshot tables.
+        cdef:
+            np.ndarray[np.float64_t, ndim=2] bids = np.array(
+                [[message.timestamp,
+                  float(price),
+                  float(self._active_bids[price]),
+                  message.update_id]
+                 for price in sorted(self._active_bids.keys())], dtype='float64', ndmin=2)
+            np.ndarray[np.float64_t, ndim=2] asks = np.array(
+                [[message.timestamp,
+                  float(price),
+                  float(self._active_asks[price]),
+                  message.update_id]
+                 for price in sorted(self._active_asks.keys(), reverse=True)], dtype='float64', ndmin=2)
+
+        if bids.shape[1] != 4:
+            bids = bids.reshape((0, 4))
+        if asks.shape[1] != 4:
+            asks = asks.reshape((0, 4))
+
+        return bids, asks
+
+    cdef np.ndarray[np.float64_t, ndim=1] c_convert_trade_message_to_np_array(self, object message):
+        cdef:
+            double trade_type_value = 1.0 if message.content["taker_type"] == "buy" else 2.0
+
+        timestamp = message.timestamp
+        content = message.content
+
+        return np.array(
+            [timestamp, trade_type_value, float(content["price"]), float(content["amount"])],
+            dtype="float64"
+        )
+
+    def convert_diff_message_to_order_book_row(self, message):
+        np_bids, np_asks = self.c_convert_diff_message_to_np_arrays(message)
+        bids_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_bids]
+        asks_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_asks]
+        return bids_row, asks_row
+
+    def convert_snapshot_message_to_order_book_row(self, message):
+        np_bids, np_asks = self.c_convert_snapshot_message_to_np_arrays(message)
+        bids_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_bids]
+        asks_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_asks]
+        return bids_row, asks_row