81 lines
3.5 KiB
Python
81 lines
3.5 KiB
Python
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from __future__ import annotations
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from decimal import Decimal
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from nautilus_trader.common.providers import InstrumentProvider
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from nautilus_trader.model.identifiers import InstrumentId
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from nautilus_trader.model.identifiers import Symbol
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from nautilus_trader.model.instruments import CryptoPerpetual
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from nautilus_trader.model.objects import Currency
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from nautilus_trader.model.objects import Money
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from nautilus_trader.model.objects import Price
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from nautilus_trader.model.objects import Quantity
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from .config import BingxInstrumentProviderConfig
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from .enums import BINGX_VENUE
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from .http import BingxHttpClient
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from .schemas import BingxContract
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class BingxInstrumentProvider(InstrumentProvider):
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def __init__(
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self,
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client: BingxHttpClient,
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config: BingxInstrumentProviderConfig | None = None,
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) -> None:
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super().__init__(config=config)
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self._client = client
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self._cfg = config or BingxInstrumentProviderConfig()
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async def load_all_async(self, filters: dict | None = None) -> None:
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raw_contracts = await self._client.public_get("/openApi/swap/v2/quote/contracts")
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contracts = raw_contracts if isinstance(raw_contracts, list) else raw_contracts.get("contracts", [])
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requested = set(self._cfg.symbol_filters or ())
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for row in contracts:
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contract = BingxContract.from_http(row)
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if requested and contract.symbol not in requested and contract.venue_symbol not in requested:
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continue
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self.add(self._parse_contract(contract))
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async def load_ids_async(
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self,
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instrument_ids: list[InstrumentId],
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filters: dict | None = None,
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) -> None:
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self._cfg = BingxInstrumentProviderConfig(
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load_all=True,
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symbol_filters=tuple(i.symbol.value for i in instrument_ids),
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default_maker_fee=self._cfg.default_maker_fee,
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default_taker_fee=self._cfg.default_taker_fee,
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)
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await self.load_all_async(filters)
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def _parse_contract(self, contract: BingxContract) -> CryptoPerpetual:
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base_currency = Currency.from_str(contract.base_asset)
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quote_currency = Currency.from_str(contract.quote_asset)
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symbol = Symbol(contract.symbol)
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return CryptoPerpetual(
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instrument_id=InstrumentId(symbol=symbol, venue=BINGX_VENUE),
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raw_symbol=Symbol(contract.venue_symbol),
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base_currency=base_currency,
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quote_currency=quote_currency,
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settlement_currency=quote_currency,
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is_inverse=False,
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price_precision=contract.price_precision,
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price_increment=Price.from_str(str(contract.tick_size)),
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size_precision=contract.quantity_precision,
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size_increment=Quantity.from_str(str(contract.step_size)),
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max_quantity=Quantity.from_str("1000000000"),
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min_quantity=Quantity.from_str(str(contract.min_quantity)),
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max_notional=None,
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min_notional=Money(contract.min_notional, quote_currency),
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max_price=Price.from_str("1000000000"),
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min_price=Price.from_str(str(contract.tick_size)),
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margin_init=Decimal("0.11111111") if contract.max_leverage >= 9 else Decimal("1") / Decimal(contract.max_leverage or 1),
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margin_maint=Decimal("0.05"),
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maker_fee=contract.maker_fee or self._cfg.default_maker_fee,
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taker_fee=contract.taker_fee or self._cfg.default_taker_fee,
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ts_event=0,
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ts_init=0,
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)
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