140 lines
5.0 KiB
Python
140 lines
5.0 KiB
Python
# # ⚠ Warning
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
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# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
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# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
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# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
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# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
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#
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# [🥭 Mango Markets](https://markets/) support is available at:
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# [Docs](https://docs.markets/)
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# [Discord](https://discord.gg/67jySBhxrg)
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# [Twitter](https://twitter.com/mangomarkets)
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# [Github](https://github.com/blockworks-foundation)
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# [Email](mailto:hello@blockworks.foundation)
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import requests
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import re
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import rx
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import typing
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from datetime import datetime
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from decimal import Decimal
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from rx.subject import Subject
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from rx.core import Observable
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from ...context import Context
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from ...market import Market
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from ...observables import DisposePropagator, DisposeWrapper
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from ...oracle import Oracle, OracleProvider, OracleSource, Price, SupportedOracleFeature
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from ...reconnectingwebsocket import ReconnectingWebsocket
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# # 🥭 FTX
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#
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# This file contains code specific to the [Ftx Network](https://ftx.com/).
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#
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def _ftx_get_from_url(url: str) -> typing.Dict:
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response = requests.get(url)
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response_values = response.json()
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if ("success" not in response_values) or (not response_values["success"]):
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raise Exception(f"Failed to get from FTX URL: {url} - {response_values}")
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return response_values["result"]
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# # 🥭 FtxOracleConfidence constant
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#
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# FTX doesn't provide a confidence value.
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#
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FtxOracleConfidence: Decimal = Decimal(0)
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# # 🥭 FtxOracle class
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#
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# Implements the `Oracle` abstract base class specialised to the Ftx Network.
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#
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class FtxOracle(Oracle):
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def __init__(self, market: Market, ftx_symbol: str):
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name = f"Ftx Oracle for {market.symbol} / {ftx_symbol}"
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super().__init__(name, market)
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self.market: Market = market
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self.ftx_symbol: str = ftx_symbol
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features: SupportedOracleFeature = SupportedOracleFeature.MID_PRICE | SupportedOracleFeature.TOP_BID_AND_OFFER
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self.source: OracleSource = OracleSource("FTX", name, features, market)
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def fetch_price(self, context: Context) -> Price:
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result = _ftx_get_from_url(f"https://ftx.com/api/markets/{self.ftx_symbol}")
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bid = Decimal(result["bid"])
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ask = Decimal(result["ask"])
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price = Decimal(result["price"])
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return Price(self.source, datetime.now(), self.market, bid, price, ask, FtxOracleConfidence)
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def to_streaming_observable(self, _: Context) -> rx.core.Observable:
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subject = Subject()
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def _on_item(data):
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if data["type"] == "update":
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bid = Decimal(data["data"]["bid"])
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ask = Decimal(data["data"]["ask"])
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mid = (bid + ask) / Decimal(2)
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time = data["data"]["time"]
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timestamp = datetime.fromtimestamp(time)
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price = Price(self.source, timestamp, self.market, bid, mid, ask, FtxOracleConfidence)
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subject.on_next(price)
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ws: ReconnectingWebsocket = ReconnectingWebsocket("wss://ftx.com/ws/",
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lambda ws: ws.send(
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f"""{{"op": "subscribe", "channel": "ticker", "market": "{self.ftx_symbol}"}}"""))
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ws.item.subscribe(on_next=_on_item)
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def subscribe(observer, scheduler_=None):
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subject.subscribe(observer, scheduler_)
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disposable = DisposePropagator()
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disposable.add_disposable(DisposeWrapper(lambda: ws.close()))
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disposable.add_disposable(DisposeWrapper(lambda: subject.dispose()))
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return disposable
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price_observable = Observable(subscribe)
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ws.open()
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return price_observable
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# # 🥭 FtxOracleProvider class
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#
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# Implements the `OracleProvider` abstract base class specialised to the Ftx Network.
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#
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class FtxOracleProvider(OracleProvider):
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def __init__(self) -> None:
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super().__init__("Ftx Oracle Factory")
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def oracle_for_market(self, context: Context, market: Market) -> typing.Optional[Oracle]:
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symbol = self._market_symbol_to_ftx_symbol(market.symbol)
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return FtxOracle(market, symbol)
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def all_available_symbols(self, context: Context) -> typing.Sequence[str]:
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result = _ftx_get_from_url("https://ftx.com/api/markets")
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symbols: typing.List[str] = []
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for market in result:
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symbol: str = market["name"]
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if symbol.endswith("USD"):
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symbol = f"{symbol}C"
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symbols += [symbol]
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return symbols
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def _market_symbol_to_ftx_symbol(self, symbol: str) -> str:
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normalised = symbol.upper()
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fixed_usdc = re.sub("USDC$", "USD", normalised)
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fixed_perp = re.sub("\\-PERP$", "/USD", fixed_usdc)
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return fixed_perp
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