Merge pull request hummingbot#3050 from TheHolyRoger/feat/connector-h…

…itbtc

Feat / Add Connector for HitBTC

README.md

@@ -36,6 +36,7 @@ We created hummingbot to promote **decentralized market-making**: enabling membe
 | <img src="assets/cryptocom_logo.png" alt="Crypto.com" width="90" /> | crypto_com | [Crypto.com](https://crypto.com/exchange) | 2 | [API](https://exchange-docs.crypto.com/#introduction) |![YELLOW](https://via.placeholder.com/15/ffff00/?text=+) |
 | <img src="assets/dydx_logo.png" alt="DyDx" width="90" /> | dydx | [dy/dx](https://dydx.exchange/) | 1 | [API](https://docs.dydx.exchange/) |![GREEN](https://via.placeholder.com/15/008000/?text=+) |
 | <img src="assets/eterbase_logo.png" alt="Eterbase" width="90" /> | eterbase | [Eterbase](https://www.eterbase.com/) | * | [API](https://developers.eterbase.exchange/?version=latest) |![RED](https://via.placeholder.com/15/f03c15/?text=+) |
+| <img src="assets/hitbtc_logo.png" alt="HitBTC" width="90" /> | hitbtc | [HitBTC](https://hitbtc.com/) | 2 | [API](https://api.hitbtc.com/) | ![YELLOW](https://via.placeholder.com/15/ffff00/?text=+) |
 |<img src="assets/huobi_logo.png" alt="Huobi Global" width="90" />| huobi | [Huobi Global](https://www.hbg.com) | 1 | [API](https://huobiapi.github.io/docs/spot/v1/en/) |![GREEN](https://via.placeholder.com/15/008000/?text=+) |
 | <img src="assets/kucoin_logo.png" alt="KuCoin" width="90" /> | kucoin | [KuCoin](https://www.kucoin.com/) | 1 | [API](https://docs.kucoin.com/#general) |![GREEN](https://via.placeholder.com/15/008000/?text=+) |
 | <img src="assets/kraken_logo.png" alt="Kraken" width="90" /> | kraken | [Kraken](https://www.kraken.com/) | 1 | [API](https://www.kraken.com/features/api) |![GREEN](https://via.placeholder.com/15/008000/?text=+) |

conf/__init__.py

@@ -104,6 +104,10 @@
 crypto_com_api_key = os.getenv("CRYPTO_COM_API_KEY")
 crypto_com_secret_key = os.getenv("CRYPTO_COM_SECRET_KEY")
 
+# HitBTC Tests
+hitbtc_api_key = os.getenv("HITBTC_API_KEY")
+hitbtc_secret_key = os.getenv("HITBTC_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")

hummingbot/connector/connector_status.py

@@ -17,6 +17,7 @@
     'dydx': 'green',
     'eterbase': 'red',
     'ethereum': 'red',
+    'hitbtc': 'yellow',
     'huobi': 'green',
     'kraken': 'green',
     'kucoin': 'green',

hummingbot/connector/exchange/hitbtc/hitbtc_active_order_tracker.pxd

@@ -0,0 +1,11 @@
+# distutils: language=c++
+cimport numpy as np
+
+cdef class HitbtcActiveOrderTracker:
+    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)
+    # This method doesn't seem to be used anywhere at all
+    # cdef np.ndarray[np.float64_t, ndim=1] c_convert_trade_message_to_np_array(self, object message)

hummingbot/connector/exchange/hitbtc/hitbtc_active_order_tracker.pyx

@@ -0,0 +1,155 @@
+# 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")
+HitbtcOrderBookTrackingDictionary = Dict[Decimal, Dict[str, Dict[str, any]]]
+
+cdef class HitbtcActiveOrderTracker:
+    def __init__(self,
+                 active_asks: HitbtcOrderBookTrackingDictionary = None,
+                 active_bids: HitbtcOrderBookTrackingDictionary = 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) -> HitbtcOrderBookTrackingDictionary:
+        return self._active_asks
+
+    @property
+    def active_bids(self) -> HitbtcOrderBookTrackingDictionary:
+        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
+        return float(entry["price"]), float(entry["size"])
+
+    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_entries = []
+            list ask_entries = []
+            str order_id
+            str order_side
+            str price_raw
+            object price
+            dict order_dict
+            double timestamp = message.timestamp
+            double amount = 0
+
+        if "bid" in content_keys:
+            bid_entries = content["bid"]
+        if "ask" in content_keys:
+            ask_entries = content["ask"]
+
+        bids = s_empty_diff
+        asks = s_empty_diff
+
+        if len(bid_entries) > 0:
+            bids = np.array(
+                [[timestamp,
+                  price,
+                  amount,
+                  message.update_id]
+                 for price, amount in [self.get_rates_and_quantities(entry) for entry in bid_entries]],
+                dtype="float64",
+                ndmin=2
+            )
+
+        if len(ask_entries) > 0:
+            asks = np.array(
+                [[timestamp,
+                  price,
+                  amount,
+                  message.update_id]
+                 for price, amount in [self.get_rates_and_quantities(entry) for entry in ask_entries]],
+                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["bid"], self._active_bids), (content["ask"], 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
+
+    # This method doesn't seem to be used anywhere at all
+    # 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["side"] == "buy" else 2.0
+    #         list content = message.content
+    #     return np.array(
+    #         [message.timestamp, trade_type_value, float(content["price"]), float(content["quantity"])],
+    #         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