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Split binance_us rate oracle from binance
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mlguys
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Apr 25, 2024
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87 changes: 87 additions & 0 deletions
87
hummingbot/core/rate_oracle/sources/binance_us_rate_source.py
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,87 @@ | ||
| from decimal import Decimal | ||
| from typing import TYPE_CHECKING, Dict, Optional | ||
|
|
||
| from hummingbot.connector.utils import split_hb_trading_pair | ||
| from hummingbot.core.rate_oracle.sources.rate_source_base import RateSourceBase | ||
| from hummingbot.core.utils import async_ttl_cache | ||
| from hummingbot.core.utils.async_utils import safe_gather | ||
|
|
||
| if TYPE_CHECKING: | ||
| from hummingbot.connector.exchange.binance.binance_exchange import BinanceExchange | ||
|
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| class BinanceUSRateSource(RateSourceBase): | ||
| def __init__(self): | ||
| super().__init__() | ||
| self._binance_us_exchange: Optional[BinanceExchange] = None # delayed because of circular reference | ||
|
|
||
| @property | ||
| def name(self) -> str: | ||
| return "binance_us" | ||
|
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| @async_ttl_cache(ttl=30, maxsize=1) | ||
| async def get_prices(self, quote_token: Optional[str] = None) -> Dict[str, Decimal]: | ||
| self._ensure_exchanges() | ||
| results = {} | ||
| tasks = [ | ||
| self._get_binance_prices(exchange=self._binance_us_exchange, quote_token="USD"), | ||
| ] | ||
| task_results = await safe_gather(*tasks, return_exceptions=True) | ||
| for task_result in task_results: | ||
| if isinstance(task_result, Exception): | ||
| self.logger().error( | ||
| msg="Unexpected error while retrieving rates from Binance. Check the log file for more info.", | ||
| exc_info=task_result, | ||
| ) | ||
| break | ||
| else: | ||
| results.update(task_result) | ||
| return results | ||
|
|
||
| def _ensure_exchanges(self): | ||
| if self._binance_us_exchange is None: | ||
| self._binance_us_exchange = self._build_binance_connector_without_private_keys(domain="us") | ||
|
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||
| @staticmethod | ||
| async def _get_binance_prices(exchange: 'BinanceExchange', quote_token: str = None) -> Dict[str, Decimal]: | ||
| """ | ||
| Fetches binance prices | ||
| :param exchange: The exchange instance from which to query prices. | ||
| :param quote_token: A quote symbol, if specified only pairs with the quote symbol are included for prices | ||
| :return: A dictionary of trading pairs and prices | ||
| """ | ||
| pairs_prices = await exchange.get_all_pairs_prices() | ||
| results = {} | ||
| for pair_price in pairs_prices: | ||
| try: | ||
| trading_pair = await exchange.trading_pair_associated_to_exchange_symbol(symbol=pair_price["symbol"]) | ||
| except KeyError: | ||
| continue # skip pairs that we don't track | ||
| if quote_token is not None: | ||
| base, quote = split_hb_trading_pair(trading_pair=trading_pair) | ||
| if quote != quote_token: | ||
| continue | ||
| bid_price = pair_price.get("bidPrice") | ||
| ask_price = pair_price.get("askPrice") | ||
| if bid_price is not None and ask_price is not None and 0 < Decimal(bid_price) <= Decimal(ask_price): | ||
| results[trading_pair] = (Decimal(bid_price) + Decimal(ask_price)) / Decimal("2") | ||
|
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| return results | ||
|
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| @staticmethod | ||
| def _build_binance_connector_without_private_keys(domain: str) -> 'BinanceExchange': | ||
| from hummingbot.client.hummingbot_application import HummingbotApplication | ||
| from hummingbot.connector.exchange.binance.binance_exchange import BinanceExchange | ||
|
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| app = HummingbotApplication.main_application() | ||
| client_config_map = app.client_config_map | ||
|
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| return BinanceExchange( | ||
| client_config_map=client_config_map, | ||
| binance_api_key="", | ||
| binance_api_secret="", | ||
| trading_pairs=[], | ||
| trading_required=False, | ||
| domain=domain, | ||
| ) |
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84 changes: 84 additions & 0 deletions
84
test/hummingbot/core/rate_oracle/sources/test_binance_us_rate_source.py
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,84 @@ | ||
| import asyncio | ||
| import json | ||
| import unittest | ||
| from decimal import Decimal | ||
| from typing import Awaitable | ||
|
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| from aioresponses import aioresponses | ||
|
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| from hummingbot.connector.exchange.binance import binance_constants as CONSTANTS, binance_web_utils as web_utils | ||
| from hummingbot.connector.utils import combine_to_hb_trading_pair | ||
| from hummingbot.core.rate_oracle.sources.binance_us_rate_source import BinanceUSRateSource | ||
|
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| class BinanceUSRateSourceTest(unittest.TestCase): | ||
| @classmethod | ||
| def setUpClass(cls): | ||
| super().setUpClass() | ||
| cls.ev_loop = asyncio.get_event_loop() | ||
| cls.target_token = "COINALPHA" | ||
| cls.binance_us_pair = f"{cls.target_token}USD" | ||
| cls.us_trading_pair = combine_to_hb_trading_pair(base=cls.target_token, quote="USD") | ||
| cls.binance_ignored_pair = "SOMEPAIR" | ||
| cls.ignored_trading_pair = combine_to_hb_trading_pair(base="SOME", quote="PAIR") | ||
|
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| def async_run_with_timeout(self, coroutine: Awaitable, timeout: int = 1): | ||
| ret = asyncio.get_event_loop().run_until_complete(asyncio.wait_for(coroutine, timeout)) | ||
| return ret | ||
|
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| def setup_binance_responses(self, mock_api, expected_rate: Decimal): | ||
| pairs_us_url = web_utils.public_rest_url(path_url=CONSTANTS.EXCHANGE_INFO_PATH_URL, domain="us") | ||
| symbols_response = { # truncated | ||
| "symbols": [ | ||
| { | ||
| "symbol": self.binance_us_pair, | ||
| "status": "TRADING", | ||
| "baseAsset": self.target_token, | ||
| "quoteAsset": "USD", | ||
| "permissionSets": [[ | ||
| "SPOT", | ||
| ]], | ||
| }, | ||
| { | ||
| "symbol": self.binance_ignored_pair, | ||
| "status": "PAUSED", | ||
| "baseAsset": "SOME", | ||
| "quoteAsset": "PAIR", | ||
| "permissionSets": [[ | ||
| "SPOT", | ||
| ]], | ||
| }, | ||
| ] | ||
| } | ||
| binance_prices_us_url = web_utils.public_rest_url(path_url=CONSTANTS.TICKER_BOOK_PATH_URL, domain="us") | ||
| binance_prices_us_response = [ | ||
| { | ||
| "symbol": self.binance_us_pair, | ||
| "bidPrice": str(expected_rate - Decimal("0.1")), | ||
| "bidQty": "0.50000000", | ||
| "askPrice": str(expected_rate + Decimal("0.1")), | ||
| "askQty": "0.14500000", | ||
| }, | ||
| { | ||
| "symbol": self.binance_ignored_pair, | ||
| "bidPrice": "0", | ||
| "bidQty": "0", | ||
| "askPrice": "0", | ||
| "askQty": "0", | ||
| } | ||
| ] | ||
| mock_api.get(pairs_us_url, body=json.dumps(symbols_response)) | ||
| mock_api.get(binance_prices_us_url, body=json.dumps(binance_prices_us_response)) | ||
|
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||
| @aioresponses() | ||
| def test_get_binance_prices(self, mock_api): | ||
| expected_rate = Decimal("10") | ||
| self.setup_binance_responses(mock_api=mock_api, expected_rate=expected_rate) | ||
|
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| rate_source = BinanceUSRateSource() | ||
| prices = self.async_run_with_timeout(rate_source.get_prices()) | ||
|
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| self.assertIn(self.us_trading_pair, prices) | ||
| self.assertEqual(expected_rate, prices[self.us_trading_pair]) | ||
| # self.assertIn(self.us_trading_pair, prices) | ||
| self.assertNotIn(self.ignored_trading_pair, prices) |