Stefano Raggi
934128cfa0
* Binance Brokerage skeleton * Market hours * Implement Symbol Mapper - known symbols available on /api/v1/exchangeInfo - fiat currencies are pegged * Implement GetCashBalance * Implement GetAccountHoldings - there are no pre-existing currency swaps - cash balances are pulled and stored in the cashbook * Implement GetOpenOrders * Manage orders: PlaceOrder * Manage orders: UpdateOrder Update operation is not supported * Manage orders: CancelOrder * Messaging: order book * Messaging: trades * Messaging: combine streams - connect to fake /ws/open channel on init - case by channel name, but not event type * Messaging: order depth updates - ticker symbol is not enough as it pushes updates only once a second, this would be a very incomplete data stream - fetch ticker snapshot if lastUpdateId == 0 - follow Binance instructions for keeping local orderbook fresh * Messaging: user data streaming - Request userDataStream endpoint to get listenKey - keep listenkey alive - handle order close event - handle order fill event * DataDownloader: get history - we can aggregate minute candles for higher resolutions * fix data stream * Tests: FeeModel tests * Tests: base brokerage tests * Tests: download history * Tests: symbol mapper * Support StopLimit andd StopMarket orders * StopMarket orders disabled Take profit and Stop loss orders are not supported for any symbols (tested with BTCUSDT, ETHUSDT) * Tests: StopLimit order * Tests: crypto parsing * Reissue user data listen key * comment custom currency limitation * rework websocket connections * implement delayed subscription * adapt ignore message * add license banner * use better suited exception type * avoid message double parsing * support custom fee values * extract BinanceApiClient to manage the request/response between lean and binance * use api events to invoke brokerage events * do not allow to terminate session if it wasn't allocated. * update binance exchange info * tool to add or update binance exchange info * ExchangeInfo basic test * Rebase + Resharp * Binance brokerage updates - Fix sign bug in sell order fills - Fix bug in GetHistory - Remove duplicate symbol from symbol properties db * Remove unused code * Revert removal of account currency check * Update symbols properties database * Address review * Address review - Upgrade API endpoints from v1 to v3 - Updated sub/unsub for new subscription manager - Subscribe best bid/ask quotes instead of full order book - Added handling of websocket error messages - Cleanup + refactor * Update symbol properties database * Remove list from symbol mapper * Fix symbol mapper tests * Address review - Fix resubscribe after reconnect - Fix quote tick edge case * Fix EnsureCurrencyDataFeed for non-tradeable currencies * Fix check in EnsureCurrencyDataFeed * Reuse base class subscribe on reconnect Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
353 lines
18 KiB
C#
353 lines
18 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Globalization;
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using System.IO;
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using System.Linq;
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using QuantConnect.Configuration;
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using QuantConnect.ToolBox.AlgoSeekFuturesConverter;
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using QuantConnect.ToolBox.AlgoSeekOptionsConverter;
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using QuantConnect.ToolBox.Benzinga;
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using QuantConnect.ToolBox.BinanceDownloader;
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using QuantConnect.ToolBox.BitfinexDownloader;
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using QuantConnect.ToolBox.CoarseUniverseGenerator;
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using QuantConnect.ToolBox.CoinApiDataConverter;
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using QuantConnect.ToolBox.CryptoiqDownloader;
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using QuantConnect.ToolBox.DukascopyDownloader;
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using QuantConnect.ToolBox.EstimizeDataDownloader;
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using QuantConnect.ToolBox.FxcmDownloader;
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using QuantConnect.ToolBox.FxcmVolumeDownload;
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using QuantConnect.ToolBox.GDAXDownloader;
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using QuantConnect.ToolBox.IBDownloader;
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using QuantConnect.ToolBox.IEX;
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using QuantConnect.ToolBox.IQFeedDownloader;
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using QuantConnect.ToolBox.IVolatilityEquityConverter;
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using QuantConnect.ToolBox.KaikoDataConverter;
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using QuantConnect.ToolBox.KrakenDownloader;
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using QuantConnect.ToolBox.NseMarketDataConverter;
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using QuantConnect.ToolBox.OandaDownloader;
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using QuantConnect.ToolBox.Polygon;
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using QuantConnect.ToolBox.QuandlBitfinexDownloader;
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using QuantConnect.ToolBox.QuantQuoteConverter;
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using QuantConnect.ToolBox.RandomDataGenerator;
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using QuantConnect.ToolBox.SECDataDownloader;
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using QuantConnect.ToolBox.USTreasuryYieldCurve;
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using QuantConnect.ToolBox.YahooDownloader;
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using QuantConnect.Util;
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using QuantConnect.ToolBox.SmartInsider;
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using QuantConnect.ToolBox.TiingoNewsConverter;
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namespace QuantConnect.ToolBox
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{
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public class Program
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{
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public static void Main(string[] args)
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{
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var optionsObject = ToolboxArgumentParser.ParseArguments(args);
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if (optionsObject.Count == 0)
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{
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PrintMessageAndExit();
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}
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var targetApp = GetParameterOrExit(optionsObject, "app").ToLowerInvariant();
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if (targetApp.Contains("download") || targetApp.EndsWith("dl"))
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{
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var fromDate = Parse.DateTimeExact(GetParameterOrExit(optionsObject, "from-date"), "yyyyMMdd-HH:mm:ss");
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var resolution = optionsObject.ContainsKey("resolution") ? optionsObject["resolution"].ToString() : "";
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var tickers = optionsObject.ContainsKey("tickers")
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? (optionsObject["tickers"] as Dictionary<string, object>)?.Keys.ToList()
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: new List<string>();
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var toDate = optionsObject.ContainsKey("to-date")
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? Parse.DateTimeExact(optionsObject["to-date"].ToString(), "yyyyMMdd-HH:mm:ss")
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: DateTime.UtcNow;
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switch (targetApp)
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{
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case "gdaxdl":
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case "gdaxdownloader":
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GDAXDownloaderProgram.GDAXDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "cdl":
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case "cryptoiqdownloader":
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CryptoiqDownloaderProgram.CryptoiqDownloader(tickers, GetParameterOrExit(optionsObject, "exchange"), fromDate, toDate);
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break;
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case "ddl":
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case "dukascopydownloader":
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DukascopyDownloaderProgram.DukascopyDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "fdl":
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case "fxcmdownloader":
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FxcmDownloaderProgram.FxcmDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "fvdl":
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case "fxcmvolumedownload":
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FxcmVolumeDownloadProgram.FxcmVolumeDownload(tickers, resolution, fromDate, toDate);
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break;
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case "ibdl":
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case "ibdownloader":
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IBDownloaderProgram.IBDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "iexdl":
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case "iexdownloader":
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IEXDownloaderProgram.IEXDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "iqfdl":
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case "iqfeeddownloader":
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IQFeedDownloaderProgram.IQFeedDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "kdl":
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case "krakendownloader":
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KrakenDownloaderProgram.KrakenDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "odl":
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case "oandadownloader":
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OandaDownloaderProgram.OandaDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "qbdl":
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case "quandlbitfinexdownloader":
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QuandlBitfinexDownloaderProgram.QuandlBitfinexDownloader(fromDate, GetParameterOrExit(optionsObject, "api-key"));
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break;
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case "ydl":
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case "yahoodownloader":
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YahooDownloaderProgram.YahooDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "bfxdl":
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case "bitfinexdownloader":
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BitfinexDownloaderProgram.BitfinexDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "mbxdl":
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case "binancedownloader":
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BinanceDownloaderProgram.DataDownloader(tickers, resolution, fromDate, toDate);
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break;
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case "secdl":
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case "secdownloader":
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SECDataDownloaderProgram.SECDataDownloader(
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GetParameterOrExit(optionsObject, "destination-dir"),
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fromDate,
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toDate
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);
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break;
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case "ecdl":
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case "estimizeconsensusdownloader":
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EstimizeConsensusDataDownloaderProgram.EstimizeConsensusDataDownloader();
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break;
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case "eedl":
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case "estimizeestimatedownloader":
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EstimizeEstimateDataDownloaderProgram.EstimizeEstimateDataDownloader();
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break;
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case "erdl":
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case "estimizereleasedownloader":
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EstimizeReleaseDataDownloaderProgram.EstimizeReleaseDataDownloader();
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break;
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case "ustycdl":
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case "ustreasuryyieldcurvedownloader":
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USTreasuryYieldCurveProgram.USTreasuryYieldCurveRateDownloader(
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fromDate,
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toDate,
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GetParameterOrExit(optionsObject, "destination-dir")
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);
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break;
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case "bzndl":
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case "benzinganewsdownloader":
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BenzingaProgram.BenzingaNewsDataDownloader(
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fromDate,
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toDate,
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GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrExit(optionsObject, "api-key")
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);
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break;
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case "tecdl":
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case "tradingeconomicscalendardownloader":
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TradingEconomicsDataDownloader.TradingEconomicsCalendarDownloaderProgram.TradingEconomicsCalendarDownloader();
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break;
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case "pdl":
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case "polygondownloader":
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PolygonDownloaderProgram.PolygonDownloader(
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tickers,
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GetParameterOrExit(optionsObject, "security-type"),
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GetParameterOrExit(optionsObject, "market"),
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resolution,
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fromDate,
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toDate);
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break;
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default:
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PrintMessageAndExit(1, "ERROR: Unrecognized --app value");
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break;
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}
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}
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else if (targetApp.Contains("updater") || targetApp.EndsWith("spu"))
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{
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switch (targetApp)
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{
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case "mbxspu":
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case "binancesymbolpropertiesupdater":
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BinanceDownloaderProgram.ExchangeInfoDownloader();
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break;
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default:
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PrintMessageAndExit(1, "ERROR: Unrecognized --app value");
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break;
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}
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}
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else
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{
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switch (targetApp)
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{
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case "asfc":
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case "algoseekfuturesconverter":
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AlgoSeekFuturesProgram.AlgoSeekFuturesConverter(GetParameterOrExit(optionsObject, "date"));
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break;
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case "asoc":
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case "algoseekoptionsconverter":
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AlgoSeekOptionsConverterProgram.AlgoSeekOptionsConverter(GetParameterOrExit(optionsObject, "date"));
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break;
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case "ivec":
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case "ivolatilityequityconverter":
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IVolatilityEquityConverterProgram.IVolatilityEquityConverter(GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "source-meta-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrExit(optionsObject, "resolution"));
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break;
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case "kdc":
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case "kaikodataconverter":
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KaikoDataConverterProgram.KaikoDataConverter(GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "date"),
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GetParameterOrDefault(optionsObject, "exchange", string.Empty));
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break;
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case "cadc":
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case "coinapidataconverter":
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CoinApiDataConverterProgram.CoinApiDataProgram(GetParameterOrExit(optionsObject, "date"), GetParameterOrExit(optionsObject, "market"),
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GetParameterOrExit(optionsObject, "source-dir"), GetParameterOrExit(optionsObject, "destination-dir"));
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break;
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case "nmdc":
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case "nsemarketdataconverter":
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NseMarketDataConverterProgram.NseMarketDataConverter(GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"));
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break;
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case "qqc":
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case "quantquoteconverter":
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QuantQuoteConverterProgram.QuantQuoteConverter(GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "resolution"));
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break;
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case "cug":
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case "coarseuniversegenerator":
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CoarseUniverseGeneratorProgram.CoarseUniverseGenerator();
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break;
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case "rdg":
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case "randomdatagenerator":
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RandomDataGeneratorProgram.RandomDataGenerator(
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GetParameterOrExit(optionsObject, "start"),
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GetParameterOrExit(optionsObject, "end"),
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GetParameterOrExit(optionsObject, "symbol-count"),
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GetParameterOrDefault(optionsObject, "market", null),
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GetParameterOrDefault(optionsObject, "security-type", "Equity"),
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GetParameterOrDefault(optionsObject, "resolution", "Minute"),
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GetParameterOrDefault(optionsObject, "data-density", "Dense"),
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GetParameterOrDefault(optionsObject, "include-coarse", "true"),
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GetParameterOrDefault(optionsObject, "quote-trade-ratio", "1"),
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GetParameterOrDefault(optionsObject, "random-seed", null),
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GetParameterOrDefault(optionsObject, "ipo-percentage", "5.0"),
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GetParameterOrDefault(optionsObject, "rename-percentage", "30.0"),
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GetParameterOrDefault(optionsObject, "splits-percentage", "15.0"),
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GetParameterOrDefault(optionsObject, "dividends-percentage", "60.0"),
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GetParameterOrDefault(optionsObject, "dividend-every-quarter-percentage", "30.0")
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);
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break;
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case "seccv":
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case "secconverter":
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var start = Parse.DateTimeExact(GetParameterOrExit(optionsObject, "date"), "yyyyMMdd");
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SECDataDownloaderProgram.SECDataConverter(
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrDefault(optionsObject, "destination-dir", Globals.DataFolder),
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start);
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break;
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case "ustyccv":
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case "ustreasuryyieldcurveconverter":
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USTreasuryYieldCurveProgram.USTreasuryYieldCurveConverter(
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"));
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break;
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case "sidc":
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case "smartinsiderconverter":
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SmartInsiderProgram.SmartInsiderConverter(
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DateTime.ParseExact(GetParameterOrExit(optionsObject, "date"), "yyyyMMdd", CultureInfo.InvariantCulture),
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrDefault(optionsObject, "source-meta-dir", null));
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break;
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case "tiinc":
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case "tiingonewsconverter":
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var date = GetParameterOrDefault(optionsObject, "date", null);
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TiingoNewsConverterProgram.TiingoNewsConverter(
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"),
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date != null ? DateTime.ParseExact(date, "yyyyMMdd", CultureInfo.InvariantCulture) : (DateTime?) null);
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break;
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case "bzncv":
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case "benzinganewsconverter":
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BenzingaProgram.BenzingaNewsDataConverter(
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GetParameterOrExit(optionsObject, "source-dir"),
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GetParameterOrExit(optionsObject, "destination-dir"),
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GetParameterOrDefault(optionsObject, "source-meta-dir", Path.Combine(Globals.DataFolder, "alternative", "benzinga")),
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GetParameterOrExit(optionsObject, "date"));
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break;
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default:
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PrintMessageAndExit(1, "ERROR: Unrecognized --app value");
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break;
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}
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}
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}
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private static void PrintMessageAndExit(int exitCode = 0, string message = "")
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{
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if (!message.IsNullOrEmpty())
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{
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Console.WriteLine("\n" + message);
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}
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Console.WriteLine("\nUse the '--help' parameter for more information");
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Console.WriteLine("Press any key to quit");
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Console.ReadLine();
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Environment.Exit(exitCode);
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}
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private static string GetParameterOrExit(IReadOnlyDictionary<string, object> optionsObject, string parameter)
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{
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if (!optionsObject.ContainsKey(parameter))
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{
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PrintMessageAndExit(1, "ERROR: REQUIRED parameter --" + parameter + "= is missing");
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}
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return optionsObject[parameter].ToString();
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}
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private static string GetParameterOrDefault(IReadOnlyDictionary<string, object> optionsObject, string parameter, string defaultValue)
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{
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object value;
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if (!optionsObject.TryGetValue(parameter, out value))
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{
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Console.WriteLine($"'{parameter}' was not specified. Using default value: '{defaultValue}'");
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return defaultValue;
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}
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return value.ToString();
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}
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}
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}
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