Deribit Order Examples.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Order Setup"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "import asyncio\n",
    "import websockets\n",
    "import json\n",
    "import pandas as pd\n",
    "import pprint\n",
    "import nest_asyncio\n",
    "nest_asyncio.apply()\n",
    "\n",
    "async def call_api(msg):\n",
    "    async with websockets.connect('wss://test.deribit.com/ws/api/v2') as websocket:\n",
    "        ###############\n",
    "       # Before sending a message, make sure that your connection\n",
    "       # is authenticated (use public/auth call before) \n",
    "       ###############\n",
    "        await websocket.send(msg)\n",
    "        while websocket.open:\n",
    "            response = await websocket.recv()\n",
    "            json_par = json.loads(response)\n",
    "            print(json_par)\n",
    "            return(json_par)\n",
    "        \n",
    "auth_msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 9929,\n",
    "  \"method\" : \"public/auth\",\n",
    "  \"params\" : {\n",
    "    \"grant_type\" : \"client_credentials\",\n",
    "    \"client_id\" : \"YOUR_ID_HERE\",\n",
    "    \"client_secret\" : \"YOUR_API_SECRET_HERE\"\n",
    "  }}"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Perpetual Order"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "response = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(auth_msg)))\n",
    "\n",
    "msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 4122,\n",
    "  \"method\" : \"private/cancel_all_by_instrument\",\n",
    "  \"params\" : {\n",
    "    \"instrument_name\" : \"BTC-PERPETUAL\",\n",
    "    \"type\" : \"all\"\n",
    "  }\n",
    "}\n",
    "\n",
    "response = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(msg)))"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Futures Order"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 4122,\n",
    "  \"method\" : \"private/cancel_all_by_instrument\",\n",
    "  \"params\" : {\n",
    "    \"instrument_name\" : \"BTC-24SEP21\",\n",
    "    \"type\" : \"all\"\n",
    "  }\n",
    "}\n",
    "\n",
    "response = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(msg)))"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Options Order"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 4122,\n",
    "  \"method\" : \"private/cancel_all_by_instrument\",\n",
    "  \"params\" : {\n",
    "    \"instrument_name\" : \"ETH-19MAR21\",\n",
    "    \"type\" : \"all\"\n",
    "  }\n",
    "}\n",
    "\n",
    "response = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(msg)))"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Order Example 1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "scrolled": true
   },
   "outputs": [],
   "source": [
    "#Order Foundation\n",
    "import asyncio\n",
    "import websockets\n",
    "import json\n",
    "import pandas as pd\n",
    "from time import sleep\n",
    "import pprint\n",
    "import hmac\n",
    "import hashlib\n",
    "from datetime import datetime\n",
    "import nest_asyncio\n",
    "nest_asyncio.apply()\n",
    "\n",
    "async def call_api(msg):\n",
    "    async with websockets.connect('wss://test.deribit.com/ws/api/v2') as websocket:\n",
    "        await websocket.send(msg)\n",
    "        while websocket.open:\n",
    "            response = await websocket.recv()\n",
    "            json_par = json.loads(response)\n",
    "            #print(json_par)\n",
    "            return(json_par)\n",
    "        \n",
    "clientId = \"ID_HERE\"\n",
    "clientSecret = \"SECRET_HERE\"\n",
    "timestamp = round(datetime.now().timestamp() * 1000)\n",
    "nonce = \"123\"\n",
    "data = \"\"\n",
    "\n",
    "signature = hmac.new(\n",
    "    bytes(clientSecret, \"latin-1\"),\n",
    "    msg=bytes('{}\\n{}\\n{}'.format(timestamp, nonce, data), \"latin-1\"),\n",
    "    digestmod=hashlib.sha256).hexdigest().lower()        \n",
    "        \n",
    "auth_msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"public/auth\",\n",
    "  \"params\" : {\n",
    "    \"grant_type\" : \"client_signature\",\n",
    "    \"client_id\" : clientId,\n",
    "    \"timestamp\" : timestamp,\n",
    "    \"signature\" : signature,\n",
    "    \"nonce\" : nonce,\n",
    "    \"data\" : data\n",
    "  }\n",
    "}\n",
    "\n",
    "price_msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"public/ticker\",\n",
    "  \"params\" : {\n",
    "    \"instrument_name\" : \"BTC-PERPETUAL\"\n",
    "  }\n",
    "}\n",
    "\n",
    "\n",
    "order_msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"private/buy\",\n",
    "  \"params\" : {\n",
    "    \"instrument_name\" : \"ETH-PERPETUAL\",\n",
    "    \"amount\" : 5,\n",
    "    \"type\" : \"market\",\n",
    "    \"label\" : \"algoorder\"\n",
    "  }\n",
    "}\n",
    "\n",
    "check_order = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"private/get_order_state\",\n",
    "  \"params\" : {\n",
    "    \"order_id\" : \"ETH-331562\"\n",
    "  }\n",
    "}\n",
    "\n",
    "#Main order loop\n",
    "while True:\n",
    "    try:\n",
    "        btc = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(price_msg)))\n",
    "    except exception as e:\n",
    "        print(\"Unable to obtain BTC price\")\n",
    "    \n",
    "    if btc['result']['best_ask_price'] < 58800.0:\n",
    "        print(\"The price mark was not reached.\")\n",
    "        sleep(60)\n",
    "        continue\n",
    "    \n",
    "    elif btc['result']['best_ask_price'] >= 58800.0:\n",
    "        try:\n",
    "            auth = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(auth_msg)))\n",
    "            pprint.pprint(auth)\n",
    "        except exception as e:\n",
    "            print('There was an authentication error')\n",
    "        \n",
    "        try:\n",
    "            order = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(order_msg)))\n",
    "            #print(order)\n",
    "        except exception as e:\n",
    "            print(\"Error occurred while placing order\")\n",
    "        \n",
    "        sleep(2)\n",
    "        \n",
    "        try:\n",
    "            order_check = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(check_order)))\n",
    "            pprint.pprint(order_check)\n",
    "        except excpetion as e:\n",
    "            print(\"Error checking order\")\n",
    "        \n",
    "        if order_check['result']['order_state'] == 'filled' or order_check['result']['order_state'] == \"open\":\n",
    "            print ('Order placed at {}'.format(pd.Timestamp.now()))\n",
    "            break\n",
    "            \n",
    "        else:\n",
    "            print('Order was canceled {}'.format(pd.Timestamp.now()))\n",
    "            break"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Order Example 2"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "clientId = \"ID_HERE\"\n",
    "clientSecret = \"SECRET_HERE\"\n",
    "timestamp = round(datetime.now().timestamp() * 1000)\n",
    "nonce = \"123\"\n",
    "data = \"\"\n",
    "\n",
    "signature = hmac.new(\n",
    "    bytes(clientSecret, \"latin-1\"),\n",
    "    msg=bytes('{}\\n{}\\n{}'.format(timestamp, nonce, data), \"latin-1\"),\n",
    "    digestmod=hashlib.sha256).hexdigest().lower()        \n",
    "        \n",
    "auth_msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"public/auth\",\n",
    "  \"params\" : {\n",
    "    \"grant_type\" : \"client_signature\",\n",
    "    \"client_id\" : clientId,\n",
    "    \"timestamp\" : timestamp,\n",
    "    \"signature\" : signature,\n",
    "    \"nonce\" : nonce,\n",
    "    \"data\" : data\n",
    "  }\n",
    "}\n",
    "\n",
    "btc_price_msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"public/ticker\",\n",
    "  \"params\" : {\n",
    "    \"instrument_name\" : \"BTC-PERPETUAL\"\n",
    "  }\n",
    "}\n",
    "\n",
    "order_msg = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"private/buy\",\n",
    "  \"params\" : {\n",
    "    \"instrument_name\" : \"ETH-PERPETUAL\",\n",
    "    \"amount\" : 5,\n",
    "    \"type\" : \"market\",\n",
    "    \"label\" : \"algoorder\"\n",
    "  }\n",
    "}\n",
    "\n",
    "check_order = {\n",
    "  \"jsonrpc\" : \"2.0\",\n",
    "  \"id\" : 42,\n",
    "  \"method\" : \"private/get_order_state\",\n",
    "  \"params\" : {\n",
    "    \"order_id\" : \"ETH-331562\"\n",
    "  }\n",
    "}\n",
    "\n",
    "while True:\n",
    "    try:\n",
    "        btc_old = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(btc_price_msg)))\n",
    "    except exception as e:\n",
    "        print(\"Unable to obtain BTC price\")\n",
    "    \n",
    "    sleep(300)\n",
    "    \n",
    "    try:\n",
    "        btc_new = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(btc_price_msg)))\n",
    "    except exception as e:\n",
    "        print(\"Unable to obtain BTC price\")\n",
    "    \n",
    "    percent = (btc_new['result']['best_ask_price'] - btc_old['result']['best_ask_price'] * 100) / btc_old['result']['best_ask_price']\n",
    "    \n",
    "    if percent < 5:\n",
    "        print(\"The requirement was not fulfilled.\")\n",
    "        sleep(0.1)\n",
    "        continue\n",
    "    \n",
    "    elif percent >= 5:\n",
    "        try:\n",
    "            auth = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(auth_msg)))\n",
    "            pprint.pprint(auth)\n",
    "        except exception as e:\n",
    "            print('There was an authentication error')\n",
    "        \n",
    "        try:\n",
    "            order = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(order_msg)))\n",
    "            #print(order)\n",
    "        except exception as e:\n",
    "            print(\"Error occurred while placing order\")\n",
    "        \n",
    "        sleep(2)\n",
    "        \n",
    "        try:\n",
    "            order_check = asyncio.get_event_loop().run_until_complete(call_api(json.dumps(check_order)))\n",
    "            pprint.pprint(order_check)\n",
    "        except excpetion as e:\n",
    "            print(\"Error checking order\")\n",
    "        \n",
    "        if order_check['result']['order_state'] == 'filled' or order_check['result']['order_state'] == \"open\":\n",
    "            print ('Order placed at {}'.format(pd.Timestamp.now()))\n",
    "            break\n",
    "            \n",
    "        else:\n",
    "            print('Order was canceled {}'.format(pd.Timestamp.now()))\n",
    "            break"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
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