test_binance_derivatives_rounding

gistfile1.txt

from decimal import Decimal
from typing import Dict

from dotmap import DotMap
import ccxt

class binanceperps(ccxt.binance):
    def describe(self) -> Dict:
        description = super().describe()
        description["options"]["defaultType"] = "future"
        return description

class binancedelivery(ccxt.binance):
    def describe(self) -> Dict:
        description = super().describe()
        description["options"]["defaultType"] = "delivery"
        return description


class huobiprolinearswap(ccxt.huobipro):
    def describe(self):
        rv = self.deep_extend(super().describe(), {
            'id': 'huobilinearswap',
            'name': 'Huobilenearswap',
            'market_type': 'linearswap'
        })
        return rv

if __name__ == '__main__':
    apiKey = ''
    secret = ''
    params = {
        'apiKey' : apiKey,
        'secret' : secret
    }

    exchange = binanceperps(params)
    markets = exchange.load_markets()
    target = [markets[market] for market in markets if market=='BTC/USDT'][0]
    '''
    target
        [{'percentage': True, 'feeSide': 'get', 'tierBased': False, 'taker': 0.0004, 'maker': 0.0002, 'precision': {...}, 'limits': {...}, 'id': 'BTCUSDT', 'lowercaseId': 'btcusdt', ...}]
        special variables:
        function variables:
        0: {'percentage': True, 'feeSide': 'get', 'tierBased': False, 'taker': 0.0004, 'maker': 0.0002, 'precision': {'base': 8, 'quote': 8, 'amount': 3, 'price': 2}, 'limits': {'amount': {...}, 'price': {...}, 'cost': {...}, 'market': {...}}, 'id': 'BTCUSDT', 'lowercaseId': 'btcusdt', 'symbol': 'BTC/USDT', 'base': 'BTC', 'quote': 'USDT', 'baseId': 'BTC', 'quoteId': 'USDT', ...}
        special variables:
        function variables:
        'percentage': True
        'feeSide': 'get'
        'tierBased': False
        'taker': 0.0004
        'maker': 0.0002
        'precision': {'base': 8, 'quote': 8, 'amount': 3, 'price': 2}
        special variables:
        function variables:
        'base': 8
        'quote': 8
        'amount': 3 <--- number of decimal places
        'price': 2  <---
        len(): 4
        'limits': {'amount': {'min': 0.001, 'max': 1000.0}, 'price': {'min': 556.72, 'max': 4529764.0}, 'cost': {'min': 5.0, 'max': None}, 'market': {'min': 0.001, 'max': 120.0}}
        'id': 'BTCUSDT'
        'lowercaseId': 'btcusdt'
        'symbol': 'BTC/USDT'
        'base': 'BTC'
        'quote': 'USDT'
        'baseId': 'BTC'
        'quoteId': 'USDT'
        'info': {
            'symbol': 'BTCUSDT', 
            'pair': 'BTCUSDT', 
            'contractType': 'PERPETUAL', 
            'deliveryDate': '4133404800000', 
            'onboardDate': '1569398400000', 
            'status': 'TRADING', 
            'maintMarginPercent': '2.5000', 
            'requiredMarginPercent': '5.0000', 
            'baseAsset': 'BTC', 
            'quoteAsset': 'USDT', 
            'marginAsset': 'USDT', 
            'pricePrecision': '2',      <---
            'quantityPrecision': '3',   <---
            'baseAssetPrecision': '8', ...}
        'spot': False
        'type': 'future'
        'margin': False
        'future': True
        'delivery': False
        'linear': True
        'inverse': False
        'expiry': None
        'expiryDatetime': None
        'settleId': 'USDT'
        'settle': 'USDT'
        'active': True
        'contractSize': '1'
        len(): 28
        len(): 1
    '''
    denormalized_symbol : str = target['id']
    type : str = 'market'
    side : str = 'buy'

    amount : float = 1.001
    d_amount = Decimal(str(amount))
    quantity_precision = abs(d_amount.as_tuple().exponent)

    price : float = 40000.01
    d_price = Decimal(str(price))
    price_precision = abs(d_price.as_tuple().exponent)
    
    rounded_amount : float = exchange.amount_to_precision(symbol=denormalized_symbol, amount=amount)
    rounded_price : float = exchange.price_to_precision(symbol=denormalized_symbol, price=price)
    print(f"amount: {amount}, rounded_amount: {rounded_amount}, price: {price}, rounded_price: {rounded_price}")

    # rv = exchange.create_order(symbol=denormalized_symbol, type=type, side=side, amount=amount)

    amount : float = 1.0001
    d_amount = Decimal(str(amount))
    quantity_precision = abs(d_amount.as_tuple().exponent)

    price : float = 40000.001
    d_price = Decimal(str(price))
    price_precision = abs(d_price.as_tuple().exponent)

    rounded_amount : float = exchange.amount_to_precision(symbol=denormalized_symbol, amount=amount)
    rounded_price : float = exchange.price_to_precision(symbol=denormalized_symbol, price=price)
    print(f"amount: {amount}, rounded_amount: {rounded_amount}, price: {price}, rounded_price: {rounded_price}")


    exchange = binancedelivery(params)
    markets = exchange.load_markets()
    target = [markets[market] for market in markets if market=='BTC/USD'][0]
    '''
    target
        {'percentage': True, 'feeSide': 'get', 'tierBased': False, 'taker': 0.0005, 'maker': 0.0001, 'precision': {'base': 8, 'quote': 8, 'amount': 0, 'price': 1}, 'limits': {'amount': {...}, 'price': {...}, 'cost': {...}, 'market': {...}}, 'id': 'BTCUSD_PERP', 'lowercaseId': 'btcusd_perp', 'symbol': 'BTC/USD', 'base': 'BTC', 'quote': 'USD', 'baseId': 'BTC', 'quoteId': 'USD', ...}
        special variables:
        function variables:
        'percentage': True
        'feeSide': 'get'
        'tierBased': False
        'taker': 0.0005
        'maker': 0.0001
        'precision': {'base': 8, 'quote': 8, 'amount': 0, 'price': 1}
        'limits': {'amount': {'min': 1.0, 'max': 1000000.0}, 'price': {'min': 1000.0, 'max': 4520958.0}, 'cost': {'min': None, 'max': None}, 'market': {'min': 1.0, 'max': 60000.0}}
        'id': 'BTCUSD_PERP'
        'lowercaseId': 'btcusd_perp'
        'symbol': 'BTC/USD'
        'base': 'BTC'
        'quote': 'USD'
        'baseId': 'BTC'
        'quoteId': 'USD'
        'info': {
                'symbol': 'BTCUSD_PERP', 
                'pair': 'BTCUSD', 
                'contractType': 'PERPETUAL', 
                'deliveryDate': '4133404800000', 
                'onboardDate': '1597042800000', 
                'contractStatus': 'TRADING', 
                'contractSize': '100', 
                'marginAsset': 'BTC', 
                'maintMarginPercent': '2.5000', 
                'requiredMarginPercent': '5.0000', 
                'baseAsset': 'BTC', 
                'quoteAsset': 'USD', 
                'pricePrecision': '1',      <---
                'quantityPrecision': '0',   <--- For inverse, it's rounded to Number of contracts.
                ...}
        'spot': False
        'type': 'delivery'
        'margin': False
        'future': False
        'delivery': True
        'linear': False
        'inverse': True
        'expiry': None
        'expiryDatetime': None
        'settleId': 'BTC'
        'settle': 'BTC'
        'active': True
        'contractSize': '100'
        len(): 28
    '''
    denormalized_symbol : str = target['id']
    type : str = 'market'
    side : str = 'buy'

    amount : float = 3.1
    price : float = 40000.1
    rounded_amount : float = exchange.amount_to_precision(symbol=denormalized_symbol, amount=amount)
    rounded_price : float = exchange.price_to_precision(symbol=denormalized_symbol, price=price)
    print(f"amount: {amount}, rounded_amount: {rounded_amount}, price: {price}, rounded_price: {rounded_price}")

    # rv = exchange.create_order(symbol=denormalized_symbol, type=type, side=side, amount=amount)

    amount : float = 3.1
    price : float = 40000.01
    rounded_amount : float = exchange.amount_to_precision(symbol=denormalized_symbol, amount=amount)
    rounded_price : float = exchange.price_to_precision(symbol=denormalized_symbol, price=price)
    print(f"amount: {amount}, rounded_amount: {rounded_amount}, price: {price}, rounded_price: {rounded_price}")
    

    exchange = huobiprolinearswap(params)
    markets = exchange.load_markets()

    pass