/// <summary>
/// Sets the job we're subscribing for
/// </summary>
/// <param name="job">Job we're subscribing for</param>
public void SetJob(LiveNodePacket job)
{
var wssUrl = job.BrokerageData["gdax-url"];
var restApi = job.BrokerageData["gdax-rest-api"];
var restClient = new RestClient(restApi);
var webSocketClient = new WebSocketClientWrapper();
var passPhrase = job.BrokerageData["gdax-passphrase"];
var apiKey = job.BrokerageData["gdax-api-key"];
var apiSecret = job.BrokerageData["gdax-api-secret"];
var priceProvider = new ApiPriceProvider(job.UserId, job.UserToken);
var aggregator = Composer.Instance.GetExportedValueByTypeName <IDataAggregator>(
Config.Get("data-aggregator", "QuantConnect.Lean.Engine.DataFeeds.AggregationManager"), forceTypeNameOnExisting: false);
Initialize(
wssUrl: wssUrl,
websocket: webSocketClient,
restClient: restClient,
apiKey: apiKey,
apiSecret: apiSecret,
passPhrase: passPhrase,
algorithm: null,
priceProvider: priceProvider,
aggregator: aggregator,
job: job
);
if (!IsConnected)
{
Connect();
}
}
public async Task Start()
{
if (_started)
{
throw new Exception("already_started");
}
await Task.Run(() => WebSocketClientWrapper.ConnectAsync(
$"wss://{_options.Url}:{_options.Port}",
CancellationToken.None,
(context) =>
{
_socketWrapper = context;
context.OnOpen += OnOpen;
context.OnClose += _options.OnClose;
context.OnError += _options.OnError;
context.OnReceive += OnReceived;
_options.OnConnected?.Invoke();
},
true,
false,
3,
_options.InternalWebSocketOptions
));
}
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var securities = new SecurityManager(new TimeKeeper(DateTime.UtcNow, TimeZones.NewYork))
{
{ Symbol, CreateSecurity(Symbol) }
};
var transactions = new SecurityTransactionManager(null, securities);
transactions.SetOrderProcessor(new FakeOrderProcessor());
var algorithm = new Mock <IAlgorithm>();
algorithm.Setup(a => a.Transactions).Returns(transactions);
algorithm.Setup(a => a.BrokerageModel).Returns(new GDAXBrokerageModel());
algorithm.Setup(a => a.Portfolio).Returns(new SecurityPortfolioManager(securities, transactions));
algorithm.Setup(a => a.Securities).Returns(securities);
var priceProvider = new Mock <IPriceProvider>();
priceProvider.Setup(a => a.GetLastPrice(It.IsAny <Symbol>())).Returns(1.234m);
var aggregator = new AggregationManager();
return(new GDAXBrokerage(Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com"), webSocketClient, restClient,
Config.Get("gdax-api-key"), Config.Get("gdax-api-secret"), Config.Get("gdax-passphrase"), algorithm.Object,
priceProvider.Object, aggregator));
}
public void GetsHistory(Symbol symbol, Resolution resolution, TickType tickType, TimeSpan period, bool shouldBeEmpty)
{
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var aggregator = new AggregationManager();
var brokerage = new GDAXBrokerage(
Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com"), webSocketClient, restClient,
Config.Get("gdax-api-key"), Config.Get("gdax-api-secret"), Config.Get("gdax-passphrase"), null, null, aggregator, null);
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, new DataPermissionManager()));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
resolution,
false,
false,
DataNormalizationMode.Adjusted,
tickType)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc).ToList();
foreach (var slice in history)
{
var bar = slice.Bars[symbol];
Log.Trace($"{bar.Time}: {bar.Symbol} - O={bar.Open}, H={bar.High}, L={bar.Low}, C={bar.Close}, V={bar.Volume}");
}
if (shouldBeEmpty)
{
Assert.IsTrue(history.Count == 0);
}
else
{
Assert.IsTrue(history.Count > 0);
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
}
private static GDAXBrokerage GetBrokerage()
{
var wssUrl = Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var restClient = new RestClient("https://api.pro.coinbase.com");
var apiKey = Config.Get("gdax-api-key");
var apiSecret = Config.Get("gdax-api-secret");
var passPhrase = Config.Get("gdax-passphrase");
var algorithm = new QCAlgorithm();
var userId = Config.GetInt("job-user-id");
var userToken = Config.Get("api-access-token");
var priceProvider = new ApiPriceProvider(userId, userToken);
return(new GDAXBrokerage(wssUrl, webSocketClient, restClient, apiKey, apiSecret, passPhrase, algorithm, priceProvider));
}
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var algorithm = new Mock <IAlgorithm>();
algorithm.Setup(a => a.BrokerageModel).Returns(new GDAXBrokerageModel(AccountType.Cash));
var priceProvider = new ApiPriceProvider(Config.GetInt("job-user-id"), Config.Get("api-access-token"));
return(new GDAXBrokerage(Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com"), webSocketClient, restClient,
Config.Get("gdax-api-key"), Config.Get("gdax-api-secret"), Config.Get("gdax-passphrase"), algorithm.Object,
priceProvider));
}
private static TestGDAXDataQueueHandler GetDataQueueHandler()
{
var wssUrl = Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var restClient = new RestClient("https://api.pro.coinbase.com");
var apiKey = Config.Get("gdax-api-key");
var apiSecret = Config.Get("gdax-api-secret");
var passPhrase = Config.Get("gdax-passphrase");
var algorithm = new QCAlgorithm();
var userId = Config.GetInt("job-user-id");
var userToken = Config.Get("api-access-token");
var priceProvider = new ApiPriceProvider(userId, userToken);
var aggregator = new AggregationManager();
return(new TestGDAXDataQueueHandler(wssUrl, webSocketClient, restClient, apiKey, apiSecret, passPhrase, algorithm, priceProvider, aggregator, null));
}
/// <summary>
/// Create the Brokerage instance
/// </summary>
/// <param name="job"></param>
/// <param name="algorithm"></param>
/// <returns></returns>
public override IBrokerage CreateBrokerage(Packets.LiveNodePacket job, IAlgorithm algorithm)
{
var required = new[] { "gdax-url", "gdax-api-secret", "gdax-api-key", "gdax-passphrase" };
foreach (var item in required)
{
if (string.IsNullOrEmpty(job.BrokerageData[item]))
{
throw new Exception($"GDAXBrokerageFactory.CreateBrokerage: Missing {item} in config.json");
}
}
var restApi = BrokerageData["gdax-rest-api"];
if (job.BrokerageData.ContainsKey("gdax-rest-api"))
{
restApi = job.BrokerageData["gdax-rest-api"];
}
var restClient = new RestClient(restApi);
var webSocketClient = new WebSocketClientWrapper();
var priceProvider = new ApiPriceProvider(job.UserId, job.UserToken);
var aggregator = Composer.Instance.GetExportedValueByTypeName <IDataAggregator>(Config.Get("data-aggregator", "QuantConnect.Lean.Engine.DataFeeds.AggregationManager"), forceTypeNameOnExisting: false);
IBrokerage brokerage;
if (job.DataQueueHandler.Contains("GDAXDataQueueHandler"))
{
var dataQueueHandler = new GDAXDataQueueHandler(job.BrokerageData["gdax-url"], webSocketClient,
restClient, job.BrokerageData["gdax-api-key"], job.BrokerageData["gdax-api-secret"],
job.BrokerageData["gdax-passphrase"], algorithm, priceProvider, aggregator, job);
Composer.Instance.AddPart <IDataQueueHandler>(dataQueueHandler);
brokerage = dataQueueHandler;
}
else
{
brokerage = new GDAXBrokerage(job.BrokerageData["gdax-url"], webSocketClient,
restClient, job.BrokerageData["gdax-api-key"], job.BrokerageData["gdax-api-secret"],
job.BrokerageData["gdax-passphrase"], algorithm, priceProvider, aggregator, job);
}
return(brokerage);
}
/// <summary>
/// Creates new instance of <see cref="SockClient"/> object.
/// </summary>
/// <param name="keyId">Application key identifier.</param>
/// <param name="secretKey">Application secret key.</param>
/// <param name="alpacaRestApi">Alpaca REST API endpoint URL.</param>
public SockClient(
string keyId,
string secretKey,
Uri alpacaRestApi)
{
if (keyId == null)
{
throw new ArgumentException(nameof(keyId));
}
if (secretKey == null)
{
throw new ArgumentException(nameof(secretKey));
}
_keyId = keyId;
_secretKey = secretKey;
alpacaRestApi = alpacaRestApi ?? new Uri("https://api.alpaca.markets");
var uriBuilder = new UriBuilder(alpacaRestApi)
{
Scheme = alpacaRestApi.Scheme == "http" ? "ws" : "wss"
};
uriBuilder.Path += "stream";
_webSocket = new WebSocketClientWrapper();
_webSocket.Initialize(uriBuilder.Uri.ToString());
_webSocket.Open += HandleOpened;
_webSocket.Closed += HandleClosed;
_webSocket.Message += HandleDataReceived;
_webSocket.Error += (sender, args) =>
{
OnError?.Invoke(args.Exception);
};
}
/// <summary>
/// Create the Brokerage instance
/// </summary>
/// <param name="job"></param>
/// <param name="algorithm"></param>
/// <returns></returns>
public override IBrokerage CreateBrokerage(Packets.LiveNodePacket job, IAlgorithm algorithm)
{
var required = new[] { "gdax-url", "gdax-api-secret", "gdax-api-key", "gdax-passphrase" };
foreach (var item in required)
{
if (string.IsNullOrEmpty(job.BrokerageData[item]))
{
throw new Exception($"GDAXBrokerageFactory.CreateBrokerage: Missing {item} in config.json");
}
}
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var priceProvider = new ApiPriceProvider(job.UserId, job.UserToken);
IBrokerage brokerage;
if (job.DataQueueHandler.EndsWith("GDAXDataQueueHandler"))
{
var dataQueueHandler = new GDAXDataQueueHandler(job.BrokerageData["gdax-url"], webSocketClient,
restClient, job.BrokerageData["gdax-api-key"], job.BrokerageData["gdax-api-secret"],
job.BrokerageData["gdax-passphrase"], algorithm, priceProvider);
Composer.Instance.AddPart <IDataQueueHandler>(dataQueueHandler);
brokerage = dataQueueHandler;
}
else
{
brokerage = new GDAXBrokerage(job.BrokerageData["gdax-url"], webSocketClient,
restClient, job.BrokerageData["gdax-api-key"], job.BrokerageData["gdax-api-secret"],
job.BrokerageData["gdax-passphrase"], algorithm, priceProvider);
}
return(brokerage);
}
