R/ftx.R
In andreskull/rFTX: R package for FTX API
Defines functions
format_helper
result_formatter
ftx_httr_get
ftx_send_request
ftx_init
Documented in
ftx_init
#' @importFrom magrittr %>%
#' @importFrom lubridate now
#' @importFrom httr GET POST DELETE add_headers content
#' @importFrom dplyr bind_rows mutate filter select
#' @importFrom logging logerror loginfo logwarn
#' @importFrom tibble tibble as_tibble add_column
#' @importFrom purrr set_names map_df map
#' @importFrom rlang :=
#' @importFrom rlang .data
#' @importFrom data.table data.table
#'
utils::globalVariables(c(".", "total", "account", "future", "startTime", "high", "low", "volume", "market", "size", "base_url"))
#' @title FTX Initialise Endpoint Value
#' @description Changes the default endpoint value. Default endpoint is https://ftx.com
#' @param rftx_base_url Optional parameter. An endpoint value such as https://ftx.com or https://ftx.us
#' @export
ftx_init <- function(rftx_base_url = NA){
if(!missing(rftx_base_url) & !is.na(rftx_base_url)){
utils::assignInNamespace("base_url", rftx_base_url, ns="rFTX", envir=as.environment("package:rFTX"))
} else {
endpoints <- c("https://ftx.com", "https://ftx.us")
selected_url <- utils::menu(endpoints, title = "\nWhich endpoint would you like to use?")
print(paste("Using", endpoints[selected_url], "as the endpoint."))
ftx_base_url <- endpoints[selected_url]
utils::assignInNamespace("base_url", ftx_base_url, ns="rFTX", envir=as.environment("package:rFTX"))
}
}
#' @title FTX Send Request
#' @description A helper function
#' @param method REST API Method such as GET or POST
#' @param path An additional path defined for each function
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param body Only for POST method. A named list of values containing market name (string),
#' side ("buy" or "sell"), price (numeric), size (numeric), type ("limit" or "market"),
#' reduceOnly (logical), ioc (logical), postOnly (logical) and clientId (numeric or NA)
#' @param query parameters to pass with url
#' @param ... Additional parameters to pass to API request
#' @return A response object as a list containing two elements, a logical vector success of 1 length and
#' either an error element if success is FALSE or result list if success is TRUE.,
#' @noRd
ftx_send_request <- function(method, path, key, secret, subaccount, body = NULL, query = NULL, ...) {
url <- paste0(base_url, path)
fn <- get(method)
ts <- now("UTC") %>% as.integer() * 1000
signature_payload <- paste0(ts, method, path)
if(method == "POST" & !missing(body) & !is.null(body)){
body_sign <- jsonlite::toJSON(body, POSIXt = "epoch", complex = "string", null = "null", na = "null", digits = NA, auto_unbox = T)
signature_payload <- paste0(signature_payload, body_sign)
}
signature <- digest::hmac(enc2utf8(secret),
enc2utf8(signature_payload),
algo = "sha256")
headers_vec <- c(`FTX-KEY` = key,
`FTX-SIGN` = signature,
`FTX-TS` = as.character(ts))
if(!missing(subaccount) && !is.na(subaccount)){
headers_vec <- c(headers_vec, `FTX-SUBACCOUNT` = subaccount)
}
r <- fn(url, add_headers(.headers = headers_vec), query = query, ...)
if(method == "POST" & !missing(body)){
r <- fn(url, add_headers(.headers = headers_vec), query = query, body = body, encode = "json", ...)
}
response <- content(r, "parsed")
if (response$success == FALSE) {
logerror(msg = response$error, ...)
}
response
}
#' @title FTX HTTR GET
#' @description A helper function
#' @param url an url that is passed to httr:GET function
#' @return A response object as a list containing two elements, a logical vector success of 1 length and
#' either an error element if success is FALSE or result list if success is TRUE.,
#' @noRd
ftx_httr_get <- function(url) {
response <- httr::GET(url)
response <- response$content %>%
rawToChar() %>%
jsonlite::fromJSON()
response
}
#' @title Result Formatter
#' @description A helper function
#' @param result The result of an API response
#' @param time_label time column to be formatted to POSIXct
#' @param tz Timezone to display times in. Default is GMT.
#' @return A formatted tibble
#' @noRd
result_formatter <- function(result, time_label, tz){
df <- bind_rows(result)
df <- format_helper(df, time_label, tz)
return(df)
}
#' @title Helper Function for the Formatter
#' @description A helper function
#' @param list A list or section of list from API response
#' @param time_label time column to be formatted to POSIXct
#' @param tz Timezone to display times in. Default is GMT.
#' @return A formatted tibble
#' @noRd
format_helper <- function(obj, time_label, tz){
df <- obj %>%
replace(lengths(.) == 0, NA) %>%
tibble::as_tibble() %>%
mutate("{time_label}" := if(time_label %in% names(.))
as.POSIXct(gsub("(.*):", "\\1", get(time_label)), format = "%Y-%m-%dT%H:%M:%OS%z", tz = tz) else NULL)
return(df)
}
#' @title Helper Function for handling start_time and end_time parameters
#' @description A helper function
#' @param start_time start time of the time window range (POSIXct)
#' @param end_time end time of the time window range (POSIXct)
#' @param delta range to calculate start_time from end_time if start_time is NA (default lubridate::minutes(5))
#' @param tz Timezone. Default is GMT.
#' @return A list of start_time and end_time
#' @noRd
start_end_time <- function(start_time, end_time, delta = lubridate::minutes(5), tz = "GMT") {
if(!is.na(start_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
if (is.na(end_time)) {
end_time_posix <- lubridate::now(tz)
end_time = end_time_posix
loginfo(glue::glue("end_time parameter is missing, using end_time = {end_time_posix} "))
}
if (is.na(start_time)) {
start_time = end_time - delta
loginfo(glue::glue("start_time parameter is missing, using start_time = end_time - {delta%>% as.numeric()} seconds" ))
}
list(start_time=start_time, end_time=end_time)
}
# Functions should return result content in the form of dataframe if result is available and success
# in case of response$success == FALSE the function should return the cause of failure if the FTX API provides it
# Test with the real failure cases against FTX and decide case-by-case
#' @title FTX Coin Balances
#' @description Returns balances coin balances of all accounts if accounts argument is left empty or returns the balances of the specified accounts.
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param accounts Optional parameter. A vector of client sub-accounts
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_coin_balances(key="", secret="", accounts = c())
#' @export
ftx_coin_balances <- function(key, secret, ..., accounts = c()) {
response = ftx_send_request(method = "GET", path = '/api/wallet/all_balances', key, secret, subaccount = NA, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
# add response$success == FALSE handling
result = response$result
if(length(result) > 0){
df <- do.call(rbind, apply(tibble(r = result, n = names(result)), 1, function(x) {
df <- map_df(x[[1]], tibble::as_tibble)
df <- df %>% add_column(account = x[[2]]) %>%
{
if("total" %in% names(.)) filter(., total != 0) else .
}
}
))
if (length(accounts) > 0) {
df <- df %>% filter(account %in% accounts)
} else {
df
}
} else {
df <- tibble()
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Positions
#' @description Returns the account positions
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param subaccount A client's subaccount
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_positions(key="", secret="", subaccount=NA)
#' @export
ftx_positions <- function(key, secret, ..., subaccount = NA, tz = "GMT") {
# GET /positions
response = ftx_send_request(method = "GET", path = '/api/positions', key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
if(length(result) > 0){
df <- result_formatter(result, "time", tz) %>%
filter(size != 0)
} else {
df <- tibble()
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Markets
#' @description Returns information on all types of markets on FTX: spot, perpetual futures, expiring futures, and MOVE contracts. Examples for each type are BTC/USD, BTC-PERP, BTC-0626, and BTC-MOVE-1005.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples
#' ftx_markets()
#' @export
ftx_markets <- function() {
# GET /markets
response <- ftx_httr_get(glue::glue("{base_url}/api/markets"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
df = as_tibble(response$result)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Coin Markets
#' @description Returns information on all types of markets on FTX (deprecated).
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_coin_markets(key = "", secret = "")
#' @export
ftx_coin_markets <- function(key, secret, ..., tz = "GMT") {
.Deprecated(new = "ftx_markets", msg = "The function will be removed in version 0.2.0")
# GET /markets
response = ftx_send_request(method = "GET", path = '/api/markets', key, secret, subaccount = NA, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Orderbook
#' @description Returns the orderbook for the market specified
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param ... Additional parameters to pass to API request
#' @param market Name of market (required)
#' @param depth Market depth. Min 1, Max 100, default 5
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_orderbook(market = "1INCH/USD", depth = 10)
#' @export
ftx_orderbook <- function(key, secret, ..., market = NA, depth = 5) {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /markets/{market}/orderbook?depth={depth}
# depth parameter check
if(depth > 100) loginfo(msg = 'Depth value is too large. Using max value = 100.')
if(depth < 1){
logerror(msg = 'Depth value is too small. Min value is 1.')
return(list(success = F, failure_reason = 'Depth value is too small. Min value is 1.', data = NULL))
}
if (is.na(market)) {
logerror(msg = 'market is missing, required parameter')
return(list(success = F, failure_reason = 'market is missing, required parameter', data = NULL))
}
path = paste0('api/markets/', market, '/orderbook?depth=', depth)
response <- ftx_httr_get(glue::glue("{base_url}/{path}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
colnames(result$bids) <- c("price", "size")
colnames(result$asks) <- c("price", "size")
bids <- as_tibble(result$bids) %>%
mutate(name = "bids")
asks <- as_tibble(result$asks) %>%
mutate(name = "asks")
df <- rbind(bids, asks)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Trades
#' @description Returns the trades that have taken place for a particular market
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param market Name of market
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades. Default value end_value - 5 minutes.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.Default value is current time.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_trades(market = "1INCH/USD")
#' @export
ftx_trades <- function(key, secret, market, ..., start_time = NA, end_time = NA, tz = "GMT") {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /markets/{market}/trades
# add optional parameters
path = paste0('api/markets/', market, '/trades')
times <- start_end_time(start_time = start_time, end_time = end_time, delta = lubridate::minutes(5))
response <- ftx_httr_get(glue::glue("{base_url}/{path}?start_time={times$start_time %>% as.numeric() %>% as.integer()}&end_time={times$end_time %>% as.numeric() %>% as.integer()}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Historical Prices
#' @description Returns historical prices of expired futures
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param market Name of market
#' @param ... Additional parameters to pass to API request
#' @param resolution Window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_historical_prices(market = "1INCH/USD")
#' @export
ftx_historical_prices <- function(key, secret, market, ..., resolution = 14400, start_time = NA, end_time = NA, tz = "GMT") {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /markets/{market}/candles?resolution={resolution}&start_time={start_time}&end_time={end_time}
# check if resolution, start_time and end_time are correct and not contradictory, log error if not
# check resolution parameter
res_values <- c(0, 15, 60, 300, 900, 3600, 14400, 86400)
if(resolution == 0 | !(resolution%%86400) %in% res_values | resolution > (30*86400)) {
logerror(msg = 'Unsupported candle resolution value. Supported values are 15, 60, 300, 900,
3600, 14400, 86400, or any multiple of 86400 up to 30*86400')
return(list(success = F, failure_reason = 'Unsupported candle resolution value. Supported values are 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400', data = NULL))
}
path = paste0('api/markets/', market, '/candles?resolution=', resolution)
times <- start_end_time(start_time = start_time, end_time = end_time, delta = lubridate::days(5))
response <- ftx_httr_get(glue::glue("{base_url}/{path}&start_time={times$start_time %>% as.numeric() %>% as.integer()}&end_time={times$end_time %>% as.numeric() %>% as.integer()}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "startTime", tz)
if (nrow(df)) {
df <- df %>% select(start_time = startTime, open, high, low, close, volume)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Future Markets
#' @description Returns all types of futures on FTX
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param ... Additional parameters to pass to API request (deprecated)
#' @param market Name of market
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples
#' ftx_future_markets()
#' ftx_future_markets(market = "SOL-PERP")
#' @export
ftx_future_markets <- function(key, secret, ..., market = NA, tz = "GMT") {
# GET /futures (if market == NA)
# GET /futures/{market} (if market != NA)
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
path = paste0('api/futures')
if(!is.na(market)){
path = paste0(path, '/', market)
}
response <- ftx_httr_get(glue::glue("{base_url}/{path}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "expiry", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Future Stats
#' @description Returns stats on futures
#' @param key A client's key
#' @param secret A client's secret
#' @param market Name of market
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_future_stat(key="", secret="", market = "CRV-PERP")
#' @export
ftx_future_stat <- function(key, secret, market, ..., tz = "GMT") {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /futures/{market}/stats
path = paste0('api/futures/', market, '/stats')
response = ftx_httr_get(glue::glue("{base_url}/{path}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "nextFundingTime", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Future Funding Rates
#' @description Returns the funding rates of futures
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param start_time POSIXct value from when to extract trades.
#' @param end_time POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_future_funding_rates(key="", secret="", markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_future_funding_rates <- function(key, secret, ..., markets=c(), start_time=NA, end_time=NA, tz = "GMT") {
# GET /funding_rates
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
path = 'api/funding_rates'
times <- start_end_time(start_time = start_time, end_time = end_time, delta = lubridate::days(5))
response <- ftx_httr_get(glue::glue("{base_url}/{path}?start_time={times$start_time %>% as.numeric() %>% as.integer()}&end_time={times$end_time %>% as.numeric() %>% as.integer()}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(future %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Open Orders
#' @description Returns information on the open orders for account or subaccount if specified
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_open_orders(key="", secret="", subaccount=NA, markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_open_orders <- function(key, secret, subaccount, ..., markets=c(), tz = "GMT") {
# GET /orders?market={market}
path = paste0('/api/orders')
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "createdAt", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(market %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Orders History
#' @description Returns the history of orders for the account or subaccount if specified
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_orders_history(key="", secret="", subaccount=NA, markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_orders_history <- function(key, secret, subaccount, ..., markets=c(), tz = "GMT") {
# GET /orders/history?market={market}
path = paste0('/api/orders/history')
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "createdAt", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(market %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Place Order
#' @description Places an order based on the information provided
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param market Name of market
#' @param side "buy" or "sell"
#' @param price Numeric value. Send null for market orders.
#' @param type "limit" or "market"
#' @param size Size of order
#' @param reduceOnly optional; default is false
#' @param ioc optional; default is false
#' @param postOnly optional; default is false
#' @param client_id optional; client order id
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_place_order(key="",secret="",subaccount=NA,market="XRP-PERP",
#' side="buy",price=1,type="limit",size=3)
#' @export
ftx_place_order <- function(key, secret, subaccount, ..., market=NA, side=NA, price=NA, type=NA, size=NA, reduceOnly=FALSE, ioc=FALSE, postOnly=FALSE, client_id=NA, tz = "GMT") {
# POST /orders
# check if side, price, type, size, reduce_only, ioc, postonly parameters are correct
path = paste0('/api/orders')
body = list()
if(!missing(market)){
body$market = market
}
if(!missing(side)){
if(side %in% c('buy','sell')){
body$side = side
}
}
if(!missing(price)){
if(is.numeric(price) | is.null(price)){
body$price = price
}
}
if(!missing(type)){
if(type %in% c('limit','market')){
body$type = type
}
}
if(is.numeric(size)) body$size = size
if(reduceOnly %in% c(T,F)) body$reduceOnly = reduceOnly
if(ioc %in% c(T,F)) body$ioc = ioc
if(postOnly %in% c(T,F)) body$postOnly = postOnly
body$clientId = client_id
response = ftx_send_request(method = "POST", path = path, key, secret, subaccount, body = body, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Modify Order
#' @description Modifies an order's size and price
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param order_id Numeric value of order ID
#' @param size Size of order
#' @param price Price of order
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_modify_order(key="", secret="", subaccount=NA, order_id=1234, size=2, price=1)
#' @export
ftx_modify_order <- function(key, secret, subaccount, order_id, size, price, ..., tz = "GMT") {
# POST /orders/{order_id}/modify
path = paste0('/api/orders/', order_id, '/modify')
body <- list()
if(!missing(size)){
if(is.numeric(size) | is.null(size)){
body$size = size
}
}
if(!missing(price)){
if(is.numeric(price) | is.null(price)){
body$price = price
}
}
response = ftx_send_request(method = "POST", path = path, key, secret, subaccount, body = body, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Order Status
#' @description Returns the status of orders
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param order_id Numeric value of order ID
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_order_status(key="", secret="", subaccount=NA, order_id=1234)
#' @export
ftx_order_status <- function(key, secret, subaccount, order_id, ..., tz = "GMT") {
# GET /orders/by_client_id/{client_order_id}
path = paste0('/api/orders/', order_id)
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
n_results <- length(result$id)
result <- result %>% lapply(function(x) {
if (class(x) == "NULL") rep(NA, n_results)
else x
})
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Cancel Order
#' @description Queues an order for cancellation
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param order_id Numeric value of order ID
#' @param ... Additional parameters to pass to API request
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' result: if success is TRUE: "Order queued for cancellation"
#' @examples ftx_cancel_order(key="", secret="", subaccount="", order_id=1234)
#' @export
ftx_cancel_order <- function(key, secret, subaccount, order_id, ...) {
# DELETE /orders/{order_id}
path = paste0('/api/orders/', order_id)
response = ftx_send_request(method = "DELETE", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
result = result
)
return(return_obj)
}
#' @title FTX Modify Order by Client ID
#' @description Modifies an order using the client ID instead of the order ID
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param client_id Character string of client order ID
#' @param new_client_id Character string of new client order ID
#' @param size Size of order
#' @param price Price of order
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_modify_order_clientid(key="", secret="", subaccount=NA, client_id="order1",
#' new_client_id="order2", size=2, price=1)
#' @export
ftx_modify_order_clientid <- function(key, secret, subaccount, client_id, new_client_id, size, price, ..., tz = "GMT") {
# POST /orders/by_client_id/{client_order_id}/modify
path = paste0('/api/orders/by_client_id/', client_id, '/modify')
body <- list()
if(!missing(size)){
if(is.numeric(size) | is.null(size)){
body$size = size
}
}
if(!missing(price)){
if(is.numeric(price) | is.null(price)){
body$price = price
}
}
if(!missing(client_id)){
body$clientId = new_client_id
}
response = ftx_send_request(method = "POST", path = path, key, secret, subaccount, body = body, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Order Status by Client ID
#' @description Returns the status of orders using the client ID instead of the order ID
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param client_id Character string of client order ID
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_order_status_clientid(key="", secret="", subaccount=NA, client_id="order1")
#' @export
ftx_order_status_clientid <- function(key, secret, subaccount, client_id, ..., tz = "GMT") {
# GET /orders/by_client_id/{client_order_id}
path = paste0('/api/orders/by_client_id/', client_id)
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
n_results <- length(result$id)
result <- result %>% lapply(function(x) {
if (class(x) == "NULL") rep(NA, n_results)
else x
})
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Cancel Order by Client ID
#' @description Queues an order for cancellation using the client ID instead of the order ID
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param client_id Character string of client order ID
#' @param ... Additional parameters to pass to API request
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' result: if success is TRUE: "Order queued for cancellation"
#' @examples ftx_cancel_order_clientid(key="", secret="", subaccount=NA, client_id="order1")
#' @export
ftx_cancel_order_clientid <- function(key, secret, subaccount, client_id, ...) {
# DELETE /orders/by_client_id/{client_order_id}
path = paste0('/api/orders/by_client_id/', client_id)
response = ftx_send_request(method = "DELETE", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
result = result
)
return(return_obj)
}
#' @title FTX Orders Fills
#' @description Returns market fills
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_order_fills(key="", secret="", subaccount=NA, markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_order_fills <- function(key, secret, subaccount, ..., markets=c(), start_time=NA, end_time=NA, tz = "GMT") {
# GET /fills?market={market}
path = '/api/fills'
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.integer(start_time)
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.integer(end_time)
}
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL,
query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(market %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Funding Payments
#' @description Returns the funding payments for futures
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_funding_payments(key="", secret="", subaccount=NA)
#' @export
ftx_funding_payments <- function(key, secret, subaccount, ..., start_time = NA, end_time = NA, tz = "GMT") {
# GET /funding_payments
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.integer(start_time)
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.integer(end_time)
}
response = ftx_send_request(method = "GET", path = '/api/funding_payments', key, secret,
subaccount, body = NULL, query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Spot Lending History
#' @description Returns the lending history for coins
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_spot_lending_history(key="", secret="")
#' @export
ftx_spot_lending_history <- function(key, secret, ..., start_time=NA, end_time=NA, tz = "GMT") {
# GET /spot_margin/history
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.integer(start_time)
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.integer(end_time)
}
response = ftx_send_request(method = "GET", path = '/api/spot_margin/history', key, secret, subaccount = NA, body = NULL,
query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Spot Margin Borrow Rates
#' @description Returns the estimated hourly borrow rate for the next spot margin cycle and the hourly borrow rate in the previous spot margin cycle for coins.
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_spot_margin_borrow_rates(key="", secret="", subaccount=NA)
#' @export
ftx_spot_margin_borrow_rates <- function(key, secret, subaccount, ..., tz = "GMT") {
# GET /spot_margin/borrow_rates
response = ftx_send_request(method = "GET", path = '/api/spot_margin/borrow_rates', key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Spot Borrow History
#' @description Returns the coin borrow history for the user
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_my_spot_borrow_history(key="", secret="", subaccount=NA)
#' @export
ftx_my_spot_borrow_history <- function(key, secret, subaccount, ..., start_time=NA, end_time=NA, tz = "GMT") {
# GET /spot_margin/borrow_history
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.character(as.integer(start_time))
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.character(as.integer(end_time))
}
response = ftx_send_request(method = "GET", path = '/api/spot_margin/borrow_history', key, secret,
subaccount, body = NULL, query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' FTX Get Multiple Markets
#'
#' @description Get market data for multipole FTX markets.
#'
#' @param markets name of the markets (vector of string)
#' @param resolution representing aggregation length in seconds (int)
#' @param start_time human readable start time in UTC (string)
#' @param end_time human readable end time in UTC (string)
#'
#' @return dataframe of prices if API call was successful
#' @export
#'
#' @examples
#' ftx_get_multiple_markets(c("BTC-PERP", "ETH-PERP"),
#' resolution = 86400,
#' start_time = "2019-07-20",
#' end_time = "2022-06-30")
ftx_get_multiple_markets <- function(markets, resolution = 86400, start_time = "2019-07-20", end_time = "2022-06-30") {
start_time <- as.numeric(as.POSIXct(start_time, tz = "UTC"))
end_time <- as.numeric(as.POSIXct(end_time, tz = "UTC"))
prices <- data.frame()
for(market in markets) {
# these_prices <- get_single_ftx_market(market, resolution = resolution, start_time = start_time, end_time = end_time)
these_prices <- ftx_historical_prices(market = market, resolution = resolution, start_time = start_time, end_time = end_time)$data
if(!is.null(these_prices)) {
these_prices <- these_prices %>%
dplyr::mutate(ticker = market)
prices <- dplyr::bind_rows(prices, these_prices)
} else {
logwarn(glue::glue("Failed to get data for market {market}"))
}
}
prices
}
#' FTX Get Hourly Markets
#'
#' @description Get hourly resolution historical data of multiple FTX markets
#'
#' @param markets name of the markets (vector of string)
#' @param start_date human readable start date in UTC (string)
#' @param end_date human readable end date in UTC (string)
#'
#' @return dataframe of prices if API call was successful
#' @export
#'
#' @examples
#' ftx_get_hourly_markets(c("BTC-PERP", "ETH-PERP"),
#' start_date = "2019-07-20", end_date = "2022-06-30")
#'
ftx_get_hourly_markets <- function(markets,
start_date = "2019-07-27",
end_date = as.character(Sys.Date())) {
warning("The function is deprecated, will be removed in version 0.2.0. Use ftx_get_markets_history() instead")
if (as.Date(end_date) %>% lubridate::month() - as.Date(start_date) %>% lubridate::month() >= 2) {
months <- c(as.Date(start_date),
seq(from = as.Date(start_date) %>% lubridate::ceiling_date(unit = "month"),
to = as.Date(end_date) %>% lubridate::floor_date(unit = "month"),
by = "month"),
as.Date(end_date) + lubridate::days(1) - lubridate::hours(1)) %>%
tibble::as_tibble(months) %>%
dplyr::mutate(end = dplyr::lead(.data$value)) %>%
dplyr::select(begin = .data$value, .data$end) %>%
stats::na.omit()
} else {
months <- tibble(begin = as.Date(start_date), end = as.Date(end_date) + lubridate::days(1) - lubridate::hours(1))
}
prices <- apply(months, 1, function(x) {
ftx_get_multiple_markets(markets, resolution = 3600, start_time = x[1], end_time = x[2])
} )
prices <- prices %>%
dplyr::bind_rows() %>%
dplyr::distinct()
prices <- prices %>%
dplyr::select(ticker = .data$ticker, date = .data$start_time, open, high, low, close, volume)
prices
}
#' FTX Get History All
#'
#' @description Get historical data of multiple FTX markets
#'
#' @param markets name of the markets (vector of string)
#' @param resolution resolution of candles in seconds (60, 300, 900, 3600, 14400, 86400)
#' @param start_date human readable start date in UTC (string)
#' @param end_date human readable end date in UTC (string)
#'
#' @return dataframe of prices if API call was successful
#' @export
#'
#' @examples
#' ftx_get_markets_history(c("BTC-PERP", "ETH-PERP"), resolution = 300,
#' start_date = "2022-07-20", end_date = "2022-07-30")
#'
ftx_get_markets_history <- function(markets, resolution, start_date, end_date) {
start_date <- as.Date(start_date)
end_date <- as.Date(end_date)
# ftx rest api return only 1500 candles in one request
# 1500 daily candles -> 1500 days (86400)
# 1500 4 hour candles -> 250 days (14400)
# 1500 hourly candles -> 62.5 days (3600)
# 1500 15 min candles -> 15.625 days (900)
# 1500 5 min candles -> 5.2 days (300)
# 1500 1 min candles -> 1.04 days (60)
res_values <- c(60, 300, 900, 3600, 14400, 86400)
if(resolution %in% res_values & start_date < end_date){
delta <- ifelse(as.integer(resolution) == 60, 1,
ifelse(as.integer(resolution) == 300, 5,
ifelse(as.integer(resolution) == 900, 15,
ifelse(as.integer(resolution) == 3600, 62,
ifelse(as.integer(resolution) == 14400, 250,
ifelse(as.integer(resolution) == 86400, 1500, F))))))
if(delta != F){
dates <- seq(from = as.Date(start_date), to = as.Date(end_date), delta)
if(length(dates) > 1){
tb <- NULL
for (i in 2:length(dates)) {
q <- data.table::data.table(from = dates[i-1], to = dates[i])
tb <- rbind(tb, q)
}
} else {
tb = data.table::data.table(from = start_date, to = end_date)
}
if(tb$to[nrow(tb)] != end_date){
last_row <- data.table::data.table(from = tb$to[nrow(tb)], to = end_date)
tb <- rbind(tb, last_row)
} else tb = tb
}
prices <- apply(tb, 1, function(x) {
ftx_get_multiple_markets(markets, resolution, start_time = x[1], end_time = x[2])
} )
prices <- prices %>%
dplyr::bind_rows() %>%
dplyr::distinct()
prices <- prices %>%
dplyr::select(ticker = .data$ticker, date = .data$start_time, open, high, low, close, volume)
prices
}else{
logerror(msg = 'Unsupported candle resolution value. Supported values are 15, 60, 300, 900, 3600, 14400, 86400 or start date >= end date')
}
}
andreskull/rFTX documentation built on Nov. 8, 2022, 2:27 p.m.
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Defines functions format_helper result_formatter ftx_httr_get ftx_send_request ftx_init
Documented in ftx_init
#' @importFrom magrittr %>%
#' @importFrom lubridate now
#' @importFrom httr GET POST DELETE add_headers content
#' @importFrom dplyr bind_rows mutate filter select
#' @importFrom logging logerror loginfo logwarn
#' @importFrom tibble tibble as_tibble add_column
#' @importFrom purrr set_names map_df map
#' @importFrom rlang :=
#' @importFrom rlang .data
#' @importFrom data.table data.table
#'
utils::globalVariables(c(".", "total", "account", "future", "startTime", "high", "low", "volume", "market", "size", "base_url"))
#' @title FTX Initialise Endpoint Value
#' @description Changes the default endpoint value. Default endpoint is https://ftx.com
#' @param rftx_base_url Optional parameter. An endpoint value such as https://ftx.com or https://ftx.us
#' @export
ftx_init <- function(rftx_base_url = NA){
if(!missing(rftx_base_url) & !is.na(rftx_base_url)){
utils::assignInNamespace("base_url", rftx_base_url, ns="rFTX", envir=as.environment("package:rFTX"))
} else {
endpoints <- c("https://ftx.com", "https://ftx.us")
selected_url <- utils::menu(endpoints, title = "\nWhich endpoint would you like to use?")
print(paste("Using", endpoints[selected_url], "as the endpoint."))
ftx_base_url <- endpoints[selected_url]
utils::assignInNamespace("base_url", ftx_base_url, ns="rFTX", envir=as.environment("package:rFTX"))
}
}
#' @title FTX Send Request
#' @description A helper function
#' @param method REST API Method such as GET or POST
#' @param path An additional path defined for each function
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param body Only for POST method. A named list of values containing market name (string),
#' side ("buy" or "sell"), price (numeric), size (numeric), type ("limit" or "market"),
#' reduceOnly (logical), ioc (logical), postOnly (logical) and clientId (numeric or NA)
#' @param query parameters to pass with url
#' @param ... Additional parameters to pass to API request
#' @return A response object as a list containing two elements, a logical vector success of 1 length and
#' either an error element if success is FALSE or result list if success is TRUE.,
#' @noRd
ftx_send_request <- function(method, path, key, secret, subaccount, body = NULL, query = NULL, ...) {
url <- paste0(base_url, path)
fn <- get(method)
ts <- now("UTC") %>% as.integer() * 1000
signature_payload <- paste0(ts, method, path)
if(method == "POST" & !missing(body) & !is.null(body)){
body_sign <- jsonlite::toJSON(body, POSIXt = "epoch", complex = "string", null = "null", na = "null", digits = NA, auto_unbox = T)
signature_payload <- paste0(signature_payload, body_sign)
}
signature <- digest::hmac(enc2utf8(secret),
enc2utf8(signature_payload),
algo = "sha256")
headers_vec <- c(`FTX-KEY` = key,
`FTX-SIGN` = signature,
`FTX-TS` = as.character(ts))
if(!missing(subaccount) && !is.na(subaccount)){
headers_vec <- c(headers_vec, `FTX-SUBACCOUNT` = subaccount)
}
r <- fn(url, add_headers(.headers = headers_vec), query = query, ...)
if(method == "POST" & !missing(body)){
r <- fn(url, add_headers(.headers = headers_vec), query = query, body = body, encode = "json", ...)
}
response <- content(r, "parsed")
if (response$success == FALSE) {
logerror(msg = response$error, ...)
}
response
}
#' @title FTX HTTR GET
#' @description A helper function
#' @param url an url that is passed to httr:GET function
#' @return A response object as a list containing two elements, a logical vector success of 1 length and
#' either an error element if success is FALSE or result list if success is TRUE.,
#' @noRd
ftx_httr_get <- function(url) {
response <- httr::GET(url)
response <- response$content %>%
rawToChar() %>%
jsonlite::fromJSON()
response
}
#' @title Result Formatter
#' @description A helper function
#' @param result The result of an API response
#' @param time_label time column to be formatted to POSIXct
#' @param tz Timezone to display times in. Default is GMT.
#' @return A formatted tibble
#' @noRd
result_formatter <- function(result, time_label, tz){
df <- bind_rows(result)
df <- format_helper(df, time_label, tz)
return(df)
}
#' @title Helper Function for the Formatter
#' @description A helper function
#' @param list A list or section of list from API response
#' @param time_label time column to be formatted to POSIXct
#' @param tz Timezone to display times in. Default is GMT.
#' @return A formatted tibble
#' @noRd
format_helper <- function(obj, time_label, tz){
df <- obj %>%
replace(lengths(.) == 0, NA) %>%
tibble::as_tibble() %>%
mutate("{time_label}" := if(time_label %in% names(.))
as.POSIXct(gsub("(.*):", "\\1", get(time_label)), format = "%Y-%m-%dT%H:%M:%OS%z", tz = tz) else NULL)
return(df)
}
#' @title Helper Function for handling start_time and end_time parameters
#' @description A helper function
#' @param start_time start time of the time window range (POSIXct)
#' @param end_time end time of the time window range (POSIXct)
#' @param delta range to calculate start_time from end_time if start_time is NA (default lubridate::minutes(5))
#' @param tz Timezone. Default is GMT.
#' @return A list of start_time and end_time
#' @noRd
start_end_time <- function(start_time, end_time, delta = lubridate::minutes(5), tz = "GMT") {
if(!is.na(start_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
if (is.na(end_time)) {
end_time_posix <- lubridate::now(tz)
end_time = end_time_posix
loginfo(glue::glue("end_time parameter is missing, using end_time = {end_time_posix} "))
}
if (is.na(start_time)) {
start_time = end_time - delta
loginfo(glue::glue("start_time parameter is missing, using start_time = end_time - {delta%>% as.numeric()} seconds" ))
}
list(start_time=start_time, end_time=end_time)
}
# Functions should return result content in the form of dataframe if result is available and success
# in case of response$success == FALSE the function should return the cause of failure if the FTX API provides it
# Test with the real failure cases against FTX and decide case-by-case
#' @title FTX Coin Balances
#' @description Returns balances coin balances of all accounts if accounts argument is left empty or returns the balances of the specified accounts.
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param accounts Optional parameter. A vector of client sub-accounts
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_coin_balances(key="", secret="", accounts = c())
#' @export
ftx_coin_balances <- function(key, secret, ..., accounts = c()) {
response = ftx_send_request(method = "GET", path = '/api/wallet/all_balances', key, secret, subaccount = NA, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
# add response$success == FALSE handling
result = response$result
if(length(result) > 0){
df <- do.call(rbind, apply(tibble(r = result, n = names(result)), 1, function(x) {
df <- map_df(x[[1]], tibble::as_tibble)
df <- df %>% add_column(account = x[[2]]) %>%
{
if("total" %in% names(.)) filter(., total != 0) else .
}
}
))
if (length(accounts) > 0) {
df <- df %>% filter(account %in% accounts)
} else {
df
}
} else {
df <- tibble()
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Positions
#' @description Returns the account positions
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param subaccount A client's subaccount
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_positions(key="", secret="", subaccount=NA)
#' @export
ftx_positions <- function(key, secret, ..., subaccount = NA, tz = "GMT") {
# GET /positions
response = ftx_send_request(method = "GET", path = '/api/positions', key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
if(length(result) > 0){
df <- result_formatter(result, "time", tz) %>%
filter(size != 0)
} else {
df <- tibble()
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Markets
#' @description Returns information on all types of markets on FTX: spot, perpetual futures, expiring futures, and MOVE contracts. Examples for each type are BTC/USD, BTC-PERP, BTC-0626, and BTC-MOVE-1005.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples
#' ftx_markets()
#' @export
ftx_markets <- function() {
# GET /markets
response <- ftx_httr_get(glue::glue("{base_url}/api/markets"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
df = as_tibble(response$result)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Coin Markets
#' @description Returns information on all types of markets on FTX (deprecated).
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_coin_markets(key = "", secret = "")
#' @export
ftx_coin_markets <- function(key, secret, ..., tz = "GMT") {
.Deprecated(new = "ftx_markets", msg = "The function will be removed in version 0.2.0")
# GET /markets
response = ftx_send_request(method = "GET", path = '/api/markets', key, secret, subaccount = NA, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Orderbook
#' @description Returns the orderbook for the market specified
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param ... Additional parameters to pass to API request
#' @param market Name of market (required)
#' @param depth Market depth. Min 1, Max 100, default 5
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_orderbook(market = "1INCH/USD", depth = 10)
#' @export
ftx_orderbook <- function(key, secret, ..., market = NA, depth = 5) {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /markets/{market}/orderbook?depth={depth}
# depth parameter check
if(depth > 100) loginfo(msg = 'Depth value is too large. Using max value = 100.')
if(depth < 1){
logerror(msg = 'Depth value is too small. Min value is 1.')
return(list(success = F, failure_reason = 'Depth value is too small. Min value is 1.', data = NULL))
}
if (is.na(market)) {
logerror(msg = 'market is missing, required parameter')
return(list(success = F, failure_reason = 'market is missing, required parameter', data = NULL))
}
path = paste0('api/markets/', market, '/orderbook?depth=', depth)
response <- ftx_httr_get(glue::glue("{base_url}/{path}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
colnames(result$bids) <- c("price", "size")
colnames(result$asks) <- c("price", "size")
bids <- as_tibble(result$bids) %>%
mutate(name = "bids")
asks <- as_tibble(result$asks) %>%
mutate(name = "asks")
df <- rbind(bids, asks)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Trades
#' @description Returns the trades that have taken place for a particular market
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param market Name of market
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades. Default value end_value - 5 minutes.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.Default value is current time.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_trades(market = "1INCH/USD")
#' @export
ftx_trades <- function(key, secret, market, ..., start_time = NA, end_time = NA, tz = "GMT") {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /markets/{market}/trades
# add optional parameters
path = paste0('api/markets/', market, '/trades')
times <- start_end_time(start_time = start_time, end_time = end_time, delta = lubridate::minutes(5))
response <- ftx_httr_get(glue::glue("{base_url}/{path}?start_time={times$start_time %>% as.numeric() %>% as.integer()}&end_time={times$end_time %>% as.numeric() %>% as.integer()}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Historical Prices
#' @description Returns historical prices of expired futures
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param market Name of market
#' @param ... Additional parameters to pass to API request
#' @param resolution Window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_historical_prices(market = "1INCH/USD")
#' @export
ftx_historical_prices <- function(key, secret, market, ..., resolution = 14400, start_time = NA, end_time = NA, tz = "GMT") {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /markets/{market}/candles?resolution={resolution}&start_time={start_time}&end_time={end_time}
# check if resolution, start_time and end_time are correct and not contradictory, log error if not
# check resolution parameter
res_values <- c(0, 15, 60, 300, 900, 3600, 14400, 86400)
if(resolution == 0 | !(resolution%%86400) %in% res_values | resolution > (30*86400)) {
logerror(msg = 'Unsupported candle resolution value. Supported values are 15, 60, 300, 900,
3600, 14400, 86400, or any multiple of 86400 up to 30*86400')
return(list(success = F, failure_reason = 'Unsupported candle resolution value. Supported values are 15, 60, 300, 900, 3600, 14400, 86400, or any multiple of 86400 up to 30*86400', data = NULL))
}
path = paste0('api/markets/', market, '/candles?resolution=', resolution)
times <- start_end_time(start_time = start_time, end_time = end_time, delta = lubridate::days(5))
response <- ftx_httr_get(glue::glue("{base_url}/{path}&start_time={times$start_time %>% as.numeric() %>% as.integer()}&end_time={times$end_time %>% as.numeric() %>% as.integer()}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "startTime", tz)
if (nrow(df)) {
df <- df %>% select(start_time = startTime, open, high, low, close, volume)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Future Markets
#' @description Returns all types of futures on FTX
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param ... Additional parameters to pass to API request (deprecated)
#' @param market Name of market
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples
#' ftx_future_markets()
#' ftx_future_markets(market = "SOL-PERP")
#' @export
ftx_future_markets <- function(key, secret, ..., market = NA, tz = "GMT") {
# GET /futures (if market == NA)
# GET /futures/{market} (if market != NA)
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
path = paste0('api/futures')
if(!is.na(market)){
path = paste0(path, '/', market)
}
response <- ftx_httr_get(glue::glue("{base_url}/{path}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "expiry", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Future Stats
#' @description Returns stats on futures
#' @param key A client's key
#' @param secret A client's secret
#' @param market Name of market
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_future_stat(key="", secret="", market = "CRV-PERP")
#' @export
ftx_future_stat <- function(key, secret, market, ..., tz = "GMT") {
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
# GET /futures/{market}/stats
path = paste0('api/futures/', market, '/stats')
response = ftx_httr_get(glue::glue("{base_url}/{path}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "nextFundingTime", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Future Funding Rates
#' @description Returns the funding rates of futures
#' @param key A client's key (deprecated)
#' @param secret A client's secret (deprecated)
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param start_time POSIXct value from when to extract trades.
#' @param end_time POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_future_funding_rates(key="", secret="", markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_future_funding_rates <- function(key, secret, ..., markets=c(), start_time=NA, end_time=NA, tz = "GMT") {
# GET /funding_rates
if (!missing(key) || !missing(secret)) {
warning("arguments key and secret are deprecated, will be removed in version 0.2.0")
}
path = 'api/funding_rates'
times <- start_end_time(start_time = start_time, end_time = end_time, delta = lubridate::days(5))
response <- ftx_httr_get(glue::glue("{base_url}/{path}?start_time={times$start_time %>% as.numeric() %>% as.integer()}&end_time={times$end_time %>% as.numeric() %>% as.integer()}"))
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(future %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Open Orders
#' @description Returns information on the open orders for account or subaccount if specified
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_open_orders(key="", secret="", subaccount=NA, markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_open_orders <- function(key, secret, subaccount, ..., markets=c(), tz = "GMT") {
# GET /orders?market={market}
path = paste0('/api/orders')
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "createdAt", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(market %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Orders History
#' @description Returns the history of orders for the account or subaccount if specified
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_orders_history(key="", secret="", subaccount=NA, markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_orders_history <- function(key, secret, subaccount, ..., markets=c(), tz = "GMT") {
# GET /orders/history?market={market}
path = paste0('/api/orders/history')
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "createdAt", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(market %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Place Order
#' @description Places an order based on the information provided
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param market Name of market
#' @param side "buy" or "sell"
#' @param price Numeric value. Send null for market orders.
#' @param type "limit" or "market"
#' @param size Size of order
#' @param reduceOnly optional; default is false
#' @param ioc optional; default is false
#' @param postOnly optional; default is false
#' @param client_id optional; client order id
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_place_order(key="",secret="",subaccount=NA,market="XRP-PERP",
#' side="buy",price=1,type="limit",size=3)
#' @export
ftx_place_order <- function(key, secret, subaccount, ..., market=NA, side=NA, price=NA, type=NA, size=NA, reduceOnly=FALSE, ioc=FALSE, postOnly=FALSE, client_id=NA, tz = "GMT") {
# POST /orders
# check if side, price, type, size, reduce_only, ioc, postonly parameters are correct
path = paste0('/api/orders')
body = list()
if(!missing(market)){
body$market = market
}
if(!missing(side)){
if(side %in% c('buy','sell')){
body$side = side
}
}
if(!missing(price)){
if(is.numeric(price) | is.null(price)){
body$price = price
}
}
if(!missing(type)){
if(type %in% c('limit','market')){
body$type = type
}
}
if(is.numeric(size)) body$size = size
if(reduceOnly %in% c(T,F)) body$reduceOnly = reduceOnly
if(ioc %in% c(T,F)) body$ioc = ioc
if(postOnly %in% c(T,F)) body$postOnly = postOnly
body$clientId = client_id
response = ftx_send_request(method = "POST", path = path, key, secret, subaccount, body = body, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Modify Order
#' @description Modifies an order's size and price
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param order_id Numeric value of order ID
#' @param size Size of order
#' @param price Price of order
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_modify_order(key="", secret="", subaccount=NA, order_id=1234, size=2, price=1)
#' @export
ftx_modify_order <- function(key, secret, subaccount, order_id, size, price, ..., tz = "GMT") {
# POST /orders/{order_id}/modify
path = paste0('/api/orders/', order_id, '/modify')
body <- list()
if(!missing(size)){
if(is.numeric(size) | is.null(size)){
body$size = size
}
}
if(!missing(price)){
if(is.numeric(price) | is.null(price)){
body$price = price
}
}
response = ftx_send_request(method = "POST", path = path, key, secret, subaccount, body = body, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Order Status
#' @description Returns the status of orders
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param order_id Numeric value of order ID
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_order_status(key="", secret="", subaccount=NA, order_id=1234)
#' @export
ftx_order_status <- function(key, secret, subaccount, order_id, ..., tz = "GMT") {
# GET /orders/by_client_id/{client_order_id}
path = paste0('/api/orders/', order_id)
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
n_results <- length(result$id)
result <- result %>% lapply(function(x) {
if (class(x) == "NULL") rep(NA, n_results)
else x
})
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Cancel Order
#' @description Queues an order for cancellation
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param order_id Numeric value of order ID
#' @param ... Additional parameters to pass to API request
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' result: if success is TRUE: "Order queued for cancellation"
#' @examples ftx_cancel_order(key="", secret="", subaccount="", order_id=1234)
#' @export
ftx_cancel_order <- function(key, secret, subaccount, order_id, ...) {
# DELETE /orders/{order_id}
path = paste0('/api/orders/', order_id)
response = ftx_send_request(method = "DELETE", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
result = result
)
return(return_obj)
}
#' @title FTX Modify Order by Client ID
#' @description Modifies an order using the client ID instead of the order ID
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param client_id Character string of client order ID
#' @param new_client_id Character string of new client order ID
#' @param size Size of order
#' @param price Price of order
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_modify_order_clientid(key="", secret="", subaccount=NA, client_id="order1",
#' new_client_id="order2", size=2, price=1)
#' @export
ftx_modify_order_clientid <- function(key, secret, subaccount, client_id, new_client_id, size, price, ..., tz = "GMT") {
# POST /orders/by_client_id/{client_order_id}/modify
path = paste0('/api/orders/by_client_id/', client_id, '/modify')
body <- list()
if(!missing(size)){
if(is.numeric(size) | is.null(size)){
body$size = size
}
}
if(!missing(price)){
if(is.numeric(price) | is.null(price)){
body$price = price
}
}
if(!missing(client_id)){
body$clientId = new_client_id
}
response = ftx_send_request(method = "POST", path = path, key, secret, subaccount, body = body, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Order Status by Client ID
#' @description Returns the status of orders using the client ID instead of the order ID
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param client_id Character string of client order ID
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_order_status_clientid(key="", secret="", subaccount=NA, client_id="order1")
#' @export
ftx_order_status_clientid <- function(key, secret, subaccount, client_id, ..., tz = "GMT") {
# GET /orders/by_client_id/{client_order_id}
path = paste0('/api/orders/by_client_id/', client_id)
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
n_results <- length(result$id)
result <- result %>% lapply(function(x) {
if (class(x) == "NULL") rep(NA, n_results)
else x
})
df <- format_helper(result, "createdAt", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Cancel Order by Client ID
#' @description Queues an order for cancellation using the client ID instead of the order ID
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param client_id Character string of client order ID
#' @param ... Additional parameters to pass to API request
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' result: if success is TRUE: "Order queued for cancellation"
#' @examples ftx_cancel_order_clientid(key="", secret="", subaccount=NA, client_id="order1")
#' @export
ftx_cancel_order_clientid <- function(key, secret, subaccount, client_id, ...) {
# DELETE /orders/by_client_id/{client_order_id}
path = paste0('/api/orders/by_client_id/', client_id)
response = ftx_send_request(method = "DELETE", path = path, key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
result = result
)
return(return_obj)
}
#' @title FTX Orders Fills
#' @description Returns market fills
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param markets Vector of names of markets.
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_order_fills(key="", secret="", subaccount=NA, markets=c('CRV-PERP','XRP-PERP'))
#' @export
ftx_order_fills <- function(key, secret, subaccount, ..., markets=c(), start_time=NA, end_time=NA, tz = "GMT") {
# GET /fills?market={market}
path = '/api/fills'
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.integer(start_time)
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.integer(end_time)
}
response = ftx_send_request(method = "GET", path = path, key, secret, subaccount, body = NULL,
query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
if(length(result) > 0 & !missing(markets)){
df <- df %>%
filter(market %in% markets)
}
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Funding Payments
#' @description Returns the funding payments for futures
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_funding_payments(key="", secret="", subaccount=NA)
#' @export
ftx_funding_payments <- function(key, secret, subaccount, ..., start_time = NA, end_time = NA, tz = "GMT") {
# GET /funding_payments
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.integer(start_time)
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.integer(end_time)
}
response = ftx_send_request(method = "GET", path = '/api/funding_payments', key, secret,
subaccount, body = NULL, query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Spot Lending History
#' @description Returns the lending history for coins
#' @param key A client's key
#' @param secret A client's secret
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_spot_lending_history(key="", secret="")
#' @export
ftx_spot_lending_history <- function(key, secret, ..., start_time=NA, end_time=NA, tz = "GMT") {
# GET /spot_margin/history
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.integer(start_time)
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.integer(end_time)
}
response = ftx_send_request(method = "GET", path = '/api/spot_margin/history', key, secret, subaccount = NA, body = NULL,
query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Spot Margin Borrow Rates
#' @description Returns the estimated hourly borrow rate for the next spot margin cycle and the hourly borrow rate in the previous spot margin cycle for coins.
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_spot_margin_borrow_rates(key="", secret="", subaccount=NA)
#' @export
ftx_spot_margin_borrow_rates <- function(key, secret, subaccount, ..., tz = "GMT") {
# GET /spot_margin/borrow_rates
response = ftx_send_request(method = "GET", path = '/api/spot_margin/borrow_rates', key, secret, subaccount, body = NULL, query = NULL, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' @title FTX Spot Borrow History
#' @description Returns the coin borrow history for the user
#' @param key A client's key
#' @param secret A client's secret
#' @param subaccount A client's subaccount
#' @param ... Additional parameters to pass to API request
#' @param start_time Optional parameter. POSIXct value from when to extract trades.
#' @param end_time Optional parameter. POSIXct value up-to when to extract trades.
#' @param tz Timezone to display times in. Default is GMT.
#' @return A list of three elements: a logical vector success: FALSE/TRUE,
#' failure_reason: reason for failure if success is FALSE, NA otherwise,
#' data: a tibble containing the data if success is TRUE
#' @examples ftx_my_spot_borrow_history(key="", secret="", subaccount=NA)
#' @export
ftx_my_spot_borrow_history <- function(key, secret, subaccount, ..., start_time=NA, end_time=NA, tz = "GMT") {
# GET /spot_margin/borrow_history
if(!missing(start_time) & !is.na(start_time) & !missing(end_time) & !is.na(end_time)){
if(start_time > end_time){
logerror(msg = 'Start date cannot be after end date.')
}
}
query_list <- list()
if(!missing(start_time) & !is.na(start_time)){
query_list['start_time'] <- as.character(as.integer(start_time))
}
if(!missing(end_time) & !is.na(end_time)){
query_list['end_time'] <- as.character(as.integer(end_time))
}
response = ftx_send_request(method = "GET", path = '/api/spot_margin/borrow_history', key, secret,
subaccount, body = NULL, query = query_list, ...)
if(!response$success) return(list(success = F, failure_reason = response$error, data = NULL))
result = response$result
df <- result_formatter(result, "time", tz)
return_obj <- list(
success = response$success,
failure_reason = ifelse(response$success, NA, response$error),
data = df
)
return(return_obj)
}
#' FTX Get Multiple Markets
#'
#' @description Get market data for multipole FTX markets.
#'
#' @param markets name of the markets (vector of string)
#' @param resolution representing aggregation length in seconds (int)
#' @param start_time human readable start time in UTC (string)
#' @param end_time human readable end time in UTC (string)
#'
#' @return dataframe of prices if API call was successful
#' @export
#'
#' @examples
#' ftx_get_multiple_markets(c("BTC-PERP", "ETH-PERP"),
#' resolution = 86400,
#' start_time = "2019-07-20",
#' end_time = "2022-06-30")
ftx_get_multiple_markets <- function(markets, resolution = 86400, start_time = "2019-07-20", end_time = "2022-06-30") {
start_time <- as.numeric(as.POSIXct(start_time, tz = "UTC"))
end_time <- as.numeric(as.POSIXct(end_time, tz = "UTC"))
prices <- data.frame()
for(market in markets) {
# these_prices <- get_single_ftx_market(market, resolution = resolution, start_time = start_time, end_time = end_time)
these_prices <- ftx_historical_prices(market = market, resolution = resolution, start_time = start_time, end_time = end_time)$data
if(!is.null(these_prices)) {
these_prices <- these_prices %>%
dplyr::mutate(ticker = market)
prices <- dplyr::bind_rows(prices, these_prices)
} else {
logwarn(glue::glue("Failed to get data for market {market}"))
}
}
prices
}
#' FTX Get Hourly Markets
#'
#' @description Get hourly resolution historical data of multiple FTX markets
#'
#' @param markets name of the markets (vector of string)
#' @param start_date human readable start date in UTC (string)
#' @param end_date human readable end date in UTC (string)
#'
#' @return dataframe of prices if API call was successful
#' @export
#'
#' @examples
#' ftx_get_hourly_markets(c("BTC-PERP", "ETH-PERP"),
#' start_date = "2019-07-20", end_date = "2022-06-30")
#'
ftx_get_hourly_markets <- function(markets,
start_date = "2019-07-27",
end_date = as.character(Sys.Date())) {
warning("The function is deprecated, will be removed in version 0.2.0. Use ftx_get_markets_history() instead")
if (as.Date(end_date) %>% lubridate::month() - as.Date(start_date) %>% lubridate::month() >= 2) {
months <- c(as.Date(start_date),
seq(from = as.Date(start_date) %>% lubridate::ceiling_date(unit = "month"),
to = as.Date(end_date) %>% lubridate::floor_date(unit = "month"),
by = "month"),
as.Date(end_date) + lubridate::days(1) - lubridate::hours(1)) %>%
tibble::as_tibble(months) %>%
dplyr::mutate(end = dplyr::lead(.data$value)) %>%
dplyr::select(begin = .data$value, .data$end) %>%
stats::na.omit()
} else {
months <- tibble(begin = as.Date(start_date), end = as.Date(end_date) + lubridate::days(1) - lubridate::hours(1))
}
prices <- apply(months, 1, function(x) {
ftx_get_multiple_markets(markets, resolution = 3600, start_time = x[1], end_time = x[2])
} )
prices <- prices %>%
dplyr::bind_rows() %>%
dplyr::distinct()
prices <- prices %>%
dplyr::select(ticker = .data$ticker, date = .data$start_time, open, high, low, close, volume)
prices
}
#' FTX Get History All
#'
#' @description Get historical data of multiple FTX markets
#'
#' @param markets name of the markets (vector of string)
#' @param resolution resolution of candles in seconds (60, 300, 900, 3600, 14400, 86400)
#' @param start_date human readable start date in UTC (string)
#' @param end_date human readable end date in UTC (string)
#'
#' @return dataframe of prices if API call was successful
#' @export
#'
#' @examples
#' ftx_get_markets_history(c("BTC-PERP", "ETH-PERP"), resolution = 300,
#' start_date = "2022-07-20", end_date = "2022-07-30")
#'
ftx_get_markets_history <- function(markets, resolution, start_date, end_date) {
start_date <- as.Date(start_date)
end_date <- as.Date(end_date)
# ftx rest api return only 1500 candles in one request
# 1500 daily candles -> 1500 days (86400)
# 1500 4 hour candles -> 250 days (14400)
# 1500 hourly candles -> 62.5 days (3600)
# 1500 15 min candles -> 15.625 days (900)
# 1500 5 min candles -> 5.2 days (300)
# 1500 1 min candles -> 1.04 days (60)
res_values <- c(60, 300, 900, 3600, 14400, 86400)
if(resolution %in% res_values & start_date < end_date){
delta <- ifelse(as.integer(resolution) == 60, 1,
ifelse(as.integer(resolution) == 300, 5,
ifelse(as.integer(resolution) == 900, 15,
ifelse(as.integer(resolution) == 3600, 62,
ifelse(as.integer(resolution) == 14400, 250,
ifelse(as.integer(resolution) == 86400, 1500, F))))))
if(delta != F){
dates <- seq(from = as.Date(start_date), to = as.Date(end_date), delta)
if(length(dates) > 1){
tb <- NULL
for (i in 2:length(dates)) {
q <- data.table::data.table(from = dates[i-1], to = dates[i])
tb <- rbind(tb, q)
}
} else {
tb = data.table::data.table(from = start_date, to = end_date)
}
if(tb$to[nrow(tb)] != end_date){
last_row <- data.table::data.table(from = tb$to[nrow(tb)], to = end_date)
tb <- rbind(tb, last_row)
} else tb = tb
}
prices <- apply(tb, 1, function(x) {
ftx_get_multiple_markets(markets, resolution, start_time = x[1], end_time = x[2])
} )
prices <- prices %>%
dplyr::bind_rows() %>%
dplyr::distinct()
prices <- prices %>%
dplyr::select(ticker = .data$ticker, date = .data$start_time, open, high, low, close, volume)
prices
}else{
logerror(msg = 'Unsupported candle resolution value. Supported values are 15, 60, 300, 900, 3600, 14400, 86400 or start date >= end date')
}
}
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