R/market_btce.R

In jangorecki/Rbitcoin: R & Bitcoin integration

# market.api.query.btce ---------------------------------------------------

#' @title Send request to btce market API
#'
#' @description Send request to btce market API.
#'
#' @param url character with url on which query needs to be passed.
#' @param key character API key used in private API calls.
#' @param secret character API secret used in private API calls.
#' @param req list of object passed to API: price and amount of opening order, id of cancelling order, etc. See note.
#' @param verbose integer. Rbitcoin processing messages, print to console if \code{verbose > 0}, each subfunction reduce \code{verbose} by 1. If missing then \code{getOption("Rbitcoin.verbose",0)} is used.
#' @return Character string a response from markets API call.
#' @note Market specific btce \code{method} param should be provided in \code{req} object.
#' @seealso \code{\link{market.api.query}}
#' @references \url{https://btc-e.com/api/documentation}
#' @keywords internal
#' @export
#' @examples
#' \dontrun{
#' # ticker
#' market.api.query.btce(url = 'https://btc-e.com/api/2/btc_usd/ticker')
#' # wallet
#' market.api.query.btce(url = 'https://btc-e.com/tapi', 
#'                       req = list(method = 'getInfo'), 
#'                       key = '', secret = '')
#' }
market.api.query.btce <- function(url, key, secret, req = list(),
                                  verbose = getOption("Rbitcoin.verbose",0)){
  if(length(req) > 0 | (!missing(key) & !missing(secret))){
    nonce <- as.character(trunc(as.numeric(Sys.time()))) # no multiply "* 1000000" due to btce handle nonce a little worse then other markets, we need smaller nonce values
    post_data <- paste0('nonce=',nonce)
    if(length(req) > 0) post_data <- paste(post_data, paste(paste(names(req),req,sep='='),collapse='&'),sep='&') 
    if(!missing(key) & !missing(secret)){
      sign <- hmac(key = secret, object = post_data, algo = 'sha512')
      httpheader <- c('Key' = key, 'Sign' = sign)
    }
  }
  curl <- getCurlHandle(useragent = paste("Rbitcoin",packageVersion("Rbitcoin")))
  if(missing(key) | missing(secret)) query_result_json <- rawToChar(getURLContent(curl = curl, url = url, binary = TRUE))
  else if(length(post_data) > 0 | !missing(key) & !missing(secret)) query_result_json <- rawToChar(getURLContent(curl = curl, url = url, binary = TRUE,
                                                                                                                 postfields = post_data, httpheader = httpheader))
  else stop(paste0('unhandled case on Rcurl functions calling in market.api.query.btce'))
  if(verbose > 0) cat(as.character(Sys.time()),': market.api.query.btce: api call performed on: ',url,'\n',sep='')
  return(query_result_json)
}

# btce_api_dict ----------------------------------------------------------------

btce_api_dict <- function(){
  
  # define global btce
  btce_api_dict_ticker <- function(market = "btce", base, quote, action = "ticker"){
    data.table(market = market, base = base, quote = quote, action = action,
               method = 'Ticker', url = paste0('https://btc-e.com/api/3/ticker/',paste(tolower(c(base,quote)),collapse="_")),
               pre_process = c(function(x) x),
               post_process = c(function(x) data.table(market = market, base = base, quote = quote, 
                                                       timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                                                       market_timestamp = as.POSIXct(x[[paste(tolower(c(base,quote)),collapse="_")]][['updated']], origin = '1970-01-01', tz = 'UTC'), 
                                                       last = x[[paste(tolower(c(base,quote)),collapse="_")]][['last']], 
                                                       vwap = x[[paste(tolower(c(base,quote)),collapse="_")]][['avg']], 
                                                       volume = x[[paste(tolower(c(base,quote)),collapse="_")]][['vol_cur']],
                                                       ask = x[[paste(tolower(c(base,quote)),collapse="_")]][['buy']],
                                                       bid = x[[paste(tolower(c(base,quote)),collapse="_")]][['sell']])),
               catch_market_error = c(function(x){
                 if(is.null(x[[paste(tolower(c(base,quote)),collapse="_")]])) stop(paste0('btce ticker: error not handled by market: missing key object: ticker NULL'),call.=FALSE)
                 else x
               }))
  }
  btce_api_dict_trades <- function(market = "btce", base, quote, action = "trades"){
    data.table(market = market, base = base, quote = quote, action = action,
               method = 'trades', url = paste0('https://btc-e.com/api/3/trades/',paste(tolower(c(base,quote)),collapse="_")),
               pre_process = c(function(x){
                 if(!is.null(x[['tid']])) stop('btce trades does not handle tid param',call.=FALSE)
                 assign('url', 
                        paste0(get('url', envir = parent.frame(1)),
                               '?limit=2000'),
                        envir = parent.frame(1))
                 x
               }),
               post_process = c(function(x) list(market = market, base = base, quote = quote,
                                                 timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                                                 market_timestamp = as.POSIXct(NA, origin = '1970-01-01', tz = 'UTC'),
                                                 trades = {
                                                   trades <- as.data.table(x[[paste(tolower(c(base,quote)),collapse="_")]])
                                                   trades[nrow(trades):0
                                                          ][,list(date = as.POSIXct(timestamp, origin='1970-01-01', tz='UTC'), 
                                                                  price = as.numeric(price), 
                                                                  amount = as.numeric(amount),
                                                                  tid = as.character(tid),
                                                                  type = type)]
                                                 })),
               catch_market_error = c(function(x){
                 if(is.null(x)) stop(paste0('btce trades: error not handled by market: NULL'),call.=FALSE)
                 else x
               }))
  }  
  btce_api_dict_order_book <- function(market = "btce", base, quote, action = "order_book"){
    data.table(market = market, base = base, quote = quote, action = action,
               method = 'depth', url = paste0('https://btc-e.com/api/3/depth/',paste(tolower(c(base,quote)),collapse="_")),
               pre_process = c(function(x) x),
               post_process = c(function(x) list(market = market, base = base, quote = quote,
                                                 timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                                                 market_timestamp = as.POSIXct(NA, origin = '1970-01-01', tz = 'UTC'),
                                                 asks = {
                                                   asks = data.table(x[[paste(tolower(c(base,quote)),collapse="_")]][['asks']])
                                                   setnames(asks,c('price','amount'))
                                                   asks[,`:=`(value = price * amount,cum_amount = cumsum(amount))][,`:=`(cum_value = cumsum(value),avg_price = cumsum(value) / cum_amount)]
                                                 },
                                                 bids = {
                                                   bids = data.table(x[[paste(tolower(c(base,quote)),collapse="_")]][['bids']])
                                                   setnames(bids,c('price','amount'))
                                                   bids[,`:=`(value = price * amount,cum_amount = cumsum(amount))][,`:=`(cum_value = cumsum(value),avg_price = cumsum(value) / cum_amount)]
                                                 })),
               catch_market_error = c(function(x){
                 if(is.null(x[[paste(tolower(c(base,quote)),collapse="_")]][['asks']]) | is.null(x[[paste(tolower(c(base,quote)),collapse="_")]][['bids']])) stop(paste0('btce order_book: error not handled by market: missing key object: (asks | bids) NULL'),call.=FALSE)
                 else x
               }))
  }
  btce_api_dict_wallet <- function(market = "btce", base = NA_character_, quote = NA_character_, action = "wallet"){
    data.table(market = market, base = base, quote = quote, action = action,
               method = 'getInfo', url = 'https://btc-e.com/tapi',
               pre_process = c(function(x) {x[['method']] <- 'getInfo'; x}),
               post_process = c(function(x) list(market = market,
                                                 timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                                                 market_timestamp = as.POSIXct(as.numeric(x[['return']][['server_time']]), origin = '1970-01-01', tz = 'UTC'),
                                                 wallet = data.table(currency = toupper(names(x[['return']][['funds']])),
                                                                     amount = as.numeric(x[['return']][['funds']])))),
               catch_market_error = c(function(x){
                 if(is.null(x[['success']])) stop(paste0("btce wallet: error not handled by market: x[['result']] a NULL"),call.=FALSE)
                 else if(x[['success']] == 0) stop(paste0("btce wallet: market error: ",x[['error']]),call.=FALSE)
                 else if(x[['return']][['open_orders']] > 0){ #WARNING WHEN OPEN ORDERS, market specific method
                   warning("btce wallet: WARNING: action could not provide total account balance, btce API does not handle total balance, only available funds, therefore you should sum wallet and open orders or cancel orders before wallet action", call. = FALSE)
                   x
                 }
                 else x
               }))
  }
  btce_api_dict_place_limit_order <- function(market = "btce", base, quote, action = "place_limit_order"){
    data.table(market = market, base = base, quote = quote, action = action,
               method = 'Trade', url = 'https://btc-e.com/tapi',
               pre_process = c(function(x) list(method = 'Trade', 
                                                pair = paste(tolower(c(base,quote)),collapse="_"), 
                                                type = x[['type']], 
                                                rate = trunc(x[['price']]*1e6)/1e6, 
                                                amount = trunc(x[['amount']]*1e8)/1e8)),
               post_process = c(function(x){
                 data.table(market = market, base = base, quote = quote,
                            timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                            market_timestamp = as.POSIXct(NA, origin = '1970-01-01', tz = 'UTC'), 
                            oid = as.character(x[['return']][['order_id']]),
                            type = NA_character_,
                            price = NA_real_,
                            amount = NA_real_)
               }),
               catch_market_error = c(function(x){
                 if(is.null(x[['success']])) stop(paste0("btce place_limit_order: error not handled by market: x[['result']] a NULL"),call.=FALSE)
                 else if(x[['success']] == 0) stop(paste0("btce place_limit_order: market error: ",x[['error']]),call.=FALSE)
                 else x
               }))
  }
  btce_api_dict_open_orders <- function(market = "btce", base = NA_character_, quote = NA_character_, action = "open_orders"){
    data.table(market = market, base = base, quote = quote, action = action,
               method = 'ActiveOrders', url = 'https://btc-e.com/tapi',
               pre_process = c(function(x) {x[['method']] <- 'ActiveOrders'; x}),
               post_process = c(function(x){
                 if(x[['success']] == 0){
                   if(x[['error']] == 'no orders') list(market = market,
                                                        timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                                                        market_timestamp = as.POSIXct(NA, origin = '1970-01-01', tz = 'UTC'),
                                                        open_orders = data.table(base = as.character(NULL), 
                                                                                 quote = as.character(NULL), 
                                                                                 oid = as.character(NULL), 
                                                                                 type = as.character(NULL), 
                                                                                 price = as.numeric(NULL), 
                                                                                 amount = as.numeric(NULL)))
                 }
                 else {
                   FUN = function(x, header_oid) data.table(base = toupper(substr(x[['pair']],1,3)), 
                                                            quote =  toupper(substr(x[['pair']],5,7)), 
                                                            oid = header_oid,
                                                            type = as.character(x[['type']]),
                                                            price = as.numeric(x[['rate']]),
                                                            amount = as.numeric(x[['amount']]))
                   orders <- lapply(seq_along(x[['return']]), function(i){
                     FUN(
                       x[['return']][[i]],
                       names(x[['return']])[i]
                     )
                   })
                   list(market = market,
                        timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                        market_timestamp = as.POSIXct(NA, origin = '1970-01-01', tz = 'UTC'),
                        open_orders = rbindlist(orders))
                 }
               }),
               catch_market_error = c(function(x){
                 if(is.null(x[['success']])) stop(paste0("btce open_orders: error not handled by market: x[['result']] a NULL"),call.=FALSE)
                 else if(x[['success']] == 0){
                   if(x[['error']] == 'no orders') x
                   else stop(paste0("btce open_orders: market error: ",x[['error']]),call.=FALSE)
                 }
                 else x
               }))
  }
  btce_api_dict_cancel_order <- function(market = "btce", base = NA_character_, quote = NA_character_, action = "cancel_order"){
    data.table(market = market, base = base, quote = quote, action = action,
               method = 'CancelOrder', url = 'https://btc-e.com/tapi',
               pre_process = c(function(x) list(method = 'CancelOrder', order_id = x[['oid']])),
               post_process = c(function(x){
                 if(x[['success']] == 0 && x[['error']]=="bad status") return(data.table(market = character(), base = character(), quote = character(),
                                                                                         timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC')[-1],
                                                                                         market_timestamp = as.POSIXct(NA, origin = '1970-01-01', tz = 'UTC')[-1], 
                                                                                         oid = character()))
                 data.table(market = market, base = base, quote = quote,
                            timestamp = as.POSIXct(Sys.time(), origin = '1970-01-01', tz = 'UTC'),
                            market_timestamp = as.POSIXct(NA, origin = '1970-01-01', tz = 'UTC'), 
                            oid = as.character(x[['return']][['order_id']]))
               }),
               catch_market_error = c(function(x){
                 if(is.null(x[['success']])) stop(paste0("btce cancel_order: error not handled by market: 'success' field is NULL"),call.=FALSE)
                 if(x[['success']] == 0){
                   if(x[['error']]=="bad status"){
                     if(is.null(getOption("Rbitcoin.cancel_order.order_not_found"))) return(x) # will silently postprocessed to 0 row DT
                     if(getOption("Rbitcoin.cancel_order.order_not_found")=="warning"){
                       warning("btce cancel_order was not performed, requested order not found",call. = FALSE)
                       return(x)
                     }
                     if(getOption("Rbitcoin.cancel_order.order_not_found")=="error"){
                       stop(paste0('btce cancel_order was not performed: ',x[['error']]),call.=FALSE)
                     }
                   }
                   stop(paste0("btce cancel_order: market error: ",x[['error']]),call.=FALSE)
                 }
                 x
               }))
  }
  
  # generate dictionary
  api.dict.list <- list()
  
  # common for all currency pairs
  
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_wallet()
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_open_orders()
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_cancel_order()
  
  # currency specific
  
  base = 'BTC'; quote = 'USD'
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_ticker(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_trades(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_order_book(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_place_limit_order(base = base, quote = quote)
  
  base = 'LTC'; quote = 'USD'
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_ticker(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_trades(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_order_book(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_place_limit_order(base = base, quote = quote)
  
  base = 'LTC'; quote = 'BTC'
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_ticker(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_trades(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_order_book(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_place_limit_order(base = base, quote = quote)
  
  base = 'NMC'; quote = 'BTC'
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_ticker(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_trades(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_order_book(base = base, quote = quote)
  api.dict.list[[length(api.dict.list)+1]] <- btce_api_dict_place_limit_order(base = base, quote = quote)
  
  unique(setkeyv(rbindlist(api.dict.list),c("market","base","quote","action")), by=c("market","base","quote","action"))
}