2.3 Market API

The following functions is used for get market inforamtion of exchange, which are called from object exchange or exchanges[x],for example：exchange.GetTicker() or exchanges[0].GetTicker() means return the market quotations.

Warning

When calling any API function that accesses the exchange API (such as GetTicker(), Buy(), CancelOrder(), etc…), it may get access failure due to exchange server problem, the network transmission problem, and so on. In this case, GetTicker() will return null, which may cause the stop of your programe. a JavaScript example to do fault tolerance as below.

var ticker = exchange.GetTicker()
if(ticker == null){
    // Retry, or other processing logic.
}

A deflaut retry function is _C()

2.3.1 GetTicker

exchange.GetTicker()

Get the current market quotations.

Return value: Ticker structure

The Ticker structure contains the following variables:

Field Type Description
Info Object the original data returned by the exchange
High Number Highest price
Low Number lowest price
Sell Number the latest selling price, also called bidPrice
Buy Number the latest buying price, also called askPrice
Last Number last traded price
Volume Number most recent trading volume
OpenInterest Number net position(only for features)

Example ticker from binance:

{
    "Info":{
            "highPrice":"6173.01000000",
            "openTime":1530152780326,
            "firstId":53572675,
            "lastId":53735989,
            "count":163315,
            "priceChange":"-266.96000000",
            "weightedAvgPrice":"6035.81831943",
            "bidPrice":"5871.63000000",
            "openPrice":"6139.00000000",
            "closeTime":1530239180326,
            "lowPrice":"5827.00000000",
            "quoteVolume":"197096315.23211791",
            "priceChangePercent":"-4.349",
            "prevClosePrice":"6139.00000000",
            "lastQty":"0.25866000",
            "bidQty":"0.00300000",
            "askPrice":"5872.05000000",
            "symbol":"BTCUSDT",
            "lastPrice":"5872.04000000",
            "askQty":"0.07344000",
            "volume":"32654.44796400"
        },
    "High":6173.01,
    "Low":5827,
    "Sell":5872.05,
    "Buy":5871.63,
    "Last":5872.04,
    "Volume":32654.447964,
    "OpenInterest":0,
    "Time":1530239180443
}

A JavaScript example using the variables in the Ticker structure:

function main(){
    var ticker = exchange.GetTicker();
    Log("High:", ticker.High, "Low:", ticker.Low, "Sell:", ticker.Sell)
}

For Python the code is basically the same:

def main():
    ticker = exchange.GetTicker()
    Log("High:", ticker.High, "Low:", ticker.Low, "Sell:", ticker.Sell)

Note

If you use the a number in Info directly, make sure the data type is float.

  • For JavaScript: var priceChange = praseFloat(ticker.Info.priceChange);
  • For Python: priceChange = float(ticker.Info["priceChange"]).

2.3.2 GetDepth

exchange.GetDepth()

Get the exchange order book.

Return value: Depth structure

The Depth structure contains the following variables:

Field Type Description
Asks Array the array of asks,from low to high by price
Bids Array the array of bids,from high to low by price
Time Number the timestamp of request

The Asks and Bids structure contains the following variables:

Field Type Description
Price Number the pirce of ask or bid
Amount Number the amount of ask or bid

Example depth from binance:

{
    "Info":null,
    "Asks":[
        {"Price":5866.38,"Amount":0.068644},
        {"Price":5866.39,"Amount":0.263985},
        {"Price":5866.73,"Amount":0.05},
        {"Price":5866.77,"Amount":0.05},
        {"Price":5867.01,"Amount":0.15},
        {"Price":5875.89,"Amount":0.05},
        ......
        ]
    "Bids":[
        {"Price":5865.13,"Amount":0.001898},
        {"Price":5865,"Amount":0.085575},
        {"Price":5864.15,"Amount":0.013053},
        {"Price":5863.65,"Amount":0.016727},
        {"Price":5863.51,"Amount":0.128906},
        {"Price":5863.15,"Amount":0.2}
        ......
        ],
    "Time":1530241857399
}

A useful JavaScript example using depth:

function main(){
    var depth = exchange.GetDepth();
    var price = depth.Asks[0].Price;
    var amount = depth.Asks[0].Amount;
    if(amount > 10){
        exchange.Buy(price, 10);
    }
}

Note

GetDepth() doesn’t return real depth at backtesting.

2.3.3 GetTrades

exchange.GetTrades()

Get Exchange Trading History.(not your trading history)

Return value: Array of Trade Structure

Note

Some exchanges do not support this method, the number of return data depends on exchanges.

The Trade structure contains the following variables:

Field Type Description
Time Number Unix timestamp of the trade time
Price Number price of the trade
Amount Number amount of the trade
Type Order Type Order Type Constant

Order Type is global constant, you can take ORDER_TYPE_BUY as 0 :

Global constant Meaning Value
ORDER_TYPE_BUY buy order 0
ORDER_TYPE_SELL sell order 1

Example trades from binance:

[
    {"Id":47317269,"Time":1530244709886,"Amount":0.002902,"Price":5884.38,"Type":1},
    {"Id":47317270,"Time":1530244709886,"Amount":0.082102,"Price":5884.78,"Type":1},
    {"Id":47317271,"Time":1530244713111,"Amount":0.122439,"Price":5884,"Type":0},
    .....
    {"Id":47317278,"Time":1530244717131,"Amount":0.000029,"Price":5884,"Type":0},
]

A useful JavaScript example using trades:

function main(){
    while(true){
        var trades = exchange.GetTrades();
        for(var i=0;i<trades.length;i++){
            if(trades[i].Type == ORDER_TYPE_BUY && trades[i].Amount > 100){
                Log("Big amount buy order","time:", trades[0].Time, "Price:", trades[0].Price, "Amount:", trades[0].Amount);
            }
        }
        Sleep(3000)//sleep 3 seconds
    }
}

Warning

The trades in simulation backtesting is empty.

2.3.4 GetRecords

exchange.GetRecords(period)
exchange.GetRecords()

Get Exchange’s history K lines/Candlesticks data.

Parameter period : K lines cycle, Optional Parameters, default K line cycle is set when start the robot.

All available values:

PERIOD_M1  : 1 minute,
PERIOD_M5  : 5 minutes,
PERIOD_M15 : 15 minutes,
PERIOD_M30 : 30 minutes,
PERIOD_H1  : 1 hour,
PERIOD_D1  : one day.

Return value: Record structure array. from old to recent by time.

The Record structure contains the following variables:

Field Type Description
Time Number Unix timestamp of the kline
Open Number open price of the kline
High Number highest price of the kline
Low Number lowest price of the kline
Close Number close price of the kline
Volume Number trading volume

Example Records from binance:

[
    {"Time":1526616000000,"Open":7995,"High":8067.65,"Low":7986.6,"Close":8027.22,"Volume":9444676.27669432},
    {"Time":1526619600000,"Open":8019.03,"High":8049.99,"Low":7982.78,"Close":8027,"Volume":5354251.80804935},
    {"Time":1526623200000,"Open":8027.01,"High":8036.41,"Low":7955.24,"Close":7955.39,"Volume":6659842.42025361},
    ......
]

A useful JavaScript example using Records to get a close array:

function main(){
    var close = [];
    var records = exchange.GetRecords(PERIOD_H1);
    for(var i=0;i<records.length;i++){
        close.push(records[i].Close);
    }
}

Note

  • The K-lines data will accumulate over time, accumulating up to 2000, then will update one record at one K-line cycle, and delete the earliest one at the same time.
  • If the exchange provides a K-line API. In this case, the data is obtained directly from the exchange.
  • If the exchange does not provide a K-line API. your robot will using GetTrades() function to generate K-line each time the user calls GetRecords.In this case,Records length will be one when first start.