bookmap 0.1.1

Python implementation of L1 API library

Python API reference

What is Python API.

The Python API gives you the ability to create your own custom Bookmap indicators using Python directly within Bookmap, without the need to use an external IDE or a code editor.

Needed is only a basic knowledge of Python and a clear idea of what you want to build.

Please see the Python API Quick Guide for a step-by-step guide on how to use Python API.

Also see the examples directory for some examples of Python API usage.

Technical requirements

To run the addon only latest stable Bookmap version is required and Python >= 3.6 installed on the machine.

Python 2 is not supported.

API reference

Library import

Every Bookmap API script has to import the bookmap library. You may want to set the alias to bm for convenience.

import bookmap as bm

Additionally, since we use the type hints below to denote parameter types, you may want to import the typing library. This is not required, but can make your code more readable.

from typing import Any, Callable, Dict, List, NoReturn, Optional, Tuple

Basic functions

create_addon

# Call this to initialize your addon state object.
addon = bm.create_addon()

This is usually the first thing to call. It creates and returns an addon object which is then used as the entry point to other Bookmap Python API functionality. It must be called one time only.

The returned addon state object is used in many other functions below.

start_addon

# Call this to start the communication between your addon and Bookmap.
bm.start_addon(addon, handle_subscribe_instrument, handle_unsubscribe_instrument)

It starts the communication between Bookmap and your Python script. Call it once you have added all your Event handlers.

handle_subscribe_instrument is a function that you should define. It will be called each time you enable the addon in Bookmap for a certain instrument. All handlers, including this one, must have a proper signature (a list of parameters), as defined below.

handle_unsubscribe_instrument is similar to above, except is called when the user disables the addon for a certain instrument.

Example:

import bookmap as bm

def handle_subscribe_instrument(
    addon: Any,
    alias: str,
    full_name: str,
    is_crypto: bool,
    pips: float,
    size_multiplier: float,
    instrument_multiplier: float
    supported_features: Dict[str, object]
) -> None:
    """
    This function is called each time the user enables your addon for a certain instrument.

    :param addon: The addon state object that you received when calling `create_addon`.
    :param alias: The alias (name) of the instrument.
    :param full_name: The full name of the instrument.
    :param is_crypto: Whether the instrument is a crypto instrument (this can mostly be ignored).
    :param pips: The minimum price increment of the subscribed instrument.
    :param size_multiplier: Inverse of the minimum size increment of the subscribed instrument.
    :param instrument_multiplier: Contract size multiplier (useful for futures).
    :param supported_features: A dictionary, that represents features that are by particular instrument.
    """
    print("Subscribing to the instrument " + alias, flush=True)

Example of supported_features:
{'trading': True, 'oco': True, 'oso': True, 'depth': True, 'mbo': False, 'trailingStopsAsIndependentOrders': True,
 'trailingStopsAsBracketChildren': True, 'brackets': True, 'bracketTiers': False, 'convertOrderToMkt': False,
 'supportedLimitDurations': ['GTC', 'FOK', 'IOC', 'GTC_PO'], 'supportedStopDurations': ['GTC', 'FOK', 'IOC'],
 'supportedStopOrders': ['LMT', 'MKT'], 'negativeStopLimitOffset': True, 'marketMode': False, 'isBalanceSupported': True,
 'tradingStartKnown': False, 'exchangeUsedForSubscription': False, 'typeUsedForSubscription': False, 'isDelayed': False,
 'clientSideFeatures': ['TRAILING_STOPS_AS_BRACKET_CHILDREN', 'BRACKETS', 'OCO', 'OSO', 'TRAILING_STOPS_INDEPENDENT'],
 'isTradingSubscriptionSupported': False}

def handle_unsubscribe_instrument(
    addon: Any,
    alias: str
) -> None:
    """
    This function is called each time the user disables your addon for a certain instrument.

    :param addon: The addon state object that you received when calling `create_addon`.
    :param alias: The alias (name) of the instrument.
    """
    print("Unsubscribing from the instrument " + alias, flush=True)


if __name__ == "__main__":
    addon = bm.create_addon()
    # start addon, requires 3 arguments - addon itself, handler for subscribe event
    # and handler for unsubscribe event
    bm.start_addon(addon, handle_subscribe_instrument, handle_unsubscribe_instrument)
    bm.wait_until_addon_is_turned_off(addon)

Important note: every time, when you see size in integer format instead of float, the actual size is the product of multiplication size_multiplier * size

wait_until_addon_is_turned_off

# Call this at the end of the main block, to wait until the addon is turned off.
bm.wait_until_addon_is_turned_off(addon)

This function is used to block main thread until addon is turned off. Call this function at the end of the main block of your script.

How Bookmap handles prices and sizes

The Bookmap API doesn't use floating point numbers to represent prices and sizes. Instead, it uses integers, where each integer represents a certain number of the minimum price increments (pips) or the minimum size increments (which is an inverse of the size_multiplier). We call them a "price level" and a "size level".

How to convert these levels to a real price or size? The rule are simple:

1. Every time you receive a "price level", simply multiply it by the instrument's pips value to get the price.
2. Every time you receive a "size level", simply divide it by the instrument's size_multiplier value to get the size.

Why aren't these levels and not prices / sizes directly? Floating point numbers in binary computers cannot represent all decimal values precisely, so we want to avoid them until the last moment.

How to know what the instrument's pips and size_multiplier values are? You receive them via the handle_subscribe_instrument callback when the user subscribes to an instrument.

Event handlers

Below are listed many more event handlers, similar to the ones above, which Bookmap calls to give your addon certain data about the instrument (order book updates, trades, etc.).

Each handler is responsible for handling a certain type of event. You should implement all handlers that have the data you are interested in.

There are two important requirements to handlers:

1. Your handlers must follow the exact parameters specified here.
2. Your handlers should never block for too long / do some complex time-consuming code. All the handlers are called from the same thread, so if one handler blocks for too long, it will block all other handlers as well. In other words, never do time.time(...) or something similar in your handlers, but instead spin up a separate thread to do time-consuming code.

All handlers except two in start_addon are optional.

Note that you are allowed to register more than one handler for each event, but it is not recommended, to avoid making your addon code too complex.

add_depth_handler

# Call this if you need to receive depth (order book) events. Create your own `on_depth` function.
bm.add_depth_handler(addon, on_depth)

Adds handler for depth (order book) events. Each depth event represents change on the single price level. For more details see subscribe_depth.

When first enabling the addon / subscribing to an instrument, Bookmap will send you the current order book snapshot by calling your function for each order book price level.

Example of handler:

def on_depth(
    addon: Any,
    alias: str,
    is_bid: bool,
    price_level: int,
    size_level: int
) -> None:
    """
    This function is called each time there is a change in the order book.

    :param addon:       The addon state object that you received when calling `create_addon`.
    :param alias:       The alias (name) of the instrument.
    :param is_bid:      Whether the price level is a bid (True) or an ask (False).
    :param price_level: The price level of the order book. Multiply it by `pips` to get the price.
    :param size_level:  The size level of the order book. Divide it by `size_multiplier` to get the size.
    """

add_trades_handler

# Call this if you need to receive trade events. Create your own `on_trade` function.
bm.add_trades_handler(addon, on_trade)

Adds a handler for trade events. It gets called every time a trade happens in the market. See subscribe_to_trades.

Example of handler:

def handle_trades(
   addon: Any,
   alias: str,
   price_level: float,
   size_level: int,
   is_otc: bool,
   is_bid: bool,
   is_execution_start: bool,
   is_execution_end: bool,
   aggressor_order_id: Optional[str],
   passive_order_id: Optional[str]
) -> None:
    """
    This function is called each time a trade happens in the market.

    :param addon:                The addon state object that you received when calling `create_addon`.
    :param alias:                The alias (name) of the instrument.
    :param price_level:          The price of the trade. Multiply it by `pips` to get the price.
    :param size_level:           The size of the trade. Divide it by `size_multiplier` to get the size.
    :param is_otc:               Whether the trade is OTC (True) or not (False), can mostly be ignored.
    :param is_bid:               Whether the trade was a buy (True) or a sell (False).
    :param is_execution_start:   Whether this is the start of a batch. Can mostly be ignored.
    :param is_execution_end:     Whether this is the end of a batch. Can mostly be ignored.
    :param aggressor_order_id:   Which order ID was aggressive. Available only in certain cases, for MBO data.
    :param passive_order_id:     Which order ID was passive. Available only in certain cases, for MBO data.
    """

add_response_data_handler

# Call this to receive a response from Bookmap that data has been successfully subscribed.
bm.on_response_data_handler(addon, on_response_data)

Called when Bookmap informs your addon that a certain handler has been successfully added. This is response handler for requests such as: subscribe_to_depth, subscribe_to_trades, subscribe_to_mbo.

It is not mandatory to handle it, but receiving response through this handler you can be sure that your request was received by Bookmap successfully, and data you can expect your other handlers to be called.

Example of handler:

def add_subscribe_data_response_handler(
    addon: Any,
    req_id: int
) -> None:
    """
    Gets called when Bookmap informs your addon that a certain handler has been successfully added.

    :param addon:  The addon state object that you received when calling `create_addon`.
    :param req_id: The request id specified in subscribe_* function.
    """

add_on_interval_handler

# Call this if you need to receive interval events. Create your own `on_interval` function.
bm.add_on_interval_handler(addon, on_interval)

Adds an interval event handler. Interval is a special type of event sent by Bookmap to the addon every 0.1 second. This is useful handler if you have to do some actions (like updating of indicator, calculating some value) every fixed time interval.

Example of handler:

def on_interval(
   addon: Any
   alias: str
) -> None:
    """
    This function is called at each 0.1 second time interval.

    :param addon: The addon state object that you received when calling `create_addon`.
    :param alias: The unique instrument name you receive in `handle_subscribe_instrument`.
    """

add_indicator_response_handler

# Call this if you need to receive indicator events. Create your own `handle_indicator_response` function.
bm.add_indicator_response_handler(addon, handle_indicator_response)

Adds a handler responsible that gets called after you create an indicator, in response to register_indicator).

Example of handler:

# addon - entity received from create_addon function
# request_id - int; id of the request specified in register_indicator function
# indicator_id - int; dynamic integer value assigned to each registered indicator to identify it. 
#                   It is specified during each request to the registered indicator, so it should be remembered. 
def handle_indicator_response(
   addon: Any,
   request_id: int,
   indicator_id: int
) -> None:
    """
    This function is called after you create an indicator, in response to `register_indicator`.

    :param addon:        The addon state object that you received when calling `create_addon`.
    :param request_id:   The request id specified in `register_indicator`.
    :param indicator_id: The indicator id assigned to the indicator.
    """

add_on_settings_change_handler

# Call this if you need to receive settings change events. Create your own `on_settings_change_handler` function.
bm.add_on_settings_change_handler(addon, on_settings_change_handler)

Adds a handler that gets called each time a certain addon settings value is changed by the user. You should ignore any settings changes which aren't supposed to be handled (TODO: clarify what this means).

Example of handler:

liquidity_sizes = {}
# addon - entity received from create_addon function
# alias - string; it defines unique name of respective instrument
# fields_type - str; specifies exact type of the field, valid value: "NUMBER", "BOOLEAN", "COLOR", "STRING"
# new_value - any; depending on field type can be int, bool, str or tuple representing color
def on_settings_change_handler(
    addon: Any,
    alias: str,
    setting_name: str,
    field_type: str,
    new_value: Any
) -> None:
    print(
         "Received settings changed " + str(alias) + " " + str(setting_name) + " " + str(field_type) + " " + str(new_value),
         flush=True
    )

    if setting_name == "Liquidity size":
        liquidity_sizes[alias] = int(new_value)

add_mbo_handler

# Call this if you need to receive market-by-order (MBO) order book events. Create your own
# `handle_mbo_event` function.
# Only a small subset of exchanges / connectivities support such detailed order book data.
bm.add_mbo_handler(addon, on_mbo)

Adds handler for MBO events. MBO events are sent in case of provider supports MBO data. See subscribe_to_mbo.

Example of handler:

# addon - entity received from create_addon function
# alias - string; it defines unique name of respective instrument
# event_type - string; possible values can be
#               ASK_NEW - new ASK order,
#               BID_NEW - new BID order,
#               REPLACE - order updated (size or price is changed),
#               CANCEL - order removed
# order_id - string; unique order id
# price - int; integer price
# size - int; integer size
def on_mbo(
    addon: Any,
    alias: str,
    event_type: str,
    order_id: str,
    price_level: int,
    size_level: int
) -> None:
    """
    This function is called each time there is a change in the order book.

    :param addon:       The addon state object that you received when calling `create_addon`.
    :param alias:       The alias (name) of the instrument.
    :param event_type:  The type of the MBO event.
    :param order_id:    The unique order id.
    :param price_level: The price level of the order book. Multiply it by `pips` to get the price.
    :param size_level:  The size level of the order book. Divide it by `size_multiplier` to get the size.
    """

add_on_order_executed_handler

# Call this if you need to receive events of yours order execution. Create your own
# `on_order_executed` function.
bm.add_on_order_executed_handler(addon, on_order_executed)

Adds handler for order execution events. See subscribe_to_order_info.

Example of handler:

# addon - entity received from create_addon function
# alias - string; it defines unique name of respective instrument
# event - dictionary; it represents an order execution event. It has this structure:
#               orderId: '3427547165' (string value)
#               size: 1 (integer value) (size_multiplier applied here)
#               price: 29232.3 (floating-point value)
#               executionId: '87f74e91935c4b82983b86afeb9edd4a' (string value)
#               time: 1691144611797 (integer value)
#               isSimulated: False (boolean value)
def on_order_executed(
    addon: Any,
    alias: str,
    event: Dict[str, Any]
) -> None:
    """
    This function is called each time there is a change in the order book.

    :param addon:   The addon state object that you received when calling `create_addon`.
    :param alias:   The alias (name) of the instrument.
    :param event:   The event dictionary representing an order execution event with the following keys:
                    - 'orderId': (string) unique order id.
                    - 'size': (int) integer size.
                    - 'price': (float) floating-point price.
                    - 'executionId': (string) execution id.
                    - 'time': (int) integer timestamp.
                    - 'isSimulated': (bool) boolean value representing whether the event is simulated.
    """

add_on_order_updated_handler

# Use this method to set up a handler that will be triggered whenever there is an update to one of your orders.
# Create your own `on_order_updated` function to process the updated order information.
bm.add_on_order_updated_handler(addon, on_order_updated)

This function adds a handler for order update events. Whenever there is a change in the status or attributes of an order, the on_order_updated function will be called.

Example of the handler function:

# addon - An entity received from the create_addon function
# order_update - A dictionary representing the updated order. It has the following structure:
#                {
#                    'filledChanged': True/False (boolean value),
#                    'unfilledChanged': True/False (boolean value),
#                    'averageFillPriceChanged': True/False (boolean value),
#                    'durationChanged': True/False (boolean value),
#                    'statusChanged': True/False (boolean value),
#                    'limitPriceChanged': True/False (boolean value),
#                    'stopPriceChanged': True/False (boolean value),
#                    'stopTriggeredChanged': True/False (boolean value),
#                    'modificationTimeChanged': True/False (boolean value),
#                    'instrumentAlias': 'TOMOUSDT@BNF' (string value),
#                    'orderId': '36392434' (string value), USE THIS ID FOR ANY TRADING RELATED CALLS
#                    'isBuy': True/False (boolean value),
#                    'type': 'LMT' (string value),
#                    'clientId': '36392434' (string value),
#                    'doNotIncrease': True/False (boolean value),
#                    'filled': 0 (integer value),
#                    'unfilled': 5 (integer value),
#                    'averageFillPrice': nan (float value),
#                    'duration': 'GTC' (string value),
#                    'status': 'WORKING' (string value),
#                    'limitPrice': 1.0945 (float value),
#                    'stopPrice': nan (float value),
#                    'stopTriggered': True/False (boolean value),
#                    'modificationUtcTime': 1691395710837 (integer value),
#                    'isSimulated': False (boolean value),
#                    'isDuplicate': False (boolean value)
#                }
def on_order_updated(
    addon: Any,
    order_update: Dict[str, Any]
) -> None:
    """
    This function is called whenever there is an update to one of your orders.

    :param addon:        The addon state object that you received when calling `create_addon`.
    :param order_update: The dictionary representing the updated order with various key-value pairs.
    """

Using the add_on_order_updated_handler method, you can conveniently handle and respond to any changes or updates in your orders within Bookmap.

add_on_position_update_handler

# Use this method to add a handler for position update events. When a position update occurs,
# your custom `on_position_update` function will be called to process the updated position information.
bm.add_on_position_update_handler(addon, on_position_update)

This function adds a handler for position update events. The on_position_update function will be triggered within particular interval. This is not a function that will be triggered ONLY if some changes in position occurred.

Example of the handler function:

# addon - An entity received from the create_addon function
# position_update - A dictionary representing the updated position. It has the following structure:
#                   {
#                       'instrumentAlias': 'BTCUSDT@BNF' (string value),
#                       'unrealizedPnl': -4.179 (float value),
#                       'realizedPnl': 1.888 (float value),
#                       'position': 2 (integer value),          (size_multiplier applied here)
#                       'averagePrice': 29276.95 (float value),
#                       'volume': 0 (integer value),            (size_multiplier applied here)
#                       'workingBuys': 0 (integer value),
#                       'workingSells': 0 (integer value),
#                       'isDuplicate': False (boolean value)
#                   }
def on_position_update(
    addon: Any,
    position_update: Dict[str, Any]
) -> None:
    """
    This function is called whenever there is an update to your position in an instrument.

    :param addon:           The addon state object that you received when calling `create_addon`.
    :param position_update: The dictionary representing the updated position with various key-value pairs.
    """

With the add_on_position_update_handler method, you can easily manage and respond to any changes in your positions within Bookmap.

add_on_balance_update_handler

# Use this method to add a handler for balance update events. When a balance update occurs,
# your custom `on_balance_update` function will be called to process the updated balance information.
bm.add_on_balance_update_handler(addon, on_balance_update)

The add_on_balance_update_handler function is used to add a handler for balance update events. This function allows you to specify a custom function, on_balance_update, that will be called whenever there is a balance update event.

Example of the handler function:

# addon - The entity received from the create_addon function.
# event - A dictionary representing the balance
def on_balance_update(
    addon: Any,
    event: Dict[str, Any]
) -> None:
    """
    This function is called each time there is a balance update event.

    :param addon:   The addon state object that you received when calling `create_addon`.
    :param event:   The event dictionary representing a balance update event with the following keys:
                    - 'balancesInCurrency': (list) a list of dictionaries, each representing a currency balance with the following keys:
                        - 'balance': (float) floating-point balance value.
                        - 'realizedPnl': (float) floating-point realized profit and loss.
                        - 'unrealizedPnl': (float) floating-point unrealized profit and loss.
                        - 'previousDayBalance': (float) floating-point balance from the previous day.
                        - 'netLiquidityValue': (float) floating-point net liquidity value.
                        - 'currency': (string) currency code.
                        - 'rateToBase': (float) floating-point exchange rate to the base currency.
    """

Example of dictionary that represents the information about particular currency:

    'balance': 0.255, 
    'realizedPnl': nan, 
    'unrealizedPnl': nan, 
    'previousDayBalance': nan, 
    'netLiquidityValue': nan, 
    'currency': 'DOGE', 
    'rateToBase': 0.06203

By adding an on_balance_update handler, you can customize how your addon responds to balance update events, making it more flexible and tailored to your specific needs.

Subscribe data (TODO: Move this higher)

Below are examples of how to subscribe to market data. Note that you should always register your handlers before subscribing to data, otherwise you might miss certain events.

The common approach is to trigger any of subscribe related methods from handle_subscribe_instrument.

Note that Bookmap uses special alias to identify instruments. Hard-coding the alias of instrument you wish to subscribe is bad error-prone practice. Always use alias received from handle_subscribe_instrument.

subscribe_to_depth

# Call this to subscribe to depth data. The `alias` is the instrument alias you receive in
# `handle_subscribe_instrument`. The `req_id` is the request ID you can set yourself to identify
# the subscription.
bm.subscribe_to_depth(addon, alias, req_id)

Sends a request for depth data. Depth data represents a flow of order book updates. Each update depicts a price level and corresponding size. All depth events are always real time events, except when first subscribing to depth data, in which case you first receive a snapshot of the order book. To see how to handle depth events, check add_depth_handler.

Once this function is triggered, the following two things occur:

1. A message about a successful subscription is sent. It can be handled via add_response_data_handler. It will have the same req_id as the request.
2. The initial depth events (snapshot) will be sent to reconstruct order book. You will receive many depth events to populate the latest state of order book.

Note that all events are received with integer price and size. See [Prices and Sizes in Bookmap](#Prices and Sizes in Bookmap) for more details. For more info how to keep tracking order book state on Python side see create_order_book.

Sometimes even after getting response, you might not receive depth data even though depth is updated on Bookmap chart. Often it means that your provider does not report depth data, but instead reports MBO (market by order) data. See subscribe_to_mbo.

subscribe_to_mbo

# Call this to subscribe to MBO data. The `alias` is the instrument alias you receive in
# `handle_subscribe_instrument`. The `req_id` is the request ID you can set yourself to identify
# the subscription.
bm.subscribe_to_mbo(addon, alias, req_id)

Sends a request for depth data represented by MBO events. Each MBO event depicts a change in order book. It shows a specific order change instead a whole price level change. With MBO data feed order book can be represented as it is, as a set of independent orders constructing a market. MBO events are always real time events, except when first subscribing, since you receive a snapshot of the order book.

To handle MBO events see add_mbo_handler. General rules applied to this function are the same as for subscribe_to_depth i.e. the same response will be sent once it is subscribed, events for order book reconstruction will be sent as well.

Note that depending on the provider, depth data can be sent together with MBO events, i.e. both depth and MBO data can be supported. However, usually only one mode is supported either depth or MBO.

subscribe_to_trades

# Call this to subscribe to trade data. The `alias` is the instrument alias you receive in
# `handle_subscribe_instrument`. The `req_id` is the request ID you can set yourself to identify
# the subscription.
bm.subscribe_to_trades(addon, alias, req_id)

Sends a request for trade data. Each trade event represents trade that happened in the market. Each trade event is always a real time event. It operates in the same way as subscribe_to_depth i.e. it sends a response via special callback once it is subscribed.

subscribe_to_order_info

# Use this method to subscribe to order data. The `alias` parameter represents the instrument alias you receive
# in the `handle_subscribe_instrument` callback. The `req_id` is an identifier that you can set yourself to
# uniquely identify this subscription.
bm.subscribe_to_trades(addon, alias, req_id)

Sends a request for order data. There are two core events related to your orders: order update and order execute. Subscribing to order data automatically triggers the on_order_updated_handler and on_order_executed_handler callbacks, which are set up using the add_on_order_updated_handler and add_on_order_executed_handler methods, respectively.

subscribe_to_position_updates

# Use this method to subscribe to position update events. The `alias` parameter represents the instrument alias you receive
# in the `handle_subscribe_instrument` callback. The `req_id` is an identifier that you can set yourself to
# uniquely identify this subscription.
bm.subscribe_to_position_updates(addon, alias, req_id)

This function sends a request to subscribe to position update events. Each position update event provides information about changes in your position for a specific instrument and is always a real-time event. Similar to other subscription methods, a response is sent through a special callback once the subscription is successfully established.

Once subscribed to position updates, the system will automatically trigger the on_position_update callback, which is set up using the add_on_position_update_handler method.

By utilizing the subscribe_to_position_updates method, you can stay informed about changes in your positions, enabling you to make timely decisions and efficiently manage your trading portfolio.

subscribe_to_balance_updates

# Use this method to subscribe to balance update events. The `alias` parameter represents the instrument alias you receive
# in the `handle_subscribe_instrument` callback. The `req_id` is an identifier that you can set yourself to
# uniquely identify this subscription.
bm.subscribe_to_balance_updates(addon, alias, req_id)

The subscribe_to_balance_updates function is used to subscribe to balance update events. This function requires the addon, alias, and req_id parameters to subscribe to balance updates for a specific instrument. Balance update events provide information about changes in your account balances and are real-time events.

Once subscribed to balance updates, the system will automatically trigger the on_balance_update callback, which is set up using the add_on_balance_update_handler method.

By utilizing the subscribe_to_balance_updates method, you can stay informed about changes in your account balances, enabling you to make timely decisions and efficiently manage your trading portfolio.

Trading

The callbacks below will allow you to create custom trading strategies within Python API. Note that it is mandatory to check Is trading strategy checkbox to allow addon to trade.

send_order

def send_order(addon: Dict[str, Any],
               order_send_parameters: OrderSendParameters
               ) -> None:

This function allows you to send different types of orders for a specific instrument in Bookmap.

Parameters:

• addon: The addon state object that you received when calling create_addon.
• order_send_parameters: The class that represents an order you want to send.

OrderSendParameters

The OrderSendParameters class is designed to encapsulate the parameters required for placing different types of trading orders within Bookmap. This class is used in conjunction with the send_order function to provide flexibility when creating various types of orders for a specific financial instrument.

Class Attributes:

1. alias (str): A unique instrument name for the order.

2. is_buy (bool): A boolean value representing whether the order is a buy order (True) or a sell order (False).

3. size (int): An integer representing the quantity of the order to be placed. The actual size is calculated as size_multiplier from the handle_subscribe_instrument multiplied by size. For example, if you choose a size multiplier of 0.001 on a specific instrument and set size to 5, the order size will be calculated as 0.001 * 5 = 0.005.

4. limit_price (float, optional): The float value representing the limit price for limit or stop-limit orders.

5. stop_price (float, optional): The float value representing the stop price for stop or stop-limit orders.

6. take_profit_offset (int, optional): The offset for setting the take-profit price, if applicable.

7. stop_loss_offset (int, optional): The offset for setting the stop-loss price, if applicable.

8. stop_loss_trailing_step (int, optional): The step value for trailing stop-loss orders, if applicable.

9. take_profit_client_id (str, optional): The client identifier for take-profit orders, if applicable.

10. stop_loss_client_id (str, optional): The client identifier for stop-loss orders, if applicable.

11. duration (str, optional): A string representing the duration of the order (e.g., 'GTC' for Good 'Til Cancelled, 'IOC' for Immediate or Cancel). Supported order types include GTC, ATO, ATC, DAY, DYP, FOK, GCP, GDP, GTD, GTT, IOC, and GTC_PO. Default is GTC.

12. client_id (str, optional): The client identifier for the order.

Constructor: __init__

The class constructor initializes the OrderSendParameters object with the following parameters:

• alias (str): The unique instrument name for the order.

• is_buy (bool): A boolean value indicating whether the order is a buy order (True) or a sell order (False).

• size (int): An integer representing the quantity of the order to be placed.

Usage:

The OrderSendParameters class is used to create an instance with the necessary parameters for a trading order. Depending on the type of order you want to place, you may set attributes such as limit_price, stop_price, take_profit_offset, stop_loss_offset, stop_loss_trailing_step, take_profit_client_id, stop_loss_client_id, duration, and client_id.

Example:

import bookmap as bm
# Creating an OrderSendParameters instance for a limit order to buy 10 units of a BTCUSDT@BNF with a limit price of 50.00
order_params = bm.OrderSendParameters("BTCUSDT@BNF", True, 10)
order_params.limit_price = 50.0
order_params.duration = "GTC"
order_params.client_id = "Client1"

Passing the order_params object to the send_order function to place the order

import bookmap as bm
# Create an OrderSendParameters instance for a limit order to buy 10 units of BTCUSDT@BNF with a limit price of 30000.
order_params_limit_buy = bm.OrderSendParameters("BTCUSDT@BNF", True, 10)
order_params_limit_buy.limit_price = 30000

# Send the limit buy order
bm.send_order(addon, order_params_limit_buy)

# Create an OrderSendParameters instance for a stop-limit order to sell 5 units of
# BTCUSDT@BNF with a limit price of 31000 and a stop price of 30500.
order_params_stop_limit_sell = bm.OrderSendParameters("BTCUSDT@BNF", False, 5)
order_params_stop_limit_sell.limit_price = 31000
order_params_stop_limit_sell.stop_price = 30500

# Send the stop-limit sell order
bm.send_order(addon, order_params_stop_limit_sell)

# Create an OrderSendParameters instance for a stop order to buy 3 units of BTCUSDT@BNF with a stop price of 29000.
order_params_stop_buy = bm.OrderSendParameters("BTCUSDT@BNF", True, 3)
order_params_stop_buy.stop_price = 29000

# Send the stop buy order
bm.send_order(addon, order_params_stop_buy)

cancel_order

def cancel_order(addon: Dict[str, Any],
                 alias: str,
                 order_id: str,
                 is_batch_end: bool = True,
                 batch_id: int = float("nan")) -> None:

This function is used to cancel one or multiple orders for a specific instrument in Bookmap. If you want to cancel several orders in batch, you can specify the is_batch_end and batch_id arguments. If only order_id is specified, only a single order will be cancelled. If is_batch_end is set to False, a unique batch_id will be automatically generated.

Parameters:

• addon: The addon state object that you received when calling create_addon.
• alias: The instrument alias (name) for which you want to cancel the order.
• order_id: The unique identifier of the order to be cancelled. For batch cancellation, you will need to call several bm.cancel_order with proper specification of is_batch_end and batch_id.
• is_batch_end: A boolean value indicating whether this is the last order to cancel in the batch (default is True).
• batch_id: (Optional) An integer value representing the batch ID for the order cancellation (default is float("nan")). If not provided, a unique batch ID will be generated automatically.

Description:

The cancel_order function allows you to efficiently cancel orders for a specific instrument. By using the batch cancellation feature (is_batch_end=True), you can cancel multiple orders simultaneously by providing the appropriate batch_id. Alternatively, set is_batch_end=False to generate an automatic batch ID. It is recommended to create your own batch_id

Example:

import bookmap as bm
# Cancel a single order with order ID '4567' for instrument 'BTCUSDT@BNF'.
bm.cancel_order(addon, 'BTCUSDT@BNF', '4567')

# Cancel multiple orders in batch with order IDs '1234', '2345', '3456' for instrument 'ETHUSDT@BNF'.
bm.cancel_order(addon, 'ETHUSDT@BNF', '1234', is_batch_end=False, batch_id=123)
bm.cancel_order(addon, 'ETHUSDT@BNF', '2345', is_batch_end=False, batch_id=123)
bm.cancel_order(addon, 'ETHUSDT@BNF', '3456', is_batch_end=True, batch_id=123)

move_order

def move_order(addon: Dict[str, Any],
               alias: str,
               order_id: str,
               limit_price: float,
               stop_price: float = float("nan")) -> None:

This function is used to move an existing order for a specific instrument in Bookmap. By specifying the limit_price and stop_price, you can update the order with new values. Set limit_price to float("nan") if the order doesn't have a limit price, and set stop_price to float("nan") if the order doesn't have a stop price (stop_price is nan by default).

Parameters:

• addon: The addon state object that you received when calling create_addon.
• alias: The instrument alias (name) for which you want to move the order.
• order_id: The unique identifier of the order to be moved.
• limit_price: The float value representing the new limit price for the order. Set it to float("nan") if the order doesn't have a limit price.
• stop_price: (Optional) The float value representing the new stop price for the order. Set it to float("nan") if the order doesn't have a stop price (default is float("nan")).

Description:

The move_order function allows you to update the limit price and stop price of an existing order for a specific instrument. If you want to modify the limit price only, provide the new limit_price and set stop_price to float("nan"). If you want to modify both the limit and stop prices, provide the new values for both limit_price and stop_price.

Example:

import bookmap as bm
# Move an order with order ID '7890' for instrument 'BTCUSDT@BNF' with a new limit price of 35000.
bm.move_order(addon, 'BTCUSDT@BNF', '7890', 35000)

# Move an order with order ID '1234' for instrument 'ETHUSDT@BNF' with a new limit price of 1.300 and a new stop price of 1.250.
bm.move_order(addon, 'ETHUSDT@BNF', '1234', 1.300, 1.250)

# Move an order with order ID '4567' for instrument 'XRPUSDT@BNF' with a new stop price of 0.900. Order will no longer be limit
bm.move_order(addon, 'XRPUSDT@BNF', '4567', float("nan"), 0.900)

resize_order

def resize_order(addon: Dict[str, Any],
                 alias: str,
                 order_id: str,
                 size: int) -> None:

This function is used to resize an existing order for a specific instrument in Bookmap. By specifying the size, you can update the quantity of the order.

Parameters:

• addon: The addon state object that you received when calling create_addon.
• alias: The instrument alias (name) for which you want to resize the order.
• order_id: The unique identifier of the order to be resized.
• size: The integer value representing the new size (quantity) for the order (size_multiplier applied here)

Description:

The resize_order function allows you to modify the size (quantity) of an existing order for a specific instrument. By providing the new size, you can increase or decrease the quantity of the order as needed.

Example:

import bookmap as bm
# Resize an order with order ID '7890' for instrument 'BTCUSDT@BNF' to a new size of 15 units.
bm.resize_order(addon, 'BTCUSDT@BNF', '7890', 15)

# Resize an order with order ID '1234' for instrument 'ETHUSDT@BNF' to a new size of 8 units.
bm.resize_order(addon, 'ETHUSDT@BNF', '1234', 8)

# Resize an order with order ID '4567' for instrument 'XRPUSDT@BNF' to a new size of 20 units.
bm.resize_order(addon, 'XRPUSDT@BNF', '4567', 20)

Indicators

Indicators allow you to draw curves on the Bookmap heatmap or on the bottom chart.

register_indicator

# Call this method to register a new indicator.
#
# alias:                  str   - The instrument alias you receive in `handle_subscribe_instrument`.
# req_id:                 int   - Request id, useful to identify request response.
# indicator_name:         str   - Name of the indicator you pick, which will be displayed on Bookmap side.
# graph_type:             str   - Where should chart will be drawn, either heatmap of the bottom chart. Valid values: "PRIMARY", "BOTTOM".
#                                 PRIMARY - define heatmap indicators, "BOTTOM" - defines subchart indicators.
# color:                  tuple - The color of indicator in RGB format (red, green, blue). By default (0,255,0).
# line_style:             str   - The style of an indicator line, valid values: "SOLID", "SHORT_DASH","LONG_DASH", "DOT", "DASH_DOT" (by default SOLID).
# initial value:          float - The initial indicator value (by default 0.0).
bm.register_indicator(
     addon, alias, req_id, indicator_name, graph_type, color=(0, 255, 0), line_style="SOLID",
     initial_value=0.0
)

The method allows to register an indicator in Bookmap. After calling it, you will receive a callback in add_indicator_response_handler which you must handle. That response contains indicator_id integer value, which is used to identify the indicator. Every indicator in scope of a single addon run will have a unique ID, across all instruments.

A certain instrument is allowed to have multiple indicators.

add_point

# Call this method to add a new point (value) to the indicator. The `alias` is the instrument alias
# you receive in `handle_subscribe_instrument`. The `indicator_id` is the indicator ID you receive
# in `handle_register_indicator`. The `point` should be the latest value of the indicator you want
# to set.
bm.add_point(addon, alias, indicator_id, point)

This function draws a new indicator point. Note that the point should be the price you want to draw at the current time but you have to multiply it divide it pips in order to convert it to the price level.

In other words, if you want to draw your indicator on the primary chart (heatmap) at price $1,100, and the instrument's pips value is 0.01, you have to set point to 11,000.

See also Prices and Sizes in Bookmap.

Addon Settings

See below how to create your custom addon settings that get displayed on the addon config panel. Each user can set different values for each setting.

For example, you can add a setting which controls the minimum trade size acceptable by your addon.

All settings are per alias, so it is recommended to specify them in instrument callback. See start_addon for details.

Supported setting types:

• Number
• String
• Boolean
• Color

Note that settings will be saved to the Bookmap's workspace, so no need to specify exact value every time you restart Bookmap.

Each UI change of a certain setting value is handled via a special handler added using add_on_settings_change_handler.

add_number_settings_parameter

# Call this method to add a new number settings parameter.
#
# alias:            str   - The instrument alias you receive in `handle_subscribe_instrument`.
# parameter_name:   str   - The name of the parameter (will be displayed in the config panel).
# default_value:    float - The default value of the parameter.
# minimum:          float - The minimum allowed parameter value.
# maximum:          float - The maximum allowed parameter value.
# step:             float - The minimum allowed step between values.
bm.add_number_settings_parameter(
    addon, alias, parameter_name, default_value, minimum, maximum, step
)

Adds a number settings parameter to the addon. Allows you to have and configure through UI a number parameter.

add_boolean_settings_parameter

# Call this method to add a new boolean settings parameter.
#
# alias:            str   - The instrument alias you receive in `handle_subscribe_instrument`.
# parameter_name:   str   - The name of the parameter (will be displayed in the config panel).
# default_value:    bool  - The default value of the parameter.
bm.add_boolean_settings_parameter(addon, alias, parameter_name, default_value)

Adds a checkbox with a label (parameter name) to the configuration panel.

add_string_settings_parameter

# Call this method to add a new string settings parameter.
#
# alias:            str   - The instrument alias you receive in `handle_subscribe_instrument`.
# parameter_name:   str   - The name of the parameter (will be displayed in the config panel).
# default_value:    str   - The default value of the parameter.
bm.add_string_settings_parameter(addon, alias, parameter_name, default_value)

Adds named string configuration field.

add_color_settings_parameter

# Call this method to add a new color settings parameter.
#
# alias:            str   - The instrument alias you receive in `handle_subscribe_instrument`.
# parameter_name:   str   - The name of the parameter (will be displayed in the config panel).
# default_value:    tuple - The default value of the parameter in RGB format (red, green, blue).
bm.add_color_settings_parameter(addon, alias, parameter_name, default_value)

Adds a color selection field to the configuration panel.

Utils

create_order_book

# Call this method to create an order book entity.
order_book = bm.create_order_book()

This function creates a data structure object that represents an order book (non-MBO). It is a helper for dealing with tracking the order book. bm.create_order_book() returns a dictionary representing bids and asks price levels. The dictionary contains two keys: "bids" and "asks".

Value for each pair is a SortedDict. Each sorted dict is a dictionary of keys representing price levels (which are integers) and values representing size (TODO: size levels?). It is sorted by keys, i.e. by price (TODO: are bids reverse sorted?). You never should write to this dictionary directly, and normally you do not read from it directly as well.

on_depth

# Call this method to update your order book object with a new depth event.
bm.on_depth(order_book, is_bid, price_level, size_level)

This function updates the order book object according to received depth event.

get_bbo

# Call this method to get the current best bid and ask levels.
# Returns ((best_bid, bid_size), (best_ask, ask_size)), or None instead of side tuple.
(best_bid_price_level, best_bid_size_level), (best_ask_price_level, best_ask_size_level) = bm.get_bbos(order_book)

This function is used to get best bid and ask levels at the current moment.

get_sum

# Call this method to get the sum of size levels up to `levels_num` levels, per side.
# Returns (bids sum, asks sum).
bids_size_levels_sum, asks_size_levels_sum = bm.get_sum(order_book, levels_num)

Returns the sum of size levels per side, up to levels_num levels, where each level is one pips.

For example, if levels_num is 5, then the function will return the sum of size levels of 5 first price levels, separately for bids and asks.

If levels_num is 1, you will receive size levels at the best bid and ask (same size levels as get_bbo returns).

Note that a certain price level will be taken into account even if it has a zero size level. For example, if levels_num is 2, and best bid is at price level 100 of size level 1, 99 is empty, the method will compute 1 + 0 and return 1.

create_mbo_book()

# Call this method to create an MBO order book entity.
mbo_order_book = bm.create_mbo_book()

This function creates a data structure object that represents a MBO order book. It is a helper for dealing with tracking the MBO order book. bm.create_mbo_book() returns a dictionary representing orders in the order book.

The first key is "orders", it contains SortedDict where keys are order ids and values are tuple with info about order, (side: bool, price: int, size: int).

The second key is "mbp_book". It is possible to this MBP order book (it's same to the one created via create_order_book).

on_new_order

# Call this method to update your MBO order book object with a new order event.
bm.on_new_order(mbo_order_book, order_id, is_bid, price_level, size_level)

Use this function when receiving a new MBO event with the ASK_NEW or BID_NEW event type. See add_mbo_handler for more details.

The order ID must not yet exist in mbo_order_book. ValueError` will be raised otherwise.

on_replace_order

# Call this method to update your MBO order book object with a replace order event.
bm.on_replace_order(mbo_order_book, order_id, new_price, new_size)

Use this function when receiving a new MBO event with the REPLACE event type. See add_mbo_handler for more details.

The order ID must exist in mbo_order_book. ValueError will be raised otherwise.

on_remove_order

# Call this method to update your MBO order book object with a remove order event.
bm.on_remove_order(mbo_order_book, order_id)

Use this function when receiving a new MBO event with the CANCEL event type. See add_mbo_handler for more details.

The order ID must exist in mbo_order_book. ValueError will be raised otherwise.

get_all_order_ids

# Call this method to get all order IDs in the order book.
all_order_ids = bm.get_all_order_ids(mbo_order_book)

This function returns all order ids registered in the order book.

has_order

# Call this method to check if the order with specified order id exists in the order book.
bm.has_order(mbo_order_book, order_id)

This function returns true if the order with specified order ID exists.

get_order

# Call this method to get order info by order id.
order_info_or_none = bm.get_order(mbo_order_book, order_id)
if order_info_or_none is not None:
    side, price_level, size_level = order_info_or_none

This function returns side, price level and size level in tuple if order with the specified order ID exists, otherwise it returns None.

get_order_price

# Call this method to get price level of a certain order ID.
price_level = bm.get_order_price(mbo_order_book, order_id)

This function returns the order's price level, or raises ValueError if there is no such order.

get_order_size

# Call this method to get size level of a certain order ID.
size_level = bm.get_order_size(mbo_order_book, order_id)

This function returns the order's size level, or raises ValueError if there is no such order.

get_order_side

# Call this method to get side of a certain order ID.
side = bm.get_order_side(mbo_order_book, order_id)

This function returns order side, True if bid, otherwise False. Throw ValueError if there is no such order.