predict_arb/nadex.py

import aiohttp
from pprint import pprint
from decimal import Decimal as D
import dill as pickle
import time
import copy
import os
import json
import asyncio
from utils import *
from piecewise import *

NADEX_ROOT = "https://trade.nadex.com/iDeal" if not DEMO else "https://demo-trade.nadex.com/iDeal"
NADEX_UPD = "https://upd.nadex.com" if not DEMO else "https://demo-upd.nadex.com"
NADEX_AUTH = read_auth("nadex") if not DEMO else read_auth("nadex_demo")
NADEX_SESSION_FILE = ".nadex_session"

COMMON_HEADERS = {
        "accept": "application/json; charset=UTF-8",
        "accept-encoding": "gzip, deflate, br",
        "accept-language": "en-US,en;q=0.9",
        "content-type": "application/json; charset=UTF-8",
        "origin": "https://platform.nadex.com",
        "user-agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/106.0.0.0 Safari/537.36",
        "x-device-user-agent": "vendor=IG | applicationType=Nadex | platform=web | deviceType=phone | version=0.853.0+6a6399d3",
}

class NadexSession:
    def __init__(self, s):
        self.s = s

    def __repr__(self):
        return "nadex"

    async def login(self):
        self.s.headers.clear()
        self.s.headers.update(COMMON_HEADERS)
        self.s.cookie_jar.clear()

        if os.path.exists(NADEX_SESSION_FILE):
            with open(NADEX_SESSION_FILE, 'rb') as f:
                self.token = pickle.load(f)
        else:
            print("doing new login")

            async with self.s.post(
                NADEX_ROOT + "/v2/security/authenticate",
                json = NADEX_AUTH,
            ) as resp:
                self.token = resp.headers["x-security-token"]

            print(self.token)
            print()

            with open(NADEX_SESSION_FILE, 'wb') as f:
                pickle.dump(self.token, f)

        self.s.headers["x-security-token"] = self.token

    async def get_marketinfo(self, mid, try_relog=True):
        async with self.s.get(
            NADEX_ROOT + "/markets/navigation/"+str(mid),
        ) as resp:
            if resp.status==401 and try_relog:
                if os.path.exists(NADEX_SESSION_FILE):
                    os.remove(NADEX_SESSION_FILE)
                await self.login()
                return await self.get_marketinfo(mid, False)
            return await resp.json()

    async def execute_order(self, mid, p, s, buy):
        async with self.s.post(
            f"{NADEX_ROOT}/orders/workingorders/dma",
            json = {
                "direction": "+" if buy else "-",
                "epic": mid,
                "lsServerName": NADEX_UPD+":443",
                "orderLevel": str(D(p)/100),
                "orderSize": str(s),
                "orderType": "MarketLimit",
                "pricePreference": None,
                "timeInForce": "GoodTillCancelled",
                "timeStamp": int(time.time()),
                "tolerance": None,
            },
        ) as resp:
            pprint("nadex order")
            pprint(resp)
            pprint(await resp.json())
            pprint("")

    async def init_lightstreamer(self, marketids):
        proc = await asyncio.create_subprocess_exec(
            "node", "nadex_ws.js",
            stdin=asyncio.subprocess.PIPE,
            stdout=asyncio.subprocess.PIPE,
        )
        proc.stdin.write(json.dumps({
            "username": NADEX_AUTH["username"].upper(),
            "security_token": self.token,
            "marketids": marketids,
            "servername": NADEX_UPD,
        }).encode())
        await proc.stdin.drain()
        proc.stdin.close()
        await proc.stdin.wait_closed()

        return proc
    
    async def orderbook_stream(self, marketid):
        breaks = {}
        for market in (await self.get_marketinfo(marketid))["markets"]:
            low = cents(market["instrumentName"].split(">")[1].split()[0])
            low += 1
            breaks[market["epic"]] = low

        proc = await self.init_lightstreamer([*breaks.keys()])

        book = {}
        async for line in proc.stdout:
            data = json.loads(line.strip().decode())
            epic = data["id"]
            br = breaks[epic]
            asks = []
            bids = []
            for p, s in data["asks"]:
                p = cents(p)
                asks.append((conv_lim_pc(br, None).add_conditional(-100) + (-p - 100), s, p))
            for p, s in data["bids"]:
                p = cents(p)
                bids.append(((-conv_lim_pc(br, None)).add_conditional(-100) + (p - 100), s, p))
            book[epic] = Digital(
                low = br,
                high = None,
                bids = bids, 
                asks = asks,
                exchange = self,
                market_id = epic,
            )
            yield [*book.values()]

async def main():
    async with aiohttp.ClientSession() as rs:
        s = NadexSession(rs)
        await s.login()
        await s.execute_order("NB.D.U500.OPT-1-16-04Nov22.IP", 600, 1, True)
        # async for book in s.orderbook_stream(160809):
        #     pprint(book)
        #     pass

if __name__=="__main__":
    asyncio.run(main())