Merge pull request #59 from AdalyatNazirov/feature-ftxus-brokerage-su…

…pport

Support FTX.US brokerage in lean cli

README.md

@@ -231,6 +231,14 @@ Options:
   --binance-api-secret TEXT       Your Binance API secret
   --binance-environment [demo|real]
                                   The environment to run in, demo for testnet, real for the production environment
+  --ftx-api-key TEXT              Your FTX API key
+  --ftx-api-secret TEXT           Your FTX API secret
+  --ftx-account-tier TEXT         Your FTX Account Tier
+  --ftx-exchange-name TEXT        Your FTX Exchange [FTX|FTX.US]
+  --kraken-api-key TEXT           Your Kraken API key
+  --kraken-api-secret TEXT        Your Kraken API secret
+  --kraken-verification-tier TEXT
+                                  Your Kraken Verification Tier
   --node TEXT                     The name or id of the live node to run on
   --auto-restart BOOLEAN          Whether automatic algorithm restarting must be enabled
   --notify-order-events BOOLEAN   Whether notifications must be sent for order events
@@ -832,6 +840,7 @@ Options:
   --ftx-api-key TEXT              Your FTX API key
   --ftx-api-secret TEXT           Your FTX API secret
   --ftx-account-tier TEXT         Your FTX Account Tier
+  --ftx-exchange-name TEXT        Your FTX Exchange [FTX|FTX.US]
   --release                       Compile C# projects in release configuration instead of debug
   --image TEXT                    The LEAN engine image to use (defaults to quantconnect/lean:latest)
   --update                        Pull the LEAN engine image before starting live trading

announcements.json

@@ -1,8 +1,8 @@
 {
     "announcements": [
         {
-            "date": "2022-01-25",
-            "message": "We've added support for Samco brokerage for India Market"
+            "date": "2022-01-26",
+            "message": "We've added support for Samco brokerage for India Market and FTX.US Exchange"
         },
         {
             "date": "2021-11-17",

lean/commands/live.py

@@ -591,6 +591,9 @@ def _get_default_value(key: str) -> Optional[Any]:
               type=str,
               default=lambda: _get_default_value("ftx-account-tier"),
               help="Your FTX Account Tier")
+@click.option("--ftx-exchange-name",
+              type=str,
+              help="FTX exchange name [FTX, FTXUS]")
 @click.option("--release",
               is_flag=True,
               default=False,
@@ -690,6 +693,7 @@ def live(project: Path,
          ftx_api_key: Optional[str],
          ftx_api_secret: Optional[str],
          ftx_account_tier: Optional[str],
+         ftx_exchange_name: Optional[str],
          release: bool,
          image: Optional[str],
          update: bool) -> None:
@@ -865,11 +869,12 @@ def live(project: Path,
                                                    kraken_api_secret,
                                                    kraken_verification_tier)
         elif brokerage == FTXBrokerage.get_name():
-            ensure_options(["ftx_api_key", "ftx_api_secret", "ftx_account_tier"])
+            ensure_options(["ftx_api_key", "ftx_api_secret", "ftx_account_tier", "ftx_exchange_name"])
             brokerage_configurer = FTXBrokerage(_get_organization_id(ftx_organization, "FTX"),
                                                 ftx_api_key,
                                                 ftx_api_secret,
-                                                ftx_account_tier)
+                                                ftx_account_tier,
+                                                ftx_exchange_name)
 
         if data_feed == InteractiveBrokersDataFeed.get_name():
             ensure_options(["ib_user_name", "ib_account", "ib_password", "ib_enable_delayed_streaming_data"])
@@ -995,12 +1000,13 @@ def live(project: Path,
                                 kraken_api_secret,
                                 kraken_verification_tier))
         elif data_feed == FTXDataFeed.get_name():
-            ensure_options(["ftx_api_key", "ftx_api_secret", "ftx_account_tier"])
+            ensure_options(["ftx_api_key", "ftx_api_secret", "ftx_account_tier", "ftx_echange_name"])
             data_feed_configurer = FTXDataFeed(
                 FTXBrokerage(_get_organization_id(ftx_organization, "FTX"),
                              ftx_api_key,
                              ftx_api_secret,
-                             ftx_account_tier))
+                             ftx_account_tier,
+                             ftx_exchange_name))
 
         environment_name = "lean-cli"
         lean_config = lean_config_manager.get_complete_lean_config(environment_name, algorithm_file, None)

lean/models/brokerages/cloud/ftx.py

@@ -22,10 +22,11 @@
 class FTXBrokerage(CloudBrokerage):
     """A CloudBrokerage implementation for FTX."""
 
-    def __init__(self, api_key: str, secret_key: str, account_tier: str) -> None:
+    def __init__(self, api_key: str, secret_key: str, account_tier: str, exchange_name: str) -> None:
         self._api_key = api_key
         self._secret_key = secret_key
         self._account_tier = account_tier
+        self._exchange_name = exchange_name
 
     @classmethod
     def get_id(cls) -> str:
@@ -37,19 +38,38 @@ def get_name(cls) -> str:
 
     @classmethod
     def build(cls, logger: Logger) -> CloudBrokerage:
+        exchange_name = click.prompt("FTX Exchange [FTX|FTXUS]")
+        exchange = FTXExchange() if exchange_name.casefold() == "FTX".casefold() else FTXUSExchange()
+
         logger.info("""
-Create an API key by logging in and accessing the FTX Profile page (https://ftx.com/profile).
-        """.strip())
+Create an API key by logging in and accessing the {} Profile page (https://{}/profile).
+        """.format(exchange.get_name(), exchange.get_domain()).strip())
 
         api_key = click.prompt("API key")
         secret_key = logger.prompt_password("Secret key")
         account_tier = click.prompt("Account Tier")
 
-        return FTXBrokerage(api_key, secret_key, account_tier)
+        return FTXBrokerage(api_key, secret_key, account_tier, exchange_name)   
 
     def _get_settings(self) -> Dict[str, str]:
         return {
             "key": self._api_key,
             "secret": self._secret_key,
-            "accountTier": self._account_tier
+            "tier": self._account_tier,
+            "exchange": self._exchange_name,
+            "environment": "live"
         }
+
+class FTXExchange:
+    def get_name(self) -> str:
+        return "FTX"
+
+    def get_domain(self) -> str:
+        return "ftx.com"
+
+class FTXUSExchange(FTXExchange):
+    def get_name(self) -> str:
+        return "FTXUS"
+
+    def get_domain(self) -> str:
+        return "ftx.us"

lean/models/brokerages/cloud/kraken.py

@@ -51,5 +51,6 @@ def _get_settings(self) -> Dict[str, str]:
         return {
             "key": self._api_key,
             "secret": self._secret_key,
-            "verificationTier": self._verification_tier
+            "verificationTier": self._verification_tier,
+            "environment": "live"
         }

lean/models/brokerages/local/ftx.py

@@ -11,7 +11,7 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from typing import Any, Dict
+from typing import Any, Dict, List
 
 import click
 
@@ -22,17 +22,79 @@
 from lean.models.config import LeanConfigConfigurer
 from lean.models.logger import Option
 
+class FTXExchange:
+    def get_name(self) -> str:
+        return "FTX"
+
+    def live_mode_brokerage(self) -> str:
+        return "FTXBrokerage"
+
+    def data_queue_handler_name(self) -> str:
+        return "FTXBrokerage"
+
+    def get_domain(self) -> str:
+        return "ftx.com"
+
+    def prefix(self) -> str:
+        return "ftx"
+
+    def account_tier_options(self) -> List[Option]:
+        return [Option(id="Tier1", label="Tier1"),
+             Option(id="Tier2", label="Tier2"),
+             Option(id="Tier3", label="Tier3"),
+             Option(id="Tier4", label="Tier4"),
+             Option(id="Tier5", label="Tier5"),
+             Option(id="Tier6", label="Tier6"),
+             Option(id="VIP1", label="VIP1"),
+             Option(id="VIP2", label="VIP2"),
+             Option(id="VIP3", label="VIP3"),
+             Option(id="MM1", label="MM1"),
+             Option(id="MM2", label="MM2"),
+             Option(id="MM3", label="MM3")]
+
+class FTXUSExchange(FTXExchange):
+    def get_name(self) -> str:
+        return "FTXUS"
+
+    def live_mode_brokerage(self) -> str:
+        return "FTXUSBrokerage"
+
+    def data_queue_handler_name(self) -> str:
+        return "FTXUSBrokerage"
+
+    def get_domain(self) -> str:
+        return "ftx.us"
+
+    def prefix(self) -> str:
+        return "ftxus"
+
+    def account_tier_options(self) -> List[Option]:
+        return [Option(id="Tier1", label="Tier1"),
+             Option(id="Tier2", label="Tier2"),
+             Option(id="Tier3", label="Tier3"),
+             Option(id="Tier4", label="Tier4"),
+             Option(id="Tier5", label="Tier5"),
+             Option(id="Tier6", label="Tier6"),
+             Option(id="Tier7", label="Tier7"),
+             Option(id="Tier8", label="Tier8"),
+             Option(id="Tier9", label="Tier9"),
+             Option(id="VIP1", label="VIP1"),
+             Option(id="VIP2", label="VIP2"),
+             Option(id="MM1", label="MM1"),
+             Option(id="MM2", label="MM2"),
+             Option(id="MM3", label="MM3")]
 
 class FTXBrokerage(LocalBrokerage):
     """A LocalBrokerage implementation for the FTX brokerage."""
-
+    _exchange: FTXExchange
     _is_module_installed = False
 
-    def __init__(self, organization_id: str, api_key: str, api_secret: str, account_tier: str) -> None:
+    def __init__(self, organization_id: str, api_key: str, api_secret: str, account_tier: str, exchange: FTXExchange) -> None:
         self._api_key = api_key
         self._api_secret = api_secret
         self._account_tier = account_tier
         self._organization_id = organization_id
+        self._exchange = exchange
 
     @classmethod
     def get_name(cls) -> str:
@@ -46,50 +108,45 @@ def _build(cls, lean_config: Dict[str, Any], logger: Logger) -> LocalBrokerage:
         options = [Option(id=organization.id, label=organization.name) for organization in organizations]
 
         organization_id = logger.prompt_list(
-            "Select the organization with the FTX module subscription",
+            "Select the organization with the {} module subscription".format(cls.get_name()),
             options
         )
 
+        exchange_name = click.prompt("FTX Exchange [FTX|FTXUS]", cls._get_default(lean_config, "ftx-exchange-name"))
+        exchange = FTXExchange() if exchange_name.casefold() == "FTX".casefold() else FTXUSExchange()
+
         logger.info("""
-Create an API key by logging in and accessing the FTX Profile page (https://ftx.com/profile).
-        """.strip())
+Create an API key by logging in and accessing the {} Profile page (https://{}/profile).
+        """.format(exchange.get_name(), exchange.get_domain()).strip())
 
-        api_key = click.prompt("API key", cls._get_default(lean_config, "ftx-api-key"))
-        api_secret = logger.prompt_password("API secret", cls._get_default(lean_config, "ftx-api-secret"))
+        prefix = exchange.prefix()
+        api_key = click.prompt("API key", cls._get_default(lean_config, f'{prefix}-api-key'))
+        api_secret = logger.prompt_password("API secret", cls._get_default(lean_config, f'{prefix}-api-secret'))
 
         account_tier = logger.prompt_list(
             "Select the Account Tier",
-            [Option(id="Tier1", label="Tier1"),
-             Option(id="Tier2", label="Tier2"),
-             Option(id="Tier3", label="Tier3"),
-             Option(id="Tier4", label="Tier4"),
-             Option(id="Tier5", label="Tier5"),
-             Option(id="Tier6", label="Tier6"),
-             Option(id="VIP1", label="VIP1"),
-             Option(id="VIP2", label="VIP2"),
-             Option(id="VIP3", label="VIP3"),
-             Option(id="MM1", label="MM1"),
-             Option(id="MM2", label="MM2"),
-             Option(id="MM3", label="MM3")],
-            cls._get_default(lean_config, "ftx-account-tier")
+            exchange.account_tier_options(),
+            cls._get_default(lean_config, f'{prefix}-account-tier')
         )
 
-        return FTXBrokerage(organization_id, api_key, api_secret, account_tier)
+        return FTXBrokerage(organization_id, api_key, api_secret, account_tier, exchange)
 
     def _configure_environment(self, lean_config: Dict[str, Any], environment_name: str) -> None:
         self.ensure_module_installed()
 
-        lean_config["environments"][environment_name]["live-mode-brokerage"] = "FTXBrokerage"
+        lean_config["environments"][environment_name]["live-mode-brokerage"] = self._exchange.live_mode_brokerage()
         lean_config["environments"][environment_name]["transaction-handler"] = \
             "QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler"
 
     def configure_credentials(self, lean_config: Dict[str, Any]) -> None:
-        lean_config["ftx-api-key"] = self._api_key
-        lean_config["ftx-api-secret"] = self._api_secret
-        lean_config["ftx-account-tier"] = self._account_tier
+        prefix = self._exchange.prefix()
+
+        lean_config[f'{prefix}-api-key'] = self._api_key
+        lean_config[f'{prefix}-api-secret'] = self._api_secret
+        lean_config[f'{prefix}-account-tier'] = self._account_tier
         lean_config["job-organization-id"] = self._organization_id
 
-        self._save_properties(lean_config, ["job-organization-id", "ftx-api-key", "ftx-api-secret", "ftx-account-tier"])
+        self._save_properties(lean_config, ["job-organization-id", f'{prefix}-api-key', f'{prefix}-api-secret', f'{prefix}-account-tier'])
 
     def ensure_module_installed(self) -> None:
         if not self._is_module_installed:
@@ -98,6 +155,7 @@ def ensure_module_installed(self) -> None:
 
 class FTXDataFeed(LeanConfigConfigurer):
     """A LeanConfigConfigurer implementation for the FTX data feed."""
+    _brokerage: Any
 
     def __init__(self, brokerage: FTXBrokerage) -> None:
         self._brokerage = brokerage
@@ -113,7 +171,7 @@ def build(cls, lean_config: Dict[str, Any], logger: Logger) -> LeanConfigConfigu
     def configure(self, lean_config: Dict[str, Any], environment_name: str) -> None:
         self._brokerage.ensure_module_installed()
 
-        lean_config["environments"][environment_name]["data-queue-handler"] = "FTXBrokerage"
+        lean_config["environments"][environment_name]["data-queue-handler"] = self._brokerage._exchange.data_queue_handler_name()
         lean_config["environments"][environment_name]["history-provider"] = "BrokerageHistoryProvider"
 
         self._brokerage.configure_credentials(lean_config)