Exchange Connector Developer Tutorial
Info on developing an exchange connector
Each exchange connector is comprised of the following key functions:
|(1) Placing/Cancelling Orders||Sending buy/sell/cancel instructions to the exchange.|
|(2) Order book tracking||Tracking exchange's real-time order book data.|
|(3) Parsing order book data||Formatting raw order book data into the standard format used by Hummingbot.|
|(4) Active order tracking||Tracking orders placed by the bot on the exchange.|
|(5) User stream tracker||Tracking user data specific to the current user of the bot.|
This guide will help you learn about the basic structure of a connector in Hummingbot. Included in this guide is the scope of creating/modifying the necessary components to implement an exchange connector.
By the end of this guide, you should:
- Have a general understanding of the base classes that serve as building blocks of a connector
- Be able to integrate new connectors from scratch
Implementing a new connector can generally be split into 3 major tasks:
- Task 1: OrderBookDataSource & OrderBookTracker
- Task 2: UserStreamDataSource, UserStreamTracker & Auth
- Task 3: Exchange Connector
The following diagram displays the tasks and their relevant classes as a checklist to get started.
Exchange connectors track status updates of all orders created in Hummingbot and emit events on status updates of its orders for the strategy modules. Be careful when implementing a new exchange connector to ensure all the status updates and emitted events adhere to the semantics defined by Hummingbot.
Order tracking starts when
_create_order() is called. It is called from within the
An exchange connector should keep tracking the order's status and emit events for any change of states until the order is completed, cancelled, expired, or failed.
An order is created by invoking
sell() in an exchange connector - usually by a strategy module.
sell() would return immediately with a client-side order ID that Hummingbot uses to track the order's status.
They would schedule the order to be submitted to the exchange as soon as possible but would not wait for the reply from the exchange before returning.
In most of our built-in exchange connectors, order submission occurs in the
_create_order() function - although it may be different for some decentralized exchange connectors.
_create_order() method is responsible for performing the necessary trading rule checks before submitting the order via the REST API.
Upon receiving a successful response, a
SellOrderCreatedEvent would be emitted. Otherwise, a
MarketOrderFailureEvent would be emitted. Note that despite the naming,
MarketOrderFailureEvent is emitted even for limit orders.
Other market participants could fill an order over time once it's live on an exchange. Depending on the order types, i.e. limit or market, the order could be filled either immediately or after another market participant fulfils it.
For every order fill on our orders, whether partially or entirely, the exchange connector must emit an
OrderFilledEvent, to notify the strategy modules about the order's progress.
Once an order has been completely filled, the exchange connector must emit a
The exchange connector would stop tracking the order afterward.
SellOrderCompletedEvent should always come after an
OrderFilledEvent has been emitted.
If an order is canceled or expired before it has been completely filled, an
OrderCancelledEvent or an
OrderExpiredEvent should be emitted.
For centralized exchanges, order tracking should end after emitting an
On decentralized exchanges - since it's possible for orders to be filled after cancellation or even expiry, due to block delays - the exchange connector may keep tracking the order for a certain amount of time afterwards.
If a failed order has been rejected for any reason other than cancellation or expiry,
MarketOrderFailureEvent must be emitted.
Hummingbot comes with a built-in helper class for exchange connectors to track their order status, the
While developers are free to extend or modify from
InFlightOrderBase to suit their logic. There are a few conventions within Hummingbot's built-in exchange connectors for extending
and it is recommended that new exchange connectors should stick with the same conventions.
Below are some of the functions that are required to be implemented in the new exchange connector.
This property indicates whether the order is done or not, whether it has been filled or failed, canceled or expired.
This property indicates whether the order has been canceled or not.
This property indicates whether the order has been terminated before completion or not. This includes all cases like order cancellation, expiry, or rejection.
The base asset symbol.
The quote asset symbol.
This is called when the market connector has successfully submitted the order to the exchange and has got back an exchange-native order ID. This notifies any coroutines waiting on the
get_exchange_order_id()function (detailed below).
async get_exchange_order_id(): str
Returns the exchange-native order ID for the order if the order has been submitted and the exchange-native order ID is known. Otherwise, it would wait until
update_exchange_order_id(str)is called by the market connector.
Converts the in-flight order data structure to a
LimitOrderdata object. This should only be used on limit orders.
to_json(): Dict[str, any]
Convert the in-flight order data structure to a dictionary that can be serialized into JSON format.
from_json(): Dict[str, Any]
Convert a dictionary object containing the relevant order details into an