async def _snapshot(self, symbol: str):
str_to_sign = "GET" + self.rest_endpoints[0].routes.l2book.format(
symbol)
headers = self.generate_token(str_to_sign)
data = await self.http_conn.read(self.rest_endpoints[0].route(
'l2book', self.sandbox).format(symbol),
header=headers)
timestamp = time.time()
data = json.loads(data, parse_float=Decimal)
data = data['data']
self.seq_no[symbol] = int(data['sequence'])
bids = {
Decimal(price): Decimal(amount)
for price, amount in data['bids']
}
asks = {
Decimal(price): Decimal(amount)
for price, amount in data['asks']
}
self._l2_book[symbol] = OrderBook(self.id,
symbol,
max_depth=self.max_depth,
bids=bids,
asks=asks)
await self.book_callback(L2_BOOK,
self._l2_book[symbol],
timestamp,
raw=data,
sequence_number=int(data['sequence']))
async def _snapshot(self, symbol: str):
"""
{
"id": 2679059670,
"asks": [[price, amount], [...], ...],
"bids": [[price, amount], [...], ...]
}
"""
url = f'https://api.gateio.ws/api/v4/spot/order_book?currency_pair={symbol}&limit=100&with_id=true'
ret = await self.http_conn.read(url)
data = json.loads(ret, parse_float=Decimal)
symbol = self.exchange_symbol_to_std_symbol(symbol)
self._l2_book[symbol] = OrderBook(self.id,
symbol,
max_depth=self.max_depth)
self.last_update_id[symbol] = data['id']
self._l2_book[symbol].book.bids = {
Decimal(price): Decimal(amount)
for price, amount in data['bids']
}
self._l2_book[symbol].book.asks = {
Decimal(price): Decimal(amount)
for price, amount in data['asks']
}
await self.book_callback(L2_BOOK,
self._l2_book[symbol],
time.time(),
raw=data,
sequence_number=data['id'])
async def _pair_l2_update(self, msg: str, timestamp: float):
delta = {BID: [], ASK: []}
pair = self.exchange_symbol_to_std_symbol(msg['symbol'])
if msg['event'] == 'snapshot':
# Reset the book
self._l2_book[pair] = OrderBook(self.id,
pair,
max_depth=self.max_depth)
for side in (BID, ASK):
for update in msg[side + 's']:
price = update['px']
qty = update['qty']
self._l2_book[pair].book[side][price] = qty
if qty <= 0:
del self._l2_book[pair].book[side][price]
delta[side].append((price, qty))
await self.book_callback(
L2_BOOK,
self._l2_book[pair],
timestamp,
raw=msg,
delta=delta if msg['event'] != 'snapshot' else None,
sequence_number=msg['seqnum'])
async def _book_snapshot(self, msg: dict, pair: str, timestamp: float):
"""
{
"feed": "book_snapshot",
"product_id": "PI_XBTUSD",
"timestamp": 1565342712774,
"seq": 30007298,
"bids": [
{
"price": 11735.0,
"qty": 50000.0
},
...
],
"asks": [
{
"price": 11739.0,
"qty": 47410.0
},
...
],
"tickSize": null
}
"""
bids = {Decimal(update['price']): Decimal(update['qty']) for update in msg['bids']}
asks = {Decimal(update['price']): Decimal(update['qty']) for update in msg['asks']}
if pair in self._l2_book:
self._l2_book[pair].book.bids = bids
self._l2_book[pair].book.asks = asks
else:
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth, bids=bids, asks=asks)
self._l2_book[pair].timestamp = self.timestamp_normalize(msg["timestamp"]) if "timestamp" in msg else None
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, raw=msg, sequence_number=msg['seq'])
async def _book_snapshot(self, pairs: list):
# Coinbase needs some time to send messages to us
# before we request the snapshot. If we don't sleep
# the snapshot seq no could be much earlier than
# the subsequent messages, causing a seq no mismatch.
await asyncio.sleep(2)
urls = [self.rest_endpoints[0].route('l3book', self.sandbox).format(pair) for pair in pairs]
results = []
for url in urls:
ret = await self.http_conn.read(url)
results.append(ret)
# rate limit - 3 per second
await asyncio.sleep(0.3)
timestamp = time.time()
for res, pair in zip(results, pairs):
orders = json.loads(res, parse_float=Decimal)
npair = self.exchange_symbol_to_std_symbol(pair)
self._l3_book[npair] = OrderBook(self.id, pair, max_depth=self.max_depth)
self.seq_no[npair] = orders['sequence']
for side in (BID, ASK):
for price, size, order_id in orders[side + 's']:
price = Decimal(price)
size = Decimal(size)
if price in self._l3_book[npair].book[side]:
self._l3_book[npair].book[side][price][order_id] = size
else:
self._l3_book[npair].book[side][price] = {order_id: size}
self.order_map[order_id] = (price, size)
await self.book_callback(L3_BOOK, self._l3_book[npair], timestamp, raw=orders)
async def _snapshot(self, pair: str) -> None:
max_depth = self.max_depth if self.max_depth else 1000
if max_depth not in self.valid_depths:
for d in self.valid_depths:
if d > max_depth:
max_depth = d
break
url = f'{self.rest_endpoint}/depth?symbol={pair}&limit={max_depth}'
resp = await self.http_conn.read(url)
resp = json.loads(resp, parse_float=Decimal)
std_pair = self.exchange_symbol_to_std_symbol(pair)
self.last_update_id[std_pair] = resp['lastUpdateId']
self._l2_book[std_pair] = OrderBook(
self.id,
std_pair,
max_depth=self.max_depth,
bids={Decimal(u[0]): Decimal(u[1])
for u in resp['bids']},
asks={Decimal(u[0]): Decimal(u[1])
for u in resp['asks']})
await self.book_callback(L2_BOOK,
self._l2_book[std_pair],
time.time(),
timestamp=None,
raw=resp,
sequence_number=self.last_update_id[std_pair])
async def _book_snapshot(self, msg: dict, timestamp: float):
"""
{
'jsonrpc': '2.0',
'method': 'subscription',
'params': {
'channel': 'book.BTC-PERPETUAL.raw',
'data': {
'timestamp': 1598232105378,
'instrument_name': 'BTC-PERPETUAL',
'change_id': 21486665526, '
'bids': [['new', Decimal('11618.5'), Decimal('279310.0')], ..... ]
'asks': [[ ....... ]]
}
}
}
"""
ts = msg["params"]["data"]["timestamp"]
pair = self.exchange_symbol_to_std_symbol(msg["params"]["data"]["instrument_name"])
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth)
self._l2_book[pair].book.bids = {Decimal(price): Decimal(amount) for _, price, amount in msg["params"]["data"]["bids"]}
self._l2_book[pair].book.asks = {Decimal(price): Decimal(amount) for _, price, amount in msg["params"]["data"]["asks"]}
self.seq_no[pair] = msg["params"]["data"]["change_id"]
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=self.timestamp_normalize(ts), sequence_number=msg["params"]["data"]["change_id"], raw=msg)
def _reset(self):
self.partial_received = defaultdict(bool)
self.order_id = {}
self.open_orders = {}
for pair in self.normalized_symbols:
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth)
self.order_id[pair] = defaultdict(dict)
async def _snapshot(self, pair: str) -> None:
max_depth = self.max_depth if self.max_depth else 1000
if max_depth not in self.valid_depths:
for d in self.valid_depths:
if d > max_depth:
max_depth = d
break
resp = await self.http_conn.read(self.rest_endpoints[0].route(
'l2book', self.sandbox).format(pair, max_depth))
resp = json.loads(resp, parse_float=Decimal)
timestamp = self.timestamp_normalize(
resp['E']) if 'E' in resp else None
std_pair = self.exchange_symbol_to_std_symbol(pair)
self.last_update_id[std_pair] = resp['lastUpdateId']
self._l2_book[std_pair] = OrderBook(
self.id,
std_pair,
max_depth=self.max_depth,
bids={Decimal(u[0]): Decimal(u[1])
for u in resp['bids']},
asks={Decimal(u[0]): Decimal(u[1])
for u in resp['asks']})
await self.book_callback(L2_BOOK,
self._l2_book[std_pair],
time.time(),
timestamp=timestamp,
raw=resp,
sequence_number=self.last_update_id[std_pair])
async def _book(self, msg: dict, timestamp: float):
sequence_number = msg['data']['seqnum']
pair = self.exchange_symbol_to_std_symbol(msg['symbol'])
delta = {BID: [], ASK: []}
if msg['m'] == 'depth-snapshot':
self.seq_no[pair] = sequence_number
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth)
else:
# ignore messages while we wait for the snapshot
if self.seq_no[pair] is None:
return
if self.seq_no[pair] + 1 != sequence_number:
raise MissingSequenceNumber
self.seq_no[pair] = sequence_number
for side in ('bids', 'asks'):
for price, amount in msg['data'][side]:
s = BID if side == 'bids' else ASK
price = Decimal(price)
size = Decimal(amount)
if size == 0:
delta[s].append((price, 0))
if price in self._l2_book[pair].book[s]:
del self._l2_book[pair].book[s][price]
else:
delta[s].append((price, size))
self._l2_book[pair].book[s][price] = size
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=self.timestamp_normalize(msg['data']['ts']), raw=msg, delta=delta if msg['m'] != 'depth-snapshot' else None, sequence_number=sequence_number)
async def _book(self, msg: dict, timestamp: float):
if msg['action'] == 'partial':
# snapshot
for update in msg['data']:
pair = self.exchange_symbol_to_std_symbol(update['instrument_id'])
bids = {Decimal(price): Decimal(amount) for price, amount, *_ in update['bids']}
asks = {Decimal(price): Decimal(amount) for price, amount, *_ in update['asks']}
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth, checksum_format='OKCOIN', bids=bids, asks=asks)
if self.checksum_validation and self._l2_book[pair].book.checksum() != (update['checksum'] & 0xFFFFFFFF):
raise BadChecksum
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=self.timestamp_normalize(update['timestamp']), raw=msg, checksum=update['checksum'] & 0xFFFFFFFF)
else:
# update
for update in msg['data']:
delta = {BID: [], ASK: []}
pair = self.exchange_symbol_to_std_symbol(update['instrument_id'])
for side in ('bids', 'asks'):
s = BID if side == 'bids' else ASK
for price, amount, *_ in update[side]:
price = Decimal(price)
amount = Decimal(amount)
if amount == 0:
if price in self._l2_book[pair].book[s]:
delta[s].append((price, 0))
del self._l2_book[pair].book[s][price]
else:
delta[s].append((price, amount))
self._l2_book[pair].book[s][price] = amount
if self.checksum_validation and self._l2_book[pair].book.checksum() != (update['checksum'] & 0xFFFFFFFF):
raise BadChecksum
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=self.timestamp_normalize(update['timestamp']), raw=msg, delta=delta, checksum=update['checksum'] & 0xFFFFFFFF)
async def _book(self, msg: dict, pair: str, timestamp: float):
delta = {BID: [], ASK: []}
msg = msg[1:-2]
if 'as' in msg[0]:
# Snapshot
bids = {
Decimal(update[0]): Decimal(update[1])
for update in msg[0]['bs']
}
asks = {
Decimal(update[0]): Decimal(update[1])
for update in msg[0]['as']
}
self._l2_book[pair] = OrderBook(
self.id,
pair,
max_depth=self.max_depth,
bids=bids,
asks=asks,
checksum_format='KRAKEN',
truncate=self.max_depth != self.valid_depths[-1])
await self.book_callback(L2_BOOK,
self._l2_book[pair],
timestamp,
raw=msg)
else:
for m in msg:
for s, updates in m.items():
side = False
if s == 'b':
side = BID
elif s == 'a':
side = ASK
if side:
for update in updates:
price, size, *_ = update
price = Decimal(price)
size = Decimal(size)
if size == 0:
# Per Kraken's technical support
# they deliver erroneous deletion messages
# periodically which should be ignored
if price in self._l2_book[pair].book[side]:
del self._l2_book[pair].book[side][price]
delta[side].append((price, 0))
else:
delta[side].append((price, size))
self._l2_book[pair].book[side][price] = size
if self.checksum_validation and 'c' in msg[0] and self._l2_book[
pair].book.checksum() != int(msg[0]['c']):
raise BadChecksum("Checksum validation on orderbook failed")
await self.book_callback(
L2_BOOK,
self._l2_book[pair],
timestamp,
delta=delta,
raw=msg,
checksum=int(msg[0]['c']) if 'c' in msg[0] else None)
async def _book(self, msg: dict, timestamp: float):
"""
{
'ch':'market.BTC_CW.depth.step0',
'ts':1565857755564,
'tick':{
'mrid':14848858327,
'id':1565857755,
'bids':[
[ Decimal('9829.99'), 1], ...
]
'asks':[
[ 9830, 625], ...
]
},
'ts':1565857755552,
'version':1565857755,
'ch':'market.BTC_CW.depth.step0'
}
"""
pair = self.exchange_symbol_to_std_symbol(msg['ch'].split('.')[1])
data = msg['tick']
# When Huobi Delists pairs, empty updates still sent:
# {'ch': 'market.AKRO-USD.depth.step0', 'ts': 1606951241196, 'tick': {'mrid': 50651100044, 'id': 1606951241, 'ts': 1606951241195, 'version': 1606951241, 'ch': 'market.AKRO-USD.depth.step0'}}
# {'ch': 'market.AKRO-USD.depth.step0', 'ts': 1606951242297, 'tick': {'mrid': 50651100044, 'id': 1606951242, 'ts': 1606951242295, 'version': 1606951242, 'ch': 'market.AKRO-USD.depth.step0'}}
if 'bids' in data and 'asks' in data:
if pair not in self._l2_book:
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth)
self._l2_book[pair].book.bids = {Decimal(price): Decimal(amount) for price, amount in data['bids']}
self._l2_book[pair].book.asks = {Decimal(price): Decimal(amount) for price, amount in data['asks']}
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=self.timestamp_normalize(msg['ts']), raw=msg)
async def _book(self, msg: dict, timestamp: float):
'''
{
'instrument_name': 'BTC_USDT',
'subscription': 'book.BTC_USDT.150',
'channel': 'book',
'depth': 150,
'data': [
{
'bids': [
[Decimal('57553.03'), Decimal('0.481606'), 2],
[Decimal('57552.47'), Decimal('0.000418'), 1],
...
]
'asks': [
[Decimal('57555.44'), Decimal('0.343236'), 1],
[Decimal('57555.95'), Decimal('0.026062'), 1],
...
]
}
]
}
'''
pair = self.exchange_symbol_to_std_symbol(msg['instrument_name'])
for entry in msg['data']:
if pair not in self._l2_book:
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth)
self._l2_book[pair].book.bids = {price: amount for price, amount, _ in entry['bids']}
self._l2_book[pair].book.asks = {price: amount for price, amount, _ in entry['asks']}
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=self.timestamp_normalize(entry['t']), raw=entry)
async def _snapshot(self, symbol: str, sequence_number: int):
while True:
ret, headers = await self.http_conn.read(
f'https://api.bittrex.com/v3/markets/{symbol}/orderbook?depth={self.__depth()}',
return_headers=True)
seq = int(headers['Sequence'])
if seq >= sequence_number:
break
await asyncio.sleep(1.0)
self.seq_no[symbol] = seq
data = json.loads(ret, parse_float=Decimal)
self._l2_book[symbol] = OrderBook(self.id,
symbol,
max_depth=self.max_depth)
for side, entries in data.items():
self._l2_book[symbol].book[side] = {
Decimal(e['rate']): Decimal(e['quantity'])
for e in entries
}
await self.book_callback(L2_BOOK,
self._l2_book[symbol],
time.time(),
raw=data,
sequence_number=seq)
async def _snapshot(self, symbol: str, sequence_number: int):
while True:
ret, headers = await self.http_conn.read(
self.rest_endpoints[0].route('l2book', self.sandbox).format(
symbol, self.__depth()),
return_headers=True)
seq = int(headers['Sequence'])
if seq >= sequence_number:
break
await asyncio.sleep(1.0)
self.seq_no[symbol] = seq
data = json.loads(ret, parse_float=Decimal)
self._l2_book[symbol] = OrderBook(self.id,
symbol,
max_depth=self.max_depth)
for side, entries in data.items():
self._l2_book[symbol].book[side] = {
Decimal(e['rate']): Decimal(e['quantity'])
for e in entries
}
await self.book_callback(L2_BOOK,
self._l2_book[symbol],
time.time(),
raw=data,
sequence_number=seq)
async def _book(self, msg: dict, timestamp: float):
"""
{
"jsonrpc":"2.0",
"method":"channelMessage",
"params":{
"channel":"lightning_board_BTC_JPY",
"message":{
"mid_price":2534243.0,
"bids":[
],
"asks":[
{
"price":2534500.0,
"size":0.0
},
{
"price":2536101.0,
"size":0.0
}
]
}
}
}
"""
snapshot = msg['params']['channel'].startswith('lightning_board_snapshot')
if snapshot:
pair = msg['params']['channel'].split("lightning_board_snapshot")[1][1:]
else:
pair = msg['params']['channel'].split("lightning_board")[1][1:]
pair = self.exchange_symbol_to_std_symbol(pair)
# Ignore deltas until a snapshot is received
if pair not in self._l2_book and not snapshot:
return
delta = None
if snapshot:
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth)
else:
delta = {BID: [], ASK: []}
data = msg['params']['message']
for side in ('bids', 'asks'):
s = BID if side == 'bids' else ASK
if snapshot:
self._l2_book[pair].book[side] = {d['price']: d['size'] for d in data[side]}
else:
for entry in data[side]:
if entry['size'] == 0:
if entry['price'] in self._l2_book[pair].book[side]:
del self._l2_book[pair].book[side][entry['price']]
delta[s].append((entry['price'], Decimal(0.0)))
else:
self._l2_book[pair].book[side][entry['price']] = entry['size']
delta[s].append((entry['price'], entry['size']))
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, raw=msg, delta=delta)
async def l2_book(self, symbol: str, retry_count=1, retry_delay=60):
ret = OrderBook(self.id, symbol)
data = await self._get('orderBook/L2', self.std_symbol_to_exchange_symbol(symbol), retry_count, retry_delay)
for update in data:
side = ASK if update['side'] == 'Sell' else BID
ret.book[side][decimal.Decimal(update['price'])] = decimal.Decimal(update['size'])
return ret
async def l2_book(self, symbol: str, retry_count=1, retry_delay=60):
ret = OrderBook(self.id, symbol)
sym = self.std_symbol_to_exchange_symbol(symbol)
data = await self.http_conn.read(f"{self.api}/markets/{sym}/orderbook?depth=100", retry_count=retry_count, retry_delay=retry_delay)
data = json.loads(data, parse_float=Decimal)['result']
ret.book.bids = {u[0]: u[1] for u in data['bids']}
ret.book.asks = {u[0]: u[1] for u in data['asks']}
return ret
async def l2_book(self, symbol: str, retry_count=1, retry_delay=60):
ret = OrderBook(self.id, symbol)
sym = self.std_symbol_to_exchange_symbol(symbol).replace("/", "")
data = await self._post_public("/public/Depth", {'pair': sym, 'count': 200}, retry_count=retry_count, retry_delay=retry_delay)
for _, val in data['result'].items():
ret.book.bids = {Decimal(u[0]): Decimal(u[1]) for u in val['bids']}
ret.book.asks = {Decimal(u[0]): Decimal(u[1]) for u in val['asks']}
return ret
async def _book(self, msg: dict, chan_id: int, timestamp: float):
delta = {BID: [], ASK: []}
msg_type = msg[0][0]
pair = None
# initial update (i.e. snapshot)
if msg_type == 'i':
delta = None
pair = msg[0][1]['currencyPair']
pair = self.exchange_symbol_to_std_symbol(pair)
self._l2_book[pair] = OrderBook(self.id,
pair,
max_depth=self.max_depth)
# 0 is asks, 1 is bids
order_book = msg[0][1]['orderBook']
for index, side in enumerate([ASK, BID]):
for key in order_book[index]:
amount = Decimal(order_book[index][key])
price = Decimal(key)
self._l2_book[pair].book[side][price] = amount
else:
pair = self._channel_map[chan_id]
pair = self.exchange_symbol_to_std_symbol(pair)
for update in msg:
msg_type = update[0]
# order book update
if msg_type == 'o':
side = ASK if update[1] == 0 else BID
price = Decimal(update[2])
amount = Decimal(update[3])
if amount == 0:
delta[side].append((price, 0))
del self._l2_book[pair].book[side][price]
else:
delta[side].append((price, amount))
self._l2_book[pair].book[side][price] = amount
elif msg_type == 't':
# index 1 is trade id, 2 is side, 3 is price, 4 is amount, 5 is timestamp, 6 is timestamp ms
_, order_id, _, price, amount, server_ts, _ = update
price = Decimal(price)
amount = Decimal(amount)
t = Trade(self.id,
pair,
BUY if update[2] == 1 else SELL,
amount,
price,
float(server_ts),
id=order_id,
raw=msg)
await self.callback(TRADES, t, timestamp)
else:
LOG.warning("%s: Unexpected message received: %s", self.id,
msg)
await self.book_callback(L2_BOOK,
self._l2_book[pair],
timestamp,
delta=delta,
raw=msg)
async def l2_book(self, symbol: str, retry_count=1, retry_delay=60):
data = await self._request('GET',
f'/products/{symbol}/book?level=2',
retry_count=retry_count,
retry_delay=retry_delay)
ret = OrderBook(self.id, symbol)
ret.book.bids = {Decimal(u[0]): Decimal(u[1]) for u in data['bids']}
ret.book.asks = {Decimal(u[0]): Decimal(u[1]) for u in data['asks']}
return ret
async def l2_book(self, symbol: str, retry_count=1, retry_delay=60):
ret = OrderBook(self.id, symbol)
sym = self.std_symbol_to_exchange_symbol(symbol)
data = await self._get("returnOrderBook",
params=f"¤cyPair={sym}",
retry_count=retry_count,
retry_delay=retry_delay)
ret.book.bids = {Decimal(u[0]): Decimal(u[1]) for u in data['bids']}
ret.book.asks = {Decimal(u[0]): Decimal(u[1]) for u in data['asks']}
return ret
async def _snapshot(self, pairs: list, conn: AsyncConnection):
await asyncio.sleep(5)
urls = [f'https://www.bitstamp.net/api/v2/order_book/{sym}' for sym in pairs]
results = [await self.http_conn.read(url) for url in urls]
results = [json.loads(resp, parse_float=Decimal) for resp in results]
for r, pair in zip(results, pairs):
std_pair = self.exchange_symbol_to_std_symbol(pair) if pair else 'BTC-USD'
self.last_update_id[std_pair] = r['timestamp']
self._l2_book[std_pair] = OrderBook(self.id, std_pair, max_depth=self.max_depth, asks={Decimal(u[0]): Decimal(u[1]) for u in r['asks']}, bids={Decimal(u[0]): Decimal(u[1]) for u in r['bids']})
await self.book_callback(L2_BOOK, self._l2_book[std_pair], time.time(), timestamp=float(r['timestamp']), raw=r)
async def _pair_level2_snapshot(self, msg: dict, timestamp: float):
pair = self.exchange_symbol_to_std_symbol(msg['product_id'])
bids = {Decimal(price): Decimal(amount) for price, amount in msg['bids']}
asks = {Decimal(price): Decimal(amount) for price, amount in msg['asks']}
if pair not in self._l2_book:
self._l2_book[pair] = OrderBook(self.id, pair, max_depth=self.max_depth, bids=bids, asks=asks)
else:
self._l2_book[pair].book.bids = bids
self._l2_book[pair].book.asks = asks
await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, raw=msg)
async def _book(self, msg: dict, timestamp: float):
"""
{
'book': {
'asks': [],
'bids': [
[345475000, 14340]
]
},
'depth': 30,
'sequence': 9047872983,
'symbol': 'BTCUSD',
'timestamp': 1625329629283990943,
'type': 'incremental'
}
"""
symbol = self.exchange_symbol_to_std_symbol(msg['symbol'])
ts = self.timestamp_normalize(msg['timestamp'])
delta = {BID: [], ASK: []}
if msg['type'] == 'snapshot':
delta = None
self._l2_book[symbol] = OrderBook(
self.id,
symbol,
max_depth=self.max_depth,
bids={
Decimal(entry[0]) / Decimal(self.price_scale[symbol]):
Decimal(entry[1])
for entry in msg['book']['bids']
},
asks={
Decimal(entry[0]) / Decimal(self.price_scale[symbol]):
Decimal(entry[1])
for entry in msg['book']['asks']
})
else:
for key, side in (('asks', ASK), ('bids', BID)):
for price, amount in msg['book'][key]:
price = Decimal(price) / Decimal(self.price_scale[symbol])
amount = Decimal(amount)
delta[side].append((price, amount))
if amount == 0:
# for some unknown reason deletes can be repeated in book updates
if price in self._l2_book[symbol].book[side]:
del self._l2_book[symbol].book[side][price]
else:
self._l2_book[symbol].book[side][price] = amount
await self.book_callback(L2_BOOK,
self._l2_book[symbol],
timestamp,
timestamp=ts,
delta=delta)
async def _book(self, pair: str, msg: list, timestamp: float):
"""For L2 book updates."""
if not isinstance(msg[1], list):
if msg[1] != 'hb':
LOG.warning('%s: Unexpected book L2 msg %s', self.id, msg)
return
delta = None
if isinstance(msg[1][0], list):
# snapshot so clear book
self._l2_book[pair] = OrderBook(self.id,
pair,
max_depth=self.max_depth)
for update in msg[1]:
price, _, amount = update
price = Decimal(price)
amount = Decimal(amount)
if amount > 0:
side = BID
else:
side = ASK
amount = abs(amount)
self._l2_book[pair].book[side][price] = amount
else:
# book update
delta = {BID: [], ASK: []}
price, count, amount = msg[1]
price = Decimal(price)
amount = Decimal(amount)
if amount > 0:
side = BID
else:
side = ASK
amount = abs(amount)
if count > 0:
# change at price level
delta[side].append((price, amount))
self._l2_book[pair].book[side][price] = amount
else:
# remove price level
if price in self._l2_book[pair].book[side]:
del self._l2_book[pair].book[side][price]
delta[side].append((price, 0))
await self.book_callback(L2_BOOK,
self._l2_book[pair],
timestamp,
raw=msg,
delta=delta,
sequence_number=msg[-1])
async def _book(self, msg: dict, timestamp: float):
pair = self.exchange_symbol_to_std_symbol(msg['id'])
delta = {BID: [], ASK: []}
if msg['type'] == 'channel_data':
updated = False
offset = int(msg['contents']['offset'])
for side, key in ((BID, 'bids'), (ASK, 'asks')):
for data in msg['contents'][key]:
price = Decimal(data[0])
amount = Decimal(data[1])
if price in self._offsets[
pair] and offset < self._offsets[pair][price]:
continue
updated = True
self._offsets[pair][price] = offset
delta[side].append((price, amount))
if amount == 0:
if price in self._l2_book[pair].book[side]:
del self._l2_book[pair].book[side][price]
else:
self._l2_book[pair].book[side][price] = amount
if updated:
await self.book_callback(L2_BOOK,
self._l2_book[pair],
timestamp,
delta=delta,
raw=msg)
else:
# snapshot
self._l2_book[pair] = OrderBook(self.id,
pair,
max_depth=self.max_depth)
self._offsets[pair] = {}
for side, data in msg['contents'].items():
side = BID if side == 'bids' else ASK
for entry in data:
self._offsets[pair][Decimal(entry['price'])] = int(
entry['offset'])
size = Decimal(entry['size'])
if size > 0:
self._l2_book[pair].book[side][Decimal(
entry['price'])] = size
await self.book_callback(L2_BOOK,
self._l2_book[pair],
timestamp,
delta=None,
raw=msg)
async def _book(self, msg: dict, ts: float):
if 'snapshot' in msg:
for pair, update in msg['snapshot'].items():
symbol = self.exchange_symbol_to_std_symbol(pair)
bids = {
Decimal(price): Decimal(size)
for price, size in update['b']
}
asks = {
Decimal(price): Decimal(size)
for price, size in update['a']
}
self._l2_book[symbol] = OrderBook(self.id,
pair,
max_depth=self.max_depth,
bids=bids,
asks=asks)
await self.book_callback(L2_BOOK,
self._l2_book[symbol],
ts,
sequence_number=update['s'],
delta=None,
raw=msg,
timestamp=self.timestamp_normalize(
update['t']))
self.seq_no[symbol] = update['s']
else:
delta = {BID: [], ASK: []}
for pair, update in msg['update'].items():
symbol = self.exchange_symbol_to_std_symbol(pair)
if self.seq_no[symbol] + 1 != update['s']:
raise MissingSequenceNumber
self.seq_no[symbol] = update['s']
for side, key in ((BID, 'b'), (ASK, 'a')):
for price, size in update[key]:
price = Decimal(price)
size = Decimal(size)
delta[side].append((price, size))
if size == 0:
del self._l2_book[symbol].book[side][price]
else:
self._l2_book[symbol].book[side][price] = size
await self.book_callback(
L2_BOOK,
self._l2_book[symbol],
ts,
sequence_number=update['s'],
delta=delta,
raw=msg,
timestamp=self.timestamp_normalize(update['t']))
async def l2_book(self, symbol: str, retry_count=1, retry_delay=60):
ret = OrderBook(self.id, symbol)
sym = self.std_symbol_to_exchange_symbol(symbol)
data = await self._get(f"/v1/book/{sym}", retry_count, retry_delay)
ret.book.bids = {
Decimal(u['price']): Decimal(u['amount'])
for u in data['bids']
}
ret.book.asks = {
Decimal(u['price']): Decimal(u['amount'])
for u in data['asks']
}
return ret