def main():
parser = argparse.ArgumentParser(
description="Archive market data from WebSocket API.")
parser.add_argument('-e',
'--exchange',
metavar='exchange',
required=True,
help='exchange id.')
parser.add_argument('-s',
'--symbol',
metavar='symbol',
required=True,
help='symbol of exchange.')
parser.add_argument('-m',
'--mode',
metavar='mode',
required=True,
help='market mode.')
parser.add_argument('-f',
'--function',
metavar='function',
required=True,
help='handle data.')
args = parser.parse_args()
ex, currency_pair, mode, func = args.exchange, args.symbol, args.mode, args.function
load_logger_config(ex)
try:
ex = getattr(ccws, ex)()
ex.set_market(currency_pair, mode)
getattr(ex, func)()
except Exception as e:
ex.Logger.exception(e)
def test_ETH_USD_check_trade(self):
self.set_market('ETH/USD', 'order')
load_logger_config('gdax_ETH_USD_check_trade_test')
logger = logging.getLogger('gdax_ETH_USD_check_trade_test')
yesterday = datetime.datetime.fromtimestamp(
time.time(), TIMEZONE) + datetime.timedelta(days=-1)
fn1 = '%s/%4d/%02d/%02d/%s' % (HOME_PATH, yesterday.year,
yesterday.month, yesterday.day,
'ETH_USD-gdax.book.csv.gz')
fn2 = '%s/%4d/%02d/%02d/%s' % (HOME_PATH, yesterday.year,
yesterday.month, yesterday.day,
'ETH_USD-gdax.ticker.csv.gz')
output = '%s/%4d/%02d/%02d/%s' % (HOME_PATH, yesterday.year,
yesterday.month, yesterday.day,
'ETH_USD-gdax.consolidate.book.csv')
self.check_trade(logger, fn1, fn2, output)
def __init__(self, *args, **kwargs):
Bitmex.__init__(self)
Test.__init__(self, *args, **kwargs)
load_logger_config('bitmex_test')
self.Logger = logging.getLogger('bitmex_test')
def disable_test_BTC_USD_check_trade(self):
self.set_market('BTC/USD', 'orderbook10')
load_logger_config('bitmex_BTC_USD_check_trade_test')
logger = logging.getLogger('bitmex_BTC_USD_check_trade_test')
yesterday = datetime.datetime.fromtimestamp(time.time(), TIMEZONE) + datetime.timedelta(days=-1)
fn1 = '%s/%4d/%02d/%02d/%s' % (HOME_PATH, yesterday.year, yesterday.month, yesterday.day,
'BTC_USD-bitmex.book.csv.gz')
fn2 = '%s/%4d/%02d/%02d/%s' % (HOME_PATH, yesterday.year, yesterday.month, yesterday.day,
'BTC_USD-bitmex.trade.csv.gz')
with gzip.open(fn1, 'rt') as f1, gzip.open(fn2, 'rt') as f2:
reader1 = csv.DictReader(f1)
reader2 = csv.DictReader(f2)
last_book = reader1.__next__()
pointer_book = 0
pointer_trade = 0
end_point = 0
missing_time = 0
last_timestamp = 0
trade_tmp = dict()
trade_tmp['bid'] = collections.OrderedDict()
trade_tmp['ask'] = collections.OrderedDict()
initial = True
for row2 in reader2:
pointer_trade += 1
timestamp = int(row2['timestamp'])
side = 'bid' if row2['side'] == 'Sell' else 'ask'
price = float(row2['price'])
amount = float(row2['size'])
if timestamp == last_timestamp or initial:
initial = False
trade_tmp[side][price] = trade_tmp[side].get(price, 0) + amount
else:
for row1 in reader1:
pointer_book += 1
if int(row1['timestamp']) - timestamp > 2000:
missing_time += 1
logger.info("missing match for trade %d time %d" % (pointer_trade,
last_timestamp))
f1.seek(0)
tmp = end_point + 1
while tmp:
tmp -= 1
last_book = reader1.__next__()
pointer_book = end_point
break
present_book = row1
for s in ['bid', 'ask']:
num = 0
key_num = len(trade_tmp[s]) - 1
if key_num == -1:
continue
flag = True
price_tag_0 = '%sp0' % s
value_tag_0 = '%sv0' % s
for prices in trade_tmp[s].keys():
if num > 9:
logger.info('out of book10 in time %d' % last_timestamp)
break
price_tag = '%sp%d' % (s, num)
value_tag = '%sv%d' % (s, num)
if num < key_num and not (self.check_equal(float(last_book[price_tag]), prices,
self.Config['TickSize']/2) and
self.check_equal(float(last_book[value_tag]),
trade_tmp[s][prices],
self.Config['AmountMin']/2)):
flag = False
break
elif num == key_num and not ((present_book[price_tag_0] == last_book[price_tag]
and self.check_equal(float(present_book[price_tag]),
prices, self.Config['TickSize']/2)
and self.check_equal(float(last_book[value_tag]) -
float(present_book[value_tag_0]),
trade_tmp[s][prices],
self.Config['AmountMin']/2))
or (self.check_equal(float(last_book[price_tag]), prices,
self.Config['TickSize']/2)
and self.check_equal(float(last_book[value_tag]),
trade_tmp[s][prices],
self.Config['AmountMin']/2))):
flag = False
num += 1
if flag:
last_book = present_book
end_point = pointer_book
break
last_book = present_book
for s in ['bid', 'ask']:
trade_tmp[s] = collections.OrderedDict()
trade_tmp[side][price] = trade_tmp[side].get(price, 0) + amount
last_timestamp = timestamp
tmp2 = 0
for row1 in reader1:
tmp2 += 1
if tmp2 > 1000:
logger.info("missing match for last")
missing_time += 1
break
present_book = row1
for s in ['bid', 'ask']:
num = 0
key_num = len(trade_tmp[s]) - 1
if key_num == -1:
continue
flag = True
price_tag_0 = '%sp0' % s
value_tag_0 = '%sv0' % s
for prices in trade_tmp[s].keys():
if num > 9:
logger.info('out of book10 in time %d' % last_timestamp)
break
price_tag = '%sp%d' % (s, num)
value_tag = '%sv%d' % (s, num)
if num < key_num and not (
self.check_equal(float(last_book[price_tag]), prices, self.Config['TickSize']/2)
and self.check_equal(float(last_book[value_tag]), trade_tmp[s][prices],
self.Config['AmountMin']/2)):
flag = False
break
elif num == key_num and not ((present_book[price_tag_0] == last_book[price_tag]
and self.check_equal(float(present_book[price_tag]), prices,
self.Config['TickSize']/2)
and self.check_equal(
float(last_book[value_tag]) - float(present_book[value_tag_0]),
trade_tmp[s][prices], self.Config['AmountMin']/2))
or (self.check_equal(float(last_book[price_tag]), prices,
self.Config['TickSize']/2)
and self.check_equal(float(last_book[value_tag]),
trade_tmp[s][prices],
self.Config['AmountMin']/2))):
flag = False
num += 1
if flag:
break
last_book = present_book
self.assertEqual(missing_time, 0)
