async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
async with websockets.connect(WS_URL) as ws:
ws: websockets.WebSocketClientProtocol = ws
for trading_pair in trading_pairs:
request: Dict[str, str] = {
"type": "SUBSCRIBE",
"topic": "BOOK",
"market": trading_pair
}
await ws.send(ujson.dumps(request))
async for raw_msg in self._inner_messages(ws):
msg = ujson.loads(raw_msg)
# Valid Diff messages from RadarRelay have action key
if "action" in msg:
diff_msg: RadarRelayOrderBookMessage = RadarRelayOrderBook.diff_message_from_exchange(
msg, time.time())
output.put_nowait(diff_msg)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error(
"Unexpected error with WebSocket connection. Retrying after 30 seconds...",
exc_info=True)
await asyncio.sleep(30.0)
async def get_new_order_book(self, trading_pair: str) -> OrderBook:
async with aiohttp.ClientSession() as client:
snapshot: Dict[str, any] = await self.get_snapshot(
client, trading_pair)
snapshot_timestamp: float = time.time()
snapshot_msg: RadarRelayOrderBookMessage = RadarRelayOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"trading_pair": trading_pair})
radar_relay_order_book: OrderBook = self.order_book_create_function(
)
radar_relay_active_order_tracker: RadarRelayActiveOrderTracker = RadarRelayActiveOrderTracker(
)
bids, asks = radar_relay_active_order_tracker.convert_snapshot_message_to_order_book_row(
snapshot_msg)
radar_relay_order_book.apply_snapshot(bids, asks,
snapshot_msg.update_id)
return radar_relay_order_book
async def get_tracking_pairs(self) -> Dict[str, OrderBookTrackerEntry]:
# Get the currently active markets
async with aiohttp.ClientSession() as client:
trading_pairs: List[str] = await self.get_trading_pairs()
retval: Dict[str, OrderBookTrackerEntry] = {}
number_of_pairs: int = len(trading_pairs)
for index, trading_pair in enumerate(trading_pairs):
try:
snapshot: Dict[str, any] = await self.get_snapshot(
client, trading_pair)
snapshot_timestamp: float = time.time()
snapshot_msg: RadarRelayOrderBookMessage = RadarRelayOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"symbol": trading_pair})
radar_relay_order_book: OrderBook = self.order_book_create_function(
)
radar_relay_active_order_tracker: RadarRelayActiveOrderTracker = RadarRelayActiveOrderTracker(
)
bids, asks = radar_relay_active_order_tracker.convert_snapshot_message_to_order_book_row(
snapshot_msg)
radar_relay_order_book.apply_snapshot(
bids, asks, snapshot_msg.update_id)
retval[trading_pair] = RadarRelayOrderBookTrackerEntry(
trading_pair, snapshot_timestamp,
radar_relay_order_book,
radar_relay_active_order_tracker)
self.logger().info(
f"Initialized order book for {trading_pair}. "
f"{index+1}/{number_of_pairs} completed.")
await asyncio.sleep(0.9)
except Exception:
self.logger().error(
f"Error getting snapshot for {trading_pair}. ",
exc_info=True)
await asyncio.sleep(5.0)
return retval
async def listen_for_order_book_snapshots(self,
ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
client: aiohttp.ClientSession = self.http_client()
for trading_pair in trading_pairs:
try:
snapshot: Dict[str, any] = await self.get_snapshot(
client, trading_pair)
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = RadarRelayOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"symbol": trading_pair})
output.put_nowait(snapshot_msg)
self.logger().debug(
f"Saved order book snapshot for {trading_pair}")
await asyncio.sleep(5.0)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error.", exc_info=True)
await asyncio.sleep(5.0)
this_hour: pd.Timestamp = pd.Timestamp.utcnow().replace(
minute=0, second=0, microsecond=0)
next_hour: pd.Timestamp = this_hour + pd.Timedelta(hours=1)
delta: float = next_hour.timestamp() - time.time()
await asyncio.sleep(delta)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error.", exc_info=True)
await asyncio.sleep(5.0)
def __init__(self, trading_pairs: Optional[List[str]] = None):
super().__init__()
self._trading_pairs: Optional[List[str]] = trading_pairs
self.order_book_create_function = lambda: RadarRelayOrderBook()
def __init__(self, trading_pairs: List[str]):
super().__init__(trading_pairs)
self.order_book_create_function = lambda: RadarRelayOrderBook()
