async def setup():
session = aiohttp.ClientSession()
loop = asyncio.get_event_loop()
database = Database(CONFIG.db_name,
db_url=f"http://{CONFIG.host_name}:8123/")
logger = Logger(database)
dispatcher = DiffDepthStreamDispatcher(database, logger)
logger.log_msg("Starting event loop...", LoggingLevel.INFO)
for symbol in CONFIG.symbols:
if "USD_" in symbol:
loop.create_task(
handle_depth_stream(
symbol[4:],
session,
dispatcher,
database,
logger,
loop,
AssetType.USD_M,
))
elif "COIN_" in symbol:
loop.create_task(
handle_depth_stream(
symbol[5:],
session,
dispatcher,
database,
logger,
loop,
AssetType.COIN_M,
))
else:
loop.create_task(
handle_depth_stream(symbol, session, dispatcher, database,
logger, loop, AssetType.SPOT))
async def handle_depth_stream(
symbol: str,
session: ClientSession,
dispatcher: DiffDepthStreamDispatcher,
database: Database,
logger: Logger,
loop: AbstractEventLoop,
asset_type: AssetType,
):
next_full_fetch = time()
logger.log_msg(f"Connecting to {asset_type.value + symbol} stream",
LoggingLevel.INFO, symbol)
prev_final_update_id = None
while True:
async with session.ws_connect(depth_stream_url(symbol,
asset_type)) as ws:
async for msg in ws:
if msg.type == aiohttp.WSMsgType.TEXT:
try:
data_raw = DiffDepthStreamMsg(**msg.json())
except ValidationError:
print(msg.data)
break
s = data_raw.E / 1000.0
timestamp = datetime.utcfromtimestamp(s)
if asset_type == AssetType.SPOT:
first_update_id = data_raw.U
final_update_id = data_raw.u
else:
first_update_id = data_raw.pu + 1
final_update_id = data_raw.u
bids_quantity = [pairs[1] for pairs in data_raw.b]
bids_price = [pairs[0] for pairs in data_raw.b]
asks_quantity = [pairs[1] for pairs in data_raw.a]
asks_price = [pairs[0] for pairs in data_raw.a]
symbol = data_raw.s
symbol_full = asset_type.value + symbol
if next_full_fetch < time():
logger.log_msg(
f"Fetching {symbol_full} full market depth",
LoggingLevel.INFO,
symbol_full,
)
next_full_fetch += CONFIG.full_fetch_interval
loop.create_task(
get_full_depth(symbol, session, database,
asset_type))
if (prev_final_update_id
and prev_final_update_id + 1 != first_update_id):
logger.log_msg(
f"LOB dropped for {symbol_full}, refetching full market depth",
LoggingLevel.INFO,
symbol_full,
)
dispatcher.insert(
timestamp,
first_update_id,
final_update_id,
bids_quantity,
bids_price,
asks_quantity,
asks_price,
symbol_full,
)
if msg.type == aiohttp.WSMsgType.CLOSE:
break
logger.log_msg(
f"Connection closed for {symbol_full} stream, retrying.",
LoggingLevel.INFO,
symbol,
)
next_full_fetch = time()