def start(self, instmt):
"""
Start the exchange gateway
:param instmt: Instrument
:return List of threads
"""
instmt.set_l2_depth(L2Depth(5))
instmt.set_prev_l2_depth(L2Depth(5))
instmt.set_instmt_snapshot_table_name(self.get_instmt_snapshot_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name()))
self.init_instmt_snapshot_table(instmt)
return [self.api_socket.connect(self.api_socket.get_link(),
on_message_handler=partial(self.on_message_handler, instmt),
on_open_handler=partial(self.on_open_handler, instmt),
on_close_handler=partial(self.on_close_handler, instmt))]
def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
l2_depth = L2Depth()
raw = raw["result"]
keys = list(raw.keys())
if cls.get_bids_field_name() in keys and \
cls.get_asks_field_name() in keys:
# Date time
l2_depth.date_time = datetime.utcnow().strftime(
"%Y%m%d %H:%M:%S.%f")
# Bids
bids = raw[cls.get_bids_field_name()]
for i in range(0, 5):
l2_depth.bids[i].price = bids[i][cls.get_price_field_name()]
l2_depth.bids[i].volume = bids[i][cls.get_volume_field_name()]
# Asks
asks = raw[cls.get_asks_field_name()]
for i in range(0, 5):
l2_depth.asks[i].price = asks[i][cls.get_price_field_name()]
l2_depth.asks[i].volume = asks[i][cls.get_volume_field_name()]
else:
raise Exception('Does not contain order book keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return l2_depth
def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
l2_depth = L2Depth()
keys = list(raw.keys())
if cls.get_bids_field_name() in keys and \
cls.get_asks_field_name() in keys:
# No Date time information, has update id only
l2_depth.date_time = datetime.now().strftime("%Y%m%d %H:%M:%S.%f")
# Bids
bids = raw[cls.get_bids_field_name()]
bids = sorted(bids, key=lambda x: x[0], reverse=True)
for i in range(0, 5):
l2_depth.bids[i].price = float(bids[i][0]) if type(bids[i][0]) != float else bids[i][0]
l2_depth.bids[i].volume = float(bids[i][1]) if type(bids[i][1]) != float else bids[i][1]
# Asks
asks = raw[cls.get_asks_field_name()]
asks = sorted(asks, key=lambda x: x[0])
for i in range(0, 5):
l2_depth.asks[i].price = float(asks[i][0]) if type(asks[i][0]) != float else asks[i][0]
l2_depth.asks[i].volume = float(asks[i][1]) if type(asks[i][1]) != float else asks[i][1]
else:
raise Exception('Does not contain order book keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return l2_depth
def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
l2_depth = L2Depth()
keys = list(raw.keys())
if cls.get_bids_field_name() in keys and \
cls.get_asks_field_name() in keys:
# Bids
bids = raw[cls.get_bids_field_name()]
bids = sorted(bids, key=lambda x: x[0], reverse=True)
for i in range(0, len(bids)):
l2_depth.bids[i].price = float(bids[i][0]) if type(bids[i][0]) != float else bids[i][0]
l2_depth.bids[i].volume = float(bids[i][1]) if type(bids[i][1]) != float else bids[i][1]
# Asks
asks = raw[cls.get_asks_field_name()]
asks = sorted(asks, key=lambda x: x[0])
for i in range(0, len(asks)):
l2_depth.asks[i].price = float(asks[i][0]) if type(asks[i][0]) != float else asks[i][0]
l2_depth.asks[i].volume = float(asks[i][1]) if type(asks[i][1]) != float else asks[i][1]
return l2_depth
def start(self, instmt):
"""
Start the exchange gateway
:param instmt: Instrument
:return List of threads
"""
instmt.set_prev_l2_depth(L2Depth(5))
instmt.set_l2_depth(L2Depth(5))
instmt.set_instmt_snapshot_table_name(self.get_instmt_snapshot_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name()))
self.init_instmt_snapshot_table(instmt)
t1 = threading.Thread(target=partial(self.get_order_book_worker, instmt))
t1.start()
t2 = threading.Thread(target=partial(self.get_trades_worker, instmt))
t2.start()
return [t1, t2]
def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
keys = list(raw.keys())
if cls.get_bids_field_name() in keys and \
cls.get_asks_field_name() in keys:
l2_depth = L2Depth()
# Bids
bids = raw[cls.get_bids_field_name()]
bid_level = -1
for bid in bids:
price = bid[cls.get_order_book_price_field_name()]
volume = bid[cls.get_order_book_volume_field_name()]
if bid_level == -1 or l2_depth.bids[bid_level].price != price:
bid_level += 1
if bid_level < 5:
l2_depth.bids[bid_level].price = float(price)
else:
break
l2_depth.bids[bid_level].volume += float(volume)
# Asks
asks = raw[cls.get_asks_field_name()]
ask_level = -1
for ask in asks:
price = ask[cls.get_order_book_price_field_name()]
volume = ask[cls.get_order_book_volume_field_name()]
if ask_level == -1 or l2_depth.asks[ask_level].price != price:
ask_level += 1
if ask_level < 5:
l2_depth.asks[ask_level].price = float(price)
else:
break
l2_depth.asks[ask_level].volume += float(volume)
return l2_depth
else:
raise Exception('Does not contain order book keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
:return List of threads
"""
instmt.set_l2_depth(L2Depth(5))
instmt.set_prev_l2_depth(L2Depth(5))
instmt.set_instmt_snapshot_table_name(
self.get_instmt_snapshot_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name()))
self.init_instmt_snapshot_table(instmt)
instmt.set_recovered(False)
t1 = threading.Thread(
target=partial(self.get_order_book_worker, instmt))
t2 = threading.Thread(target=partial(self.get_trades_worker, instmt))
t1.start()
t2.start()
return [t1, t2]
if __name__ == '__main__':
Logger.init_log()
exchange_name = 'Poloniex'
instmt_name = 'BTCETH'
instmt_code = 'BTC_ETH'
instmt = Instrument(exchange_name, instmt_name, instmt_code)
db_storage = SqlStorageTemplate()
exch = ExchGwPoloniex([db_storage])
instmt.set_l2_depth(L2Depth(5))
instmt.set_prev_l2_depth(L2Depth(5))
instmt.set_recovered(False)
# exch.get_order_book_worker(instmt)
exch.get_trades_worker(instmt)
def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
def get_order_info(data):
return (
data['price'] if 'price' in data.keys() else None,
(0 if data['side'] == "Buy" else 1),
data['id'],
data['size'] if 'size' in data.keys() else None
)
if raw['action'] in ('partial', 'insert'):
# Order book initialization or insertion
for data in raw['data']:
if data['symbol'] != instmt.get_instmt_code():
continue
price, side, id, volume = get_order_info(data)
instmt.realtime_order_book_ids[side][id] = price
if price not in instmt.realtime_order_book_prices[side].keys():
instmt.realtime_order_book_prices[side][price] = { id: volume }
else:
instmt.realtime_order_book_prices[side][price][id] = volume
elif raw['action'] == 'update':
# Order book update
for data in raw['data']:
if data['symbol'] != instmt.get_instmt_code():
continue
_, side, id, volume = get_order_info(data)
price = instmt.realtime_order_book_ids[side][id]
instmt.realtime_order_book_ids[side][id] = price
instmt.realtime_order_book_prices[side][price][id] = volume
elif raw['action'] == 'delete':
# Order book delete
for data in raw['data']:
if data['symbol'] != instmt.get_instmt_code():
continue
_, side, id, _ = get_order_info(data)
price = instmt.realtime_order_book_ids[side][id]
del instmt.realtime_order_book_prices[side][price][id]
if len(instmt.realtime_order_book_prices[side][price]) == 0:
del instmt.realtime_order_book_prices[side][price]
# return l2_depth
l2_depth = L2Depth()
l2_depth.date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
bids_px = sorted(list(instmt.realtime_order_book_prices[0].keys()), reverse=True)[:5]
asks_px = sorted(list(instmt.realtime_order_book_prices[1].keys()))[:5]
bids_qty = [sum(instmt.realtime_order_book_prices[0][px].values()) for px in bids_px]
asks_qty = [sum(instmt.realtime_order_book_prices[1][px].values()) for px in asks_px]
for i in range(0, 5):
l2_depth.bids[i].price = bids_px[i]
l2_depth.bids[i].volume = bids_qty[i]
l2_depth.asks[i].price = asks_px[i]
l2_depth.asks[i].volume = asks_qty[i]
return l2_depth