async def listen_for_order_book_diffs(self, ev_loop: asyncio.AbstractEventLoop, output: asyncio.Queue):
"""
Listen for orderbook diffs using websocket book channel
"""
msg_queue = self._message_queue[self.DIFF_FILTER_ID]
msg = None
while True:
try:
msg = await msg_queue.get()
msg_timestamp = int(time.time() * 1e3)
if "reset" in msg and msg["reset"] is True:
# First response from websocket is a snapshot. This is only when reset = True
snapshot_msg: OrderBookMessage = ProbitOrderBook.snapshot_message_from_exchange(
msg=msg,
timestamp=msg_timestamp,
)
output.put_nowait(snapshot_msg)
else:
diff_msg: OrderBookMessage = ProbitOrderBook.diff_message_from_exchange(
msg=msg,
timestamp=msg_timestamp,
metadata={"market_id": msg["market_id"]}
)
output.put_nowait(diff_msg)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error(
f"Error while parsing OrderBookMessage from ws message {msg}", exc_info=True
)
async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
"""
Listen for orderbook diffs using websocket book channel
"""
while True:
try:
async with websockets.connect(
uri=CONSTANTS.WSS_URL.format(self._domain)) as ws:
ws: websockets.WebSocketClientProtocol = ws
for trading_pair in self._trading_pairs:
params: Dict[str, Any] = {
"channel": "marketdata",
"filter": ["order_books"],
"interval": 100,
"market_id": trading_pair,
"type": "subscribe"
}
await ws.send(ujson.dumps(params))
async for raw_msg in self._inner_messages(ws):
msg_timestamp: int = int(time.time() * 1e3)
msg: Dict[str, Any] = ujson.loads(raw_msg)
if "order_books" not in msg:
# Unrecognized response from "order_books" channel
continue
if "reset" in msg and msg["reset"] is True:
# First response from websocket is a snapshot. This is only when reset = True
snapshot_msg: OrderBookMessage = ProbitOrderBook.snapshot_message_from_exchange(
msg=msg,
timestamp=msg_timestamp,
)
output.put_nowait(snapshot_msg)
else:
diff_msg: OrderBookMessage = ProbitOrderBook.diff_message_from_exchange(
msg=msg,
timestamp=msg_timestamp,
metadata={"market_id": msg["market_id"]})
output.put_nowait(diff_msg)
except asyncio.CancelledError:
raise
except Exception:
self.logger().network(
"Unexpected error with WebSocket connection.",
exc_info=True,
app_warning_msg=
"Unexpected error with WebSocket connection. Retrying in 30 seconds. "
"Check network connection.")
await asyncio.sleep(30.0)
finally:
await ws.close()
async def get_new_order_book(self, trading_pair: str) -> OrderBook:
snapshot: Dict[str, Any] = await self.get_order_book_data(trading_pair)
snapshot_timestamp: int = int(time.time() * 1e3)
snapshot_msg: OrderBookMessage = ProbitOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"trading_pair": trading_pair})
order_book = self.order_book_create_function()
bids, asks = probit_utils.convert_snapshot_message_to_order_book_row(
snapshot_msg)
order_book.apply_snapshot(bids, asks, snapshot_msg.update_id)
return order_book
async def listen_for_order_book_snapshots(self,
ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
"""
Listen for orderbook snapshots by fetching orderbook
"""
while True:
try:
for trading_pair in self._trading_pairs:
try:
snapshot: Dict[str,
any] = await self.get_order_book_data(
trading_pair, domain=self._domain)
snapshot_timestamp: int = int(time.time() * 1e3)
snapshot_msg: OrderBookMessage = ProbitOrderBook.snapshot_message_from_exchange(
msg=snapshot,
timestamp=snapshot_timestamp,
metadata={
"market_id": trading_pair
} # Manually insert trading_pair here since API response does include trading pair
)
output.put_nowait(snapshot_msg)
self.logger().debug(
f"Saved order book snapshot for {trading_pair}")
# Be careful not to go above API rate limits.
await asyncio.sleep(5.0)
except asyncio.CancelledError:
raise
except Exception:
self.logger().network(
"Unexpected error with WebSocket connection.",
exc_info=True,
app_warning_msg=
"Unexpected error with WebSocket connection. Retrying in 5 seconds. "
"Check network connection.")
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)
async def listen_for_trades(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
"""
Listen for trades using websocket trade channel
"""
while True:
try:
async with websockets.connect(
uri=CONSTANTS.WSS_URL.format(self._domain)) as ws:
for trading_pair in self._trading_pairs:
params: Dict[str, Any] = {
"channel": "marketdata",
"filter": ["recent_trades"],
"interval": 100,
"market_id": trading_pair,
"type": "subscribe"
}
await ws.send(ujson.dumps(params))
async for raw_msg in self._inner_messages(ws):
msg_timestamp: int = int(time.time() * 1e3)
msg = ujson.loads(raw_msg)
if "recent_trades" not in msg:
# Unrecognized response from "recent_trades" channel
continue
if "reset" in msg and msg["reset"] is True:
# Ignores first response from "recent_trades" channel. This response details the last 100 trades.
continue
for trade_entry in msg["recent_trades"]:
trade_msg: OrderBookMessage = ProbitOrderBook.trade_message_from_exchange(
msg=trade_entry,
timestamp=msg_timestamp,
metadata={"market_id": msg["market_id"]})
output.put_nowait(trade_msg)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error.", exc_info=True)
await asyncio.sleep(5.0)
finally:
await ws.close()
async def listen_for_trades(self, ev_loop: asyncio.AbstractEventLoop, output: asyncio.Queue):
"""
Listen for trades using websocket trade channel
"""
msg_queue = self._message_queue[self.TRADE_FILTER_ID]
while True:
try:
msg = await msg_queue.get()
msg_timestamp: int = int(time.time() * 1e3)
if "reset" in msg and msg["reset"] is True:
# Ignores first response from "recent_trades" channel. This response details the last 100 trades.
continue
for trade_entry in msg["recent_trades"]:
trade_msg: OrderBookMessage = ProbitOrderBook.trade_message_from_exchange(
msg=trade_entry,
timestamp=msg_timestamp,
metadata={"market_id": msg["market_id"]})
output.put_nowait(trade_msg)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error.", exc_info=True)