def test_keeps_book_intact_when_delete_on_empty_book(self):
empty_book = Book()
delete_bid = MBLUpdate.create_delete_bid_level(18.1)
mbl = MBL(5)
updated_book = mbl.update(empty_book, delete_bid)
expected_book = Book()
self.assertEqual(expected_book, updated_book)
def btfxwss():
log = logging.getLogger(__name__)
fh = logging.FileHandler('test.log')
fh.setLevel(logging.DEBUG)
sh = logging.StreamHandler(sys.stdout)
sh.setLevel(logging.DEBUG)
log.addHandler(sh)
log.addHandler(fh)
logging.basicConfig(level=logging.DEBUG, handlers=[fh, sh])
wss = BtfxWss()
wss.start()
while not wss.conn.connected.is_set():
time.sleep(1)
# Subscribe to some channels
wss.subscribe_to_ticker('BTCUSD')
wss.subscribe_to_order_book('BTCUSD')
wss.subscribe_to_order_book('ETHUSD')
# Wait for subscription...
time.sleep(2)
mbl = MBL()
book = Book()
recorder = Recorder(open("output.txt", mode='w'))
# Accessing data stored in BtfxWss:
books_queue = wss.books('ETHUSD') # returns a Queue object for the pair.
while True:
book_update = books_queue.get()[0][0]
if len(book_update) > 3:
print("snapshot")
mbl_snapshot = MBLSnapshot(book_update)
book = mbl.from_snapshot(mbl_snapshot)
recorder.on_mbl(book)
elif len(book_update) == 3:
print("update: " + str(book_update))
update = MBLUpdate(book_update[0], book_update[1], book_update[2])
book = mbl.update(book, update)
recorder.on_mbl(book)
# Unsubscribing from channels:
wss.unsubscribe_from_ticker('BTCUSD')
wss.unsubscribe_from_order_book('BTCUSD')
# Shutting down the client:
wss.stop()
def test_adds_bid_to_empty_book_when_update_on_bid(self):
book = Book()
bid_update = MBLUpdate(13.1, 4, 126)
mbl = MBL(5)
updated_book = mbl.update(book, bid_update)
expected_book = Book()
expected_book.add_bid(Level(13.1, 4, 126))
self.assertEqual(expected_book, updated_book)
def test_keeps_book_intact_when_delete_missing_level(self):
book = Book()
book.add_bid(Level(13.1, 1, 2))
book.add_bid(Level(15.1, 1, 2))
delete_bid = MBLUpdate.create_delete_bid_level(18.1)
mbl = MBL(5)
updated_book = mbl.update(book, delete_bid)
expected_book = Book([Level(13.1, 1, 2), Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_deletes_existing_level_when_update_on_bid(self):
book = Book()
book.add_bid(Level(13.1, 1, 2))
book.add_bid(Level(15.1, 1, 2))
delete_bid = MBLUpdate.create_delete_bid_level(13.1)
mbl = MBL(5)
updated_book = mbl.update(book, delete_bid)
expected_book = Book([Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_cut_extra_levels_when_update_on_full_bid(self):
book = Book()
book.add_bid(Level(15.1, 1, 2))
book.add_bid(Level(13.1, 1, 2))
bid_update = MBLUpdate(17.1, 1, 2)
mbl = MBL(length=2)
updated_book = mbl.update(book, bid_update)
expected_book = Book([Level(17.1, 1, 2), Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_updates_existing_bid_level_when_update_on_bid(self):
book = Book()
book.add_bid(Level(13.1, 2, 7))
bid_update = MBLUpdate(13.1, 4, 126)
mbl = MBL(5)
updated_book = mbl.update(book, bid_update)
expected_book = Book()
expected_book.add_bid(Level(13.1, 4, 126))
self.assertEqual(expected_book, updated_book)
def test_updates_existing_bid(self):
book = Book()
book.add_bid(Level(11705.0, 1, 0.381988))
book.add_bid(Level(11704.0, 4, 0.955999))
book.add_bid(Level(11703.0, 1, 0.165141))
print(book)
mbl = MBL(3)
bid_update = MBLUpdate(11704.0, 3, 0.94745498)
updated_book = mbl.update(book, bid_update)
print(updated_book)
expected_book = Book()
expected_book.add_bid(Level(11705.0, 1, 0.381988))
expected_book.add_bid(Level(11704.0, 3, 0.94745498))
expected_book.add_bid(Level(11703.0, 1, 0.165141))
self.assertEqual(expected_book, updated_book)
async def home_made_websocket(in_queue):
async with websockets.connect("wss://api.bitfinex.com/ws/2") as ws:
result = await ws.recv()
result = json.loads(result)
print("Connection established to Bitfinex api version %s " %
result['version'])
# Subscribe
await ws.send(
json.dumps({
"event": "subscribe",
"channel": "book",
"symbol": "tBTCUSD",
"prec": "P0",
"freq": "F0",
"len": "25"
}))
# Subscribe
await ws.send(
json.dumps({
"event": "subscribe",
"channel": "trades",
"symbol": "tBTCUSD"
}))
mbl = MBL()
book = Book()
trades = Trades()
channel_ids = {}
try:
while True:
result = await ws.recv()
result = json.loads(result)
fct_to_call = None
decoded_msg = Book()
if 'event' in result and result['event'] == 'subscribed':
print("Subscribed to %s channel for %s" %
(result['channel'], result['pair']))
if result['channel'] == 'book':
channel_ids[result['chanId']] = 'b'
elif result['channel'] == 'trades':
channel_ids[result['chanId']] = 't'
elif result[0] in channel_ids and channel_ids[
result[0]] == 't':
if result[1] == 'tu':
pass
elif result[1] == 'hb':
pass
elif len(result[1]) > 3:
trades = Trades(result[1], length=3)
decoded_msg = trades
fct_to_call = 'on_trade'
elif result[1] == 'te':
trades.add_trade(
Trade(result[2][1], result[2][2], result[2][3]))
decoded_msg = trades
fct_to_call = 'on_trade'
elif result[0] in channel_ids and channel_ids[
result[0]] == 'b':
if len(result[1]) > 3:
mbl_snapshot = MBLSnapshot(result[1])
book = mbl.from_snapshot(mbl_snapshot)
decoded_msg = book
fct_to_call = 'on_mbl'
elif result[1] == 'hb':
pass
elif len(result[1]) == 3:
# print("update: " + str(result[1]))
update = MBLUpdate(result[1][0], result[1][1],
result[1][2])
book = mbl.update(book, update)
decoded_msg = book
fct_to_call = 'on_mbl'
if fct_to_call is not None:
in_queue.put({
'event_name': fct_to_call,
'data': decoded_msg
})
except KeyboardInterrupt:
print("Keyboard interruption in websocket")
finally:
print("Cleaning websocket")