def on_open(self, ws):
#print("### open ###")
self.logger.info("[Sub][" + str(self.id) + "] Connected to server")
self.ws = ws
self.last_receive_time = get_current_timestamp()
self.state = ConnectionState.CONNECTED
self.__watch_dog.on_connection_created(self)
if self.request.is_trading:
try:
if self.request.api_version == ApiVersion.VERSION_V1:
builder = UrlParamsBuilder()
create_signature(self.__api_key, self.__secret_key, "GET",
self.url, builder)
builder.put_url("op", "auth")
self.send(builder.build_url_to_json())
elif self.request.api_version == ApiVersion.VERSION_V2:
builder = UrlParamsBuilder()
create_signature_v2(self.__api_key, self.__secret_key,
"GET", self.url, builder)
self.send(builder.build_url_to_json())
else:
self.on_error(
"api version for create the signature fill failed")
except Exception as e:
self.on_error("Unexpected error when create the signature: " +
str(e))
else:
if self.request.subscription_handler is not None:
self.request.subscription_handler(self)
return
def request_account_list_channel(client_req_id=None):
channel = dict()
channel["op"] = "req"
channel["topic"] = "accounts.list"
channel["cid"] = str(client_req_id) if client_req_id else str(
get_current_timestamp())
return json.dumps(channel)
def account_channel(mode):
channel = dict()
channel["op"] = "sub"
channel["cid"] = str(get_current_timestamp())
channel["topic"] = "accounts"
channel["model"] = mode
return json.dumps(channel)
def request_order_detail_channel(order_id, client_req_id=None):
channel = dict()
channel["op"] = "req"
channel["topic"] = "orders.detail"
channel["order-id"] = str(order_id)
channel["cid"] = str(client_req_id) if client_req_id else str(
get_current_timestamp())
return json.dumps(channel)
def request_kline_channel(symbol,
interval,
from_ts_second=None,
to_ts_second=None):
channel = dict()
channel["req"] = "market." + symbol + ".kline." + interval
channel["id"] = str(get_current_timestamp())
if from_ts_second:
channel["from"] = int(from_ts_second)
if to_ts_second:
channel["to"] = int(to_ts_second)
return json.dumps(channel)
def request_order_list_channel(symbol,
account_id,
states_str=None,
client_req_id=None):
channel = dict()
try:
channel["op"] = "req"
channel["account-id"] = account_id
channel["topic"] = "orders.list"
channel["symbol"] = symbol
if states_str and len(states_str):
channel["states"] = str(states_str)
channel["cid"] = str(client_req_id) if client_req_id else str(
get_current_timestamp())
except Exception as e:
print(e)
return json.dumps(channel)
def watch_dog_job(*args):
watch_dog_instance = args[0]
for connection in watch_dog_instance.connection_list:
if connection.state == ConnectionState.CONNECTED:
if watch_dog_instance.is_auto_connect:
ts = get_current_timestamp() - connection.last_receive_time
if ts > watch_dog_instance.receive_limit_ms:
watch_dog_instance.logger.warning(
"[Sub][" + str(connection.id) +
"] No response from server")
connection.re_connect_in_delay(
watch_dog_instance.connection_delay_failure)
elif connection.in_delay_connection():
watch_dog_instance.logger.warning("[Sub] call re_connect")
connection.re_connect()
pass
elif connection.state == ConnectionState.CLOSED_ON_ERROR:
if watch_dog_instance.is_auto_connect:
connection.re_connect_in_delay(
watch_dog_instance.connection_delay_failure)
pass
def request_trade_statistics_channel(symbol):
channel = dict()
channel["req"] = "market." + symbol + ".detail"
channel["id"] = str(get_current_timestamp())
return json.dumps(channel)
def request_mbp_channel(symbol, levels):
channel = dict()
channel["req"] = "market.{symbol}.mbp.{levels}".format(symbol=symbol,
levels=levels)
channel["id"] = str(get_current_timestamp())
return json.dumps(channel)
def request_price_depth_channel(symbol, step_type="step0"):
channel = dict()
channel["req"] = "market." + symbol + ".depth." + step_type
channel["id"] = str(get_current_timestamp())
return json.dumps(channel)
def kline_channel(symbol, interval):
channel = dict()
channel["sub"] = "market." + symbol + ".kline." + interval
channel["id"] = str(get_current_timestamp())
return json.dumps(channel)
def orders_update_new_channel(symbol):
channel = dict()
channel["op"] = "sub"
channel["cid"] = str(get_current_timestamp())
channel["topic"] = "orders." + symbol + ".update"
return json.dumps(channel)
def price_depth_bbo_channel(symbol):
channel = dict()
channel["sub"] = "market." + symbol + ".bbo"
channel["id"] = str(get_current_timestamp())
return json.dumps(channel)
def price_depth_channel(symbol, step_type=DepthStep.STEP0):
channel = dict()
channel["sub"] = "market." + symbol + ".depth." + step_type
channel["id"] = str(get_current_timestamp())
return json.dumps(channel)
def trade_channel(symbol):
channel = dict()
channel["sub"] = "market." + symbol + ".trade.detail"
channel["id"] = str(get_current_timestamp())
return json.dumps(channel)
def on_message(self, message):
self.last_receive_time = get_current_timestamp()
if isinstance(message, (str)):
#print("RX string : ", message)
json_wrapper = parse_json_from_string(message)
elif isinstance(message, (bytes)):
#print("RX bytes: " + gzip.decompress(message).decode("utf-8"))
json_wrapper = parse_json_from_string(
gzip.decompress(message).decode("utf-8"))
else:
print("RX unknow type : ", type(message))
return
if json_wrapper.contain_key(
"status") and json_wrapper.get_string("status") != "ok":
error_code = json_wrapper.get_string_or_default(
"err-code", "Unknown error")
error_msg = json_wrapper.get_string_or_default(
"err-msg", "Unknown error")
self.on_error(error_code + ": " + error_msg)
elif json_wrapper.contain_key(
"err-code") and json_wrapper.get_int("err-code") != 0:
error_code = json_wrapper.get_string_or_default(
"err-code", "Unknown error")
error_msg = json_wrapper.get_string_or_default(
"err-msg", "Unknown error")
self.on_error(error_code + ": " + error_msg)
elif json_wrapper.contain_key("op"):
op = json_wrapper.get_string("op")
if op == "notify":
self.__on_receive(json_wrapper)
elif op == "ping":
ping_ts = json_wrapper.get_string("ts")
self.__process_ping_on_trading_line(ping_ts)
elif op == "auth":
if self.request.subscription_handler is not None:
self.request.subscription_handler(self)
elif op == "req":
self.__on_receive(json_wrapper)
elif json_wrapper.contain_key("action"): # for V2
action_name = json_wrapper.get_string("action")
if action_name == "ping":
action_data = json_wrapper.get_object("data")
ping_ts = action_data.get_string("ts")
self.__process_ping_on_v2_trade(ping_ts)
elif action_name == "sub":
action_code = json_wrapper.get_int("code")
if action_code == 200:
logging.info("subscribe ACK received")
else:
logging.error("receive error data : " + message)
elif action_name == "req": #
action_code = json_wrapper.get_int("code")
if action_code == 200:
logging.info("signature ACK received")
if self.request.subscription_handler is not None:
self.request.subscription_handler(self)
else:
logging.error("receive error data : " + message)
elif action_name == "push":
action_data = json_wrapper.get_object("data")
if action_data:
self.__on_receive(json_wrapper)
else:
logging.error("receive error push data : " + message)
elif json_wrapper.contain_key("ch"):
self.__on_receive(json_wrapper)
elif json_wrapper.contain_key("rep"):
self.__on_receive(json_wrapper)
elif json_wrapper.contain_key("ping"):
ping_ts = json_wrapper.get_string("ping")
self.__process_ping_on_market_line(ping_ts)
else:
print("unknown data process, RX: " +
gzip.decompress(message).decode("utf-8"))