def test_track_single_book_snapshot_message_with_past_diffs(self):
past_diff_msg: OrderBookMessage = BitmexPerpetualOrderBook.diff_message_from_exchange(
msg={
"lastUpdateId": 1,
"data_dict": {
"symbol": "COINALPHA-USD",
"bids": [["4.00000100", "431.00000000"]],
"asks": [["4.00000300", "12.00000000"]]
}
},
timestamp=time.time())
snapshot_msg: OrderBookMessage = BitmexPerpetualOrderBook.snapshot_message_from_exchange(
msg={
"trading_pair": "COINALPHA-USD",
"update_id": 2,
"bids": [["4.00000000", "431.00000000"]],
"asks": [["4.00000200", "12.00000000"]]
},
timestamp=time.time())
self.tracking_task = self.ev_loop.create_task(
self.tracker._track_single_book(self.trading_pair))
self.ev_loop.run_until_complete(asyncio.sleep(0.5))
self._simulate_message_enqueue(
self.tracker._past_diffs_windows[self.trading_pair], past_diff_msg)
self._simulate_message_enqueue(
self.tracker._tracking_message_queues[self.trading_pair],
snapshot_msg)
self.ev_loop.run_until_complete(asyncio.sleep(0.5))
self.assertTrue(
1 < self.tracker.order_books[self.trading_pair].snapshot_uid)
async def listen_for_order_book_snapshots(self,
ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
for trading_pair in self._trading_pairs:
snapshot: Dict[str, Any] = await self.get_snapshot(
trading_pair,
domain=self._domain,
throttler=self._throttler,
api_factory=self._api_factory)
snapshot_timestamp: float = time.time()
bids = []
asks = []
size_currency = await utils.get_trading_pair_size_currency(
await self.convert_to_exchange_trading_pair(
hb_trading_pair=trading_pair,
domain=self._domain,
throttler=self._throttler))
if size_currency.is_base:
for order in snapshot:
order_details = [order['price'], order['size']]
asks.append(
order_details
) if order['side'] == "Sell" else bids.append(
order_details)
else:
for order in snapshot:
order_details = [
order['price'], order['size'] / order['price']
]
asks.append(
order_details
) if order['side'] == "Sell" else bids.append(
order_details)
snapshot_dict = {
"bids": bids,
"asks": asks,
"update_id": snapshot[-1]["id"]
}
snapshot_msg: OrderBookMessage = BitmexPerpetualOrderBook.snapshot_message_from_exchange(
snapshot_dict,
snapshot_timestamp,
metadata={"trading_pair": trading_pair})
output.put_nowait(snapshot_msg)
self.logger().debug(
f"Saved order book snapshot for {trading_pair}")
delta = CONSTANTS.ONE_HOUR - time.time() % CONSTANTS.ONE_HOUR
await self._sleep(delta)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error(
"Unexpected error occurred fetching orderbook snapshots. Retrying in 5 seconds...",
exc_info=True)
await self._sleep(5.0)
def setUp(self) -> None:
super().setUp()
self.tracker: BitmexPerpetualOrderBookTracker = BitmexPerpetualOrderBookTracker(
trading_pairs=[self.trading_pair])
self.tracking_task: Optional[asyncio.Task] = None
# Simulate start()
self.tracker._order_books[
self.trading_pair] = BitmexPerpetualOrderBook()
self.tracker._tracking_message_queues[
self.trading_pair] = asyncio.Queue()
self.tracker._past_diffs_windows[self.trading_pair] = deque()
self.tracker._order_books_initialized.set()
async def listen_for_trades(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
msg = await self._message_queue[CONSTANTS.TRADE_STREAM_ID].get()
msg.data["data_dict"] = {}
trading_pair = await self.convert_from_exchange_trading_pair(
exchange_trading_pair=msg.data["data"][0]["symbol"],
domain=self._domain,
throttler=self._throttler)
for trade in msg.data["data"]:
trade["symbol"] = trading_pair
trade_message: OrderBookMessage = BitmexPerpetualOrderBook.trade_message_from_exchange(
trade)
output.put_nowait(trade_message)
def test_track_single_book_diff_message(self):
diff_msg: OrderBookMessage = BitmexPerpetualOrderBook.diff_message_from_exchange(
msg={
"lastUpdateId": 1,
"data_dict": {
"symbol": "COINALPHA-USD",
"bids": [["4.00000100", "431.00000000"]],
"asks": [["4.00000300", "12.00000000"]]
}
},
timestamp=time.time())
self._simulate_message_enqueue(
self.tracker._tracking_message_queues[self.trading_pair], diff_msg)
self.tracking_task = self.ev_loop.create_task(
self.tracker._track_single_book(self.trading_pair))
self.ev_loop.run_until_complete(asyncio.sleep(0.5))
async def get_new_order_book(self, trading_pair: str) -> OrderBook:
snapshot: List[Dict[str, Any]] = await self.get_snapshot(
trading_pair, 1000, self._domain, self._throttler,
self._api_factory)
bids = []
asks = []
size_currency = await utils.get_trading_pair_size_currency(
await
self.convert_to_exchange_trading_pair(hb_trading_pair=trading_pair,
domain=self._domain,
throttler=self._throttler))
if size_currency.is_base:
for order in snapshot:
order_details = [order['price'], order['size']]
asks.append(
order_details) if order['side'] == "Sell" else bids.append(
order_details)
else:
for order in snapshot:
order_details = [
order['price'], order['size'] / order['price']
]
asks.append(
order_details) if order['side'] == "Sell" else bids.append(
order_details)
snapshot_dict = {
"bids": bids,
"asks": asks,
"update_id": snapshot[-1]["id"]
}
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = BitmexPerpetualOrderBook.snapshot_message_from_exchange(
snapshot_dict,
snapshot_timestamp,
metadata={"trading_pair": trading_pair})
order_book = self.order_book_create_function()
order_book.apply_snapshot(snapshot_msg.bids, snapshot_msg.asks,
snapshot_msg.update_id)
return order_book
async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
msg = await self._message_queue[CONSTANTS.DIFF_STREAM_ID].get()
timestamp: float = time.time()
if msg.data["action"] in ["update", "insert", "delete"]:
msg.data["data_dict"] = {}
exchange_trading_pair = msg.data["data"][0]["symbol"]
trading_pair = await self.convert_from_exchange_trading_pair(
exchange_trading_pair=exchange_trading_pair,
domain=self._domain,
throttler=self._throttler)
size_currency = await utils.get_trading_pair_size_currency(
exchange_trading_pair)
def size_fn(size, price):
final_size = size if size_currency.is_base else size / price
return final_size
msg.data["data_dict"]["symbol"] = trading_pair
asks = []
bids = []
for order in msg.data["data"]:
price = await self.order_id_to_price(
trading_pair, order["id"])
amount = 0.0 if msg.data['action'] == "delete" else size_fn(
order["size"], price)
order_details = [price, amount]
asks.append(order_details
) if order["side"] == "Sell" else bids.append(
order_details)
msg.data["data_dict"]["bids"] = bids
msg.data["data_dict"]["asks"] = asks
order_book_message: OrderBookMessage = BitmexPerpetualOrderBook.diff_message_from_exchange(
msg.data, timestamp)
output.put_nowait(order_book_message)