def get_mid_price(trading_pair: str) -> Optional[Decimal]:
exchange_trading_pair = convert_to_exchange_trading_pair(trading_pair)
resp = requests.get(
url=
f"https://api-pub.bitfinex.com/v2/ticker/{exchange_trading_pair}")
record = resp.json()
result = (Decimal(record[0]) + Decimal(record[2])) / Decimal("2")
return result
async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
for trading_pair in trading_pairs:
async with websockets.connect(BITFINEX_WS_URI) as ws:
payload: Dict[str, Any] = {
"event":
"subscribe",
"channel":
"book",
"prec":
"P0",
"symbol":
convert_to_exchange_trading_pair(trading_pair),
}
await ws.send(ujson.dumps(payload))
await asyncio.wait_for(ws.recv(),
timeout=self.MESSAGE_TIMEOUT
) # response
await asyncio.wait_for(ws.recv(),
timeout=self.MESSAGE_TIMEOUT
) # subscribe info
raw_snapshot = await asyncio.wait_for(
ws.recv(),
timeout=self.MESSAGE_TIMEOUT) # snapshot
snapshot = self._prepare_snapshot(
trading_pair, [
BookStructure(*i)
for i in ujson.loads(raw_snapshot)[1]
])
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = BitfinexOrderBook.snapshot_message_from_exchange(
snapshot, snapshot_timestamp)
output.put_nowait(snapshot_msg)
async for raw_msg in self._get_response(ws):
msg = self._parse_raw_update(trading_pair, raw_msg)
if msg is not None:
output.put_nowait(msg)
except Exception as err:
self.logger().error(err)
self.logger().network(
"Unexpected error with WebSocket connection.",
exc_info=True,
app_warning_msg=
"Unexpected error with WebSocket connection. "
f"Retrying in {int(self.MESSAGE_TIMEOUT)} seconds. "
"Check network connection.")
await asyncio.sleep(5)
async def listen_for_trades(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
for trading_pair in trading_pairs:
async with websockets.connect(BITFINEX_WS_URI) as ws:
payload: Dict[str, Any] = {
"event":
"subscribe",
"channel":
"trades",
"symbol":
convert_to_exchange_trading_pair(trading_pair),
}
await ws.send(ujson.dumps(payload))
await asyncio.wait_for(ws.recv(),
timeout=self.MESSAGE_TIMEOUT
) # response
await asyncio.wait_for(ws.recv(),
timeout=self.MESSAGE_TIMEOUT
) # subscribe info
await asyncio.wait_for(ws.recv(),
timeout=self.MESSAGE_TIMEOUT
) # snapshot
async for raw_msg in self._get_response(ws):
msg = self._prepare_trade(raw_msg)
if msg:
msg_book: OrderBookMessage = BitfinexOrderBook.trade_message_from_exchange(
msg,
metadata={"symbol": f"{trading_pair}"})
output.put_nowait(msg_book)
except Exception as err:
self.logger().error(err)
self.logger().network(
"Unexpected error with WebSocket connection.",
exc_info=True,
app_warning_msg=
"Unexpected error with WebSocket connection. "
f"Retrying in {int(self.MESSAGE_TIMEOUT)} seconds. "
"Check network connection.")
await asyncio.sleep(5)