async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop, output: asyncio.Queue):
while True:
try:
ws_message: str = await self.get_ws_subscription_message("book")
async with websockets.connect(DIFF_STREAM_URL) as ws:
ws: websockets.WebSocketClientProtocol = ws
await ws.send(ws_message)
async for raw_msg in self._inner_messages(ws):
msg = ujson.loads(raw_msg)
msg_dict = {"trading_pair": msg[-1],
"asks": msg[1].get("a", []) or msg[1].get("as", []) or [],
"bids": msg[1].get("b", []) or msg[1].get("bs", []) or []}
msg_dict["update_id"] = max([*map(lambda x: float(x[2]), msg_dict["bids"] + msg_dict["asks"])],
default=0.)
if "as" in msg[1] and "bs" in msg[1]:
order_book_message: OrderBookMessage = KrakenOrderBook.snapshot_ws_message_from_exchange(
msg_dict, time.time())
else:
order_book_message: OrderBookMessage = KrakenOrderBook.diff_message_from_exchange(
msg_dict, time.time())
output.put_nowait(order_book_message)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error with WebSocket connection. Retrying after 30 seconds...",
exc_info=True)
await asyncio.sleep(30.0)
async def listen_for_trades(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
ws_message: str = await self.get_ws_subscription_message(
"trade")
async with websockets.connect(DIFF_STREAM_URL) as ws:
ws: websockets.WebSocketClientProtocol = ws
await ws.send(ws_message)
async for raw_msg in self._inner_messages(ws):
msg: List[Any] = ujson.loads(raw_msg)
trades: List[Dict[str, Any]] = [{
"pair": msg[-1],
"trade": trade
} for trade in msg[1]]
for trade in trades:
trade_msg: OrderBookMessage = KrakenOrderBook.trade_message_from_exchange(
trade)
output.put_nowait(trade_msg)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error(
"Unexpected error with WebSocket connection. Retrying after 30 seconds...",
exc_info=True)
await asyncio.sleep(30.0)
async def listen_for_order_book_snapshots(self, ev_loop: asyncio.BaseEventLoop, output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
async with aiohttp.ClientSession() as client:
for trading_pair in trading_pairs:
try:
snapshot: Dict[str, Any] = await self.get_snapshot(client, trading_pair)
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = KrakenOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"trading_pair": trading_pair}
)
output.put_nowait(snapshot_msg)
self.logger().debug(f"Saved order book snapshot for {trading_pair}")
await asyncio.sleep(5.0)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error. ", exc_info=True)
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 get_tracking_pairs(self) -> Dict[str, OrderBookTrackerEntry]:
# Get the currently active markets
async with aiohttp.ClientSession() as client:
trading_pairs: List[str] = await self.get_trading_pairs()
retval: Dict[str, OrderBookTrackerEntry] = {}
number_of_pairs: int = len(trading_pairs)
for index, trading_pair in enumerate(trading_pairs):
try:
snapshot: Dict[str, Any] = await self.get_snapshot(client, trading_pair, 1000)
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = KrakenOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"trading_pair": trading_pair}
)
order_book: OrderBook = self.order_book_create_function()
order_book.apply_snapshot(snapshot_msg.bids, snapshot_msg.asks, snapshot_msg.update_id)
retval[trading_pair] = OrderBookTrackerEntry(trading_pair, snapshot_timestamp, order_book)
self.logger().info(f"Initialized order book for {trading_pair}. "
f"{index+1}/{number_of_pairs} completed.")
# Each 1000 limit snapshot costs 10 requests and Binance rate limit is 20 requests per second.
await asyncio.sleep(1.0)
except Exception:
self.logger().error(f"Error getting snapshot for {trading_pair}. ", exc_info=True)
await asyncio.sleep(5.0)
return retval
async def get_new_order_book(self, trading_pair: str) -> OrderBook:
async with aiohttp.ClientSession() as client:
snapshot: Dict[str, Any] = await self.get_snapshot(
client, trading_pair, 1000)
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = KrakenOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"trading_pair": trading_pair})
order_book: OrderBook = self.order_book_create_function()
order_book.apply_snapshot(snapshot_msg.bids, snapshot_msg.asks,
snapshot_msg.update_id)
return order_book