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)
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = CoinbaseProOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"trading_pair": trading_pair}
)
active_order_tracker: CoinbaseProActiveOrderTracker = CoinbaseProActiveOrderTracker()
bids, asks = active_order_tracker.convert_snapshot_message_to_order_book_row(snapshot_msg)
order_book = self.order_book_create_function()
order_book.apply_snapshot(bids, asks, snapshot_msg.update_id)
return order_book
async def get_tracking_pairs(self) -> Dict[str, OrderBookTrackerEntry]:
"""
*required
Initializes order books and order book trackers for the list of trading pairs
returned by `self.get_trading_pairs`
:returns: A dictionary of order book trackers for each trading pair
"""
# Get the currently active markets
async with aiohttp.ClientSession() as client:
trading_pairs: List[str] = self._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)
snapshot_timestamp: float = time.time()
snapshot_msg: OrderBookMessage = CoinbaseProOrderBook.snapshot_message_from_exchange(
snapshot,
snapshot_timestamp,
metadata={"trading_pair": trading_pair})
order_book: OrderBook = self.order_book_create_function()
active_order_tracker: CoinbaseProActiveOrderTracker = CoinbaseProActiveOrderTracker(
)
bids, asks = active_order_tracker.convert_snapshot_message_to_order_book_row(
snapshot_msg)
order_book.apply_snapshot(bids, asks,
snapshot_msg.update_id)
retval[trading_pair] = CoinbaseProOrderBookTrackerEntry(
trading_pair, snapshot_timestamp, order_book,
active_order_tracker)
self.logger().info(
f"Initialized order book for {trading_pair}. "
f"{index+1}/{number_of_pairs} completed.")
await asyncio.sleep(0.6)
except IOError:
self.logger().network(
f"Error getting snapshot for {trading_pair}.",
exc_info=True,
app_warning_msg=
f"Error getting snapshot for {trading_pair}. Check network connection."
)
except Exception:
self.logger().error(
f"Error initializing order book for {trading_pair}. ",
exc_info=True)
return retval