async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
async with websockets.connect(f"{WS_URL}") as ws:
ws: websockets.WebSocketClientProtocol = ws
for pair in self._trading_pairs:
subscribe_request: Dict[str, Any] = {
"type": "subscribe",
"channel": "orderbook",
"id": pair
}
await ws.send(ujson.dumps(subscribe_request))
async for raw_msg in self._inner_messages(ws):
msg = ujson.loads(raw_msg)
if "contents" in msg:
if "updates" in msg["contents"]:
ts = datetime.timestamp(datetime.now())
for item in msg["contents"]["updates"]:
order_msg: OrderBookMessage = DydxOrderBook.diff_message_from_exchange(
item, ts, msg)
output.put_nowait(order_msg)
elif "bids" in msg["contents"]:
ts = datetime.timestamp(datetime.now())
order_msg: OrderBookMessage = DydxOrderBook.snapshot_message_from_exchange(
msg["contents"], ts, msg)
output.put_nowait(order_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 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 = DydxOrderBook.snapshot_message_from_exchange(
snapshot, snapshot_timestamp, metadata={"id": trading_pair})
order_book: OrderBook = self.order_book_create_function()
bids, asks = self.active_order_tracker.convert_snapshot_message_to_order_book_row(
snapshot_msg)
order_book.apply_snapshot(bids, asks, snapshot_msg.update_id)
return order_book