async def listen_for_order_book_snapshots(self,
ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
async with websockets.connect(FTX_WS_FEED) as ws:
ws: websockets.WebSocketClientProtocol = ws
for pair in self._trading_pairs:
subscribe_request: Dict[str, Any] = {
"op": "subscribe",
"channel": "orderbook",
"market": convert_to_exchange_trading_pair(pair)
}
await ws.send(ujson.dumps(subscribe_request))
async for raw_msg in self._inner_messages(ws):
msg = simplejson.loads(raw_msg, parse_float=Decimal)
if "channel" in msg:
if msg["channel"] == "orderbook" and msg[
"type"] == "partial":
order_book_message: OrderBookMessage = FtxOrderBook.snapshot_message_from_exchange(
msg, msg["data"]["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 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 = FtxOrderBook.restful_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