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polo_ws.py
165 lines (138 loc) · 7.04 KB
/
polo_ws.py
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import os
import sys
import json
import datetime
import websocket
from db_utils import Database
from config import POLO_PRODUCT_IDS, DATABASE
def sorting_key(dict_key):
return float(dict_key)
class DataFeed():
def __init__(self):
self.url = "wss://api2.poloniex.com"
#self.public_client = polo.PublicClient()
self.product_ids = POLO_PRODUCT_IDS
self.product_codes = {}
self.order_books = {x:{} for x in self.product_ids}
self.inside_order_books = {x:{"bids":{},"asks":{}} for x in self.product_ids}
self.last_trade_ids = {x:None for x in self.product_ids}
self.db = Database(DATABASE['POLO'], migrate=True)
self.ws = websocket.WebSocketApp(
self.url,
on_message=self.on_message,
on_error=self.on_error,
on_open=self.on_open,
)
def on_message(self,ws,msg):
msg = json.loads(msg)
for message in msg[2]: #maybe will be better if current implementation doesn't work
if message[0] == 'i':
print("got ob snapshot")
all_bids = message[1]['orderBook'][1]
all_asks = message[1]['orderBook'][0]
final_all_bids = [[x, all_bids[x]] for x in sorted(all_bids, key=sorting_key, reverse=True)]
final_all_asks = [[x, all_asks[x]] for x in sorted(all_asks, key=sorting_key)]
self.order_books[message[1]['currencyPair']] = {
'bids': final_all_bids,
'asks': final_all_asks}
self.product_codes[msg[0]] = message[1]['currencyPair']
elif message[0] == 'o':
change_side = 'bids' if message[1]==1 else 'asks'
orders = self.order_books[self.product_codes[msg[0]]][change_side]
level_index = [i for i, order in enumerate(orders) if float(order[0])==float(message[2])]
if level_index:
if float(message[3]) != 0:
self.order_books[self.product_codes[msg[0]]][change_side][min(level_index)][1] = message[3]
else:
self.order_books[self.product_codes[msg[0]]][change_side].pop(min(level_index))
if not level_index:
if change_side == 'bids':
insert_indexes = [i for i, order in enumerate(orders) if float(order[0]) >= float(message[1])]
if change_side == 'asks':
insert_indexes = [i for i, order in enumerate(orders) if float(order[0]) <= float(message[1])]
if not insert_indexes:
insert_index = -1
else:
insert_index = max(insert_indexes)
self.order_books[self.product_codes[msg[0]]][change_side].insert(insert_index+1, [message[2],message[3]])
inside_bids = {'bids_'+str(x+1):"@".join(self.order_books[self.product_codes[msg[0]]]['bids'][x][::-1]) for x in range(15)}
inside_asks = {'asks_'+str(x+1):"@".join(self.order_books[self.product_codes[msg[0]]]['asks'][x][::-1]) for x in range(15)}
inside_order_book = {"bids":inside_bids,"asks":inside_asks}
if self.inside_order_books[self.product_codes[msg[0]]] != inside_order_book:
row = {
"server_datetime":datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.%f%Z"),
"product_id":self.product_codes[msg[0]]
}
row.update(inside_bids)
row.update(inside_asks)
self.db.insert_into("polo_order_book", row)
self.inside_order_books[self.product_codes[msg[0]]] = inside_order_book
print(row)
elif message[0] == 't':
# TRADES
# ["t","9394200",1,"5545.00000000","0.00009541",1508060546]
# [trade, tradeId, 0/1 (sell/buy), price, amount, timestamp]
#print(message)
trades = [{
"server_datetime":datetime.datetime.now().strftime("%Y-%m-%dT%H:%M:%S.%f%Z"),
"exchange_datetime":datetime.datetime.fromtimestamp(message[5]).strftime("%Y-%m-%dT%H:%M:%S.%f%Z"),
"sequence":msg[1],
"trade_id":message[1],
"product_id":self.product_codes[msg[0]],
'price':message[3],
'volume':message[4],
'side':'sell' if message[2]==0 else 'buy',
'backfilled':'False'
}]
current_trade_id = int(message[1])
if self.last_trade_ids[self.product_codes[msg[0]]]:
last_trade_id = int(self.last_trade_ids[self.product_codes[msg[0]]])
else:
last_trade_id = current_trade_id
self.last_trade_ids[self.product_codes[msg[0]]] = message[1]
if current_trade_id > (last_trade_id + 1):
missing_trade_ids = list(range(last_trade_id + 1, current_trade_id))
print("missed the following trades: "+str(missing_trade_ids))
for trade in trades:
self.db.insert_into("polo_trades", trade)
print(trade)
def on_error(self,ws,error):
print(error)
def on_open(self,ws):
#request = {
# "type": "subscribe",
# "channel": "BTC_ETH"}
#request = json.dumps(request)
#request = request.encode("utf-8")
for x in self.product_ids:
ws.send(json.dumps({'command':'subscribe','channel': x}))
#ws.send(request)
def run(self):
try:
self.ws.run_forever()
except KeyboardInterrupt:
sys.exit()
except Exception:
pass
if __name__ == "__main__":
feed = DataFeed()
feed.run()
# https://stackoverflow.com/questions/32154121/how-to-connect-to-poloniex-com-websocket-api-using-a-python-library
#1001 = trollbox (you will get nothing but a heartbeat)
#1002 = ticker
#1003 = base coin 24h volume stats
#1010 = heartbeat
#'MARKET_PAIR' = market order books
# ORDERBOOK SNAPSHOT
# [114,247989292,[["i",{"currencyPair":"BTC_XMR","orderBook":[{"0.01629561":"2.32977526","0.01629618":"14.77417529",
# orderbook[0] = asks, orderbook[1] = bids (inferred from pricing: 0 is increasing price from middle, 1 is decreasing price from middle)
# ORDERS
# [148,394056638,[["o",0,"0.07615527","0.34317849"]]]
# 148: appears to be the ID of the Currency Pair.
# 394056638: Sequence number (I presume of the last sequence value prior to the full orderbook as presented)
# "o" + 0: orderBookRemove "o" + 1: orderBookModify
# "0.07615527": Price
# "0.34317849": Quantity
# TRADES
# ["t","9394200",1,"5545.00000000","0.00009541",1508060546]
# [trade, tradeId, 0/1 (sell/buy), price, amount, timestamp]