def __init__(self, product_id='BTC-USD'): WebsocketClient.__init__(self, products=product_id) self._asks = RBTree() self._bids = RBTree() self._client = PublicClient(product_id=product_id) self._sequence = -1
class OrderBook(WebsocketClient): def __init__(self, product_id='BTC-USD'): WebsocketClient.__init__(self, products=product_id) self._asks = RBTree() self._bids = RBTree() self._client = PublicClient(product_id=product_id) self._sequence = -1 def onMessage(self, message): sequence = message['sequence'] if self._sequence == -1: self._asks = RBTree() self._bids = RBTree() res = self._client.getProductOrderBook(level=3) for bid in res['bids']: self.add({ 'id': bid[2], 'side': 'buy', 'price': float(bid[0]), 'size': float(bid[1]) }) for ask in res['asks']: self.add({ 'id': ask[2], 'side': 'sell', 'price': float(ask[0]), 'size': float(ask[1]) }) self._sequence = res['sequence'] if sequence <= self._sequence: return elif sequence > self._sequence + 1: self.close() self.start() return # print(message) msg_type = message['type'] if msg_type == 'open': self.add(message) elif msg_type == 'done' and 'price' in message: self.remove(message) elif msg_type == 'match': self.match(message) elif msg_type == 'change': self.change(message) self._sequence = sequence # bid = self.get_bid() # bids = self.get_bids(bid) # bid_depth = sum([b['size'] for b in bids]) # ask = self.get_ask() # asks = self.get_asks(ask) # ask_depth = sum([a['size'] for a in asks]) # print('bid: %f @ %f - ask: %f @ %f' % (bid_depth, bid, ask_depth, ask)) def add(self, order): order = { 'id': order['order_id'] if 'order_id' in order else order['id'], 'side': order['side'], 'price': float(order['price']), 'size': float(order['size']) if 'size' in order else float(order['remaining_size']) } if order['side'] == 'buy': bids = self.get_bids(order['price']) if bids is None: bids = [order] else: bids.append(order) self.set_bids(order['price'], bids) else: asks = self.get_asks(order['price']) if asks is None: asks = [order] else: asks.append(order) self.set_asks(order['price'], asks) def remove(self, order): price = float(order['price']) if order['side'] == 'buy': bids = self.get_bids(price) if bids is not None: bids = [o for o in bids if o['id'] != order['order_id']] if len(bids) > 0: self.set_bids(price, bids) else: self.remove_bids(price) else: asks = self.get_asks(price) if asks is not None: asks = [o for o in asks if o['id'] != order['order_id']] if len(asks) > 0: self.set_asks(price, asks) else: self.remove_asks(price) def match(self, order): size = float(order['size']) price = float(order['price']) if order['side'] == 'buy': bids = self.get_bids(price) assert bids[0]['id'] == order['maker_order_id'] if bids[0]['size'] == size: self.set_bids(price, bids[1:]) else: bids[0]['size'] -= size self.set_bids(price, bids) else: asks = self.get_asks(price) assert asks[0]['id'] == order['maker_order_id'] if asks[0]['size'] == size: self.set_asks(price, asks[1:]) else: asks[0]['size'] -= size self.set_asks(price, asks) def change(self, order): new_size = float(order['new_size']) price = float(order['price']) if order['side'] == 'buy': bids = self.get_bids(price) if bids is None or not any(o['id'] == order['order_id'] for o in bids): return index = map(itemgetter('id'), bids).index(order['order_id']) bids[index]['size'] = new_size self.set_bids(price, bids) else: asks = self.get_asks(price) if asks is None or not any(o['id'] == order['order_id'] for o in asks): return index = map(itemgetter('id'), asks).index(order['order_id']) asks[index]['size'] = new_size self.set_asks(price, asks) tree = self._asks if order['side'] == 'sell' else self._bids node = tree.get(price) if node is None or not any(o['id'] == order['order_id'] for o in node): return def get_ask(self): return self._asks.min_key() def get_asks(self, price): return self._asks.get(price) def remove_asks(self, price): self._asks.remove(price) def set_asks(self, price, asks): self._asks.insert(price, asks) def get_bid(self): return self._bids.max_key() def get_bids(self, price): return self._bids.get(price) def remove_bids(self, price): self._bids.remove(price) def set_bids(self, price, bids): self._bids.insert(price, bids)
class OrderBook(WebsocketClient): def __init__(self, product_id='BTC-USD'): WebsocketClient.__init__(self, products=product_id) self._asks = RBTree() self._bids = RBTree() self._client = PublicClient(product_id=product_id) self._sequence = -1 def onMessage(self, message): sequence = message['sequence'] if self._sequence == -1: self._asks = RBTree() self._bids = RBTree() res = self._client.getProductOrderBook(level=3) for bid in res['bids']: self.add({ 'id': bid[2], 'side': 'buy', 'price': Decimal(bid[0]), 'size': Decimal(bid[1]) }) for ask in res['asks']: self.add({ 'id': ask[2], 'side': 'sell', 'price': Decimal(ask[0]), 'size': Decimal(ask[1]) }) self._sequence = res['sequence'] if sequence <= self._sequence: # ignore older messages (e.g. before order book initialization from getProductOrderBook) return elif sequence > self._sequence + 1: print( 'Error: messages missing ({} - {}). Re-initializing websocket.' .format(sequence, self._sequence)) self.close() self.start() return # print(message) msg_type = message['type'] if msg_type == 'open': self.add(message) elif msg_type == 'done' and 'price' in message: self.remove(message) elif msg_type == 'match': self.match(message) elif msg_type == 'change': self.change(message) self._sequence = sequence # bid = self.get_bid() # bids = self.get_bids(bid) # bid_depth = sum([b['size'] for b in bids]) # ask = self.get_ask() # asks = self.get_asks(ask) # ask_depth = sum([a['size'] for a in asks]) # print('bid: %f @ %f - ask: %f @ %f' % (bid_depth, bid, ask_depth, ask)) def add(self, order): order = { 'id': order.get('order_id') or order['id'], 'side': order['side'], 'price': Decimal(order['price']), 'size': Decimal(order.get('size') or order['remaining_size']) } if order['side'] == 'buy': bids = self.get_bids(order['price']) if bids is None: bids = [order] else: bids.append(order) self.set_bids(order['price'], bids) else: asks = self.get_asks(order['price']) if asks is None: asks = [order] else: asks.append(order) self.set_asks(order['price'], asks) def remove(self, order): price = Decimal(order['price']) if order['side'] == 'buy': bids = self.get_bids(price) if bids is not None: bids = [o for o in bids if o['id'] != order['order_id']] if len(bids) > 0: self.set_bids(price, bids) else: self.remove_bids(price) else: asks = self.get_asks(price) if asks is not None: asks = [o for o in asks if o['id'] != order['order_id']] if len(asks) > 0: self.set_asks(price, asks) else: self.remove_asks(price) def match(self, order): size = Decimal(order['size']) price = Decimal(order['price']) if order['side'] == 'buy': bids = self.get_bids(price) if not bids: return assert bids[0]['id'] == order['maker_order_id'] if bids[0]['size'] == size: self.set_bids(price, bids[1:]) else: bids[0]['size'] -= size self.set_bids(price, bids) else: asks = self.get_asks(price) if not asks: return assert asks[0]['id'] == order['maker_order_id'] if asks[0]['size'] == size: self.set_asks(price, asks[1:]) else: asks[0]['size'] -= size self.set_asks(price, asks) def change(self, order): new_size = Decimal(order['new_size']) price = Decimal(order['price']) if order['side'] == 'buy': bids = self.get_bids(price) if bids is None or not any(o['id'] == order['order_id'] for o in bids): return index = map(itemgetter('id'), bids).index(order['order_id']) bids[index]['size'] = new_size self.set_bids(price, bids) else: asks = self.get_asks(price) if asks is None or not any(o['id'] == order['order_id'] for o in asks): return index = map(itemgetter('id'), asks).index(order['order_id']) asks[index]['size'] = new_size self.set_asks(price, asks) tree = self._asks if order['side'] == 'sell' else self._bids node = tree.get(price) if node is None or not any(o['id'] == order['order_id'] for o in node): return def get_current_book(self): result = { 'sequence': self._sequence, 'asks': [], 'bids': [], } for ask in self._asks: try: # There can be a race condition here, where a price point is removed # between these two ops thisAsk = self._asks[ask] except KeyError: continue for order in thisAsk: result['asks'].append([ order['price'], order['size'], order['id'], ]) for bid in self._bids: try: # There can be a race condition here, where a price point is removed # between these two ops thisBid = self._bids[bid] except KeyError: continue for order in thisBid: result['bids'].append([ order['price'], order['size'], order['id'], ]) return result def get_ask(self): return self._asks.min_key() def get_asks(self, price): return self._asks.get(price) def remove_asks(self, price): self._asks.remove(price) def set_asks(self, price, asks): self._asks.insert(price, asks) def get_bid(self): return self._bids.max_key() def get_bids(self, price): return self._bids.get(price) def remove_bids(self, price): self._bids.remove(price) def set_bids(self, price, bids): self._bids.insert(price, bids)
def __init__(self, sentiment='BULL', ticker='BTC-USD', threshold=200): self._sentiment = sentiment self._publicClient = PublicClient(product_id=ticker) self._orderBook = MarinerOrderBook(ticker=ticker, threshold=threshold) self._orderBookHandler = MarinerOrderBookHandler()