async def listen_for_order_book_snapshots(self,
ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
async with aiohttp.ClientSession() as client:
for trading_pair in trading_pairs:
try:
snapshot: Dict[str, Any] = await self.get_snapshot(
client, trading_pair)
snapshot_message: OrderBookMessage = HuobiOrderBook.snapshot_message_from_exchange(
snapshot, metadata={"symbol": trading_pair})
output.put_nowait(snapshot_message)
self.logger().debug(
f"Saved order book snapshot for {trading_pair}"
)
await asyncio.sleep(5.0)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error.",
exc_info=True)
await asyncio.sleep(5.0)
this_hour: pd.Timestamp = pd.Timestamp.utcnow().replace(
minute=0, second=0, microsecond=0)
next_hour: pd.Timestamp = this_hour + pd.Timedelta(hours=1)
delta: float = next_hour.timestamp() - time.time()
await asyncio.sleep(delta)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error.", exc_info=True)
await asyncio.sleep(5.0)
async def get_tracking_pairs(self) -> Dict[str, OrderBookTrackerEntry]:
# Get the currently active markets
async with aiohttp.ClientSession() as client:
trading_pairs: List[str] = await self.get_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_msg: OrderBookMessage = HuobiOrderBook.snapshot_message_from_exchange(
snapshot, metadata={"symbol": trading_pair})
order_book: OrderBook = self.order_book_create_function()
order_book.apply_snapshot(snapshot_msg.bids,
snapshot_msg.asks,
snapshot_msg.update_id)
retval[trading_pair] = OrderBookTrackerEntry(
trading_pair, snapshot_msg.timestamp, order_book)
self.logger().info(
f"Initialized order book for {trading_pair}. "
f"{index + 1}/{number_of_pairs} completed.")
# Huobi rate limit is 100 https requests per 10 seconds
await asyncio.sleep(0.4)
except Exception:
self.logger().error(
f"Error getting snapshot for {trading_pair}. ",
exc_info=True)
await asyncio.sleep(5)
return retval
async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop, output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = self._trading_pairs
async with websockets.connect(HUOBI_WS_URI) as ws:
ws: websockets.WebSocketClientProtocol = ws
for trading_pair in trading_pairs:
subscribe_request: Dict[str, Any] = {
"sub": f"market.{trading_pair}.depth.step0",
"id": trading_pair
}
await ws.send(json.dumps(subscribe_request))
async for raw_msg in self._inner_messages(ws):
# Huobi compresses their ws data
encoded_msg: bytes = gzip.decompress(raw_msg)
# Huobi's data value for id is a large int too big for ujson to parse
msg: Dict[str, Any] = json.loads(encoded_msg.decode('utf-8'))
if "ping" in msg:
await ws.send(f'{{"op":"pong","ts": {str(msg["ping"])}}}')
elif "subbed" in msg:
pass
elif "ch" in msg:
order_book_message: OrderBookMessage = HuobiOrderBook.diff_message_from_exchange(msg)
output.put_nowait(order_book_message)
else:
self.logger().debug(f"Unrecognized message received from Huobi websocket: {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)
snapshot_msg: OrderBookMessage = HuobiOrderBook.snapshot_message_from_exchange(
snapshot,
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
