async def _book(self, msg):
pair = normalize_pair(msg['topic'].split('.')[1])
update_type = msg['type']
data = msg['data']
forced = False
delta = {BID: [], ASK: []}
if update_type == 'snapshot':
self.l2_book[pair] = {BID: sd({}), ASK: sd({})}
for update in data:
side = BID if update['side'] == 'Buy' else ASK
self.l2_book[pair][side][Decimal(update['price'])] = Decimal(
update['size'])
forced = True
else:
for delete in data['delete']:
side = BID if delete['side'] == 'Buy' else ASK
price = Decimal(delete['price'])
delta[side].append((price, 0))
del self.l2_book[pair][side][price]
for utype in ('update', 'insert'):
for update in data[utype]:
side = BID if update['side'] == 'Buy' else ASK
price = Decimal(update['price'])
amount = Decimal(update['size'])
delta[side].append((price, amount))
self.l2_book[pair][side][price] = amount
# timestamp is in microseconds
await self.book_callback(self.l2_book[pair], L2_BOOK, pair, forced,
delta, msg['timestamp_e6'] / 1000000)
async def _trade(self, msg):
"""
{"topic":"trade.BTCUSD",
"data":[
{
"timestamp":"2019-01-22T15:04:33.461Z",
"symbol":"BTCUSD",
"side":"Buy",
"size":980,
"price":3563.5,
"tick_direction":"PlusTick",
"trade_id":"9d229f26-09a8-42f8-aff3-0ba047b0449d",
"cross_seq":163261271}]}
"""
data = msg['data']
for trade in data:
await self.callback(TRADES,
feed=self.id,
pair=normalize_pair(trade['symbol']),
order_id=trade['trade_id'],
side=BUY if trade['side'] == 'Buy' else SELL,
amount=Decimal(trade['size']),
price=Decimal(trade['price']),
timestamp=timestamp_normalize(
self.id, trade['timestamp']))
async def _book(self, msg: dict, timestamp: float):
pair = normalize_pair(msg['topic'].split('.')[1])
update_type = msg['type']
data = msg['data']
forced = False
delta = {BID: [], ASK: []}
if update_type == 'snapshot':
self.l2_book[pair] = {BID: sd({}), ASK: sd({})}
# the USDT perpetual data is under the order_book key
if 'order_book' in data:
data = data['order_book']
for update in data:
side = BID if update['side'] == 'Buy' else ASK
self.l2_book[pair][side][Decimal(update['price'])] = Decimal(
update['size'])
forced = True
else:
if pair not in self.l2_book:
self.l2_book[pair] = {BID: sd({}), ASK: sd({})}
for delete in data['delete']:
side = BID if delete['side'] == 'Buy' else ASK
price = Decimal(delete['price'])
delta[side].append((price, 0))
del self.l2_book[pair][side][price]
for utype in ('update', 'insert'):
for update in data[utype]:
side = BID if update['side'] == 'Buy' else ASK
price = Decimal(update['price'])
amount = Decimal(update['size'])
delta[side].append((price, amount))
self.l2_book[pair][side][price] = amount
# timestamp is in microseconds
ts = msg['timestamp_e6']
if isinstance(ts, str):
ts = int(ts)
await self.book_callback(self.l2_book[pair], L2_BOOK, pair, forced,
delta, ts / 1000000, timestamp)
book = self.l2_book[pair]
ask_price_0, ask_qty_0 = book[ASK].peekitem(index=0)
bid_price_0, bid_qty_0 = book[BID].peekitem(index=-1)
await self.callback(TICKER,
feed=self.id,
symbol=pair,
bid=bid_price_0,
ask=ask_price_0,
bid_amount=bid_qty_0,
ask_amount=ask_qty_0,
timestamp=ts / 1000000,
receipt_timestamp=timestamp)
async def _trade(self, msg: dict, timestamp: float):
"""
{"topic":"trade.BTCUSD",
"data":[
{
"timestamp":"2019-01-22T15:04:33.461Z",
"symbol":"BTCUSD",
"side":"Buy",
"size":980,
"price":3563.5,
"tick_direction":"PlusTick",
"trade_id":"9d229f26-09a8-42f8-aff3-0ba047b0449d",
"cross_seq":163261271}]}
"""
data = msg['data']
# THis part is for merging trades which are supposed to be from same taker order
reconst_trades = []
for trade in data:
if isinstance(trade['trade_time_ms'], str):
ts = int(trade['trade_time_ms'])
else:
ts = trade['trade_time_ms']
inl = in_dictlist('trade_time_ms', trade['trade_time_ms'],
reconst_trades)
if inl is None:
# add fill for the trade
trade['fills'] = 1
reconst_trades.append(trade)
else:
reconst_trades[inl]['size'] = Decimal(
reconst_trades[inl]['size']) + Decimal(trade['size'])
reconst_trades[inl]['fills'] = reconst_trades[inl]['fills'] + 1
# reconst_trades[inl]['amount'] = reconst_trades[inl]['amount'] + trade['amount']
for trade in reconst_trades:
await self.callback(TRADES,
feed=self.id,
pair=normalize_pair(trade['symbol']),
order_id=trade['trade_id'],
side=BUY if trade['side'] == 'Buy' else SELL,
amount=Decimal(trade['size']),
price=Decimal(trade['price']),
timestamp=timestamp_normalize(self.id, ts),
fills=trade['fills'],
recons=True,
receipt_timestamp=timestamp)
async def _book(self, msg: dict, timestamp: float):
pair = normalize_pair(msg['topic'].split('.')[1])
update_type = msg['type']
data = msg['data']
forced = False
delta = {BID: [], ASK: []}
if update_type == 'snapshot':
self.l2_book[pair] = {BID: sd({}), ASK: sd({})}
# the USDT perpetual data is under the order_book key
if 'order_book' in data:
data = data['order_book']
for update in data:
side = BID if update['side'] == 'Buy' else ASK
self.l2_book[pair][side][Decimal(update['price'])] = Decimal(
update['size'])
forced = True
else:
for delete in data['delete']:
side = BID if delete['side'] == 'Buy' else ASK
price = Decimal(delete['price'])
delta[side].append((price, 0))
del self.l2_book[pair][side][price]
for utype in ('update', 'insert'):
for update in data[utype]:
side = BID if update['side'] == 'Buy' else ASK
price = Decimal(update['price'])
amount = Decimal(update['size'])
delta[side].append((price, amount))
self.l2_book[pair][side][price] = amount
# timestamp is in microseconds
ts = msg['timestamp_e6']
if isinstance(ts, str):
ts = int(ts)
await self.book_callback(self.l2_book[pair], L2_BOOK, pair, forced,
delta, ts / 1000000, timestamp)
async def _instrument_info(self, msg: dict, timestamp: float):
"""
### Snapshot type update
{
"topic": "instrument_info.100ms.BTCUSD",
"type": "snapshot",
"data": {
"id": 1,
"symbol": "BTCUSD", //instrument name
"last_price_e4": 81165000, //the latest price
"last_tick_direction": "ZeroPlusTick", //the direction of last tick:PlusTick,ZeroPlusTick,MinusTick,
//ZeroMinusTick
"prev_price_24h_e4": 81585000, //the price of prev 24h
"price_24h_pcnt_e6": -5148, //the current last price percentage change from prev 24h price
"high_price_24h_e4": 82900000, //the highest price of prev 24h
"low_price_24h_e4": 79655000, //the lowest price of prev 24h
"prev_price_1h_e4": 81395000, //the price of prev 1h
"price_1h_pcnt_e6": -2825, //the current last price percentage change from prev 1h price
"mark_price_e4": 81178500, //mark price
"index_price_e4": 81172800, //index price
"open_interest": 154418471, //open interest quantity - Attention, the update is not
//immediate - slowest update is 1 minute
"open_value_e8": 1997561103030, //open value quantity - Attention, the update is not
//immediate - the slowest update is 1 minute
"total_turnover_e8": 2029370141961401, //total turnover
"turnover_24h_e8": 9072939873591, //24h turnover
"total_volume": 175654418740, //total volume
"volume_24h": 735865248, //24h volume
"funding_rate_e6": 100, //funding rate
"predicted_funding_rate_e6": 100, //predicted funding rate
"cross_seq": 1053192577, //sequence
"created_at": "2018-11-14T16:33:26Z",
"updated_at": "2020-01-12T18:25:16Z",
"next_funding_time": "2020-01-13T00:00:00Z", //next funding time
//the rest time to settle funding fee
"countdown_hour": 6 //the remaining time to settle the funding fee
},
"cross_seq": 1053192634,
"timestamp_e6": 1578853524091081 //the timestamp when this information was produced
}
### Delta type update
{
"topic": "instrument_info.100ms.BTCUSD",
"type": "delta",
"data": {
"delete": [],
"update": [
{
"id": 1,
"symbol": "BTCUSD",
"prev_price_24h_e4": 81565000,
"price_24h_pcnt_e6": -4904,
"open_value_e8": 2000479681106,
"total_turnover_e8": 2029370495672976,
"turnover_24h_e8": 9066215468687,
"volume_24h": 735316391,
"cross_seq": 1053192657,
"created_at": "2018-11-14T16:33:26Z",
"updated_at": "2020-01-12T18:25:25Z"
}
],
"insert": []
},
"cross_seq": 1053192657,
"timestamp_e6": 1578853525691123
}
"""
update_type = msg['type']
if update_type == 'snapshot':
updates = [msg['data']]
else:
updates = msg['data']['update']
for info in updates:
if 'open_interest' in info:
await self.callback(OPEN_INTEREST, feed=self.id,
symbol=normalize_pair(info['symbol']),
open_interest=Decimal(info['open_interest']),
timestamp=timestamp_normalize(self.id, info['updated_at'].timestamp() * 1000),
receipt_timestamp=timestamp)
if 'index_price_e4' in info:
await self.callback(FUTURES_INDEX, feed=self.id,
symbol=normalize_pair(info['symbol']),
futures_index=Decimal(info['index_price_e4']) * Decimal(1e-4),
timestamp=timestamp_normalize(self.id, info['updated_at'].timestamp() * 1000),
receipt_timestamp=timestamp)
