async def listen_for_order_book_diffs(self, ev_loop: asyncio.BaseEventLoop, output: asyncio.Queue):
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
async with websockets.connect(WS_URL) as ws:
ws: websockets.WebSocketClientProtocol = ws
request: Dict[str, any] = {
"type": "subscribe",
"channels": [{
"name": "full",
"marketIds": trading_pairs
}]
}
await ws.send(ujson.dumps(request))
async for raw_msg in self._inner_messages(ws):
msg = ujson.loads(raw_msg)
# only process receive and done diff messages from DDEX
if msg["type"] in ["receive", "done"]:
diff_msg: DDEXOrderBookMessage = DDEXOrderBook.diff_message_from_exchange(msg)
output.put_nowait(diff_msg)
elif msg["type"] == "trade":
trade_msg: DDEXOrderBookMessage = DDEXOrderBook.trade_message_from_exchange(msg)
output.put_nowait(trade_msg)
except asyncio.CancelledError:
raise
except Exception:
self.logger().network(
f"Error getting order book diff messages.",
exc_info=True,
app_warning_msg=f"Error getting order book diff messages. Check network connection."
)
await asyncio.sleep(30.0)
async def listen_for_order_book_snapshots(self,
ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
await self._get_tracking_pair_done_event.wait()
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_timestamp: float = time.time()
snapshot_msg: DDEXOrderBookMessage = DDEXOrderBook.snapshot_message_from_exchange(
snapshot, snapshot_timestamp,
{"marketId": trading_pair})
output.put_nowait(snapshot_msg)
self.logger().debug(
f"Saved order book snapshot for {trading_pair} at {snapshot_timestamp}"
)
await asyncio.sleep(5.0)
except asyncio.CancelledError:
raise
except IOError:
self.logger().network(
f"Error getting snapshot for {trading_pair}.",
exc_info=True,
app_warning_msg=
f"Error getting snapshot for {trading_pair}. Check network connection."
)
await asyncio.sleep(5.0)
except Exception:
self.logger().error(
f"Error processing snapshot for {trading_pair}.",
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().network(
f"Unexpected error listening for order book snapshot.",
exc_info=True,
app_warning_msg=
f"Unexpected error listening for order book snapshot. Check network connection."
)
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, DDEXOrderBookTrackerEntry] = {}
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, 3)
snapshot_timestamp: float = time.time()
snapshot_msg: DDEXOrderBookMessage = DDEXOrderBook.snapshot_message_from_exchange(
snapshot, snapshot_timestamp,
{"marketId": trading_pair})
ddex_order_book: OrderBook = self.order_book_create_function(
)
ddex_active_order_tracker: DDEXActiveOrderTracker = DDEXActiveOrderTracker(
)
bids, asks = ddex_active_order_tracker.convert_snapshot_message_to_order_book_row(
snapshot_msg)
ddex_order_book.apply_snapshot(bids, asks,
snapshot_msg.update_id)
retval[trading_pair] = DDEXOrderBookTrackerEntry(
trading_pair, snapshot_timestamp, ddex_order_book,
ddex_active_order_tracker)
self.logger().info(
f"Initialized order book for {trading_pair}. "
f"{index+1}/{number_of_pairs} completed.")
await asyncio.sleep(1.3)
except IOError:
self.logger().network(
f"Error getting snapshot for {trading_pair}.",
exc_info=True,
app_warning_msg=
f"Error getting snapshot for {trading_pair}. Check network connection."
)
await asyncio.sleep(5.0)
except Exception:
self.logger().error(
f"Error initializing order book for {trading_pair}.",
exc_info=True)
await asyncio.sleep(5.0)
self._get_tracking_pair_done_event.set()
return retval