def websocket_to_order_book():
try:
coinbase_websocket = yield from websockets.connect(
"wss://ws-feed.exchange.coinbase.com")
except gaierror:
order_book_file_logger.error(
'socket.gaierror - had a problem connecting to Coinbase feed')
return
yield from coinbase_websocket.send(
'{"type": "subscribe", "product_id": "BTC-USD"}')
messages = []
while True:
message = yield from coinbase_websocket.recv()
message = json.loads(message)
messages += [message]
if len(messages) > 20:
break
order_book.get_level3()
[
order_book.process_message(message) for message in messages
if message['sequence'] > order_book.level3_sequence
]
messages = []
while True:
message = yield from coinbase_websocket.recv()
if message is None:
order_book_file_logger.error('Websocket message is None.')
return False
try:
message = json.loads(message)
except TypeError:
order_book_file_logger.error('JSON did not load, see ' +
str(message))
return False
if args.command_line:
messages += [
datetime.strptime(
message['time'],
'%Y-%m-%dT%H:%M:%S.%fZ').replace(tzinfo=pytz.UTC)
]
messages = [
message for message in messages
if (datetime.now(tzlocal()) - message).seconds < 60
]
if len(messages) > 2:
diff = numpy.diff(messages)
diff = [float(sec.microseconds) for sec in diff]
order_book.average_rate = numpy.mean(diff)
order_book.fastest_rate = min(diff)
order_book.slowest_rate = max(diff)
if not order_book.process_message(message):
print(pformat(message))
return False
if args.trading:
if 'order_id' in message and message[
'order_id'] == open_orders.open_ask_order_id:
if message['type'] == 'done':
open_orders.open_ask_order_id = None
open_orders.open_ask_price = None
open_orders.open_ask_status = None
open_orders.open_ask_rejections = Decimal('0.0')
open_orders.open_ask_cancelled = False
else:
open_orders.open_ask_status = message['type']
elif 'order_id' in message and message[
'order_id'] == open_orders.open_bid_order_id:
if message['type'] == 'done':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
open_orders.open_bid_status = None
open_orders.open_bid_rejections = Decimal('0.0')
open_orders.open_bid_cancelled = False
else:
open_orders.open_bid_status = message['type']
def websocket_to_order_book():
try:
coinbase_websocket = yield from websockets.connect("wss://ws-feed.exchange.coinbase.com")
except gaierror:
order_book_file_logger.error('socket.gaierror - had a problem connecting to Coinbase feed')
return
yield from coinbase_websocket.send('{"type": "subscribe", "product_id": "BTC-USD"}')
messages = []
while True:
message = yield from coinbase_websocket.recv()
message = json.loads(message)
messages += [message]
if len(messages) > 20:
break
order_book.get_level3()
[order_book.process_message(message) for message in messages if message['sequence'] > order_book.level3_sequence]
messages = []
while True:
message = yield from coinbase_websocket.recv()
if message is None:
order_book_file_logger.error('Websocket message is None.')
return False
try:
message = json.loads(message)
except TypeError:
order_book_file_logger.error('JSON did not load, see ' + str(message))
return False
if args.command_line:
messages += [datetime.strptime(message['time'], '%Y-%m-%dT%H:%M:%S.%fZ').replace(tzinfo=pytz.UTC)]
messages = [message for message in messages if (datetime.now(tzlocal()) - message).seconds < 60]
if len(messages) > 2:
diff = numpy.diff(messages)
diff = [float(sec.microseconds) for sec in diff]
order_book.average_rate = numpy.mean(diff)
order_book.fastest_rate = min(diff)
order_book.slowest_rate = max(diff)
if not order_book.process_message(message):
print(pformat(message))
return False
if args.trading:
if 'order_id' in message and message['order_id'] == open_orders.open_ask_order_id:
if message['type'] == 'done':
open_orders.open_ask_order_id = None
open_orders.open_ask_price = None
open_orders.open_ask_status = None
open_orders.open_ask_rejections = Decimal('0.0')
open_orders.open_ask_cancelled = False
else:
open_orders.open_ask_status = message['type']
elif 'order_id' in message and message['order_id'] == open_orders.open_bid_order_id:
if message['type'] == 'done':
open_orders.open_bid_order_id = None
open_orders.open_bid_price = None
open_orders.open_bid_status = None
open_orders.open_bid_rejections = Decimal('0.0')
open_orders.open_bid_cancelled = False
else:
open_orders.open_bid_status = message['type']
stream_handler.setLevel(logging.INFO)
trading_file_logger.addHandler(stream_handler)
order_book_file_logger.addHandler(stream_handler)
command_line = True
loop = asyncio.get_event_loop()
if args.trading:
loop.run_in_executor(
None,
functools.partial(buyer_strategy, order_book, open_orders,
spreads))
loop.run_in_executor(None, update_balances)
loop.run_in_executor(None, update_orders)
if args.command_line:
loop.run_in_executor(None, monitor)
n = 0
while True:
start_time = loop.time()
loop.run_until_complete(websocket_to_order_book())
end_time = loop.time()
seconds = end_time - start_time
if seconds < 2:
n += 1
sleep_time = (2**n) + (random.randint(0, 1000) / 1000)
order_book_file_logger.error(
'Websocket connectivity problem, going to sleep for {0}'.
format(sleep_time))
time.sleep(sleep_time)
if n > 6:
n = 0
if __name__ == '__main__':
if args.command_line:
stream_handler = logging.StreamHandler()
stream_handler.setFormatter(logging.Formatter('\n%(asctime)s, %(levelname)s, %(message)s'))
stream_handler.setLevel(logging.INFO)
trading_file_logger.addHandler(stream_handler)
order_book_file_logger.addHandler(stream_handler)
command_line = True
loop = asyncio.get_event_loop()
if args.trading:
loop.run_in_executor(None, functools.partial(buyer_strategy, order_book, open_orders, spreads))
loop.run_in_executor(None, update_balances)
loop.run_in_executor(None, update_orders)
if args.command_line:
loop.run_in_executor(None, monitor)
n = 0
while True:
start_time = loop.time()
loop.run_until_complete(websocket_to_order_book())
end_time = loop.time()
seconds = end_time - start_time
if seconds < 2:
n += 1
sleep_time = (2 ** n) + (random.randint(0, 1000) / 1000)
order_book_file_logger.error('Websocket connectivity problem, going to sleep for {0}'.format(sleep_time))
time.sleep(sleep_time)
if n > 6:
n = 0