def __init__(self,
address,
pairs=None,
channels=None,
config=None,
callbacks=None,
book_interval=1000):
self.config = {}
self.address = address
self.book_update_interval = book_interval
self.updates = 0
self.do_deltas = False
self.pairs = []
self.channels = []
load_exchange_pair_mapping(self.id)
if channels is not None and FUNDING in channels and self.id == BITFINEX:
if len(channels) > 1:
raise ValueError(
"Funding channel must be in a separate feedhanlder on Bitfinex or you must use config"
)
if config is not None and (pairs is not None or channels is not None):
raise ValueError("Use config, or channels and pairs, not both")
if config is not None:
for channel in config:
chan = feed_to_exchange(self.id, channel)
self.config[chan] = [
pair_std_to_exchange(pair, self.id)
for pair in config[channel]
]
if pairs:
self.pairs = [
pair_std_to_exchange(pair, self.id) for pair in pairs
]
if channels:
self.channels = [
feed_to_exchange(self.id, chan) for chan in channels
]
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
TRADES: Callback(None),
TICKER: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
VOLUME: Callback(None),
FUNDING: Callback(None)
}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
def __init__(self,
address,
pairs=None,
channels=None,
config=None,
callbacks=None,
book_interval=1000):
self.hash = str(uuid.uuid4())
self.uuid = self.id + self.hash
self.config = {}
self.address = address
self.book_update_interval = book_interval
self.updates = 0
self.do_deltas = False
self.pairs = []
self.channels = []
load_exchange_pair_mapping(self.id)
if config is not None and (pairs is not None or channels is not None):
raise ValueError("Use config, or channels and pairs, not both")
if config is not None:
for channel in config:
chan = feed_to_exchange(self.id, channel)
self.config[chan] = [
pair_std_to_exchange(pair, self.id)
for pair in config[channel]
]
if pairs:
self.pairs = [
pair_std_to_exchange(pair, self.id) for pair in pairs
]
if channels:
self.channels = [
feed_to_exchange(self.id, chan) for chan in channels
]
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
TRADES: Callback(None),
TICKER: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
VOLUME: Callback(None),
FUNDING: Callback(None),
INSTRUMENT: Callback(None)
}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
for key, callback in self.callbacks.items():
if not isinstance(callback, list):
self.callbacks[key] = [callback]
async def subscribe(self, websocket):
# Binance does not have a separate subscribe message, the
# subsription information is included in the
# connection endpoint
self.__reset()
# If full book enabled, collect snapshot first
if feed_to_exchange(self.id, L2_BOOK) in self.channels:
await self._snapshot(self.pairs)
elif feed_to_exchange(self.id, L2_BOOK) in self.config:
await self._snapshot(self.config[feed_to_exchange(self.id, L2_BOOK)])
def __init__(self, address, pairs=None, channels=None, config=None, callbacks=None, max_depth=None, book_interval=1000, cross_check=False, origin=None):
self.hash = str(uuid.uuid4())
self.uuid = self.id + self.hash
self.config = defaultdict(set)
self.address = address
self.book_update_interval = book_interval
self.cross_check = cross_check
self.updates = defaultdict(int)
self.do_deltas = False
self.pairs = []
self.channels = []
self.max_depth = max_depth
self.previous_book = defaultdict(dict)
self.origin = origin
load_exchange_pair_mapping(self.id)
if config is not None and (pairs is not None or channels is not None):
raise ValueError("Use config, or channels and pairs, not both")
if config is not None:
for channel in config:
chan = feed_to_exchange(self.id, channel)
self.config[chan].update([pair_std_to_exchange(pair, self.id) for pair in config[channel]])
if pairs:
self.pairs = [pair_std_to_exchange(pair, self.id) for pair in pairs]
if channels:
self.channels = list(set([feed_to_exchange(self.id, chan) for chan in channels]))
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
TICKER_OKS: Callback(None),
TICKER_FUTURES: Callback(None),TRADES: Callback(None),
TICKER: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
VOLUME: Callback(None),
FUNDING: Callback(None),
OPEN_INTEREST: Callback(None),
LIQUIDATIONS: Callback(None)}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
for key, callback in self.callbacks.items():
if not isinstance(callback, list):
self.callbacks[key] = [callback]
def __init__(self,
symbols=None,
channels=None,
subscription=None,
**kwargs):
self.pair_mapping = poloniex_id_symbol_mapping()
super().__init__('wss://api2.poloniex.com',
symbols=symbols,
channels=channels,
subscription=subscription,
**kwargs)
"""
Due to the way Poloniex subscriptions work, need to do some
ugly manipulation of the subscription/channels,pairs to create a list
of channels to subscribe to for Poloniex as well as a callback map
that we can use to determine if an update should be delivered to the
end client or not
"""
p_ticker = feed_to_exchange(self.id, TICKER)
p_volume = feed_to_exchange(self.id, VOLUME)
if channels:
self.channels = self.symbols
check = channels
self.callback_map = {
chan: set(symbols)
for chan in channels if chan not in {p_ticker, p_volume}
}
elif subscription:
self.channels = []
for c, v in self.subscription.items():
if c not in {p_ticker, p_volume}:
self.channels.extend(v)
check = subscription
self.callback_map = {
key: set(value)
for key, value in subscription.items()
}
else:
raise ValueError(
f'{self.id}: the arguments channels and subscription are empty - cannot subscribe'
)
if TICKER in check:
self.channels.append(p_ticker)
if VOLUME in check:
self.channels.append(p_volume)
# channels = pairs = cannot have duplicates
self.channels = list(set(self.channels))
self.__reset()
def __init__(self,
pairs=None,
channels=None,
callbacks=None,
config=None,
**kwargs):
self.pair_mapping = poloniex_id_pair_mapping()
super().__init__('wss://api2.poloniex.com',
pairs=pairs,
channels=channels,
callbacks=callbacks,
config=config,
**kwargs)
"""
Due to the way poloniex subcriptions work, need to do some
ugly manipulation of the config/channels,pairs to create a list
of channels to subscribe to for poloniex as well as a callback map
that we can use to determine if an update should be delivered to the
end client or not
"""
p_ticker = feed_to_exchange(self.id, TICKER)
p_volume = feed_to_exchange(self.id, VOLUME)
if channels:
self.channels = self.pairs
check = channels
self.callback_map = {
channel: set(pairs)
for channel in channels if channel not in {p_ticker, p_volume}
}
elif config:
self.channels = []
for c, v in self.config.items():
if c not in {p_ticker, p_volume}:
self.channels.extend(v)
check = config
self.callback_map = {
key: set(value)
for key, value in config.items()
}
if TICKER in check:
self.channels.append(p_ticker)
if VOLUME in check:
self.channels.append(p_volume)
# channels = pairs = cannot have duplicates
self.channels = list(set(self.channels))
self.__reset()
def info(cls) -> dict:
"""
Return information about the Exchange - what trading pairs are supported, what data channels, etc
"""
pairs, info = get_exchange_info(cls.id)
data = {'pairs': list(pairs.keys()), 'channels': []}
for channel in (LIQUIDATIONS, OPEN_INTEREST, FUNDING, VOLUME, TICKER, L2_BOOK, L3_BOOK, TRADES, FUTURES_INDEX):
try:
feed_to_exchange(cls.id, channel, silent=True)
data['channels'].append(channel)
except UnsupportedDataFeed:
pass
data.update(info)
return data
async def message_handler(self, msg: str, timestamp: float):
msg = json.loads(msg, parse_float=Decimal)
if 'bts' in msg['event']:
if msg['event'] == 'bts:connection_established':
pass
elif msg['event'] == 'bts:subscription_succeeded':
pass
else:
LOG.warning("%s: Unexpected message %s", self.id, msg)
elif msg['event'] == 'trade':
await self._trades(msg, timestamp)
elif msg['event'] == 'data':
if msg['channel'].startswith(feed_to_exchange(self.id, L2_BOOK)):
await self._l2_book(msg, timestamp)
if msg['channel'].startswith(feed_to_exchange(self.id, L3_BOOK)):
await self._l3_book(msg, timestamp)
else:
LOG.warning("%s: Invalid message type %s", self.id, msg)
def info(cls, key_id: str = None) -> dict:
"""
Return information about the Exchange - what trading pairs are supported, what data channels, etc
key_id: str
API key to query the feed, required when requesting supported coins/pairs.
"""
pairs, info = get_exchange_info(cls.id, key_id=key_id)
data = {'pairs': list(pairs.keys()), 'channels': []}
for channel in (FUNDING, FUTURES_INDEX, LIQUIDATIONS, L2_BOOK, L3_BOOK, OPEN_INTEREST, MARKET_INFO, TICKER, TRADES, TRANSACTIONS, VOLUME):
try:
feed_to_exchange(cls.id, channel, silent=True)
data['channels'].append(channel)
except UnsupportedDataFeed:
pass
data.update(info)
return data
def info(cls) -> dict:
"""
Return information about the Exchange - what trading symbols are supported, what data channels, etc
key_id: str
API key to query the feed, required when requesting supported coins/symbols.
"""
symbols = cls.symbol_mapping()
data = Symbols.get(cls.id)[1]
data['symbols'] = list(symbols.keys())
data['channels'] = []
for channel in (FUNDING, FUTURES_INDEX, LIQUIDATIONS, L2_BOOK, L3_BOOK, OPEN_INTEREST, MARKET_INFO, TICKER, TRADES, VOLUME, CANDLES):
try:
feed_to_exchange(cls.id, channel, silent=True)
data['channels'].append(channel)
except UnsupportedDataFeed:
pass
return data
def place_order(self, pair: str, side: str, order_type: str, amount: str,
price: str, start_time: str, expire_time: str):
"""
Parameters:
pair = asset pair
type = type of order (buy/sell)
ordertype = order type:
market
limit (price = limit price)
stop-loss (price = stop loss price)
take-profit (price = take profit price)
stop-loss-profit (price = stop loss price, price2 = take profit price)
stop-loss-profit-limit (price = stop loss price, price2 = take profit price)
stop-loss-limit (price = stop loss trigger price, price2 = triggered limit price)
take-profit-limit (price = take profit trigger price, price2 = triggered limit price)
trailing-stop (price = trailing stop offset)
trailing-stop-limit (price = trailing stop offset, price2 = triggered limit offset)
stop-loss-and-limit (price = stop loss price, price2 = limit price)
settle-position
price = price (optional. dependent upon ordertype)
price2 = secondary price (optional. dependent upon ordertype)
volume = order volume in lots
leverage = amount of leverage desired (optional. default = none)
oflags = comma delimited list of order flags (optional):
viqc = volume in quote currency (not available for leveraged orders)
fcib = prefer fee in base currency
fciq = prefer fee in quote currency
nompp = no market price protection
post = post only order (available when ordertype = limit)
starttm = scheduled start time (optional):
0 = now (default)
+<n> = schedule start time <n> seconds from now
<n> = unix timestamp of start time
expiretm = expiration time (optional):
0 = no expiration (default)
+<n> = expire <n> seconds from now
<n> = unix timestamp of expiration time
userref = user reference id. 32-bit signed number. (optional)
validate = validate inputs only. do not submit order (optional)
"""
ot = feed_to_exchange(self.ID, order_type)
parameters = {'pair': pair, 'type': side, 'volume': amount}
if price is not None:
parameters['price'] = price
if start_time is not None:
parameters['starttm'] = start_time
if expire_time is not None:
parameters['expiretm'] = expire_time
return self._post_private('/private/AddOrder', parameters)
async def subscribe(self, conn: AsyncConnection, symbol=None):
self.__reset(symbol=symbol)
for chan in set(self.channels or self.subscription):
await conn.send(json.dumps({"type": "subscribe",
"product_ids": list(self.symbols or self.subscription[chan]),
"channels": [chan]
}))
chan = feed_to_exchange(self.id, L3_BOOK)
if chan in set(self.channels or self.subscription):
await self._book_snapshot(list(self.symbols or self.subscription[chan]))
def __reset(self, symbol=None):
if symbol:
self.seq_no[symbol] = None
self.order_map.pop(symbol, None)
self.order_type_map.pop(symbol, None)
self.l3_book.pop(symbol, None)
self.l2_book.pop(symbol, None)
else:
self.order_map = {}
self.order_type_map = {}
self.seq_no = None
# sequence number validation only works when the FULL data stream is enabled
chan = feed_to_exchange(self.id, L3_BOOK)
if chan in set(self.channels or self.subscription):
pairs = set(self.symbols or self.subscription[chan])
self.seq_no = {pair: None for pair in pairs}
self.l3_book = {}
self.l2_book = {}
def __init__(self,
address,
pairs=None,
channels=None,
callbacks=None,
book_interval=1000):
self.address = address
self.standardized_pairs = pairs
self.standardized_channels = channels
self.book_update_interval = book_interval
self.updates = 0
self.do_deltas = False
if channels is not None and FUNDING in channels and self.id == BITFINEX:
if len(channels) > 1:
raise ValueError(
"Funding channel must be in a separate feedhanlder on Bitfinex"
)
if pairs:
self.pairs = [
pair_std_to_exchange(pair, self.id) for pair in pairs
]
if channels:
self.channels = [
feed_to_exchange(self.id, chan) for chan in channels
]
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
TRADES: Callback(None),
TICKER: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
VOLUME: Callback(None),
FUNDING: Callback(None)
}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
async def update_subscription(self, subscription=None):
normalized_subscription = defaultdict(set)
for channel in subscription:
chan = feed_to_exchange(self.id, channel)
if is_authenticated_channel(channel):
if not self.key_id or not self.key_secret:
raise ValueError("Authenticated channel subscribed to, but no auth keys provided")
normalized_subscription[chan].update([self.std_symbol_to_exchange_symbol(symbol, self.id) for symbol in subscription[channel]])
channels_to_subscribe = []
channels_to_unsubscribe = []
for chan in normalized_subscription:
for pair in (set(normalized_subscription[chan]) - set(self.subscription[chan])):
channels_to_subscribe.append(Deribit.build_channel_name(chan, pair))
for pair in (set(self.subscription[chan]) - set(normalized_subscription[chan])):
channels_to_unsubscribe.append(Deribit.build_channel_name(chan, pair))
self.subscription = normalized_subscription
LOG.info(f"Updating subscription. Channels to subscribe: {channels_to_subscribe}. Channels to unsubscribe: {channels_to_unsubscribe}")
await self.subscribe_inner(self.connection, channels_to_subscribe)
await self.unsubscribe_inner(self.connection, channels_to_unsubscribe)
def place_order(self,
pair: str,
side: str,
order_type: str,
amount: Decimal,
price: Decimal,
client_order_id=None,
options=None):
ot = feed_to_exchange(self.ID, order_type)
sym = pair_std_to_exchange(self.ID, pair)
parameters = {
'type': ot,
'symbol': sym,
'side': side,
'amount': str(amount),
'price': str(price)
}
if client_order_id:
parameters['client_order_id'] = client_order_id
return self._post("/v1/order/new", parameters)
async def subscribe(self, websocket):
self.websocket = websocket
self.__reset()
client_id = 0
for chan in self.channels if self.channels else self.config:
for pair in self.pairs if self.pairs else self.config[chan]:
pair = pair_exchange_to_std(pair)
client_id += 1
if chan==feed_to_exchange(self.id, USER_TRADES):
await self.send_auth(websocket)
await websocket.send(json.dumps(
{
"op": "sub",
"topic": f'{chan}.{pair}',
"cid": str(client_id)
}
))
else:
await websocket.send(json.dumps(
{
"sub": f"market.{pair}.{chan}",
"id": str(client_id)
}
))
def __init__(self,
address: Union[dict, str],
timeout=120,
timeout_interval=30,
retries=10,
symbols=None,
channels=None,
subscription=None,
config: Union[Config, dict, str] = None,
callbacks=None,
max_depth=None,
book_interval=1000,
snapshot_interval=False,
checksum_validation=False,
cross_check=False,
origin=None,
exceptions=None,
log_message_on_error=False,
sandbox=False):
"""
address: str, or dict
address to be used to create the connection.
The address protocol (wss or https) will be used to determine the connection type.
Use a "str" to pass one single address, or a dict of option/address
timeout: int
Time, in seconds, between message to wait before a feed is considered dead and will be restarted.
Set to -1 for infinite.
timeout_interval: int
Time, in seconds, between timeout checks.
retries: int
Number of times to retry a failed connection. Set to -1 for infinite
max_depth: int
Maximum number of levels per side to return in book updates
book_interval: int
Number of updates between snapshots. Only applicable when book deltas are enabled.
Book deltas are enabled by subscribing to the book delta callback.
snapshot_interval: bool/int
Number of updates between snapshots. Only applicable when book delta is not enabled.
Updates between snapshots are not delivered to the client
checksum_validation: bool
Toggle checksum validation, when supported by an exchange.
cross_check: bool
Toggle a check for a crossed book. Should not be needed on exchanges that support
checksums or provide message sequence numbers.
origin: str
Passed into websocket connect. Sets the origin header.
exceptions: list of exceptions
These exceptions will not be handled internally and will be passed to the asyncio exception handler. To
handle them feedhandler will need to be supplied with a custom exception handler. See the `run` method
on FeedHandler, specifically the `exception_handler` keyword argument.
log_message_on_error: bool
If an exception is encountered in the connection handler, log the raw message
sandbox: bool
enable sandbox mode for exchanges that support this
"""
if isinstance(config, Config):
LOG.info(
'%s: reuse object Config containing the following main keys: %s',
self.id, ", ".join(config.config.keys()))
self.config = config
else:
LOG.info('%s: create Config from type: %r', self.id, type(config))
self.config = Config(config)
self.sandbox = sandbox
self.log_on_error = log_message_on_error
self.retries = retries
self.exceptions = exceptions
self.connection_handlers = []
self.timeout = timeout
self.timeout_interval = timeout_interval
self.subscription = defaultdict(set)
self.address = address
self.book_update_interval = book_interval
self.snapshot_interval = snapshot_interval
self.cross_check = cross_check
self.updates = defaultdict(int)
self.do_deltas = False
self.normalized_symbols = []
self.max_depth = max_depth
self.previous_book = defaultdict(dict)
self.origin = origin
self.checksum_validation = checksum_validation
self.ws_defaults = {
'ping_interval': 10,
'ping_timeout': None,
'max_size': 2**23,
'max_queue': None,
'origin': self.origin
}
self.key_id = os.environ.get(f'CF_{self.id}_KEY_ID') or self.config[
self.id.lower()].key_id
self.key_secret = os.environ.get(
f'CF_{self.id}_KEY_SECRET') or self.config[
self.id.lower()].key_secret
self._feed_config = defaultdict(list)
self.http_conn = HTTPAsyncConn(self.id)
symbols_cache = Symbols
if not symbols_cache.populated(self.id):
self.symbol_mapping()
self.normalized_symbol_mapping, self.exchange_info = symbols_cache.get(
self.id)
self.exchange_symbol_mapping = {
value: key
for key, value in self.normalized_symbol_mapping.items()
}
if subscription is not None and (symbols is not None
or channels is not None):
raise ValueError(
"Use subscription, or channels and symbols, not both")
if subscription is not None:
self.channels = list(subscription.keys())
self.symbols = list(subscription[self.channels[0]])
for channel in subscription:
chan = feed_to_exchange(self.id, channel)
if is_authenticated_channel(channel):
if not self.key_id or not self.key_secret:
raise ValueError(
"Authenticated channel subscribed to, but no auth keys provided"
)
self.normalized_symbols.extend(subscription[channel])
self.subscription[chan].update([
self.std_symbol_to_exchange_symbol(symbol)
for symbol in subscription[channel]
])
self._feed_config[channel].extend(self.normalized_symbols)
if symbols and channels:
if any(is_authenticated_channel(chan) for chan in channels):
if not self.key_id or not self.key_secret:
raise ValueError(
"Authenticated channel subscribed to, but no auth keys provided"
)
self.channels = channels
self.symbols = symbols
# if we dont have a subscription dict, we'll use symbols+channels and build one
[
self._feed_config[channel].extend(symbols)
for channel in channels
]
self.normalized_symbols = symbols
symbols = [
self.std_symbol_to_exchange_symbol(symbol)
for symbol in symbols
]
channels = list(
set([feed_to_exchange(self.id, chan) for chan in channels]))
self.subscription = {chan: symbols for chan in channels}
self._feed_config = dict(self._feed_config)
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
FUNDING: Callback(None),
FUTURES_INDEX: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
LIQUIDATIONS: Callback(None),
OPEN_INTEREST: Callback(None),
MARKET_INFO: Callback(None),
TICKER: Callback(None),
TRADES: Callback(None),
CANDLES: Callback(None),
ORDER_INFO: Callback(None)
}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
for key, callback in self.callbacks.items():
if not isinstance(callback, list):
self.callbacks[key] = [callback]
def __init__(self,
address: Union[dict, str],
sandbox=False,
symbols=None,
channels=None,
subscription=None,
config: Union[Config, dict, str] = None,
callbacks=None,
max_depth=None,
book_interval=1000,
snapshot_interval=False,
checksum_validation=False,
cross_check=False,
origin=None):
"""
address: str, or dict
address to be used to create the connection.
The address protocol (wss or https) will be used to determine the connection type.
Use a "str" to pass one single address, or a dict of option/address
sandbox: bool
For authenticated channels, run against the sandbox websocket (when True)
max_depth: int
Maximum number of levels per side to return in book updates
book_interval: int
Number of updates between snapshots. Only applicable when book deltas are enabled.
Book deltas are enabled by subscribing to the book delta callback.
snapshot_interval: bool/int
Number of updates between snapshots. Only applicable when book delta is not enabled.
Updates between snapshots are not delivered to the client
checksum_validation: bool
Toggle checksum validation, when supported by an exchange.
cross_check: bool
Toggle a check for a crossed book. Should not be needed on exchanges that support
checksums or provide message sequence numbers.
origin: str
Passed into websocket connect. Sets the origin header.
"""
if isinstance(config, Config):
LOG.info(
'%s: reuse object Config containing the following main keys: %s',
self.id, ", ".join(config.config.keys()))
self.config = config
else:
LOG.info('%s: create Config from type: %r', self.id, type(config))
self.config = Config(config)
self.subscription = defaultdict(set)
self.address = address
self.book_update_interval = book_interval
self.snapshot_interval = snapshot_interval
self.cross_check = cross_check
self.updates = defaultdict(int)
self.do_deltas = False
self.symbols = []
self.normalized_symbols = []
self.channels = []
self.max_depth = max_depth
self.previous_book = defaultdict(dict)
self.origin = origin
self.checksum_validation = checksum_validation
self.ws_defaults = {
'ping_interval': 10,
'ping_timeout': None,
'max_size': 2**23,
'max_queue': None,
'origin': self.origin
}
self.key_id = os.environ.get(f'CF_{self.id}_KEY_ID') or self.config[
self.id.lower()].key_id
self.key_secret = os.environ.get(
f'CF_{self.id}_KEY_SECRET') or self.config[
self.id.lower()].key_secret
self._feed_config = defaultdict(list)
load_exchange_symbol_mapping(self.id, key_id=self.key_id)
if subscription is not None and (symbols is not None
or channels is not None):
raise ValueError(
"Use subscription, or channels and symbols, not both")
if subscription is not None:
for channel in subscription:
chan = feed_to_exchange(self.id, channel)
if is_authenticated_channel(channel):
if not self.key_id or not self.key_secret:
raise ValueError(
"Authenticated channel subscribed to, but no auth keys provided"
)
self.normalized_symbols.extend(subscription[channel])
self.subscription[chan].update([
symbol_std_to_exchange(symbol, self.id)
for symbol in subscription[channel]
])
self._feed_config[channel].extend(self.normalized_symbols)
if symbols:
self.normalized_symbols = symbols
self.symbols = [
symbol_std_to_exchange(symbol, self.id) for symbol in symbols
]
if channels:
self.channels = list(
set([feed_to_exchange(self.id, chan) for chan in channels]))
[
self._feed_config[channel].extend(self.normalized_symbols)
for channel in channels
]
if any(is_authenticated_channel(chan) for chan in channels):
if not self.key_id or not self.key_secret:
raise ValueError(
"Authenticated channel subscribed to, but no auth keys provided"
)
self._feed_config = dict(self._feed_config)
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
FUNDING: Callback(None),
FUTURES_INDEX: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
LIQUIDATIONS: Callback(None),
OPEN_INTEREST: Callback(None),
MARKET_INFO: Callback(None),
TICKER: Callback(None),
TRADES: Callback(None),
TRANSACTIONS: Callback(None),
VOLUME: Callback(None),
CANDLES: Callback(None),
ORDER_INFO: Callback(None)
}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
for key, callback in self.callbacks.items():
if not isinstance(callback, list):
self.callbacks[key] = [callback]
def __init__(self,
address,
pairs=None,
channels=None,
config=None,
callbacks=None,
max_depth=None,
book_interval=1000,
snapshot_interval=False,
checksum_validation=False,
cross_check=False,
origin=None):
"""
max_depth: int
Maximum number of levels per side to return in book updates
book_interval: int
Number of updates between snapshots. Only applicable when book deltas are enabled.
Book deltas are enabled by subscribing to the book delta callback.
snapshot_interval: bool/int
Number of updates between snapshots. Only applicable when book delta is not enabled.
Updates between snapshots are not delivered to the client
checksum_validation: bool
Toggle checksum validation, when supported by an exchange.
cross_check: bool
Toggle a check for a crossed book. Should not be needed on exchanges that support
checksums or provide message sequence numbers.
origin: str
Passed into websocket connect. Sets the origin header.
"""
self.hash = str(uuid.uuid4())
self.uuid = f"{self.id}-{self.hash}"
self.config = defaultdict(set)
self.address = address
self.book_update_interval = book_interval
self.snapshot_interval = snapshot_interval
self.cross_check = cross_check
self.updates = defaultdict(int)
self.do_deltas = False
self.pairs = []
self.channels = []
self.max_depth = max_depth
self.previous_book = defaultdict(dict)
self.origin = origin
self.checksum_validation = checksum_validation
load_exchange_pair_mapping(self.id)
if config is not None and (pairs is not None or channels is not None):
raise ValueError("Use config, or channels and pairs, not both")
if config is not None:
for channel in config:
chan = feed_to_exchange(self.id, channel)
self.config[chan].update([
pair_std_to_exchange(pair, self.id)
for pair in config[channel]
])
if pairs:
self.pairs = [
pair_std_to_exchange(pair, self.id) for pair in pairs
]
if channels:
self.channels = list(
set([feed_to_exchange(self.id, chan) for chan in channels]))
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
TRADES: Callback(None),
TICKER: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
VOLUME: Callback(None),
FUNDING: Callback(None),
OPEN_INTEREST: Callback(None),
LIQUIDATIONS: Callback(None),
FUTURES_INDEX: Callback(None)
}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
for key, callback in self.callbacks.items():
if not isinstance(callback, list):
self.callbacks[key] = [callback]
def __init__(self,
address: Union[dict, str],
symbols=None,
channels=None,
subscription=None,
config: Union[Config, dict, str] = None,
callbacks=None,
max_depth=None,
book_interval=1000,
snapshot_interval=False,
checksum_validation=False,
cross_check=False,
origin=None):
"""
max_depth: int
Maximum number of levels per side to return in book updates
book_interval: int
Number of updates between snapshots. Only applicable when book deltas are enabled.
Book deltas are enabled by subscribing to the book delta callback.
snapshot_interval: bool/int
Number of updates between snapshots. Only applicable when book delta is not enabled.
Updates between snapshots are not delivered to the client
checksum_validation: bool
Toggle checksum validation, when supported by an exchange.
cross_check: bool
Toggle a check for a crossed book. Should not be needed on exchanges that support
checksums or provide message sequence numbers.
origin: str
Passed into websocket connect. Sets the origin header.
"""
if isinstance(config, Config):
self.config = config
else:
self.config = Config(config)
self.subscription = defaultdict(set)
self.address = address
self.book_update_interval = book_interval
self.snapshot_interval = snapshot_interval
self.cross_check = cross_check
self.updates = defaultdict(int)
self.do_deltas = False
self.symbols = []
self.normalized_symbols = []
self.channels = []
self.max_depth = max_depth
self.previous_book = defaultdict(dict)
self.origin = origin
self.checksum_validation = checksum_validation
self.ws_defaults = {
'ping_interval': 10,
'ping_timeout': None,
'max_size': 2**23,
'max_queue': None,
'origin': self.origin
}
key_id = self.config[self.id.lower()].key_id
load_exchange_symbol_mapping(self.id, key_id=key_id)
if subscription is not None and (symbols is not None
or channels is not None):
raise ValueError(
"Use subscription, or channels and symbols, not both")
if subscription is not None:
for channel in subscription:
chan = feed_to_exchange(self.id, channel)
self.subscription[chan].update([
symbol_std_to_exchange(symbol, self.id)
for symbol in subscription[channel]
])
self.normalized_symbols.extend(self.subscription[chan])
if symbols:
self.normalized_symbols = symbols
self.symbols = [
symbol_std_to_exchange(symbol, self.id) for symbol in symbols
]
if channels:
self.channels = list(
set([feed_to_exchange(self.id, chan) for chan in channels]))
self.l3_book = {}
self.l2_book = {}
self.callbacks = {
FUNDING: Callback(None),
FUTURES_INDEX: Callback(None),
L2_BOOK: Callback(None),
L3_BOOK: Callback(None),
LIQUIDATIONS: Callback(None),
OPEN_INTEREST: Callback(None),
MARKET_INFO: Callback(None),
TICKER: Callback(None),
TRADES: Callback(None),
TRANSACTIONS: Callback(None),
VOLUME: Callback(None)
}
if callbacks:
for cb_type, cb_func in callbacks.items():
self.callbacks[cb_type] = cb_func
if cb_type == BOOK_DELTA:
self.do_deltas = True
for key, callback in self.callbacks.items():
if not isinstance(callback, list):
self.callbacks[key] = [callback]