async def listen_for_trades(self, ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
while True:
try:
# at Beaxy all pairs listed without splitter
trading_pairs = [
trading_pair_to_symbol(p) for p in self._trading_pairs
]
ws_path: str = '/'.join(
[trading_pair for trading_pair in trading_pairs])
stream_url: str = f'{BeaxyConstants.PublicApi.WS_BASE_URL}/trades/{ws_path}'
async with websockets.connect(stream_url) as ws:
ws: websockets.WebSocketClientProtocol = ws
async for raw_msg in self._inner_messages(ws):
msg = ujson.loads(raw_msg)
trade_msg: OrderBookMessage = BeaxyOrderBook.trade_message_from_exchange(
msg)
output.put_nowait(trade_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_snapshot(client: aiohttp.ClientSession,
trading_pair: str,
depth: int = 20) -> Dict[str, Any]:
assert depth in [5, 10, 20]
# at Beaxy all pairs listed without splitter
symbol = trading_pair_to_symbol(trading_pair)
async with client.get(
BeaxyConstants.PublicApi.ORDER_BOOK_URL.format(
symbol=symbol, depth=depth)) as response:
response: aiohttp.ClientResponse
if response.status != 200:
raise IOError(
f'Error fetching Beaxy market snapshot for {trading_pair}. '
f'HTTP status is {response.status}.')
if not await response.text(
): # if test is empty it marks that there is no rows
return {
'timestamp': 1,
'entries': [],
'sequenceNumber': 1,
}
data: Dict[str, Any] = await response.json()
return data
async def listen_for_order_book_snapshots(self, ev_loop: asyncio.BaseEventLoop, output: asyncio.Queue):
while True:
try:
# at Beaxy all pairs listed without splitter
trading_pairs = [trading_pair_to_symbol(p) for p in self._trading_pairs]
ws_path: str = '/'.join([f'{trading_pair}@depth20' for trading_pair in trading_pairs])
stream_url: str = f'{BeaxyConstants.PublicApi.WS_BASE_URL}/book/{ws_path}'
async with websockets.connect(stream_url) as ws:
ws: websockets.WebSocketClientProtocol = ws
async for raw_msg in self._inner_messages(ws):
msg = json.loads(raw_msg) # ujson may round floats uncorrectly
msg_type = msg['type']
if msg_type == ORDERBOOK_MESSAGE_DIFF:
order_book_message: OrderBookMessage = BeaxyOrderBook.diff_message_from_exchange(
msg, msg['timestamp'])
output.put_nowait(order_book_message)
if msg_type == ORDERBOOK_MESSAGE_SNAPSHOT:
order_book_message: OrderBookMessage = BeaxyOrderBook.snapshot_message_from_exchange(
msg, msg['timestamp'])
output.put_nowait(order_book_message)
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)
def get_mid_price(trading_pair: str) -> Optional[Decimal]:
symbol = trading_pair_to_symbol(trading_pair)
resp = requests.get(url=BeaxyConstants.PublicApi.RATE_URL.format(
symbol=symbol))
record = resp.json()
return (Decimal(record['bid']) + Decimal(record['ask'])) / Decimal('2')
async def last_price_for_pair(trading_pair):
symbol = trading_pair_to_symbol(trading_pair)
async with aiohttp.ClientSession() as client:
async with client.get(BeaxyConstants.PublicApi.RATE_URL.format(symbol=symbol)) as response:
response: aiohttp.ClientResponse
if response.status != 200:
raise IOError(f'Error fetching Beaxy market trade for {trading_pair}. '
f'HTTP status is {response.status}.')
data: Dict[str, Any] = await response.json()
return trading_pair, float(data['price'])
