def test_delete_through(self):
active_tracker = BeaxyActiveOrderTracker()
# receive INSERT message to be added to active orders
first_insert: Dict[str, Any] = {
'timestamp': 1,
"sequenceNumber": 1,
'entries': [{
"action": "INSERT",
"quantity": 1,
"price": 133,
"side": "BID",
"sequrity": test_trading_pair,
}]
}
second_insert: Dict[str, Any] = {
'timestamp': 1,
"sequenceNumber": 2,
'entries': [{
"action": "INSERT",
"quantity": 2,
"price": 134,
"side": "BID",
"sequrity": test_trading_pair
}]
}
third_insert: Dict[str, Any] = {
'timestamp': 1,
"sequenceNumber": 1,
'entries': [{
"action": "INSERT",
"quantity": 3,
"price": 135,
"side": "BID",
"sequrity": test_trading_pair
}]
}
inserts = [first_insert, second_insert, third_insert]
for msg in inserts:
insert_message = BeaxyOrderBook.diff_message_from_exchange(msg, float(12345))
active_tracker.convert_diff_message_to_order_book_row(insert_message)
delete_through_dict: Dict[str, Any] = {
'timestamp': 1,
"sequenceNumber": 1,
'entries': [{
"action": "DELETE_THROUGH",
"quantity": 3,
"price": 134,
"side": "BID",
"sequrity": test_trading_pair
}]
}
msg = BeaxyOrderBook.diff_message_from_exchange(delete_through_dict, float(12345))
active_tracker.convert_diff_message_to_order_book_row(msg)
self.assertEqual(len(active_tracker.active_bids), 2)
self.assertEqual(next(iter(active_tracker.active_bids)), 134)
def test_insert_update_delete_messages(self):
active_tracker = BeaxyActiveOrderTracker()
# receive INSERT message to be added to active orders
side = "BID"
price = 1337.4423423404
quantity: float = 1
update_id = 123
message_dict: Dict[str, Any] = {
'timestamp': 1,
'sequenceNumber': update_id,
'entries': [{
"action": "INSERT",
"quantity": quantity,
"price": price,
"side": side,
"sequrity": test_trading_pair
}]
}
insert_message = BeaxyOrderBook.diff_message_from_exchange(message_dict, float(12345))
insert_ob_row: OrderBookRow = active_tracker.convert_diff_message_to_order_book_row(insert_message)
self.assertEqual(insert_ob_row[0], [OrderBookRow(price, quantity, update_id)])
# receive UPDATE message
updated_quantity: float = 3.2
update_message_dict: Dict[str, Any] = {
'timestamp': 1,
"sequenceNumber": update_id + 1,
'entries': [{
"action": "UPDATE",
"quantity": updated_quantity,
"price": price,
"side": side,
"sequrity": test_trading_pair
}]
}
change_message = BeaxyOrderBook.diff_message_from_exchange(update_message_dict, float(12345))
change_ob_row: OrderBookRow = active_tracker.convert_diff_message_to_order_book_row(change_message)
self.assertEqual(change_ob_row[0], [OrderBookRow(price, float(updated_quantity), update_id + 1)])
# receive DELETE message
delete_quantity = 1
delete_message_dict: Dict[str, Any] = {
'timestamp': 1,
"sequenceNumber": update_id + 2,
'entries': [{
"action": "DELETE",
"quantity": delete_quantity,
"price": price,
"side": side,
"sequrity": test_trading_pair
}]
}
delete_message: BeaxyOrderBookMessage = BeaxyOrderBook.diff_message_from_exchange(delete_message_dict, float(12345))
delete_ob_row: OrderBookRow = active_tracker.convert_diff_message_to_order_book_row(delete_message)
self.assertEqual(delete_ob_row[0], [OrderBookRow(price, float(0), update_id + 1 + 1)])
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)