async def listen_for_trades(self, ev_loop: Optional[asyncio.BaseEventLoop],
output: asyncio.Queue):
"""Subscribes to the trade channel of the exchange. Adds incoming messages(of filled orders) to the output queue, to be processed by"""
while True:
try:
trading_pairs: List[str] = self._trading_pairs
async with websockets.connect(OKEX_WS_URI_PUBLIC) as ws:
ws: websockets.WebSocketClientProtocol = ws
for trading_pair in trading_pairs:
subscribe_request: Dict[str, Any] = {
"op":
"subscribe",
"args": [{
"channel": "trades",
"instType": "SPOT",
"instId": trading_pair,
}]
}
await ws.send(json.dumps(subscribe_request))
async for raw_msg in self._inner_messages(ws):
decoded_msg: str = raw_msg
self.logger().debug("decode menssage:" + decoded_msg)
if '"event":"subscribe"' in decoded_msg:
self.logger().debug(
f"Subscribed to channel, full message: {decoded_msg}"
)
elif '"channel": "orders"' in decoded_msg:
self.logger().debug(
f"Received new trade: {decoded_msg}")
for data in json.loads(decoded_msg)['data']:
trading_pair = data['instId']
trade_message: OrderBookMessage = OkexOrderBook.trade_message_from_exchange(
data,
data['uTime'],
metadata={"trading_pair": trading_pair})
self.logger().debug(
f"Putting msg in queue: {str(trade_message)}"
)
output.put_nowait(trade_message)
else:
self.logger().debug(
f"Unrecognized message received from OKEx websocket: {decoded_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_new_order_book(self, trading_pair: str) -> OrderBook:
async with aiohttp.ClientSession() as client:
snapshot: Dict[str, Any] = await self.get_snapshot(
client, trading_pair)
snapshot_msg: OrderBookMessage = OkexOrderBook.snapshot_message_from_exchange(
snapshot,
trading_pair,
timestamp=snapshot['ts'],
metadata={"trading_pair": trading_pair})
order_book: OrderBook = self.order_book_create_function()
order_book.apply_snapshot(snapshot_msg.bids, snapshot_msg.asks,
snapshot_msg.update_id)
return order_book
async def listen_for_order_book_diffs(
self, ev_loop: Optional[asyncio.BaseEventLoop],
output: asyncio.Queue):
"""Fetches or Subscribes to the order book snapshots for each trading pair. Additionally, parses the incoming message into a OrderBookMessage and appends it into the output Queue."""
while True:
try:
trading_pairs: List[str] = await self.get_trading_pairs()
async with websockets.connect(OKEX_WS_URI_PUBLIC) as ws:
ws: websockets.WebSocketClientProtocol = ws
for trading_pair in trading_pairs:
subscribe_request: Dict[str, Any] = {
"op": "subscribe",
"args": [{
"channel": "books",
"instId": trading_pair
}]
}
await ws.send(json.dumps(subscribe_request))
async for raw_msg in self._inner_messages(ws):
decoded_msg: str = raw_msg
if '"event":"subscribe"' in decoded_msg:
self.logger().debug(
f"Subscribed to channel, full message: {decoded_msg}"
)
elif '"action":"update"' in decoded_msg:
msg = json.loads(decoded_msg)
for data in msg['data']:
order_book_message: OrderBookMessage = OkexOrderBook.diff_message_from_exchange(
data, int(data['ts']), msg['arg'])
output.put_nowait(order_book_message)
else:
self.logger().debug(
f"Unrecognized message received from OKEx websocket: {decoded_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 listen_for_order_book_snapshots(self,
ev_loop: asyncio.BaseEventLoop,
output: asyncio.Queue):
"""Fetches or Subscribes to the order book deltas(diffs) for each trading pair. Additionally, parses the incoming message into a OrderBookMessage and appends it into the output Queue."""
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_msg: OrderBookMessage = OkexOrderBook.snapshot_message_from_exchange(
snapshot,
trading_pair,
timestamp=snapshot['ts'],
metadata={"trading_pair": trading_pair})
output.put_nowait(snapshot_msg)
self.logger().debug(
f"Saved order book snapshot for {trading_pair}"
)
await asyncio.sleep(5.0)
except asyncio.CancelledError:
raise
except Exception:
self.logger().error("Unexpected error.",
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().error("Unexpected error.", exc_info=True)
await asyncio.sleep(5.0)