aljaz/bitfinex-api-py
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Adds subscription manager to handle channels

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This commit is contained in:
Jacob Plaster
2018-11-27 15:12:09 +00:00
parent fa9aed0a4e
commit 0add7426af
4 changed files with 196 additions and 47 deletions
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96
bfxapi/websockets/BfxWebsocket.py
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@@ -6,6 +6,7 @@ import hmac
import random
from .GenericWebsocket import GenericWebsocket, AuthError
from .SubscriptionManager import SubscriptionManager
from ..models import Order, Trade, OrderBook
class Flags:
@@ -133,7 +134,6 @@ class BfxWebsocket(GenericWebsocket):
def __init__(self, API_KEY=None, API_SECRET=None, host='wss://api.bitfinex.com/ws/2',
onSeedCandleHook=None, onSeedTradeHook=None, manageOrderBooks=False, *args, **kwargs):
self.channels = {}
self.API_KEY=API_KEY
self.API_SECRET=API_SECRET
self.manageOrderBooks = manageOrderBooks
@@ -141,6 +141,7 @@ class BfxWebsocket(GenericWebsocket):
self.orderBooks = {}
super(BfxWebsocket, self).__init__(host, *args, **kwargs)
self.subscriptionManager = SubscriptionManager(self)
self._WS_DATA_HANDLERS = {
'tu': self._trade_update_handler,
@@ -165,6 +166,7 @@ class BfxWebsocket(GenericWebsocket):
self._WS_SYSTEM_HANDLERS = {
'info': self._system_info_handler,
'subscribed': self._system_subscribed_handler,
'unsubscribed': self._system_unsubscribe_handler,
'error': self._system_error_handler,
'auth': self._system_auth_handler,
'conf': self._system_conf_handler
@@ -183,14 +185,15 @@ class BfxWebsocket(GenericWebsocket):
if type(dataEvent) is str and dataEvent in self._WS_DATA_HANDLERS:
return await self._WS_DATA_HANDLERS[dataEvent](data)
elif chanId in self.channels:
elif self.subscriptionManager.is_subscribed(chanId):
subscription = self.subscriptionManager.get(chanId)
# candles do not have an event
if self.channels[chanId].get('channel') == 'candles':
if subscription.channel_name == 'candles':
await self._candle_handler(data)
if self.channels[chanId].get('channel') == 'book':
if subscription.channel_name == 'book':
await self._order_book_handler(data)
else:
self.logger.warn("Unknow data event: '{}' {}".format(dataEvent, data))
self.logger.warn("Unknown data event: '{}' {}".format(dataEvent, data))
async def _system_info_handler(self, data):
self.logger.info(data)
@@ -211,18 +214,10 @@ class BfxWebsocket(GenericWebsocket):
self.logger.error("Unable to enable config flag {}".format(flagString))
async def _system_subscribed_handler(self, data):
chanEvent = data.get('channel')
self.logger.info("Subscribed to channel '{}'".format(chanEvent))
## add channel to known list
chanId = data.get('chanId')
## if is a candles subscribption, then get the symbol
## from the key
if data.get('key'):
kd = data.get('key').split(':')
data['tf'] = kd[1]
data['symbol'] = kd[2]
await self.subscriptionManager.confirm_subscription(data)
self.channels[chanId] = data
async def _system_unsubscribe_handler(self, data):
await self.subscriptionManager.confirm_unsubscribe(data)
async def _system_error_handler(self, data):
self._emit('error', data)
@@ -237,17 +232,17 @@ class BfxWebsocket(GenericWebsocket):
async def _trade_update_handler(self, data):
tData = data[2]
# [209, 'tu', [312372989, 1542303108930, 0.35, 5688.61834032]]
if data[0] in self.channels:
channelData = self.channels[data[0]]
tradeObj = _parse_trade(tData, channelData.get('symbol'))
if self.subscriptionManager.is_subscribed(data[0]):
symbol = self.subscriptionManager.get(data[0]).symbol
tradeObj = _parse_trade(tData, symbol)
self._emit('new_trade', tradeObj)
async def _trade_executed_handler(self, data):
tData = data[2]
# [209, 'te', [312372989, 1542303108930, 0.35, 5688.61834032]]
if data[0] in self.channels:
channelData = self.channels[data[0]]
tradeObj = _parse_trade(tData, channelData.get('symbol'))
if self.subscriptionManager.is_subscribed(data[0]):
symbol = self.subscriptionManager.get(data[0]).symbol
tradeObj = _parse_trade(tData, symbol)
self._emit('new_trade', tradeObj)
async def _wallet_update_handler(self, data):
@@ -362,7 +357,7 @@ class BfxWebsocket(GenericWebsocket):
self.logger.info("Funding credit snapshot: {}".format(data))
async def _trade_handler(self, data):
channelData = self.channels[data[0]]
symbol = self.subscriptionManager.get(data[0]).symbol
if type(data[1]) is list:
data = data[1]
# Process the batch of seed trades on
@@ -373,44 +368,45 @@ class BfxWebsocket(GenericWebsocket):
'mts': t[1],
'price': t[2],
'amount': t[3],
'symbol': channelData['symbol']
'symbol': symbol
}
self._emit('seed_trade', trade)
else:
tradeObj = _parse_trade_snapshot_item(data, channelData['symbol'])
tradeObj = _parse_trade_snapshot_item(data, symbol)
self._emit('new_trade', tradeObj)
async def _candle_handler(self, data):
chanId = data[0]
channelData = self.channels[chanId]
subscription = self.subscriptionManager.get(data[0])
if type(data[1][0]) is list:
# Process the batch of seed candles on
# websocket subscription
candlesSnapshot = data[1]
candlesSnapshot.reverse()
for c in candlesSnapshot:
candle = _parse_candle(c, channelData['symbol'], channelData['tf'])
candle = _parse_candle(c, subscription.symbol, subscription.timeframe)
self._emit('seed_candle', candle)
else:
candle = _parse_candle(data[1], channelData['symbol'], channelData['tf'])
candle = _parse_candle(data[1], subscription.symbol, subscription.timeframe)
self._emit('new_candle', candle)
async def _order_book_handler(self, data):
obInfo = data[1]
channelData = self.channels[data[0]]
symbol = channelData.get('symbol')
chanId = data[0]
subscription = self.subscriptionManager.get(data[0])
symbol = subscription.symbol
if data[1] == "cs":
dChecksum = data[2] & 0xffffffff # force to signed int
checksum = self.orderBooks[symbol].checksum()
# force checksums to signed integers
isValid = (dChecksum) == (checksum)
isValid = (dChecksum) != (checksum)
if isValid:
self.logger.debug("Checksum orderbook validation for '{}' successful."
.format(symbol))
else:
# TODO: resync with snapshot
self.logger.warn("Checksum orderbook invalid for '{}'. Orderbook out of syc."
self.logger.warn("Checksum orderbook invalid for '{}'. Resetting subscription."
.format(symbol))
# re-build orderbook with snapshot
await self.subscriptionManager.resubscribe(chanId)
return
isSnapshot = type(obInfo[0]) is list
if isSnapshot:
@@ -459,7 +455,7 @@ class BfxWebsocket(GenericWebsocket):
if self.manageOrderBooks:
await self.enable_flag(Flags.CHECKSUM)
async def send_auth_command(self, channel_name, data):
async def _send_auth_command(self, channel_name, data):
payload = [0, channel_name, None, data]
await self.ws.send(json.dumps(payload))
@@ -470,14 +466,20 @@ class BfxWebsocket(GenericWebsocket):
}
await self.ws.send(json.dumps(payload))
def subscribe(self, channel_name, symbol, timeframe=None, **kwargs):
q = {'event': 'subscribe', 'channel': channel_name, 'symbol': symbol}
if timeframe:
q['key'] = 'trade:{}:{}'.format(timeframe, symbol)
q.update(**kwargs)
self.logger.info("Subscribing to channel {}".format(channel_name))
# tmp = self.ws.send(json.dumps(q))
asyncio.ensure_future(self.ws.send(json.dumps(q)))
async def subscribe(self, *args, **kwargs):
await self.subscriptionManager.subscribe(*args, **kwargs)
async def unsubscribe(self, *args, **kwargs):
await self.subscriptionManager.unsubscribe(*args, **kwargs)
async def resubscribe(self, *args, **kwargs):
await self.subscriptionManager.resubscribe(*args, **kwargs)
async def unsubscribe_all(self, *args, **kwargs):
await self.subscriptionManager.unsubscribe_all(*args, **kwargs)
async def resubscribe_all(self, *args, **kwargs):
await self.subscriptionManager.resubscribe_all(*args, **kwargs)
async def submit_order(self, symbol, price, amount, market_type,
hidden=False, onComplete=None, onError=None, *args, **kwargs):
@@ -491,7 +493,7 @@ class BfxWebsocket(GenericWebsocket):
"price": str(price)
}
self.pendingOrders[order_id] = (onComplete, onError)
await self.send_auth_command('on', payload)
await self._send_auth_command('on', payload)
self.logger.info("Order cid={} ({} {} @ {}) dispatched".format(
order_id, symbol, amount, price))
@@ -514,15 +516,15 @@ class BfxWebsocket(GenericWebsocket):
if time_in_force is not None:
payload['time_in_force'] = str(time_in_force)
self.pendingOrders[orderId] = (onComplete, onError)
await self.send_auth_command('ou', payload)
await self._send_auth_command('ou', payload)
self.logger.info("Update Order order_id={} dispatched".format(orderId))
async def cancel_order(self, orderId, onComplete=None, onError=None):
self.pendingOrders[orderId] = (onComplete, onError)
await self.send_auth_command('oc', { 'id': orderId })
await self._send_auth_command('oc', { 'id': orderId })
self.logger.info("Order cancel order_id={} dispatched".format(orderId))
async def cancel_order_multi(self, orderIds, onComplete=None, onError=None):
self.pendingOrders[orderIds[0]] = (onComplete, onError)
await self.send_auth_command('oc', { 'id': orderIds })
await self._send_auth_command('oc', { 'id': orderIds })
self.logger.info("Order cancel order_ids={} dispatched".format(orderIds))