Add order book checksum handling in /examples/websocket/public/order_book.py.

examples/websocket/public/order_book.py

@@ -2,7 +2,9 @@
 
 from collections import OrderedDict
 
-from typing import List
+from typing import List, Dict
+
+import crcmod
 
 from bfxapi import Client, PUB_WSS_HOST
 
@@ -14,10 +16,13 @@ class OrderBook:
     def __init__(self, symbols: List[str]):
         self.__order_book = {
             symbol: {
-                "bids": OrderedDict(), "asks": OrderedDict() 
+                "bids": OrderedDict(), "asks": OrderedDict()
             } for symbol in symbols
         }
 
+        self.cooldown: Dict[str, bool] = \
+            { symbol: False for symbol in symbols }
+
     def update(self, symbol: str, data: TradingPairBook) -> None:
         price, count, amount = data.price, data.count, data.amount
 
@@ -34,6 +39,31 @@ class OrderBook:
             if price in self.__order_book[symbol][kind]:
                 del self.__order_book[symbol][kind][price]
 
+    def verify(self, symbol: str, checksum: int) -> bool:
+        values: List[int] = [ ]
+
+        bids = sorted([ (data["price"], data["count"], data["amount"]) \
+            for _, data in self.__order_book[symbol]["bids"].items() ],
+                key=lambda data: -data[0])
+
+        asks = sorted([ (data["price"], data["count"], data["amount"]) \
+            for _, data in self.__order_book[symbol]["asks"].items() ],
+                key=lambda data: data[0])
+
+        if len(bids) < 25 or len(asks) < 25:
+            raise AssertionError("Not enough bids or asks (need at least 25).")
+
+        for _i in range(25):
+            bid, ask = bids[_i], asks[_i]
+            values.extend([ bid[0], bid[2] ])
+            values.extend([ ask[0], ask[2] ])
+
+        local = ":".join(str(value) for value in values).encode("UTF-8")
+
+        crc32 = crcmod.mkCrcFun(0x104C11DB7, initCrc=0, xorOut=0xFFFFFFFF)
+
+        return crc32(local) == checksum
+
 SYMBOLS = [ "tBTCUSD", "tLTCUSD", "tLTCBTC", "tETHUSD", "tETHBTC" ]
 
 order_book = OrderBook(symbols=SYMBOLS)
@@ -62,4 +92,18 @@ def on_t_book_snapshot(subscription: Book, snapshot: List[TradingPairBook]):
 def on_t_book_update(subscription: Book, data: TradingPairBook):
     order_book.update(subscription["symbol"], data)
 
+@bfx.wss.on("checksum")
+async def on_checksum(subscription: Book, value: int):
+    symbol = subscription["symbol"]
+
+    if order_book.verify(symbol, value):
+        order_book.cooldown[symbol] = False
+    elif not order_book.cooldown[symbol]:
+        print("Mismatch between local and remote checksums: "
+            f"restarting book for symbol <{symbol}>...")
+
+        await bfx.wss.resubscribe(sub_id=subscription["subId"])
+
+        order_book.cooldown[symbol] = True
+
 bfx.wss.run()