bfxapi: add ticker event updates

bfxapi/examples/ws/subscribe_tickers.py

@@ -0,0 +1,23 @@
+import os
+import sys
+sys.path.append('../../../')
+
+from bfxapi import Client
+
+bfx = Client(
+  logLevel='DEBUG'
+)
+
+@bfx.ws.on('error')
+def log_error(err):
+  print ("Error: {}".format(err))
+
+@bfx.ws.on('new_ticker')
+def log_candle(ticker):
+  print ("New ticker: {}".format(ticker))
+
+async def start():
+  await bfx.ws.subscribe('ticker', 'tBTCUSD')
+
+bfx.ws.on('connected', start)
+bfx.ws.run()

bfxapi/models/__init__.py

@@ -16,5 +16,7 @@ from .notification import Notification
 from .transfer import Transfer
 from .deposit_address import DepositAddress
 from .withdraw import Withdraw
+from .ticker import Ticker
+from .funding_ticker import FundingTicker
 
 NAME = 'models'

bfxapi/models/funding_ticker.py

@@ -0,0 +1,89 @@
+"""
+Module used to describe all of the different data types
+"""
+
+class FundingTickerModel:
+    """
+    Enum used to index the different values in a raw funding ticker array
+    """
+    FRR = 0
+    BID = 1
+    BID_PERIOD = 2
+    BID_SIZE = 3
+    ASK = 4
+    ASK_PERIOD = 5
+    ASK_SIZE = 6
+    DAILY_CHANGE = 7
+    DAILY_CHANGE_PERC = 8
+    LAST_PRICE = 9
+    VOLUME = 10
+    HIGH = 11
+    LOW = 12
+    # _PLACEHOLDER,
+    # _PLACEHOLDER,
+    FRR_AMOUNT_AVAILABLE = 15
+
+class FundingTicker:
+    """
+    FRR	        float	Flash Return Rate - average of all fixed rate funding over the last hour (funding tickers only)
+    BID	        float	Price of last highest bid
+    BID_PERIOD	int	Bid period covered in days (funding tickers only)
+    BID_SIZE	float	Sum of the 25 highest bid sizes
+    ASK	float	Price of last lowest ask
+    ASK_PERIOD	int	Ask period covered in days (funding tickers only)
+    ASK_SIZE	float	Sum of the 25 lowest ask sizes
+    DAILY_CHANGE	float	Amount that the last price has changed since yesterday
+    DAILY_CHANGE_RELATIVE	float	Relative price change since yesterday (*100 for percentage change)
+    LAST_PRICE	float	Price of the last trade
+    VOLUME	    float	Daily volume
+    HIGH	    float	Daily high
+    LOW	        float	Daily low
+    FRR_AMOUNT_AVAILABLE	float	The amount of funding that is available at the Flash Return Rate (funding tickers only)
+    """
+
+    def __init__(self, pair, frr, bid, bid_period, bid_size, ask, ask_period, ask_size,
+                 daily_change, daily_change_perc, last_price, volume, high, low, frr_amount_avail):
+        self.pair = pair
+        self.frr = frr
+        self.bid = bid
+        self.bid_period = bid_period
+        self.bid_size = bid_size
+        self.ask = ask
+        self.ask_period = ask_period
+        self.ask_size = ask_size
+        self.daily_change = daily_change
+        self.daily_change_perc = daily_change_perc
+        self.last_price = last_price
+        self.volume = volume
+        self.high = high
+        self.low = low
+        self.frr_amount_available = frr_amount_avail
+
+    @staticmethod
+    def from_raw_ticker(raw_ticker, pair):
+        """
+        Generate a Ticker object from a raw ticker array
+        """
+        # [72128,[6914.5,28.123061460000002,6914.6,22.472037289999996,175.8,0.0261,6915.7,6167.26141685,6964.2,6710.8]]
+
+        return FundingTicker(
+            pair,
+            raw_ticker[FundingTickerModel.FRR],
+            raw_ticker[FundingTickerModel.BID],
+            raw_ticker[FundingTickerModel.BID_PERIOD],
+            raw_ticker[FundingTickerModel.BID_SIZE],
+            raw_ticker[FundingTickerModel.ASK],
+            raw_ticker[FundingTickerModel.ASK_PERIOD],
+            raw_ticker[FundingTickerModel.ASK_SIZE],
+            raw_ticker[FundingTickerModel.DAILY_CHANGE],
+            raw_ticker[FundingTickerModel.DAILY_CHANGE_PERC],
+            raw_ticker[FundingTickerModel.LAST_PRICE],
+            raw_ticker[FundingTickerModel.VOLUME],
+            raw_ticker[FundingTickerModel.HIGH],
+            raw_ticker[FundingTickerModel.LOW],
+            raw_ticker[FundingTickerModel.FRR_AMOUNT_AVAILABLE]
+        )
+
+    def __str__(self):
+        return "FundingTicker '{}' <last='{}' volume={}>".format(
+            self.pair, self.last_price, self.volume)

bfxapi/models/ticker.py

@@ -0,0 +1,71 @@
+"""
+Module used to describe all of the different data types
+"""
+
+class TickerModel:
+    """
+    Enum used to index the different values in a raw ticker array
+    """
+    BID = 0
+    BID_SIZE = 1
+    ASK = 2
+    ASK_SIZE = 3
+    DAILY_CHANGE = 4
+    DAILY_CHANGE_RELATIVE = 5
+    LAST_PRICE = 6
+    VOLUME = 7
+    HIGH = 8
+    LOW = 9
+
+class Ticker:
+    """
+    BID	float	    Price of last highest bid
+    BID_SIZE	    float	Sum of the 25 highest bid sizes
+    ASK	float	    Price of last lowest ask
+    ASK_SIZE	    float	Sum of the 25 lowest ask sizes
+    DAILY_CHANGE	float	Amount that the last price has changed since yesterday
+    DAILY_CHANGE_RELATIVE	float	Relative price change since yesterday (*100 for percentage change)
+    LAST_PRICE	    float	Price of the last trade
+    VOLUME	        float	Daily volume
+    HIGH	        float	Daily high
+    LOW	            float	Daily low
+    """
+
+    def __init__(self, pair, bid, bid_size, ask, ask_size, daily_change, daily_change_rel,
+                 last_price, volume, high, low):
+        self.pair = pair
+        self.bid = bid
+        self.bid_size = bid_size
+        self.ask = ask
+        self.ask_size = ask_size
+        self.daily_change = daily_change
+        self.daily_change_rel = daily_change_rel
+        self.last_price = last_price
+        self.volume = volume
+        self.high = high
+        self.low = low
+
+    @staticmethod
+    def from_raw_ticker(raw_ticker, pair):
+        """
+        Generate a Ticker object from a raw ticker array
+        """
+        # [72128,[6914.5,28.123061460000002,6914.6,22.472037289999996,175.8,0.0261,6915.7,6167.26141685,6964.2,6710.8]]
+
+        return Ticker(
+            pair,
+            raw_ticker[TickerModel.BID],
+            raw_ticker[TickerModel.BID_SIZE],
+            raw_ticker[TickerModel.ASK],
+            raw_ticker[TickerModel.ASK_SIZE],
+            raw_ticker[TickerModel.DAILY_CHANGE],
+            raw_ticker[TickerModel.DAILY_CHANGE_RELATIVE],
+            raw_ticker[TickerModel.LAST_PRICE],
+            raw_ticker[TickerModel.VOLUME],
+            raw_ticker[TickerModel.HIGH],
+            raw_ticker[TickerModel.LOW],
+        )
+
+    def __str__(self):
+        return "Ticker '{}' <last='{}' volume={}>".format(
+            self.pair, self.last_price, self.volume)

bfxapi/websockets/bfx_websocket.py

@@ -12,7 +12,7 @@ from .subscription_manager import SubscriptionManager
 from .wallet_manager import WalletManager
 from .order_manager import OrderManager
 from ..utils.auth import generate_auth_payload
-from ..models import Order, Trade, OrderBook
+from ..models import Order, Trade, OrderBook, Ticker, FundingTicker
 
 
 class Flags:
@@ -218,6 +218,8 @@ class BfxWebsocket(GenericWebsocket):
                 await self._trade_handler(data)
             if subscription.channel_name == 'status':
                 await self._status_handler(data)
+            if subscription.channel_name == 'ticker':
+                await self._ticker_handler(data)
         else:
             self.logger.warn(
                 "Unknown data event: '{}' {}".format(dataEvent, data))
@@ -356,6 +358,17 @@ class BfxWebsocket(GenericWebsocket):
         else:
             self.logger.warn('Unknown status data type: {}'.format(data))
 
+    async def _ticker_handler(self, data):
+        symbol = self.subscriptionManager.get(data[0]).symbol
+        if type(data[1]) is list:
+            raw_ticker = data[1]
+            t = None
+            if len(raw_ticker) == 10:
+                t = Ticker.from_raw_ticker(raw_ticker, symbol)
+            else:
+                t = FundingTicker.from_raw_ticker(raw_ticker, symbol)
+            self._emit('new_ticker', t)
+
     async def _trade_handler(self, data):
         symbol = self.subscriptionManager.get(data[0]).symbol
         if type(data[1]) is list: