Add examples/websocket/order_book.py and raw_order_book.py demos.

examples/websocket/order_book.py

@@ -0,0 +1,61 @@
+from collections import OrderedDict
+
+from bfxapi import Client, Constants
+
+from bfxapi.websocket import BfxWebsocketClient
+from bfxapi.websocket.enums import Channels, Errors
+from bfxapi.websocket.typings import Subscriptions, TradingPairBooks, TradingPairBook
+
+class OrderBook(object):
+    def __init__(self, symbols: list[str]):
+        self.order_book = {
+            symbol: { 
+                "bids": OrderedDict(), "asks": OrderedDict() 
+            } for symbol in symbols
+        }
+            
+    def update(self, symbol: str, data: TradingPairBook) -> None:
+        price, count, amount = data["PRICE"], data["COUNT"], data["AMOUNT"]
+
+        kind = (amount > 0) and "bids" or "asks"
+
+        if count > 0:
+            self.order_book[symbol][kind][price] = { 
+                "price": price, 
+                "count": count,
+                "amount": amount 
+            }
+
+        if count == 0:
+            if price in self.order_book[symbol][kind]:
+                del self.order_book[symbol][kind][price]
+
+SYMBOLS = [ "tBTCUSD", "tLTCUSD", "tLTCBTC", "tETHUSD", "tETHBTC" ]
+
+order_book = OrderBook(symbols=SYMBOLS)
+
+bfx = Client(WSS_HOST=Constants.PUB_WSS_HOST)
+
+@bfx.wss.on("wss-error")
+def on_wss_error(code: Errors, msg: str):
+    print(code, msg)
+
+@bfx.wss.on("open")
+async def on_open():
+    for symbol in SYMBOLS:
+        await bfx.wss.subscribe(Channels.BOOK, symbol=symbol)
+
+@bfx.wss.on("subscribed")
+def on_subscribed(subscription):
+    print(f"Subscription successful for pair <{subscription['pair']}>")
+
+@bfx.wss.on("t_book_snapshot")
+def on_t_book_snapshot(subscription: Subscriptions.Book, snapshot: TradingPairBooks):
+    for data in snapshot:
+        order_book.update(subscription["symbol"], data)
+
+@bfx.wss.on("t_book_update")
+def on_t_book_update(subscription: Subscriptions.Book, data: TradingPairBook):
+    order_book.update(subscription["symbol"], data)
+
+bfx.wss.run()

examples/websocket/raw_order_book.py

@@ -0,0 +1,61 @@
+from collections import OrderedDict
+
+from bfxapi import Client, Constants
+
+from bfxapi.websocket import BfxWebsocketClient
+from bfxapi.websocket.enums import Channels, Errors
+from bfxapi.websocket.typings import Subscriptions, TradingPairRawBooks, TradingPairRawBook
+
+class RawOrderBook(object):
+    def __init__(self, symbols: list[str]):
+        self.raw_order_book = {
+            symbol: { 
+                "bids": OrderedDict(), "asks": OrderedDict() 
+            } for symbol in symbols
+        }
+            
+    def update(self, symbol: str, data: TradingPairRawBook) -> None:
+        order_id, price, amount = data["ORDER_ID"], data["PRICE"], data["AMOUNT"]
+
+        kind = (amount > 0) and "bids" or "asks"
+
+        if price > 0:
+            self.raw_order_book[symbol][kind][order_id] = { 
+                "order_id": order_id,
+                "price": price, 
+                "amount": amount 
+            }
+
+        if price == 0:
+            if order_id in self.raw_order_book[symbol][kind]:
+                del self.raw_order_book[symbol][kind][order_id]
+
+SYMBOLS = [ "tBTCUSD", "tLTCUSD", "tLTCBTC", "tETHUSD", "tETHBTC" ]
+
+raw_order_book = RawOrderBook(symbols=SYMBOLS)
+
+bfx = Client(WSS_HOST=Constants.PUB_WSS_HOST)
+
+@bfx.wss.on("wss-error")
+def on_wss_error(code: Errors, msg: str):
+    print(code, msg)
+
+@bfx.wss.on("open")
+async def on_open():
+    for symbol in SYMBOLS:
+        await bfx.wss.subscribe(Channels.BOOK, symbol=symbol, prec="R0")
+
+@bfx.wss.on("subscribed")
+def on_subscribed(subscription):
+    print(f"Subscription successful for pair <{subscription['pair']}>")
+
+@bfx.wss.on("t_raw_book_snapshot")
+def on_t_raw_book_snapshot(subscription: Subscriptions.Book, snapshot: TradingPairRawBooks):
+    for data in snapshot:
+        raw_order_book.update(subscription["symbol"], data)
+
+@bfx.wss.on("t_raw_book_update")
+def on_t_raw_book_update(subscription: Subscriptions.Book, data: TradingPairRawBook):
+    raw_order_book.update(subscription["symbol"], data)
+
+bfx.wss.run()