aljaz/bitfinex-api-py
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orderbook: use string values to generate checksum

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Jacob Plaster
2019-01-25 12:01:51 +00:00
committed by Jacob Plaster
parent 105c2f22df
commit 6ea571d468
2 changed files with 43 additions and 25 deletions
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20
bfxapi/websockets/BfxWebsocket.py
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@@ -98,13 +98,17 @@ class BfxWebsocket(GenericWebsocket):
}
def __init__(self, API_KEY=None, API_SECRET=None, host='wss://api.bitfinex.com/ws/2',
manageOrderBooks=False, dead_man_switch=False, logLevel='INFO', *args, **kwargs):
manageOrderBooks=False, dead_man_switch=False, logLevel='INFO', parse_float=float,
*args, **kwargs):
self.API_KEY = API_KEY
self.API_SECRET = API_SECRET
self.manageOrderBooks = manageOrderBooks
self.dead_man_switch = dead_man_switch
self.pendingOrders = {}
self.orderBooks = {}
# How should we store float values? could also be bfxapi.Decimal
# which is slower but has higher precision.
self.parse_float = parse_float
super(BfxWebsocket, self).__init__(
host, logLevel=logLevel, *args, **kwargs)
@@ -149,7 +153,7 @@ class BfxWebsocket(GenericWebsocket):
self.logger.warn(
"Unknown websocket event: '{}' {}".format(eType, msg))
async def _ws_data_handler(self, data):
async def _ws_data_handler(self, data, raw_message_str):
dataEvent = data[1]
chan_id = data[0]
@@ -161,7 +165,7 @@ class BfxWebsocket(GenericWebsocket):
if subscription.channel_name == 'candles':
await self._candle_handler(data)
if subscription.channel_name == 'book':
await self._order_book_handler(data)
await self._order_book_handler(data, raw_message_str)
if subscription.channel_name == 'trades':
await self._trade_handler(data)
else:
@@ -320,7 +324,7 @@ class BfxWebsocket(GenericWebsocket):
data[1], subscription.symbol, subscription.timeframe)
self._emit('new_candle', candle)
async def _order_book_handler(self, data):
async def _order_book_handler(self, data, orig_raw_message):
obInfo = data[1]
chan_id = data[0]
subscription = self.subscriptionManager.get(data[0])
@@ -345,24 +349,24 @@ class BfxWebsocket(GenericWebsocket):
isSnapshot = type(obInfo[0]) is list
if isSnapshot:
self.orderBooks[symbol] = OrderBook()
self.orderBooks[symbol].update_from_snapshot(obInfo)
self.orderBooks[symbol].update_from_snapshot(obInfo, orig_raw_message)
self._emit('order_book_snapshot', {
'symbol': symbol, 'data': obInfo})
else:
self.orderBooks[symbol].update_with(obInfo)
self.orderBooks[symbol].update_with(obInfo, orig_raw_message)
self._emit('order_book_update', {'symbol': symbol, 'data': obInfo})
async def on_message(self, message):
self.logger.debug(message)
# convert float values to decimal
msg = json.loads(message, parse_float=Decimal)
msg = json.loads(message, parse_float=self.parse_float)
self._emit('all', msg)
if type(msg) is dict:
# System messages are received as json
await self._ws_system_handler(msg)
elif type(msg) is list:
# All data messages are received as a list
await self._ws_data_handler(msg)
await self._ws_data_handler(msg, message)
else:
self.logger.warn('Unknown websocket response: {}'.format(msg))