mirror of
https://github.com/aljazceru/bitfinex-api-py.git
synced 2025-12-19 23:04:21 +01:00
websockets: adds event driven
This commit is contained in:
Jacob Plaster
@@ -6,6 +6,7 @@ import hmac
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import random
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from .GenericWebsocket import GenericWebsocket, AuthError
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from ..models import Order, Trade
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def _parse_candle(cData, symbol, tf):
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return {
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@@ -19,8 +20,7 @@ def _parse_candle(cData, symbol, tf):
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'tf': tf
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}
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def _parse_trade(tData, symbol):
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print (tData)
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def _parse_trade_snapshot_item(tData, symbol):
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return {
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'mts': tData[3],
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'price': tData[4],
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@@ -28,6 +28,15 @@ def _parse_trade(tData, symbol):
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'symbol': symbol
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}
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def _parse_trade(tData, symbol):
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return {
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'mts': tData[1],
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'price': tData[3],
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'amount': tData[2],
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'symbol': symbol
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}
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class LiveBfxWebsocket(GenericWebsocket):
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'''
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More complex websocket that heavily relies on the btfxwss module. This websocket requires
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@@ -42,8 +51,8 @@ class LiveBfxWebsocket(GenericWebsocket):
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hos - Historical Orders
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ps - Positions
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hts - Trades (snapshot)
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te - Trade Event
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tu - Trade Update
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te - Trade Executed
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tu - Trade Execution update
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ws - Wallets
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bu - Balance Info
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miu - Margin Info
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@@ -56,6 +65,27 @@ class LiveBfxWebsocket(GenericWebsocket):
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hfls - Historical Loans
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htfs - Funding Trades
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n - Notifications (WIP)
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Events:
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- all: listen for all messages coming through
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- connected: called when a connection is made
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- authenticated: called when the websocket passes authentication
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- message (string): new incoming message from the websocket
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- notification (array): incoming account notification
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- error (string): error from the websocket
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- order_closed (string): when an order confirmation is recieved
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- wallet_snapshot (string): Initial wallet balances (Fired once)
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- order_snapshot (string): Initial open orders (Fired once)
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- positions_snapshot (string): Initial open positions (Fired once)
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- wallet_update (string): changes to the balance of wallets
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- seed_candle (candleArray): initial past candle to prime strategy
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- seed_trade (tradeArray): initial past trade to prime strategy
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- funding_offer_snapshot:
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- funding_loan_snapshot:
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- funding_credit_snapshot:
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- balance_update when the state of a balance is changed
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- new_trade: a new trade on the market has been executed
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- new_candle: a new candle has been produced
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'''
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ERRORS = {
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@@ -82,17 +112,9 @@ class LiveBfxWebsocket(GenericWebsocket):
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20061: 'Websocket server resync complete'
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}
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def __init__(self, API_KEY=None, API_SECRET=None, backtest=False, host='wss://test.bitfinex.com/ws',
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def __init__(self, API_KEY=None, API_SECRET=None, backtest=False, host='wss://api.bitfinex.com/ws/2',
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onSeedCandleHook=None, onSeedTradeHook=None, *args, **kwargs):
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self.channels = {}
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self.tf = '1m'
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if not onSeedCandleHook:
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raise KeyError("Expected `onSeedCandleHook` in parameters.")
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if not onSeedTradeHook:
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raise KeyError("Expected `onSeedTradeHook` in parameters.")
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self.onSeedCandleHook = onSeedCandleHook
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self.onSeedTradeHook = onSeedTradeHook
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self.API_KEY=API_KEY
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self.API_SECRET=API_SECRET
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self.backtest=backtest
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@@ -105,10 +127,15 @@ class LiveBfxWebsocket(GenericWebsocket):
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'wu': self._wallet_update_handler,
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'hb': self._heart_beat_handler,
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'te': self._trade_event_handler,
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'oc': self._order_confirmed_handler,
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'oc': self._order_closed_handler,
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'os': self._order_snapshot_handler,
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'ws': self._wallet_snapshot_handler,
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'ps': self._position_snapshot_handler
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'ps': self._position_snapshot_handler,
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'fos': self._funding_offer_snapshot_handler,
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'fcs': self._funding_credit_snapshot_handler,
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'fls': self._funding_load_snapshot_handler,
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'bu': self._balance_update_handler,
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'n': self._notification_handler
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}
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self._WS_SYSTEM_HANDLERS = {
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@@ -132,13 +159,11 @@ class LiveBfxWebsocket(GenericWebsocket):
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if type(dataEvent) is str and dataEvent in self._WS_DATA_HANDLERS:
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return await self._WS_DATA_HANDLERS[dataEvent](data)
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elif chanId in self.channels:
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if self.channels[chanId] == 'trades':
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await self._trade_handler(data)
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elif self.channels[chanId] == 'candles':
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candle = data[1]
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await self._candle_handler(candle)
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# candles do not have an event
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if self.channels[chanId].get('channel') == 'candles':
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await self._candle_handler(data)
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else:
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self.logger.warn("Unknow data event: {}".format(dataEvent))
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self.logger.warn("Unknow data event: '{}' {}".format(dataEvent, data))
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async def _system_info_handler(self, data):
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self.logger.info(data)
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@@ -151,52 +176,109 @@ class LiveBfxWebsocket(GenericWebsocket):
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self.logger.info("Subscribed to channel '{}'".format(chanEvent))
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## add channel to known list
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chanId = data.get('chanId')
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self.channels[chanId] = chanEvent
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## if is a candles subscribption, then get the symbol
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## from the key
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if data.get('key'):
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kd = data.get('key').split(':')
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data['tf'] = kd[1]
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data['symbol'] = kd[2]
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self.channels[chanId] = data
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async def _system_error_handler(self, data):
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code = data.get('code')
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if code in self.ERRORS:
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raise Exception(self.ERRORS[code])
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else:
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raise Exception(data)
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self._emit('error', data)
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async def _system_auth_handler(self, data):
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if data.get('status') == 'FAILED':
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raise AuthError(self.ERRORS[data.get('code')])
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else:
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self._emit('authenticated', data)
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self.logger.info("Authentication successful.")
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async def _trade_update_handler(self, data):
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pass
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tData = data[2]
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# [209, 'tu', [312372989, 1542303108930, 0.35, 5688.61834032]]
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channelData = self.channels[data[0]]
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tradeObj = _parse_trade(tData, channelData.get('symbol'))
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self._emit('new_trade', tradeObj)
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async def _trade_event_handler(self, data):
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tData = data[2]
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# [209, 'te', [312372989, 1542303108930, 0.35, 5688.61834032]]
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channelData = self.channels[data[0]]
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tradeObj = _parse_trade(tData, channelData.get('symbol'))
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self._emit('new_trade', tradeObj)
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async def _wallet_update_handler(self, data):
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# [0,"wu",["exchange","USD",89134.66933283,0]]
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wu = data[2]
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self._emit('wallet_update', data)
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self.logger.info("Wallet update: {}({}) = {}".format(wu[1], wu[0], wu[2]))
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async def _heart_beat_handler(self, data):
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self.logger.debug("Heartbeat - {}".format(self.host))
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async def _trade_event_handler(self, data):
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pass
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async def _notification_handler(self, data):
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# [0, 'n', [1542289340429, 'on-req', None, None,
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# [1151350600, None, 1542289341196, 'tBTCUSD', None, None, 0.01, None, 'EXCHANGE MARKET',
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# None, None, None, None, None, None, None, 18970, None, 0, 0, None, None, None, 0, None,
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# None, None, None, None, None, None, None], None, 'SUCCESS', 'Submitting exchange market buy order for 0.01 BTC.']]
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nInfo = data[2]
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self._emit('notification', nInfo)
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notificationType = nInfo[6]
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notificationText = nInfo[7]
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if notificationType == 'ERROR':
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self._emit('error', notificationText)
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self.logger.error("Notification ERROR: {}".format(notificationText))
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else:
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self.logger.info("Notification SUCCESS: {}".format(notificationText))
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async def _order_confirmed_handler(self, data):
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# [0,"oc",[1151345759,"BTCUSD",0,-0.1,"EXCHANGE MARKET",
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# "EXECUTED @ 16956.0(-0.05): was PARTIALLY FILLED @ 17051.0(-0.05)"
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# ,17051,17003.5,"2018-11-13T14:54:29Z",0,0,0]]
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async def _balance_update_handler(self, data):
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self.logger.info('Balance update: {}'.format(data[2]))
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self._emit('balance_update', data[2])
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async def _order_closed_handler(self, data):
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# [0,"oc",[1151349678,null,1542203391995,"tBTCUSD",1542203389940,1542203389966,0,0.1,
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# "EXCHANGE MARKET",null,null,null,0,"EXECUTED @ 18922.0(0.03299997): was PARTIALLY FILLED
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# @ 18909.0(0.06700003)",null,null,18909,18913.2899961,0,0,null,null,null,0,0,null,null,null,
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# "API>BFX",null,null,null]]
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tInfo = data[2]
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self.logger.info("Order status: {} {}".format(tInfo[1], tInfo[5]))
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order = Order(tInfo)
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trade = Trade(order)
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self.logger.info("Order closed: {} {}".format(order.symbol, order.status))
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self._emit('order_closed', order, trade)
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if order.cId in self.pendingOrders:
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if self.pendingOrders[order.cId][0]:
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await self.pendingOrders[order.cId][0](order, trade)
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del self.pendingOrders[order.cId]
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async def _order_snapshot_handler(self, data):
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self.logger.info("Position snapshot update: {}".format(data))
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self._emit('order_snapshot', data)
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self.logger.info("Position snapshot: {}".format(data))
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async def _wallet_snapshot_handler(self, data):
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self.logger.info("Wallet snapshot update: {}".format(data))
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self._emit('wallet_snapshot', data[2])
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self.logger.info("Wallet snapshot: {}".format(data))
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async def _position_snapshot_handler(self, data):
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self.logger.info("Position snapshot update: {}".format(data))
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self._emit('position_snapshot', data)
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self.logger.info("Position snapshot: {}".format(data))
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async def _funding_offer_snapshot_handler(self, data):
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self._emit('funding_offer_snapshot', data)
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self.logger.info("Funding offer snapshot: {}".format(data))
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async def _funding_load_snapshot_handler(self, data):
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self._emit('funding_loan_snapshot', data[2])
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self.logger.info("Funding loan snapshot: {}".format(data))
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async def _funding_credit_snapshot_handler(self, data):
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self._emit('funding_credit_snapshot', data[2])
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self.logger.info("Funding credit snapshot: {}".format(data))
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async def _trade_handler(self, data):
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channelData = self.channels[data[0]]
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if type(data[1]) is list:
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data = data[1]
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# Process the batch of seed trades on
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@@ -207,28 +289,32 @@ class LiveBfxWebsocket(GenericWebsocket):
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'mts': t[1],
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'price': t[2],
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'amount': t[3],
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'symbol': self.symbol
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'symbol': channelData['symbol']
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}
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self.onSeedTradeHook(trade)
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self._emit('seed_trade', trade)
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else:
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tradeObj = _parse_trade(data, self.symbol)
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await self.onTradeHook(tradeObj)
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tradeObj = _parse_trade_snapshot_item(data, channelData['symbol'])
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self._emit('new_trade', tradeObj)
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async def _candle_handler(self, data):
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if type(data[0]) is list:
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chanId = data[0]
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channelData = self.channels[chanId]
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if type(data[1][0]) is list:
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# Process the batch of seed candles on
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# websocket subscription
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data.reverse()
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for c in data:
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candle = _parse_candle(c, self.symbol, self.tf)
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self.onSeedCandleHook(candle)
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candlesSnapshot = data[1]
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candlesSnapshot.reverse()
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for c in candlesSnapshot:
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candle = _parse_candle(c, channelData['symbol'], channelData['tf'])
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self._emit('seed_candle', candle)
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else:
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candle = _parse_candle(data, self.symbol, self.tf)
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await self.onCandleHook(candle)
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candle = _parse_candle(data[1], channelData['symbol'], channelData['tf'])
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self._emit('new_candle', candle)
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async def on_message(self, message):
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self.logger.info(message)
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self.logger.debug(message)
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msg = json.loads(message)
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self._emit('all', msg)
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if type(msg) is dict:
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# System messages are received as json
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await self._ws_system_handler(msg)
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@@ -255,41 +341,42 @@ class LiveBfxWebsocket(GenericWebsocket):
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async def on_open(self):
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self.logger.info("Websocket opened.")
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self._emit('connected')
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# Orders are simulated in backtest mode
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if not self.backtest:
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if not self.backtest and self.API_KEY and self.API_SECRET:
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await self._ws_authenticate_socket()
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# subscribe to data feed
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# TODO: allow for multiple subscriptions
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await self._subscribe('trades', symbol=self.symbol)
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key = 'trade:1m:{}'.format(self.symbol)
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await self._subscribe('candles', key=key, symbol=self.symbol)
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# await self._subscribe('trades', symbol=self.symbol)
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# key = 'trade:1m:{}'.format(self.symbol)
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# await self._subscribe('candles', key=key, symbol=self.symbol)
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async def send_auth_command(self, channel_name, data):
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payload = [0, channel_name, None, data]
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await self.ws.send(json.dumps(payload))
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print ("Order sent")
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print (json.dumps(payload))
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await self.ws.send(json.dumps(payload))
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async def _subscribe(self, channel_name, **kwargs):
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q = {'event': 'subscribe', 'channel': channel_name}
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def subscribe(self, channel_name, symbol, timeframe=None, **kwargs):
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q = {'event': 'subscribe', 'channel': channel_name, 'symbol': symbol}
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if timeframe:
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q['key'] = 'trade:{}:{}'.format(timeframe, symbol)
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q.update(**kwargs)
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self.logger.info("Subscribing to channel {}".format(channel_name))
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await self.ws.send(json.dumps(q))
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# tmp = self.ws.send(json.dumps(q))
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asyncio.ensure_future(self.ws.send(json.dumps(q)))
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async def submit_order(self, symbol, price, amount, mtsCreate, market_type,
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hidden=False, *args, **kwargs):
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order_id = random.randint(1,999999999)
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async def submit_order(self, symbol, price, amount, market_type,
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hidden=False, onComplete=None, onError=None, *args, **kwargs):
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order_id = int(round(time.time() * 1000))
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# send order over websocket
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payload = {
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"cid": order_id,
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"type": market_type,
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"type": str(market_type),
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"symbol": symbol,
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"amount": str(amount),
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"price": str(price),
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"hidden": 1 if hidden else 0
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"price": str(price)
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}
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self.pendingOrders[order_id] = payload
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await self.send_auth_command('on', payload)
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# wait for order confirmation
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# while True:
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# message = await websocket.recv()
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self.logger.info("Order cid={} ({} {} @ {}) dispatched".format(
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order_id, symbol, amount, price))
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self.pendingOrders[order_id] = (onComplete, onError)
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