websockets: adds event driven

bfxapi/websockets/DataServerWebsocket.py

@@ -7,6 +7,10 @@ class DataServerWebsocket(GenericWebsocket):
   Basic websocket client that simply reads data from the DataServer. This instance
   of the websocket should only ever be used in backtest mode since it isnt capable
   of handling orders.
+
+  Events:
+    - connected: called when a connection is made
+    - done: fires when the backtest has finished running
   '''
   WS_END = 'bt.end'
   WS_CANDLE = 'bt.candle'
@@ -46,9 +50,9 @@ class DataServerWebsocket(GenericWebsocket):
       self.logger.info("Backtest data stream complete.")
       await self.on_close()
     elif eType == self.WS_CANDLE:
-      self._onCandle(msg)
+      await self._onCandle(msg)
     elif eType == self.WS_TRADE:
-      self._onTrade(msg)
+      await self._onTrade(msg)
     elif eType == self.WS_CONNECT:
       await self.on_open()
     else:
@@ -61,13 +65,14 @@ class DataServerWebsocket(GenericWebsocket):
     return data
   
   async def on_open(self):
+    self._emit('connected')
     data = self._exec_bt_string()
     await self.ws.send(data)
   
   async def _onCandle(self, data):
     candle = data[3]
-    await self.onCandleHook(candle)
+    self._emit('new_canlde', candle)
   
   async def _onTrade(self, data):
     trade = data[2]
-    await self.onTradeHook(trade)
+    self._emit('new_trade', trade)

bfxapi/websockets/GenericWebsocket.py

@@ -2,6 +2,7 @@ import asyncio
 import websockets
 import json
 
+from pyee import EventEmitter
 from ..utils.CustomLogger import CustomLogger
 
 class AuthError(Exception): pass
@@ -14,23 +15,17 @@ def is_json(myjson):
   return True
 
 class GenericWebsocket(object):
-  def __init__(self, host, symbol='tBTCUSD', onCandleHook=None, onTradeHook=None, onCompleteHook=None):
-    if not onCandleHook:
-      raise KeyError("Expected `onCandleHook` in parameters.")
-    if not onTradeHook:
-      raise KeyError("Expected `onTradeHook` in parameters.")
-    if not onCompleteHook:
-      raise KeyError("Expected `onCompleteHook` in parameters.")
-    self.onCandleHook = onCandleHook
-    self.onTradeHook = onTradeHook
-    self.onCompleteHook = onCompleteHook
+
+  def __init__(self, host, symbol='tBTCUSD', onCandleHook=None, onTradeHook=None, 
+      logLevel='ERROR'):
     self.symbol = symbol
     self.host = host
     self.awaiting_request = False
-
-    self.logger = CustomLogger('HFWebSocket', logLevel='INFO')
+    self.onCandleHook = onCandleHook
+    self.onTradeHook = onTradeHook
+    self.logger = CustomLogger('HFWebSocket', logLevel=logLevel)
     self.loop = asyncio.get_event_loop()
-    # self.events = EventEmitter()
+    self.events = EventEmitter(scheduler=asyncio.ensure_future, loop=self.loop)
 
   def run(self):
     self.loop.run_until_complete(self._main(self.host))
@@ -43,13 +38,25 @@ class GenericWebsocket(object):
         message = await websocket.recv()
         await self.on_message(message)
 
+  def on(self, event, func=None):
+    if not func:
+      return self.events.on(event)
+    self.events.on(event, func)
+
+  def _emit(self, event, *args, **kwargs):
+    self.events.emit(event, *args, **kwargs)
+
+  def once(self, event, func):
+    self.events.once(event, func)
+
   async def on_error(self, error):
     self.logger.error(error)
+    self.events.emit('error', error)
 
   async def on_close(self):
     self.logger.info("Websocket closed.")
     await self.ws.close()
-    self.onCompleteHook()
+    self._emit('done')
 
   async def on_open(self):
     pass

bfxapi/websockets/LiveWebsocket.py

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