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https://github.com/aljazceru/bitfinex-api-py.git
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Jacob Plaster
295
bfxapi/websockets/LiveWebsocket.py
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295
bfxapi/websockets/LiveWebsocket.py
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import asyncio
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import json
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import time
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import hashlib
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import hmac
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import random
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from .GenericWebsocket import GenericWebsocket, AuthError
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def _parse_candle(cData, symbol, tf):
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return {
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'mts': cData[0],
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'open': cData[1],
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'close': cData[2],
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'high': cData[3],
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'low': cData[4],
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'volume': cData[5],
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'symbol': symbol,
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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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return {
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'mts': tData[3],
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'price': tData[4],
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'amount': tData[5],
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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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authentication and is capable of handling orders.
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https://github.com/Crypto-toolbox/btfxwss
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Translation names:
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translation table for channel names:
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Data Channels
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os - Orders
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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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ws - Wallets
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bu - Balance Info
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miu - Margin Info
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fiu - Funding Info
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fos - Offers
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hfos - Historical Offers
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fcs - Credits
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hfcs - Historical Credits
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fls - Loans
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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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'''
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ERRORS = {
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10000: 'Unknown event',
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10001: 'Generic error',
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10008: 'Concurrency error',
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10020: 'Request parameters error',
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10050: 'Configuration setup failed',
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10100: 'Failed authentication',
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10111: 'Error in authentication request payload',
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10112: 'Error in authentication request signature',
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10113: 'Error in authentication request encryption',
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10114: 'Error in authentication request nonce',
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10200: 'Error in un-authentication request',
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10300: 'Subscription Failed (generic)',
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10301: 'Already Subscribed',
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10302: 'Unknown channel',
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10400: 'Subscription Failed (generic)',
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10401: 'Not subscribed',
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11000: 'Not ready, try again later',
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20000: 'User is invalid!',
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20051: 'Websocket server stopping',
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20060: 'Websocket server resyncing',
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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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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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self.pendingOrders = {}
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super(LiveBfxWebsocket, self).__init__(host, *args, **kwargs)
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self._WS_DATA_HANDLERS = {
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'tu': self._trade_update_handler,
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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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'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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}
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self._WS_SYSTEM_HANDLERS = {
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'info': self._system_info_handler,
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'subscribed': self._system_subscribed_handler,
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'error': self._system_error_handler,
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'auth': self._system_auth_handler
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}
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async def _ws_system_handler(self, msg):
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eType = msg.get('event')
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if eType in self._WS_SYSTEM_HANDLERS:
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await self._WS_SYSTEM_HANDLERS[eType](msg)
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else:
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self.logger.warn('Unknown websocket event: {}'.format(eType))
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async def _ws_data_handler(self, data):
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dataEvent = data[1]
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chanId = data[0]
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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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else:
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self.logger.warn("Unknow data event: {}".format(dataEvent))
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async def _system_info_handler(self, data):
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self.logger.info(data)
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if data.get('serverId', None):
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## connection has been established
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await self.on_open()
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async def _system_subscribed_handler(self, data):
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chanEvent = data.get('channel')
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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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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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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.logger.info("Authentication successful.")
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async def _trade_update_handler(self, data):
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pass
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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.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 _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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tInfo = data[2]
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self.logger.info("Order status: {} {}".format(tInfo[1], tInfo[5]))
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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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async def _wallet_snapshot_handler(self, data):
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self.logger.info("Wallet snapshot update: {}".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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async def _trade_handler(self, data):
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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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# connection
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data.reverse()
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for t in data:
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trade = {
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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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}
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self.onSeedTradeHook(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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async def _candle_handler(self, data):
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if type(data[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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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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async def on_message(self, message):
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self.logger.info(message)
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msg = json.loads(message)
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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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elif type(msg) is list:
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# All data messages are received as a list
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await self._ws_data_handler(msg)
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else:
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self.logger.warn('Unknown websocket response: {}'.format(msg))
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async def _ws_authenticate_socket(self):
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nonce = int(round(time.time() * 1000000))
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authMsg = 'AUTH{}'.format(nonce)
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secret = self.API_SECRET.encode()
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sig = hmac.new(secret, authMsg.encode(), hashlib.sha384).hexdigest()
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hmac.new(secret, self.API_SECRET.encode('utf'), hashlib.sha384).hexdigest()
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jdata = {
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'apiKey': self.API_KEY,
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'authSig': sig,
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'authNonce': nonce,
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'authPayload': authMsg,
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'event': 'auth'
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}
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await self.ws.send(json.dumps(jdata))
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async def on_open(self):
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self.logger.info("Websocket opened.")
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# Orders are simulated in backtest mode
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if not self.backtest:
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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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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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async def _subscribe(self, channel_name, **kwargs):
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q = {'event': 'subscribe', 'channel': channel_name}
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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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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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# 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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"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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}
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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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