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()