# python -c "import examples.websocket.public.order_book" from collections import OrderedDict from typing import List, Dict import crcmod from bfxapi import Client, PUB_WSS_HOST from bfxapi.types import TradingPairBook from bfxapi.websocket.subscriptions import Book from bfxapi.websocket.enums import Channel, Error class OrderBook: def __init__(self, symbols: List[str]): self.__order_book = { symbol: { "bids": OrderedDict(), "asks": OrderedDict() } for symbol in symbols } self.cooldown: Dict[str, bool] = \ { symbol: False for symbol in symbols } def update(self, symbol: str, data: TradingPairBook) -> None: price, count, amount = data.price, data.count, data.amount kind = "bids" if amount > 0 else "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] def verify(self, symbol: str, checksum: int) -> bool: values: List[int] = [ ] bids = sorted([ (data["price"], data["count"], data["amount"]) \ for _, data in self.__order_book[symbol]["bids"].items() ], key=lambda data: -data[0]) asks = sorted([ (data["price"], data["count"], data["amount"]) \ for _, data in self.__order_book[symbol]["asks"].items() ], key=lambda data: data[0]) if len(bids) < 25 or len(asks) < 25: raise AssertionError("Not enough bids or asks (need at least 25).") for _i in range(25): bid, ask = bids[_i], asks[_i] values.extend([ bid[0], bid[2] ]) values.extend([ ask[0], ask[2] ]) local = ":".join(str(value) for value in values).encode("UTF-8") crc32 = crcmod.mkCrcFun(0x104C11DB7, initCrc=0, xorOut=0xFFFFFFFF) return crc32(local) == checksum SYMBOLS = [ "tBTCUSD", "tLTCUSD", "tLTCBTC", "tETHUSD", "tETHBTC" ] order_book = OrderBook(symbols=SYMBOLS) bfx = Client(wss_host=PUB_WSS_HOST) @bfx.wss.on("wss-error") def on_wss_error(code: Error, msg: str): print(code, msg) @bfx.wss.on("open") async def on_open(): for symbol in SYMBOLS: await bfx.wss.subscribe(Channel.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: Book, snapshot: List[TradingPairBook]): for data in snapshot: order_book.update(subscription["symbol"], data) @bfx.wss.on("t_book_update") def on_t_book_update(subscription: Book, data: TradingPairBook): order_book.update(subscription["symbol"], data) @bfx.wss.on("checksum") async def on_checksum(subscription: Book, value: int): symbol = subscription["symbol"] if order_book.verify(symbol, value): order_book.cooldown[symbol] = False elif not order_book.cooldown[symbol]: print("Mismatch between local and remote checksums: " f"restarting book for symbol <{symbol}>...") await bfx.wss.resubscribe(sub_id=subscription["subId"]) order_book.cooldown[symbol] = True bfx.wss.run()