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https://github.com/aljazceru/bitfinex-api-py.git
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66 lines
1.9 KiB
Python
66 lines
1.9 KiB
Python
# python -c "import examples.websocket.public.order_book"
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from collections import OrderedDict
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from typing import List
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from bfxapi import Client, PUB_WSS_HOST
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from bfxapi.websocket import subscriptions
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from bfxapi.websocket.enums import Channel, Error
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from bfxapi.websocket.types import TradingPairBook
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class OrderBook:
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def __init__(self, symbols: List[str]):
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self.__order_book = {
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symbol: {
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"bids": OrderedDict(), "asks": OrderedDict()
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} for symbol in symbols
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}
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def update(self, symbol: str, data: TradingPairBook) -> None:
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price, count, amount = data.price, data.count, data.amount
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kind = "bids" if amount > 0 else "asks"
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if count > 0:
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self.__order_book[symbol][kind][price] = {
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"price": price,
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"count": count,
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"amount": amount
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}
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if count == 0:
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if price in self.__order_book[symbol][kind]:
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del self.__order_book[symbol][kind][price]
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SYMBOLS = [ "tBTCUSD", "tLTCUSD", "tLTCBTC", "tETHUSD", "tETHBTC" ]
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order_book = OrderBook(symbols=SYMBOLS)
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bfx = Client(wss_host=PUB_WSS_HOST)
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@bfx.wss.on("wss-error")
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def on_wss_error(code: Error, msg: str):
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print(code, msg)
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@bfx.wss.on("open")
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async def on_open():
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for symbol in SYMBOLS:
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await bfx.wss.subscribe(Channel.BOOK, symbol=symbol)
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@bfx.wss.on("subscribed")
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def on_subscribed(subscription):
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print(f"Subscription successful for pair <{subscription['pair']}>")
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@bfx.wss.on("t_book_snapshot")
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def on_t_book_snapshot(subscription: subscriptions.Book, snapshot: List[TradingPairBook]):
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for data in snapshot:
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order_book.update(subscription["symbol"], data)
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@bfx.wss.on("t_book_update")
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def on_t_book_update(subscription: subscriptions.Book, data: TradingPairBook):
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order_book.update(subscription["symbol"], data)
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bfx.wss.run()
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