mirror of
https://github.com/aljazceru/bitfinex-api-py.git
synced 2025-12-18 22:34:21 +01:00
110 lines
3.3 KiB
Python
110 lines
3.3 KiB
Python
# python -c "import examples.websocket.public.order_book"
|
|
|
|
from collections import OrderedDict
|
|
|
|
from typing import List, Dict
|
|
|
|
import zlib
|
|
|
|
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)
|
|
|
|
crc32 = zlib.crc32(local.encode("UTF-8"))
|
|
|
|
return crc32 == checksum
|
|
|
|
SYMBOLS = [ "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["sub_id"])
|
|
|
|
order_book.cooldown[symbol] = True
|
|
|
|
bfx.wss.run()
|