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https://github.com/aljazceru/bitfinex-api-py.git
synced 2025-12-19 06:44:22 +01:00
127 lines
3.7 KiB
Python
127 lines
3.7 KiB
Python
# python -c "import examples.websocket.public.raw_order_book"
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import zlib
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from collections import OrderedDict
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from typing import Any, Dict, List, cast
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from bfxapi import Client
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from bfxapi.types import TradingPairRawBook
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from bfxapi.websocket.subscriptions import Book
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class RawOrderBook:
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def __init__(self, symbols: List[str]):
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self.__raw_order_book = {
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symbol: {"bids": OrderedDict(), "asks": OrderedDict()} for symbol in symbols
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}
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def update(self, symbol: str, data: TradingPairRawBook) -> None:
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order_id, price, amount = data.order_id, data.price, data.amount
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kind = "bids" if amount > 0 else "asks"
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if price > 0:
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self.__raw_order_book[symbol][kind][order_id] = {
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"order_id": order_id,
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"price": price,
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"amount": amount,
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}
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if price == 0:
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if order_id in self.__raw_order_book[symbol][kind]:
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del self.__raw_order_book[symbol][kind][order_id]
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def verify(self, symbol: str, checksum: int) -> bool:
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values: List[int] = []
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bids = sorted(
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[
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(data["order_id"], data["price"], data["amount"])
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for _, data in self.__raw_order_book[symbol]["bids"].items()
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],
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key=lambda data: (-data[1], data[0]),
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)
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asks = sorted(
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[
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(data["order_id"], data["price"], data["amount"])
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for _, data in self.__raw_order_book[symbol]["asks"].items()
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],
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key=lambda data: (data[1], data[0]),
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)
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if len(bids) < 25 or len(asks) < 25:
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raise AssertionError("Not enough bids or asks (need at least 25).")
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for _i in range(25):
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bid, ask = bids[_i], asks[_i]
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values.extend([bid[0], bid[2]])
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values.extend([ask[0], ask[2]])
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local = ":".join(str(value) for value in values)
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crc32 = zlib.crc32(local.encode("UTF-8"))
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return crc32 == checksum
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def is_verifiable(self, symbol: str) -> bool:
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return (
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len(self.__raw_order_book[symbol]["bids"]) >= 25
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and len(self.__raw_order_book[symbol]["asks"]) >= 25
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)
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def clear(self, symbol: str) -> None:
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self.__raw_order_book[symbol] = {"bids": OrderedDict(), "asks": OrderedDict()}
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SYMBOLS = ["tLTCBTC", "tETHUSD", "tETHBTC"]
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raw_order_book = RawOrderBook(symbols=SYMBOLS)
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bfx = Client()
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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("book", symbol=symbol, prec="R0")
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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 symbol <{subscription['symbol']}>")
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@bfx.wss.on("t_raw_book_snapshot")
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def on_t_raw_book_snapshot(subscription: Book, snapshot: List[TradingPairRawBook]):
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for data in snapshot:
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raw_order_book.update(subscription["symbol"], data)
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@bfx.wss.on("t_raw_book_update")
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def on_t_raw_book_update(subscription: Book, data: TradingPairRawBook):
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raw_order_book.update(subscription["symbol"], data)
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@bfx.wss.on("checksum")
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async def on_checksum(subscription: Book, value: int):
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symbol = subscription["symbol"]
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if raw_order_book.is_verifiable(symbol):
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if not raw_order_book.verify(symbol, value):
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print(
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"Mismatch between local and remote checksums: "
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f"restarting book for symbol <{symbol}>..."
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)
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_subscription = cast(Dict[str, Any], subscription.copy())
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await bfx.wss.unsubscribe(sub_id=_subscription.pop("sub_id"))
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await bfx.wss.subscribe(**_subscription)
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raw_order_book.clear(symbol)
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bfx.wss.run()
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