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https://github.com/aljazceru/bitfinex-api-py.git
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110 lines
3.5 KiB
Python
110 lines
3.5 KiB
Python
# python -c "import examples.websocket.public.raw_order_book"
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from collections import OrderedDict
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from typing import List, Dict
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import crcmod
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from bfxapi import Client, PUB_WSS_HOST
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from bfxapi.types import TradingPairRawBook
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from bfxapi.websocket.subscriptions import Book
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from bfxapi.websocket.enums import Channel, Error
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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: {
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"bids": OrderedDict(), "asks": OrderedDict()
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} for symbol in symbols
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}
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self.cooldown: Dict[str, bool] = \
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{ symbol: False for symbol in symbols }
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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([ (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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key=lambda data: (-data[1], data[0]))
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asks = sorted([ (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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key=lambda data: (data[1], data[0]))
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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).encode("UTF-8")
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crc32 = crcmod.mkCrcFun(0x104C11DB7, initCrc=0, xorOut=0xFFFFFFFF)
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return crc32(local) == checksum
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SYMBOLS = [ "tBTCUSD", "tLTCUSD", "tLTCBTC", "tETHUSD", "tETHBTC" ]
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raw_order_book = RawOrderBook(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, 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 pair <{subscription['pair']}>")
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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.verify(symbol, value):
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raw_order_book.cooldown[symbol] = False
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elif not raw_order_book.cooldown[symbol]:
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print("Mismatch between local and remote checksums: "
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f"restarting book for symbol <{symbol}>...")
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await bfx.wss.resubscribe(sub_id=subscription["subId"])
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raw_order_book.cooldown[symbol] = True
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bfx.wss.run()
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