mirror of
https://github.com/aljazceru/bitfinex-api-py.git
synced 2025-12-19 14:54:21 +01:00
402 lines
14 KiB
Python
402 lines
14 KiB
Python
import asyncio
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import json
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import time
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import random
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from .GenericWebsocket import GenericWebsocket, AuthError
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from .SubscriptionManager import SubscriptionManager
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from .WalletManager import WalletManager
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from .OrderManager import OrderManager
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from ..utils.auth import generate_auth_payload
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from ..models import Order, Trade, OrderBook
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class Flags:
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DEC_S = 9
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TIME_S = 32
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TIMESTAMP = 32768
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SEQ_ALL = 65536
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CHECKSUM = 131072
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strings = {
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9: 'DEC_S',
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32: 'TIME_S',
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32768: 'TIMESTAMP',
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65536: 'SEQ_ALL',
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131072: 'CHECKSUM'
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}
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def _parse_candle(cData, symbol, tf):
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return {
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'mts': cData[0],
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'open': cData[1],
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'close': cData[2],
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'high': cData[3],
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'low': cData[4],
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'volume': cData[5],
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'symbol': symbol,
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'tf': tf
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}
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def _parse_trade_snapshot_item(tData, symbol):
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return {
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'mts': tData[3],
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'price': tData[4],
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'amount': tData[5],
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'symbol': symbol
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}
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def _parse_trade(tData, symbol):
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return {
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'mts': tData[1],
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'price': tData[3],
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'amount': tData[2],
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'symbol': symbol
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}
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class BfxWebsocket(GenericWebsocket):
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"""
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More complex websocket that heavily relies on the btfxwss module. This websocket requires
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authentication and is capable of handling orders.
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https://github.com/Crypto-toolbox/btfxwss
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"""
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ERRORS = {
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10000: 'Unknown event',
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10001: 'Generic error',
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10008: 'Concurrency error',
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10020: 'Request parameters error',
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10050: 'Configuration setup failed',
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10100: 'Failed authentication',
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10111: 'Error in authentication request payload',
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10112: 'Error in authentication request signature',
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10113: 'Error in authentication request encryption',
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10114: 'Error in authentication request nonce',
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10200: 'Error in un-authentication request',
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10300: 'Subscription Failed (generic)',
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10301: 'Already Subscribed',
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10302: 'Unknown channel',
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10400: 'Subscription Failed (generic)',
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10401: 'Not subscribed',
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11000: 'Not ready, try again later',
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20000: 'User is invalid!',
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20051: 'Websocket server stopping',
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20060: 'Websocket server resyncing',
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20061: 'Websocket server resync complete'
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}
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def __init__(self, API_KEY=None, API_SECRET=None, host='wss://api.bitfinex.com/ws/2', manageOrderBooks=False,
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dead_man_switch=False, logLevel='INFO', *args, **kwargs):
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self.API_KEY=API_KEY
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self.API_SECRET=API_SECRET
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self.manageOrderBooks = manageOrderBooks
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self.dead_man_switch = dead_man_switch
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self.pendingOrders = {}
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self.orderBooks = {}
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super(BfxWebsocket, self).__init__(host, logLevel=logLevel, *args, **kwargs)
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self.subscriptionManager = SubscriptionManager(self, logLevel=logLevel)
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self.orderManager = OrderManager(self, logLevel=logLevel)
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self.wallets = WalletManager()
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self._WS_DATA_HANDLERS = {
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'tu': self._trade_update_handler,
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'wu': self._wallet_update_handler,
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'hb': self._heart_beat_handler,
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'te': self._trade_executed_handler,
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'oc': self._order_closed_handler,
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'ou': self._order_update_handler,
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'on': self._order_new_handler,
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'os': self._order_snapshot_handler,
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'ws': self._wallet_snapshot_handler,
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'ps': self._position_snapshot_handler,
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'fos': self._funding_offer_snapshot_handler,
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'fcs': self._funding_credit_snapshot_handler,
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'fls': self._funding_load_snapshot_handler,
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'bu': self._balance_update_handler,
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'n': self._notification_handler,
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'miu': self._margin_info_update_handler,
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'fiu': self._funding_info_update_handler
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}
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self._WS_SYSTEM_HANDLERS = {
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'info': self._system_info_handler,
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'subscribed': self._system_subscribed_handler,
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'unsubscribed': self._system_unsubscribe_handler,
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'error': self._system_error_handler,
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'auth': self._system_auth_handler,
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'conf': self._system_conf_handler
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}
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async def _ws_system_handler(self, msg):
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eType = msg.get('event')
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if eType in self._WS_SYSTEM_HANDLERS:
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await self._WS_SYSTEM_HANDLERS[eType](msg)
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else:
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self.logger.warn("Unknown websocket event: '{}' {}".format(eType, msg))
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async def _ws_data_handler(self, data):
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dataEvent = data[1]
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chanId = data[0]
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if type(dataEvent) is str and dataEvent in self._WS_DATA_HANDLERS:
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return await self._WS_DATA_HANDLERS[dataEvent](data)
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elif self.subscriptionManager.is_subscribed(chanId):
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subscription = self.subscriptionManager.get(chanId)
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# candles do not have an event
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if subscription.channel_name == 'candles':
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await self._candle_handler(data)
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if subscription.channel_name == 'book':
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await self._order_book_handler(data)
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else:
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self.logger.warn("Unknown data event: '{}' {}".format(dataEvent, data))
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async def _system_info_handler(self, data):
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self.logger.info(data)
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if data.get('serverId', None):
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## connection has been established
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await self.on_open()
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async def _system_conf_handler(self, data):
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flag = data.get('flags')
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status = data.get('status')
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if flag not in Flags.strings:
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self.logger.warn("Unknown config value set {}".format(flag))
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return
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flagString = Flags.strings[flag]
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if status == "OK":
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self.logger.info("Enabled config flag {}".format(flagString))
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else:
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self.logger.error("Unable to enable config flag {}".format(flagString))
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async def _system_subscribed_handler(self, data):
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await self.subscriptionManager.confirm_subscription(data)
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async def _system_unsubscribe_handler(self, data):
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await self.subscriptionManager.confirm_unsubscribe(data)
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async def _system_error_handler(self, data):
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self._emit('error', data)
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async def _system_auth_handler(self, data):
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if data.get('status') == 'FAILED':
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raise AuthError(self.ERRORS[data.get('code')])
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else:
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self._emit('authenticated', data)
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self.logger.info("Authentication successful.")
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async def _trade_update_handler(self, data):
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tData = data[2]
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# [209, 'tu', [312372989, 1542303108930, 0.35, 5688.61834032]]
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if self.subscriptionManager.is_subscribed(data[0]):
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symbol = self.subscriptionManager.get(data[0]).symbol
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tradeObj = _parse_trade(tData, symbol)
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self._emit('new_trade', tradeObj)
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async def _trade_executed_handler(self, data):
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tData = data[2]
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# [209, 'te', [312372989, 1542303108930, 0.35, 5688.61834032]]
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if self.subscriptionManager.is_subscribed(data[0]):
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symbol = self.subscriptionManager.get(data[0]).symbol
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tradeObj = _parse_trade(tData, symbol)
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self._emit('new_trade', tradeObj)
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async def _wallet_update_handler(self, data):
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# [0,"wu",["exchange","USD",89134.66933283,0]]
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uw = self.wallets._update_from_event(data)
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self._emit('wallet_update', uw)
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self.logger.info("Wallet update: {}".format(uw))
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async def _heart_beat_handler(self, data):
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self.logger.debug("Heartbeat - {}".format(self.host))
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async def _margin_info_update_handler(self, data):
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self._emit('margin_info_update', data)
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self.logger.info("Margin info update: {}".format(data))
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async def _funding_info_update_handler(self, data):
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self._emit('funding_info_update', data)
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self.logger.info("Funding info update: {}".format(data))
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async def _notification_handler(self, data):
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# [0, 'n', [1542289340429, 'on-req', None, None,
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# [1151350600, None, 1542289341196, 'tBTCUSD', None, None, 0.01, None, 'EXCHANGE MARKET',
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# None, None, None, None, None, None, None, 18970, None, 0, 0, None, None, None, 0, None,
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# None, None, None, None, None, None, None], None, 'SUCCESS', 'Submitting exchange market buy order for 0.01 BTC.']]
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nInfo = data[2]
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self._emit('notification', nInfo)
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notificationType = nInfo[6]
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notificationText = nInfo[7]
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if notificationType == 'ERROR':
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self._emit('error', notificationText)
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self.logger.error("Notification ERROR: {}".format(notificationText))
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else:
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self.logger.info("Notification SUCCESS: {}".format(notificationText))
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async def _balance_update_handler(self, data):
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self.logger.info('Balance update: {}'.format(data[2]))
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self._emit('balance_update', data[2])
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async def _order_closed_handler(self, data):
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await self.orderManager.confirm_order_closed(data)
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async def _order_update_handler(self, data):
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await self.orderManager.confirm_order_update(data)
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async def _order_new_handler(self, data):
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await self.orderManager.confirm_order_new(data)
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async def _order_snapshot_handler(self, data):
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await self.orderManager.build_from_order_snapshot(data)
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async def _wallet_snapshot_handler(self, data):
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wallets = self.wallets._update_from_snapshot(data)
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self._emit('wallet_snapshot', wallets)
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async def _position_snapshot_handler(self, data):
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self._emit('position_snapshot', data)
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self.logger.info("Position snapshot: {}".format(data))
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async def _funding_offer_snapshot_handler(self, data):
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self._emit('funding_offer_snapshot', data)
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self.logger.info("Funding offer snapshot: {}".format(data))
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async def _funding_load_snapshot_handler(self, data):
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self._emit('funding_loan_snapshot', data[2])
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self.logger.info("Funding loan snapshot: {}".format(data))
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async def _funding_credit_snapshot_handler(self, data):
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self._emit('funding_credit_snapshot', data[2])
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self.logger.info("Funding credit snapshot: {}".format(data))
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async def _trade_handler(self, data):
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symbol = self.subscriptionManager.get(data[0]).symbol
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if type(data[1]) is list:
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data = data[1]
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# Process the batch of seed trades on
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# connection
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data.reverse()
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for t in data:
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trade = {
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'mts': t[1],
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'price': t[2],
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'amount': t[3],
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'symbol': symbol
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}
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self._emit('seed_trade', trade)
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else:
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tradeObj = _parse_trade_snapshot_item(data, symbol)
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self._emit('new_trade', tradeObj)
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async def _candle_handler(self, data):
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subscription = self.subscriptionManager.get(data[0])
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if type(data[1][0]) is list:
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# Process the batch of seed candles on
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# websocket subscription
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candlesSnapshot = data[1]
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candlesSnapshot.reverse()
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for c in candlesSnapshot:
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candle = _parse_candle(c, subscription.symbol, subscription.timeframe)
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self._emit('seed_candle', candle)
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else:
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candle = _parse_candle(data[1], subscription.symbol, subscription.timeframe)
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self._emit('new_candle', candle)
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async def _order_book_handler(self, data):
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obInfo = data[1]
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chanId = data[0]
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subscription = self.subscriptionManager.get(data[0])
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symbol = subscription.symbol
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if data[1] == "cs":
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dChecksum = data[2] & 0xffffffff # force to signed int
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checksum = self.orderBooks[symbol].checksum()
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# force checksums to signed integers
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isValid = (dChecksum) == (checksum)
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if isValid:
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self.logger.debug("Checksum orderbook validation for '{}' successful."
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.format(symbol))
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else:
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self.logger.warn("Checksum orderbook invalid for '{}'. Resetting subscription."
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.format(symbol))
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# re-build orderbook with snapshot
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await self.subscriptionManager.resubscribe(chanId)
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return
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isSnapshot = type(obInfo[0]) is list
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if isSnapshot:
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self.orderBooks[symbol] = OrderBook()
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self.orderBooks[symbol].updateFromSnapshot(obInfo)
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self._emit('order_book_snapshot', { 'symbol': symbol, 'data': obInfo })
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else:
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self.orderBooks[symbol].updateWith(obInfo)
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self._emit('order_book_update', { 'symbol': symbol, 'data': obInfo })
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async def on_message(self, message):
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self.logger.debug(message)
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msg = json.loads(message)
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self._emit('all', msg)
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if type(msg) is dict:
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# System messages are received as json
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await self._ws_system_handler(msg)
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elif type(msg) is list:
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# All data messages are received as a list
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await self._ws_data_handler(msg)
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else:
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self.logger.warn('Unknown websocket response: {}'.format(msg))
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async def _ws_authenticate_socket(self):
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jdata = generate_auth_payload(self.API_KEY, self.API_SECRET)
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if self.dead_man_switch:
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jdata['dms'] = 4
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await self.ws.send(json.dumps(jdata))
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async def on_open(self):
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self.logger.info("Websocket opened.")
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self._emit('connected')
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# Orders are simulated in backtest mode
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if self.API_KEY and self.API_SECRET:
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await self._ws_authenticate_socket()
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# enable order book checksums
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if self.manageOrderBooks:
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await self.enable_flag(Flags.CHECKSUM)
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async def _send_auth_command(self, channel_name, data):
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payload = [0, channel_name, None, data]
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await self.ws.send(json.dumps(payload))
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async def enable_flag(self, flag):
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payload = {
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"event": 'conf',
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"flags": flag
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}
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await self.ws.send(json.dumps(payload))
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async def subscribe(self, *args, **kwargs):
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return await self.subscriptionManager.subscribe(*args, **kwargs)
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async def unsubscribe(self, *args, **kwargs):
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return await self.subscriptionManager.unsubscribe(*args, **kwargs)
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async def resubscribe(self, *args, **kwargs):
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return await self.subscriptionManager.resubscribe(*args, **kwargs)
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async def unsubscribe_all(self, *args, **kwargs):
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return await self.subscriptionManager.unsubscribe_all(*args, **kwargs)
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async def resubscribe_all(self, *args, **kwargs):
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return await self.subscriptionManager.resubscribe_all(*args, **kwargs)
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async def submit_order(self, *args, **kwargs):
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return await self.orderManager.submit_order(*args, **kwargs)
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async def update_order(self, *args, **kwargs):
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return await self.orderManager.update_order(*args, **kwargs)
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async def cancel_order(self, *args, **kwargs):
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return await self.orderManager.cancel_order(*args, **kwargs)
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async def cancel_all_orders(self, *args, **kwargs):
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return await self.orderManager.cancel_all_orders(*args, **kwargs)
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async def cancel_order_multi(self, *args, **kwargs):
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return await self.cancel_order_multi(*args, **kwargs)
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