#!/usr/bin/env python # #The MIT License (MIT) # #Copyright (c) 2016 Mario Romero # #Permission is hereby granted, free of charge, to any person obtaining a copy #of this software and associated documentation files (the "Software"), to deal #in the Software without restriction, including without limitation the rights #to use, copy, modify, merge, publish, distribute, sublicense, and/or sell #copies of the Software, and to permit persons to whom the Software is #furnished to do so, subject to the following conditions: # #The above copyright notice and this permission notice shall be included in all #copies or substantial portions of the Software. # #THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR #IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, #FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE #AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER #LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, #OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE #SOFTWARE. import time import sys import os #parent folder import hack sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__)))) import bitso from ordertree import OrderTree import logging from decimal import Decimal logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s') client = None class LiveOrderBook(object): def __init__(self, rest_book): self.bids = OrderTree() self.asks = OrderTree() for bid in rest_book.bids: self.bids.insert_price(bid.price, bid.amount, bid.oid) for ask in rest_book.asks: self.asks.insert_price(ask.price, ask.amount, ask.oid) class LiveBookListener(bitso.bitsows.Listener): def __init__(self): self.order_book = None self.sequence_number = 0 self.queued_msgs = [] def on_connect(self): logging.info('Websocket Connection Established') api = bitso.Api() rest_book = api.order_book('btc_mxn', aggregate=False) self.order_book = LiveOrderBook(rest_book) logging.info('Order Book Fetched. Best ask: %.4f, Best bid: %.4f, Spread: %.4f' % (self.order_book.asks.min_price, self.order_book.bids.max_price, self.order_book.asks.min_price - self.order_book.bids.max_price)) self.sequence_number = rest_book.sequence def on_update(self, data): if data.channel == 'diff-orders': if data.sequence_number == None: #if no sequence_number and channel is diff-orders, #then this is a "subscribed" message, ignore return if self.sequence_number == 0: #queue updates while rest orderbook has not been fetched self.queued_msgs.append(data) return else: #apply queued msgs for msg in self.queued_msgs: if data.sequence_number > self.sequence_number: self.merge_orders(msg.updates) self.sequence_number = data.sequence_number self.queued_msgs = [] for obj in data.updates: logging.info('New Order. %s: %.4f @ %.4f = %.4f' % (obj.side, obj.amount, obj.rate, obj.value)) self.merge_orders(data.updates) logging.info('Best ask: %.4f, Best bid: %.4f, Spread: %.4f' % (self.order_book.asks.min_price, self.order_book.bids.max_price, self.order_book.asks.min_price - self.order_book.bids.max_price)) if self.sequence_number != data.sequence_number-1: logging.error("Sequence Number not consecutive: data.sequence:%s self.sequence:%s" % (data.sequence_number, self.sequence_number)) self.reset_connection() self.sequence_number = data.sequence_number elif data.channel == 'trades': for obj in data.updates: logging.info('New Trade. %.4f @ %.4f = %.4f ' % (obj.amount, obj.rate, obj.value)) def on_close(self): logging.info("Connection Closed.") def merge_orders(self, orders): for order in orders: tree = self.order_book.bids if order.side == 'bid' else self.order_book.asks tree.insert_price(order.rate, order.amount, order.oid) def reset_connection(self): global client client.close() start_live_book() def start_live_book(): global client listener = LiveBookListener() client = bitso.bitsows.Client(listener) channels = ['diff-orders', 'trades'] book = "btc_mxn" client.connect(channels, book) if __name__ == '__main__': start_live_book()