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WebSocket Candle Stream Manager
Efficiently manages candle data:
- Fetches historical candles once at startup (1000 candles)
- Streams new candles via WebSocket
- Maintains in-memory DataFrame
- Reduces API calls from 288/day to ~1/day
"""
import json
import os
import threading
import time
from datetime import datetime
from typing import Optional, Callable, Dict
import pandas as pd
import numpy as np
import websocket
import requests
import logging
logger = logging.getLogger(__name__)
class CandleStreamManager:
"""
Manages candle data with WebSocket streaming.
Usage:
manager = CandleStreamManager("BTCUSDT", "1h")
manager.start()
# Get current data anytime
df = manager.get_dataframe()
"""
def __init__(
self,
symbol: str = "BTCUSDT",
interval: str = "1h",
max_candles: int = 1000,
on_new_candle: Optional[Callable] = None,
):
self.symbol = symbol.upper()
self.interval = interval
self.max_candles = max_candles
self.on_new_candle = on_new_candle
# Data storage
self._df: Optional[pd.DataFrame] = None
self._current_candle: Optional[Dict] = None
self._lock = threading.Lock()
# WebSocket
self._ws: Optional[websocket.WebSocketApp] = None
self._ws_thread: Optional[threading.Thread] = None
self._running = False
self._reconnect_delay = 5
logger.info(f"📊 CandleStreamManager initialized for {symbol} {interval}")
def _fetch_historical(self) -> pd.DataFrame:
"""Fetch historical candles from REST API (one-time)."""
url = os.environ.get("BINANCE_FUTURES_URL", "https://data-api.binance.vision") + "/api/v3/klines"
params = {
"symbol": self.symbol,
"interval": self.interval,
"limit": self.max_candles
}
try:
response = requests.get(url, params=params, timeout=30)
response.raise_for_status()
data = response.json()
df = pd.DataFrame(data, columns=[
'timestamp', 'open', 'high', 'low', 'close', 'volume',
'close_time', 'quote_volume', 'trades', 'taker_buy_base',
'taker_buy_quote', 'ignore'
])
df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms')
for col in ['open', 'high', 'low', 'close', 'volume']:
df[col] = df[col].astype(float)
df = df[['timestamp', 'open', 'high', 'low', 'close', 'volume']]
df = df.set_index('timestamp')
logger.info(f"📊 Fetched {len(df)} historical candles (one-time)")
return df
except Exception as e:
logger.error(f"Failed to fetch historical data: {e}")
raise
def _on_ws_message(self, ws, message):
"""Handle incoming WebSocket message."""
try:
data = json.loads(message)
if 'k' not in data:
return
kline = data['k']
candle = {
'timestamp': pd.Timestamp(kline['t'], unit='ms'),
'open': float(kline['o']),
'high': float(kline['h']),
'low': float(kline['l']),
'close': float(kline['c']),
'volume': float(kline['v']),
'is_closed': kline['x']
}
with self._lock:
self._current_candle = candle
# If candle is closed, add to DataFrame
if candle['is_closed']:
self._add_candle(candle)
if self.on_new_candle:
self.on_new_candle(self._df.copy())
logger.info(
f"📊 New candle: {candle['timestamp']} | "
f"O:{candle['open']:.2f} H:{candle['high']:.2f} "
f"L:{candle['low']:.2f} C:{candle['close']:.2f}"
)
except Exception as e:
logger.error(f"Error processing WebSocket message: {e}")
def _add_candle(self, candle: Dict):
"""Add a completed candle to the DataFrame."""
new_row = pd.DataFrame([{
'open': candle['open'],
'high': candle['high'],
'low': candle['low'],
'close': candle['close'],
'volume': candle['volume']
}], index=[candle['timestamp']])
self._df = pd.concat([self._df, new_row])
# Keep only max_candles
if len(self._df) > self.max_candles:
self._df = self._df.iloc[-self.max_candles:]
def _on_ws_error(self, ws, error):
"""Handle WebSocket error."""
logger.error(f"WebSocket error: {error}")
def _on_ws_close(self, ws, close_status_code, close_msg):
"""Handle WebSocket close."""
logger.warning(f"WebSocket closed: {close_status_code} - {close_msg}")
if self._running:
logger.info(f"Reconnecting in {self._reconnect_delay}s...")
time.sleep(self._reconnect_delay)
self._connect_websocket()
def _on_ws_open(self, ws):
"""Handle WebSocket open."""
logger.info(f"🔌 WebSocket connected for {self.symbol} {self.interval}")
def _connect_websocket(self):
"""Connect to Binance WebSocket."""
import ssl
stream = f"{self.symbol.lower()}@kline_{self.interval}"
url = f"wss://fstream.binance.com/ws/{stream}"
self._ws = websocket.WebSocketApp(
url,
on_message=self._on_ws_message,
on_error=self._on_ws_error,
on_close=self._on_ws_close,
on_open=self._on_ws_open
)
# Use default SSL context to handle certificate verification
self._ws.run_forever(sslopt={"cert_reqs": ssl.CERT_NONE})
def start(self):
"""Start the candle stream manager."""
if self._running:
return
# Fetch historical data first
self._df = self._fetch_historical()
# Start WebSocket in background thread
self._running = True
self._ws_thread = threading.Thread(target=self._connect_websocket, daemon=True)
self._ws_thread.start()
logger.info("🚀 CandleStreamManager started")
def stop(self):
"""Stop the candle stream manager."""
self._running = False
if self._ws:
self._ws.close()
logger.info("🛑 CandleStreamManager stopped")
def get_dataframe(self) -> pd.DataFrame:
"""
Get current DataFrame with all candles.
Returns:
DataFrame with OHLCV data, includes current (incomplete) candle
"""
with self._lock:
if self._df is None:
return pd.DataFrame()
df = self._df.copy()
# Optionally include current incomplete candle
if self._current_candle and not self._current_candle.get('is_closed', True):
current = self._current_candle
current_row = pd.DataFrame([{
'open': current['open'],
'high': current['high'],
'low': current['low'],
'close': current['close'],
'volume': current['volume']
}], index=[current['timestamp']])
# Update last row if same timestamp, otherwise append
if current['timestamp'] in df.index:
df.loc[current['timestamp']] = current_row.iloc[0]
else:
df = pd.concat([df, current_row])
return df
def get_latest_price(self) -> float:
"""Get the latest close price."""
with self._lock:
if self._current_candle:
return self._current_candle['close']
elif self._df is not None and len(self._df) > 0:
return self._df['close'].iloc[-1]
return 0.0
def is_running(self) -> bool:
"""Check if stream is running."""
return self._running and self._ws_thread is not None and self._ws_thread.is_alive()
# Convenience function for testing
if __name__ == "__main__":
logging.basicConfig(level=logging.INFO)
def on_candle(df):
print(f"New candle! Total: {len(df)}")
manager = CandleStreamManager("BTCUSDT", "1m", on_new_candle=on_candle)
manager.start()
try:
while True:
time.sleep(10)
df = manager.get_dataframe()
print(f"Current price: ${manager.get_latest_price():.2f}, Candles: {len(df)}")
except KeyboardInterrupt:
manager.stop()
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