Merge pull request #15 from olned/develop

L2 Bitfinex orderbook

examples/bitfinex_book.py

@@ -0,0 +1,56 @@
+#!/usr/bin/env python
+import asyncio
+import logging
+
+from ssc2ce.bitfinex import Bitfinex, L2Book
+
+logging.basicConfig(format='%(asctime)s %(name)s %(funcName)s %(levelname)s %(message)s', level=logging.INFO)
+logger = logging.getLogger("bitfinex-basic-example")
+
+conn = Bitfinex()
+
+
+class BookMaintainer:
+    def __init__(self, instrument):
+        self.book = L2Book(instrument)
+        self.check_sum = None
+        self.active = False
+        self.top_bid = [0, 0]
+        self.top_ask = [0, 0]
+
+    async def handle_book(self, message, connector):
+        if type(message[1]) is str:
+            if message[1] == "cs":
+                pass
+        elif len(message[1]) == 3:
+            self.book.handle_update(message)
+            self.book.time = message[-1]
+        else:
+            self.book.handle_snapshot(message)
+            self.book.time = message[-1]
+
+        if self.top_ask[0] != self.book.asks[0][0] or self.top_ask[0] != self.book.asks[0][0]:
+            self.top_ask = self.book.asks[0].copy()
+            self.top_bid = self.book.bids[0].copy()
+            print(f"{self.book.instrument} bid:{self.top_bid[0]} ask:{self.top_ask[0]}")
+
+
+btc = BookMaintainer("BTC-USD")
+eth = BookMaintainer("ETH-USD")
+
+
+async def subscribe():
+    await conn.subscribe({'channel': "book", 'symbol': "tBTCUSD"}, handler=btc.handle_book)
+    await conn.subscribe({'channel': "book", 'symbol': "tETHUSD"}, handler=eth.handle_book)
+
+
+conn.on_connect_ws = subscribe
+
+loop = asyncio.get_event_loop()
+
+try:
+    loop.run_until_complete(conn.run_receiver())
+except KeyboardInterrupt:
+    loop.run_until_complete(conn.stop())
+finally:
+    print("Application closed")

setup.py

@@ -7,7 +7,7 @@
 
 setuptools.setup(
     name='ssc2ce',
-    version="0.10.0",
+    version="0.11.0",
     author='Oleg Nedbaylo',
     author_email='[email protected]',
     description='A Set of Simple Connectors for access To Cryptocurrency Exchanges',

ssc2ce/bitfinex/__init__.py

@@ -1 +1,2 @@
 from .bitfinex import Bitfinex
+from .l2_book import L2Book

ssc2ce/bitfinex/l2_book.py

@@ -0,0 +1,54 @@
+import logging
+from ssc2ce.common.abstract_l2_book import AbstractL2Book
+from collections import deque
+
+from ssc2ce.common.exceptions import BrokenOrderBook
+
+
+class L2Book(AbstractL2Book):
+    change_id = None
+    timestamp = None
+    logger = logging.getLogger(__name__)
+
+    def __init__(self, instrument: str):
+        """
+
+        :param instrument:
+        """
+        AbstractL2Book.__init__(self, instrument)
+
+    def handle_snapshot(self, message: dict) -> None:
+        """
+
+        :param message:
+        :return:
+        """
+        self.asks.clear()
+        self.bids.clear()
+
+        for item in message[1]:
+            price = item[2]
+            if price < 0:
+                self.asks.add([item[0], -price])
+            else:
+                self.bids.add([item[0], price])
+
+    def handle_update(self, message: dict) -> None:
+        """
+
+        :param message:
+        :return:
+        """
+        price = message[1][0]
+        size = message[1][2]
+        count = message[1][1]
+        if size < 0:
+            if count == 0:
+                self._asks.update(price, 0.)
+            else:
+                self._asks.update(price, -size)
+        else:
+            if count == 0:
+                self._bids.update(price, 0.)
+            else:
+                self._bids.update(price, size)