add
This commit is contained in:
lz_db
926
ccxt/pro/coinbase.py
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926
ccxt/pro/coinbase.py
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@@ -0,0 +1,926 @@
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# -*- coding: utf-8 -*-
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# PLEASE DO NOT EDIT THIS FILE, IT IS GENERATED AND WILL BE OVERWRITTEN:
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# https://github.com/ccxt/ccxt/blob/master/CONTRIBUTING.md#how-to-contribute-code
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import ccxt.async_support
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from ccxt.async_support.base.ws.cache import ArrayCacheBySymbolById
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import hashlib
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from ccxt.base.types import Any, Int, Order, OrderBook, Str, Strings, Ticker, Tickers, Trade
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from typing import List
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from ccxt.base.errors import ExchangeError
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from ccxt.base.errors import ArgumentsRequired
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class coinbase(ccxt.async_support.coinbase):
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def describe(self) -> Any:
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return self.deep_extend(super(coinbase, self).describe(), {
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'has': {
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'ws': True,
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'cancelAllOrdersWs': False,
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'cancelOrdersWs': False,
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'cancelOrderWs': False,
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'createOrderWs': False,
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'editOrderWs': False,
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'fetchBalanceWs': False,
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'fetchOpenOrdersWs': False,
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'fetchOrderWs': False,
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'fetchTradesWs': False,
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'watchBalance': False,
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'watchMyTrades': False,
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'watchOHLCV': False,
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'watchOrderBook': True,
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'watchOrderBookForSymbols': True,
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'watchOrders': True,
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'watchTicker': True,
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'watchTickers': True,
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'watchTrades': True,
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'watchTradesForSymbols': True,
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'unWatchTicker': True,
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'unWatchTickers': True,
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'unWatchTrades': True,
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'unWatchOrders': True,
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'unWatchTradesForSymbols': True,
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},
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'urls': {
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'api': {
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'ws': 'wss://advanced-trade-ws.coinbase.com',
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},
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},
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'options': {
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'tradesLimit': 1000,
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'ordersLimit': 1000,
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'myTradesLimit': 1000,
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'sides': {
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'bid': 'bids',
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'offer': 'asks',
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},
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},
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})
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async def subscribe(self, name: str, isPrivate: bool, symbol=None, params={}):
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"""
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@ignore
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subscribes to a websocket channel
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-overview#subscribe
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:param str name: the name of the channel
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:param boolean isPrivate: whether the channel is private or not
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:param str [symbol]: unified market symbol
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: subscription to a websocket channel
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"""
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await self.load_markets()
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market = None
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messageHash = name
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productIds = []
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if isinstance(symbol, list):
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symbols = self.market_symbols(symbol)
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marketIds = self.market_ids(symbols)
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productIds = marketIds
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messageHash = messageHash + '::' + ','.join(symbol)
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elif symbol is not None:
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market = self.market(symbol)
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messageHash = name + '::' + symbol
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productIds = [market['id']]
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url = self.urls['api']['ws']
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subscribe = {
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'type': 'subscribe',
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'product_ids': productIds,
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'channel': name,
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# 'api_key': self.apiKey,
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# 'timestamp': timestamp,
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# 'signature': self.hmac(self.encode(auth), self.encode(self.secret), hashlib.sha256),
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}
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if isPrivate:
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subscribe = self.extend(subscribe, self.create_ws_auth(name, productIds))
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return await self.watch(url, messageHash, subscribe, messageHash)
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async def un_subscribe(self, topic: str, name: str, isPrivate: bool, symbol=None):
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"""
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@ignore
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unSubscribes to a websocket channel
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-overview#subscribe
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:param str topic: unified topic
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:param str name: the name of the channel
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:param boolean isPrivate: whether the channel is private or not
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:param str [symbol]: unified market symbol
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:returns dict: subscription to a websocket channel
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"""
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await self.load_markets()
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if self.safe_bool(self.options, 'unSubscriptionPending', False):
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raise ExchangeError(self.id + ' another unSubscription is pending, coinbase does not support concurrent unSubscriptions')
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self.options['unSubscriptionPending'] = True
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market = None
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watchMessageHash = name
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unWatchMessageHash = 'unsubscribe:' + name
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productIds = []
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if isinstance(symbol, list):
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symbols = self.market_symbols(symbol)
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marketIds = self.market_ids(symbols)
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productIds = marketIds
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watchMessageHash = watchMessageHash + '::' + ','.join(symbol)
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unWatchMessageHash = unWatchMessageHash + '::' + ','.join(symbol)
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elif symbol is not None:
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market = self.market(symbol)
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watchMessageHash = name + '::' + symbol
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unWatchMessageHash = unWatchMessageHash + '::' + symbol
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productIds = [market['id']]
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url = self.urls['api']['ws']
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# '{"type": "unsubscribe", "product_ids": ["BTC-USD", "ETH-USD"], "channel": "ticker"}'
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message = {
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'type': 'unsubscribe',
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'product_ids': productIds,
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'channel': name,
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}
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subscription = {
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'messageHashes': [unWatchMessageHash],
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'subMessageHashes': [watchMessageHash],
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'topic': topic,
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'unsubscribe': True,
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'symbols': [symbol],
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}
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if isPrivate:
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message = self.extend(message, self.create_ws_auth(name, productIds))
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self.options['unSubscription'] = subscription
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res = await self.watch(url, unWatchMessageHash, message, unWatchMessageHash, subscription)
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self.options['unSubscriptionPending'] = False
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self.options['unSubscription'] = None
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return res
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async def subscribe_multiple(self, name: str, isPrivate: bool, symbols: Strings = None, params={}):
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"""
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@ignore
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subscribes to a websocket channel
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-overview#subscribe
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:param str name: the name of the channel
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:param boolean isPrivate: whether the channel is private or not
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:param str[] [symbols]: unified market symbol
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: subscription to a websocket channel
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"""
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await self.load_markets()
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productIds = []
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messageHashes = []
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symbols = self.market_symbols(symbols, None, False)
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for i in range(0, len(symbols)):
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symbol = symbols[i]
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market = self.market(symbol)
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marketId = market['id']
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productIds.append(marketId)
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messageHashes.append(name + '::' + symbol)
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url = self.urls['api']['ws']
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subscribe = {
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'type': 'subscribe',
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'product_ids': productIds,
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'channel': name,
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}
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if isPrivate:
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subscribe = self.extend(subscribe, self.create_ws_auth(name, productIds))
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return await self.watch_multiple(url, messageHashes, subscribe, messageHashes)
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async def un_subscribe_multiple(self, topic: str, name: str, isPrivate: bool, symbols: Strings = None, params={}):
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"""
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@ignore
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unsubscribes to a websocket channel
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-overview#subscribe
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:param str topic: unified topic
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:param str name: the name of the channel
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:param boolean isPrivate: whether the channel is private or not
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:param str[] [symbols]: unified market symbol
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: subscription to a websocket channel
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"""
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if self.safe_bool(self.options, 'unSubscriptionPending', False):
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raise ExchangeError(self.id + ' another unSubscription is pending, coinbase does not support concurrent unSubscriptions')
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self.options['unSubscriptionPending'] = True
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await self.load_markets()
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productIds = []
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watchMessageHashes = []
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unWatchMessageHashes = []
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symbols = self.market_symbols(symbols, None, False)
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for i in range(0, len(symbols)):
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symbol = symbols[i]
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market = self.market(symbol)
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marketId = market['id']
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productIds.append(marketId)
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watchMessageHashes.append(name + '::' + symbol)
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unWatchMessageHashes.append('unsubscribe:' + name + '::' + symbol)
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url = self.urls['api']['ws']
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message = {
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'type': 'unsubscribe',
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'product_ids': productIds,
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'channel': name,
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}
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if isPrivate:
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message = self.extend(message, self.create_ws_auth(name, productIds))
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subscription = {
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'messageHashes': unWatchMessageHashes,
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'subMessageHashes': watchMessageHashes,
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'topic': topic,
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'unsubscribe': True,
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'symbols': symbols,
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}
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self.options['unSubscription'] = subscription
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res = await self.watch_multiple(url, unWatchMessageHashes, message, unWatchMessageHashes, subscription)
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self.options['unSubscriptionPending'] = False
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self.options['unSubscription'] = None
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return res
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def create_ws_auth(self, name: str, productIds: List[str]):
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subscribe: dict = {}
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timestamp = self.number_to_string(self.seconds())
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self.check_required_credentials()
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isCloudAPiKey = (self.apiKey.find('organizations/') >= 0) or (self.secret.startswith('-----BEGIN'))
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auth = timestamp + name + ','.join(productIds)
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if not isCloudAPiKey:
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subscribe['api_key'] = self.apiKey
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subscribe['timestamp'] = timestamp
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subscribe['signature'] = self.hmac(self.encode(auth), self.encode(self.secret), hashlib.sha256)
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else:
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if self.apiKey.startswith('-----BEGIN'):
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raise ArgumentsRequired(self.id + ' apiKey should contain the name(eg: organizations/3b910e93....) and not the public key')
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currentToken = self.safe_string(self.options, 'wsToken')
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tokenTimestamp = self.safe_integer(self.options, 'wsTokenTimestamp', 0)
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seconds = self.seconds()
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if currentToken is None or tokenTimestamp + 120 < seconds:
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# we should generate new token
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token = self.create_auth_token(seconds)
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self.options['wsToken'] = token
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self.options['wsTokenTimestamp'] = seconds
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subscribe['jwt'] = self.safe_string(self.options, 'wsToken')
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return subscribe
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async def watch_ticker(self, symbol: str, params={}) -> Ticker:
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"""
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watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-channel
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:param str [symbol]: unified symbol of the market to fetch the ticker for
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
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"""
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await self.load_markets()
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name = 'ticker'
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return await self.subscribe(name, False, symbol, params)
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async def un_watch_ticker(self, symbol: str, params={}) -> Ticker:
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"""
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stops watching a price ticker
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-channel
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:param str [symbol]: unified symbol of the market to fetch the ticker for
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
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"""
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await self.load_markets()
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name = 'ticker'
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return await self.un_subscribe('ticker', name, False, symbol)
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async def watch_tickers(self, symbols: Strings = None, params={}) -> Tickers:
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"""
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watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-batch-channel
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:param str[] [symbols]: unified symbol of the market to fetch the ticker for
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
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"""
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await self.load_markets()
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if symbols is None:
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symbols = self.symbols
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name = 'ticker_batch'
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ticker = await self.subscribe_multiple(name, False, symbols, params)
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if self.newUpdates:
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tickers = {}
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symbol = ticker['symbol']
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tickers[symbol] = ticker
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return tickers
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return self.tickers
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async def un_watch_tickers(self, symbols: Strings = None, params={}) -> Any:
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"""
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stop watching
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https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#ticker-batch-channel
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:param str[] [symbols]: unified symbol of the market to fetch the ticker for
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:param dict [params]: extra parameters specific to the exchange API endpoint
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:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
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"""
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await self.load_markets()
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if symbols is None:
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symbols = self.symbols
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return await self.un_subscribe_multiple('ticker', 'ticker_batch', False, symbols)
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def handle_tickers(self, client, message):
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#
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# {
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# "channel": "ticker",
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# "client_id": "",
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# "timestamp": "2023-02-09T20:30:37.167359596Z",
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# "sequence_num": 0,
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# "events": [
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# {
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# "type": "snapshot",
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# "tickers": [
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# {
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# "type": "ticker",
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# "product_id": "BTC-USD",
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# "price": "21932.98",
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# "volume_24_h": "16038.28770938",
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# "low_24_h": "21835.29",
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# "high_24_h": "23011.18",
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# "low_52_w": "15460",
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# "high_52_w": "48240",
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# "price_percent_chg_24_h": "-4.15775596190603"
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# new 2024-04-12
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# "best_bid":"21835.29",
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# "best_bid_quantity": "0.02000000",
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# "best_ask":"23011.18",
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# "best_ask_quantity": "0.01500000"
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# }
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# ]
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# }
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# ]
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# }
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#
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# {
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# "channel": "ticker_batch",
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# "client_id": "",
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# "timestamp": "2023-03-01T12:15:18.382173051Z",
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# "sequence_num": 0,
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# "events": [
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# {
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# "type": "snapshot",
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# "tickers": [
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# {
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# "type": "ticker",
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# "product_id": "DOGE-USD",
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# "price": "0.08212",
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# "volume_24_h": "242556423.3",
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# "low_24_h": "0.07989",
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# "high_24_h": "0.08308",
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# "low_52_w": "0.04908",
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# "high_52_w": "0.1801",
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# "price_percent_chg_24_h": "0.50177456859626"
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# new 2024-04-12
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# "best_bid":"0.07989",
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# "best_bid_quantity": "500.0",
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# "best_ask":"0.08308",
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# "best_ask_quantity": "300.0"
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||||
# }
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||||
# ]
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||||
# }
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||||
# ]
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||||
# }
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#
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# note! seems coinbase might also send empty data like:
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#
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||||
# {
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||||
# "channel": "ticker_batch",
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# "client_id": "",
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||||
# "timestamp": "2024-05-24T18:22:24.546809523Z",
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||||
# "sequence_num": 1,
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||||
# "events": [
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||||
# {
|
||||
# "type": "snapshot",
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||||
# "tickers": [
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||||
# {
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||||
# "type": "ticker",
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||||
# "product_id": "",
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||||
# "price": "",
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||||
# "volume_24_h": "",
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||||
# "low_24_h": "",
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# "high_24_h": "",
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# "low_52_w": "",
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# "high_52_w": "",
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||||
# "price_percent_chg_24_h": ""
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||||
# }
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||||
# ]
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||||
# }
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||||
# ]
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||||
# }
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||||
#
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||||
#
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||||
channel = self.safe_string(message, 'channel')
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events = self.safe_list(message, 'events', [])
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datetime = self.safe_string(message, 'timestamp')
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timestamp = self.parse8601(datetime)
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newTickers = []
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for i in range(0, len(events)):
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tickersObj = events[i]
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tickers = self.safe_list(tickersObj, 'tickers', [])
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for j in range(0, len(tickers)):
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ticker = tickers[j]
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wsMarketId = self.safe_string(ticker, 'product_id')
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||||
if wsMarketId is None:
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continue
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result = self.parse_ws_ticker(ticker)
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||||
result['timestamp'] = timestamp
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||||
result['datetime'] = datetime
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||||
symbol = result['symbol']
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self.tickers[symbol] = result
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||||
newTickers.append(result)
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||||
messageHash = channel + '::' + symbol
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||||
client.resolve(result, messageHash)
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||||
self.try_resolve_usdc(client, messageHash, result)
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||||
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||||
def parse_ws_ticker(self, ticker, market=None):
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#
|
||||
# {
|
||||
# "type": "ticker",
|
||||
# "product_id": "DOGE-USD",
|
||||
# "price": "0.08212",
|
||||
# "volume_24_h": "242556423.3",
|
||||
# "low_24_h": "0.07989",
|
||||
# "high_24_h": "0.08308",
|
||||
# "low_52_w": "0.04908",
|
||||
# "high_52_w": "0.1801",
|
||||
# "price_percent_chg_24_h": "0.50177456859626"
|
||||
# new 2024-04-12
|
||||
# "best_bid":"0.07989",
|
||||
# "best_bid_quantity": "500.0",
|
||||
# "best_ask":"0.08308",
|
||||
# "best_ask_quantity": "300.0"
|
||||
# }
|
||||
#
|
||||
marketId = self.safe_string(ticker, 'product_id')
|
||||
timestamp = None
|
||||
last = self.safe_number(ticker, 'price')
|
||||
return self.safe_ticker({
|
||||
'info': ticker,
|
||||
'symbol': self.safe_symbol(marketId, market, '-'),
|
||||
'timestamp': timestamp,
|
||||
'datetime': self.iso8601(timestamp),
|
||||
'high': self.safe_string(ticker, 'high_24_h'),
|
||||
'low': self.safe_string(ticker, 'low_24_h'),
|
||||
'bid': self.safe_string(ticker, 'best_bid'),
|
||||
'bidVolume': self.safe_string(ticker, 'best_bid_quantity'),
|
||||
'ask': self.safe_string(ticker, 'best_ask'),
|
||||
'askVolume': self.safe_string(ticker, 'best_ask_quantity'),
|
||||
'vwap': None,
|
||||
'open': None,
|
||||
'close': last,
|
||||
'last': last,
|
||||
'previousClose': None,
|
||||
'change': None,
|
||||
'percentage': self.safe_string(ticker, 'price_percent_chg_24_h'),
|
||||
'average': None,
|
||||
'baseVolume': self.safe_string(ticker, 'volume_24_h'),
|
||||
'quoteVolume': None,
|
||||
})
|
||||
|
||||
async def watch_trades(self, symbol: str, since: Int = None, limit: Int = None, params={}) -> List[Trade]:
|
||||
"""
|
||||
get the list of most recent trades for a particular symbol
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#market-trades-channel
|
||||
|
||||
:param str symbol: unified symbol of the market to fetch trades for
|
||||
:param int [since]: timestamp in ms of the earliest trade to fetch
|
||||
:param int [limit]: the maximum amount of trades to fetch
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=public-trades>`
|
||||
"""
|
||||
await self.load_markets()
|
||||
symbol = self.symbol(symbol)
|
||||
name = 'market_trades'
|
||||
trades = await self.subscribe(name, False, symbol, params)
|
||||
if self.newUpdates:
|
||||
limit = trades.getLimit(symbol, limit)
|
||||
return self.filter_by_since_limit(trades, since, limit, 'timestamp', True)
|
||||
|
||||
async def un_watch_trades(self, symbol: str, params={}) -> Any:
|
||||
"""
|
||||
stops watching the list of most recent trades for a particular symbol
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#market-trades-channel
|
||||
|
||||
:param str symbol: unified symbol of the market to fetch trades for
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=public-trades>`
|
||||
"""
|
||||
await self.load_markets()
|
||||
name = 'market_trades'
|
||||
return await self.un_subscribe('trades', name, False, symbol)
|
||||
|
||||
async def watch_trades_for_symbols(self, symbols: List[str], since: Int = None, limit: Int = None, params={}) -> List[Trade]:
|
||||
"""
|
||||
get the list of most recent trades for a particular symbol
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#market-trades-channel
|
||||
|
||||
:param str[] symbols: unified symbol of the market to fetch trades for
|
||||
:param int [since]: timestamp in ms of the earliest trade to fetch
|
||||
:param int [limit]: the maximum amount of trades to fetch
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=public-trades>`
|
||||
"""
|
||||
await self.load_markets()
|
||||
name = 'market_trades'
|
||||
trades = await self.subscribe_multiple(name, False, symbols, params)
|
||||
if self.newUpdates:
|
||||
first = self.safe_dict(trades, 0)
|
||||
tradeSymbol = self.safe_string(first, 'symbol')
|
||||
limit = trades.getLimit(tradeSymbol, limit)
|
||||
return self.filter_by_since_limit(trades, since, limit, 'timestamp', True)
|
||||
|
||||
async def un_watch_trades_for_symbols(self, symbols: List[str], params={}) -> Any:
|
||||
"""
|
||||
get the list of most recent trades for a particular symbol
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#market-trades-channel
|
||||
|
||||
:param str[] symbols: unified symbol of the market to fetch trades for
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict[]: a list of `trade structures <https://docs.ccxt.com/#/?id=public-trades>`
|
||||
"""
|
||||
await self.load_markets()
|
||||
name = 'market_trades'
|
||||
return await self.un_subscribe_multiple('trades', name, False, symbols, params)
|
||||
|
||||
async def watch_orders(self, symbol: Str = None, since: Int = None, limit: Int = None, params={}) -> List[Order]:
|
||||
"""
|
||||
watches information on multiple orders made by the user
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#user-channel
|
||||
|
||||
:param str [symbol]: unified market symbol of the market orders were made in
|
||||
:param int [since]: the earliest time in ms to fetch orders for
|
||||
:param int [limit]: the maximum number of order structures to retrieve
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict[]: a list of `order structures <https://docs.ccxt.com/#/?id=order-structure>`
|
||||
"""
|
||||
await self.load_markets()
|
||||
name = 'user'
|
||||
orders = await self.subscribe(name, True, symbol, params)
|
||||
if self.newUpdates:
|
||||
limit = orders.getLimit(symbol, limit)
|
||||
return self.filter_by_since_limit(orders, since, limit, 'timestamp', True)
|
||||
|
||||
async def un_watch_orders(self, symbol: Str = None, params={}) -> Any:
|
||||
"""
|
||||
stops watching information on multiple orders made by the user
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#user-channel
|
||||
|
||||
:param str [symbol]: unified market symbol of the market orders were made in
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict[]: a list of `order structures <https://docs.ccxt.com/#/?id=order-structure>`
|
||||
"""
|
||||
await self.load_markets()
|
||||
name = 'user'
|
||||
return await self.un_subscribe('orders', name, True, self.symbol(symbol))
|
||||
|
||||
async def watch_order_book(self, symbol: str, limit: Int = None, params={}) -> OrderBook:
|
||||
"""
|
||||
watches information on open orders with bid(buy) and ask(sell) prices, volumes and other data
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#level2-channel
|
||||
|
||||
:param str symbol: unified symbol of the market to fetch the order book for
|
||||
:param int [limit]: the maximum amount of order book entries to return
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict: A dictionary of `order book structures <https://docs.ccxt.com/#/?id=order-book-structure>` indexed by market symbols
|
||||
"""
|
||||
await self.load_markets()
|
||||
name = 'level2'
|
||||
market = self.market(symbol)
|
||||
symbol = market['symbol']
|
||||
orderbook = await self.subscribe(name, False, symbol, params)
|
||||
return orderbook.limit()
|
||||
|
||||
async def un_watch_order_book(self, symbol: str, params={}) -> Any:
|
||||
"""
|
||||
stops watching information on open orders with bid(buy) and ask(sell) prices, volumes and other data
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#level2-channel
|
||||
|
||||
:param str symbol: unified symbol of the market to fetch the order book for
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict: A dictionary of `order book structures <https://docs.ccxt.com/#/?id=order-book-structure>` indexed by market symbols
|
||||
"""
|
||||
await self.load_markets()
|
||||
symbol = self.symbol(symbol)
|
||||
name = 'level2'
|
||||
return await self.un_subscribe('orderbook', name, False, symbol)
|
||||
|
||||
async def watch_order_book_for_symbols(self, symbols: List[str], limit: Int = None, params={}) -> OrderBook:
|
||||
"""
|
||||
watches information on open orders with bid(buy) and ask(sell) prices, volumes and other data
|
||||
|
||||
https://docs.cloud.coinbase.com/advanced-trade-api/docs/ws-channels#level2-channel
|
||||
|
||||
:param str[] symbols: unified array of symbols
|
||||
:param int [limit]: the maximum amount of order book entries to return
|
||||
:param dict [params]: extra parameters specific to the exchange API endpoint
|
||||
:returns dict: A dictionary of `order book structures <https://docs.ccxt.com/#/?id=order-book-structure>` indexed by market symbols
|
||||
"""
|
||||
await self.load_markets()
|
||||
name = 'level2'
|
||||
orderbook = await self.subscribe_multiple(name, False, symbols, params)
|
||||
return orderbook.limit()
|
||||
|
||||
def handle_trade(self, client, message):
|
||||
#
|
||||
# {
|
||||
# "channel": "market_trades",
|
||||
# "client_id": "",
|
||||
# "timestamp": "2023-02-09T20:19:35.39625135Z",
|
||||
# "sequence_num": 0,
|
||||
# "events": [
|
||||
# {
|
||||
# "type": "snapshot",
|
||||
# "trades": [
|
||||
# {
|
||||
# "trade_id": "000000000",
|
||||
# "product_id": "ETH-USD",
|
||||
# "price": "1260.01",
|
||||
# "size": "0.3",
|
||||
# "side": "BUY",
|
||||
# "time": "2019-08-14T20:42:27.265Z",
|
||||
# }
|
||||
# ]
|
||||
# }
|
||||
# ]
|
||||
# }
|
||||
#
|
||||
events = self.safe_list(message, 'events')
|
||||
event = self.safe_value(events, 0)
|
||||
trades = self.safe_list(event, 'trades')
|
||||
trade = self.safe_dict(trades, 0)
|
||||
marketId = self.safe_string(trade, 'product_id')
|
||||
symbol = self.safe_symbol(marketId)
|
||||
messageHash = 'market_trades::' + symbol
|
||||
tradesArray = self.safe_value(self.trades, symbol)
|
||||
if tradesArray is None:
|
||||
tradesLimit = self.safe_integer(self.options, 'tradesLimit', 1000)
|
||||
tradesArray = ArrayCacheBySymbolById(tradesLimit)
|
||||
self.trades[symbol] = tradesArray
|
||||
for i in range(0, len(events)):
|
||||
currentEvent = events[i]
|
||||
currentTrades = self.safe_list(currentEvent, 'trades')
|
||||
for j in range(0, len(currentTrades)):
|
||||
item = currentTrades[i]
|
||||
tradesArray.append(self.parse_trade(item))
|
||||
client.resolve(tradesArray, messageHash)
|
||||
self.try_resolve_usdc(client, messageHash, tradesArray)
|
||||
|
||||
def handle_order(self, client, message):
|
||||
#
|
||||
# {
|
||||
# "channel": "user",
|
||||
# "client_id": "",
|
||||
# "timestamp": "2023-02-09T20:33:57.609931463Z",
|
||||
# "sequence_num": 0,
|
||||
# "events": [
|
||||
# {
|
||||
# "type": "snapshot",
|
||||
# "orders": [
|
||||
# {
|
||||
# "order_id": "XXX",
|
||||
# "client_order_id": "YYY",
|
||||
# "cumulative_quantity": "0",
|
||||
# "leaves_quantity": "0.000994",
|
||||
# "avg_price": "0",
|
||||
# "total_fees": "0",
|
||||
# "status": "OPEN",
|
||||
# "product_id": "BTC-USD",
|
||||
# "creation_time": "2022-12-07T19:42:18.719312Z",
|
||||
# "order_side": "BUY",
|
||||
# "order_type": "Limit"
|
||||
# },
|
||||
# ]
|
||||
# }
|
||||
# ]
|
||||
# }
|
||||
#
|
||||
events = self.safe_list(message, 'events')
|
||||
marketIds = []
|
||||
if self.orders is None:
|
||||
limit = self.safe_integer(self.options, 'ordersLimit', 1000)
|
||||
self.orders = ArrayCacheBySymbolById(limit)
|
||||
for i in range(0, len(events)):
|
||||
event = events[i]
|
||||
responseOrders = self.safe_list(event, 'orders')
|
||||
for j in range(0, len(responseOrders)):
|
||||
responseOrder = responseOrders[j]
|
||||
parsed = self.parse_ws_order(responseOrder)
|
||||
cachedOrders = self.orders
|
||||
marketId = self.safe_string(responseOrder, 'product_id')
|
||||
if not (marketId in marketIds):
|
||||
marketIds.append(marketId)
|
||||
cachedOrders.append(parsed)
|
||||
for i in range(0, len(marketIds)):
|
||||
marketId = marketIds[i]
|
||||
symbol = self.safe_symbol(marketId)
|
||||
messageHash = 'user::' + symbol
|
||||
client.resolve(self.orders, messageHash)
|
||||
self.try_resolve_usdc(client, messageHash, self.orders)
|
||||
client.resolve(self.orders, 'user')
|
||||
|
||||
def parse_ws_order(self, order, market=None):
|
||||
#
|
||||
# {
|
||||
# "order_id": "XXX",
|
||||
# "client_order_id": "YYY",
|
||||
# "cumulative_quantity": "0",
|
||||
# "leaves_quantity": "0.000994",
|
||||
# "avg_price": "0",
|
||||
# "total_fees": "0",
|
||||
# "status": "OPEN",
|
||||
# "product_id": "BTC-USD",
|
||||
# "creation_time": "2022-12-07T19:42:18.719312Z",
|
||||
# "order_side": "BUY",
|
||||
# "order_type": "Limit"
|
||||
# }
|
||||
#
|
||||
id = self.safe_string(order, 'order_id')
|
||||
clientOrderId = self.safe_string(order, 'client_order_id')
|
||||
marketId = self.safe_string(order, 'product_id')
|
||||
datetime = self.safe_string_2(order, 'time', 'creation_time')
|
||||
market = self.safe_market(marketId, market)
|
||||
stopPrice = self.safe_string(order, 'stop_price')
|
||||
return self.safe_order({
|
||||
'info': order,
|
||||
'symbol': self.safe_string(market, 'symbol'),
|
||||
'id': id,
|
||||
'clientOrderId': clientOrderId,
|
||||
'timestamp': self.parse8601(datetime),
|
||||
'datetime': datetime,
|
||||
'lastTradeTimestamp': None,
|
||||
'type': self.safe_string(order, 'order_type'),
|
||||
'timeInForce': None,
|
||||
'postOnly': None,
|
||||
'side': self.safe_string_2(order, 'side', 'order_side'),
|
||||
'price': self.safe_string(order, 'limit_price'),
|
||||
'stopPrice': stopPrice,
|
||||
'triggerPrice': stopPrice,
|
||||
'amount': self.safe_string(order, 'cumulative_quantity'),
|
||||
'cost': self.omit_zero(self.safe_string(order, 'filled_value')),
|
||||
'average': self.safe_string(order, 'avg_price'),
|
||||
'filled': self.safe_string(order, 'cumulative_quantity'),
|
||||
'remaining': self.safe_string(order, 'leaves_quantity'),
|
||||
'status': self.safe_string_lower(order, 'status'),
|
||||
'fee': {
|
||||
'amount': self.safe_string(order, 'total_fees'),
|
||||
'currency': self.safe_string(market, 'quote'),
|
||||
},
|
||||
'trades': None,
|
||||
})
|
||||
|
||||
def handle_order_book_helper(self, orderbook, updates):
|
||||
for i in range(0, len(updates)):
|
||||
trade = updates[i]
|
||||
sideId = self.safe_string(trade, 'side')
|
||||
side = self.safe_string(self.options['sides'], sideId)
|
||||
price = self.safe_number(trade, 'price_level')
|
||||
amount = self.safe_number(trade, 'new_quantity')
|
||||
orderbookSide = orderbook[side]
|
||||
orderbookSide.store(price, amount)
|
||||
|
||||
def handle_order_book(self, client, message):
|
||||
#
|
||||
# {
|
||||
# "channel": "l2_data",
|
||||
# "client_id": "",
|
||||
# "timestamp": "2023-02-09T20:32:50.714964855Z",
|
||||
# "sequence_num": 0,
|
||||
# "events": [
|
||||
# {
|
||||
# "type": "snapshot",
|
||||
# "product_id": "BTC-USD",
|
||||
# "updates": [
|
||||
# {
|
||||
# "side": "bid",
|
||||
# "event_time": "1970-01-01T00:00:00Z",
|
||||
# "price_level": "21921.74",
|
||||
# "new_quantity": "0.06317902"
|
||||
# },
|
||||
# {
|
||||
# "side": "bid",
|
||||
# "event_time": "1970-01-01T00:00:00Z",
|
||||
# "price_level": "21921.3",
|
||||
# "new_quantity": "0.02"
|
||||
# },
|
||||
# ]
|
||||
# }
|
||||
# ]
|
||||
# }
|
||||
#
|
||||
events = self.safe_list(message, 'events')
|
||||
datetime = self.safe_string(message, 'timestamp')
|
||||
for i in range(0, len(events)):
|
||||
event = events[i]
|
||||
updates = self.safe_list(event, 'updates', [])
|
||||
marketId = self.safe_string(event, 'product_id')
|
||||
# sometimes we subscribe to BTC/USDC and coinbase returns BTC/USD, are aliases
|
||||
market = self.safe_market(marketId)
|
||||
symbol = market['symbol']
|
||||
messageHash = 'level2::' + symbol
|
||||
subscription = self.safe_value(client.subscriptions, messageHash, {})
|
||||
limit = self.safe_integer(subscription, 'limit')
|
||||
type = self.safe_string(event, 'type')
|
||||
if type == 'snapshot':
|
||||
self.orderbooks[symbol] = self.order_book({}, limit)
|
||||
# unknown bug, can't reproduce, but sometimes orderbook is None
|
||||
if not (symbol in self.orderbooks) and self.orderbooks[symbol] is None:
|
||||
continue
|
||||
orderbook = self.orderbooks[symbol]
|
||||
self.handle_order_book_helper(orderbook, updates)
|
||||
orderbook['timestamp'] = self.parse8601(datetime)
|
||||
orderbook['datetime'] = datetime
|
||||
orderbook['symbol'] = symbol
|
||||
client.resolve(orderbook, messageHash)
|
||||
self.try_resolve_usdc(client, messageHash, orderbook)
|
||||
|
||||
def try_resolve_usdc(self, client, messageHash, result):
|
||||
if messageHash.endswith('/USD') or messageHash.endswith('-USD'):
|
||||
client.resolve(result, messageHash + 'C') # when subscribing to BTC/USDC and coinbase returns BTC/USD, so resolve USDC too
|
||||
|
||||
def handle_subscription_status(self, client, message):
|
||||
#
|
||||
# {
|
||||
# "type": "subscriptions",
|
||||
# "channels": [
|
||||
# {
|
||||
# "name": "level2",
|
||||
# "product_ids": ["ETH-BTC"]
|
||||
# }
|
||||
# ]
|
||||
# }
|
||||
#
|
||||
#
|
||||
# {
|
||||
# channel: 'subscriptions',
|
||||
# client_id: '',
|
||||
# timestamp: '2025-09-15T17:02:49.90120868Z',
|
||||
# sequence_num: 3,
|
||||
# events: [{subscriptions: {}}]
|
||||
# }
|
||||
#
|
||||
events = self.safe_list(message, 'events', [])
|
||||
firstEvent = self.safe_value(events, 0, {})
|
||||
isUnsub = ('subscriptions' in firstEvent)
|
||||
subKeys = list(firstEvent['subscriptions'].keys())
|
||||
subKeysLength = len(subKeys)
|
||||
if isUnsub and subKeysLength == 0:
|
||||
unSubObject = self.safe_dict(self.options, 'unSubscription', {})
|
||||
messageHashes = self.safe_list(unSubObject, 'messageHashes', [])
|
||||
subMessageHashes = self.safe_list(unSubObject, 'subMessageHashes', [])
|
||||
for i in range(0, len(messageHashes)):
|
||||
messageHash = messageHashes[i]
|
||||
subHash = subMessageHashes[i]
|
||||
self.clean_unsubscription(client, subHash, messageHash)
|
||||
self.clean_cache(unSubObject)
|
||||
return message
|
||||
|
||||
def handle_heartbeats(self, client, message):
|
||||
# although the subscription takes a product_ids parameter(i.e. symbol),
|
||||
# there is no(clear) way of mapping the message back to the symbol.
|
||||
#
|
||||
# {
|
||||
# "channel": "heartbeats",
|
||||
# "client_id": "",
|
||||
# "timestamp": "2023-06-23T20:31:26.122969572Z",
|
||||
# "sequence_num": 0,
|
||||
# "events": [
|
||||
# {
|
||||
# "current_time": "2023-06-23 20:31:56.121961769 +0000 UTC m=+91717.525857105",
|
||||
# "heartbeat_counter": "3049"
|
||||
# }
|
||||
# ]
|
||||
# }
|
||||
#
|
||||
return message
|
||||
|
||||
def handle_message(self, client, message):
|
||||
channel = self.safe_string(message, 'channel')
|
||||
methods: dict = {
|
||||
'subscriptions': self.handle_subscription_status,
|
||||
'ticker': self.handle_tickers,
|
||||
'ticker_batch': self.handle_tickers,
|
||||
'market_trades': self.handle_trade,
|
||||
'user': self.handle_order,
|
||||
'l2_data': self.handle_order_book,
|
||||
'heartbeats': self.handle_heartbeats,
|
||||
}
|
||||
type = self.safe_string(message, 'type')
|
||||
if type == 'error':
|
||||
errorMessage = self.safe_string(message, 'message')
|
||||
raise ExchangeError(errorMessage)
|
||||
method = self.safe_value(methods, channel)
|
||||
if method:
|
||||
method(client, message)
|
||||
Reference in New Issue
Block a user