752 lines
29 KiB
Python
752 lines
29 KiB
Python
# -*- coding: utf-8 -*-
|
|
|
|
# PLEASE DO NOT EDIT THIS FILE, IT IS GENERATED AND WILL BE OVERWRITTEN:
|
|
# https://github.com/ccxt/ccxt/blob/master/CONTRIBUTING.md#how-to-contribute-code
|
|
|
|
import ccxt.async_support
|
|
from ccxt.async_support.base.ws.cache import ArrayCache, ArrayCacheBySymbolById, ArrayCacheByTimestamp
|
|
from ccxt.base.types import Any, Balances, Int, Order, OrderBook, Str, Ticker, Trade
|
|
from ccxt.async_support.base.ws.client import Client
|
|
from typing import List
|
|
from ccxt.base.errors import ExchangeError
|
|
from ccxt.base.errors import AuthenticationError
|
|
from ccxt.base.errors import NotSupported
|
|
|
|
|
|
class blockchaincom(ccxt.async_support.blockchaincom):
|
|
|
|
def describe(self) -> Any:
|
|
return self.deep_extend(super(blockchaincom, self).describe(), {
|
|
'has': {
|
|
'ws': True,
|
|
'watchBalance': True,
|
|
'watchTicker': True,
|
|
'watchTickers': False,
|
|
'watchTrades': True,
|
|
'watchTradesForSymbols': False,
|
|
'watchMyTrades': False,
|
|
'watchOrders': True,
|
|
'watchOrderBook': True,
|
|
'watchOHLCV': True,
|
|
},
|
|
'urls': {
|
|
'api': {
|
|
'ws': 'wss://ws.blockchain.info/mercury-gateway/v1/ws',
|
|
},
|
|
},
|
|
'options': {
|
|
'ws': {
|
|
'options': {
|
|
'headers': {
|
|
'Origin': 'https://exchange.blockchain.com',
|
|
},
|
|
},
|
|
'noOriginHeader': False,
|
|
},
|
|
},
|
|
'streaming': {
|
|
},
|
|
'exceptions': {
|
|
},
|
|
'timeframes': {
|
|
'1m': '60',
|
|
'5m': '300',
|
|
'15m': '900',
|
|
'1h': '3600',
|
|
'6h': '21600',
|
|
'1d': '86400',
|
|
},
|
|
})
|
|
|
|
async def watch_balance(self, params={}) -> Balances:
|
|
"""
|
|
watch balance and get the amount of funds available for trading or funds locked in orders
|
|
|
|
https://exchange.blockchain.com/api/#balances
|
|
|
|
:param dict [params]: extra parameters specific to the exchange API endpoint
|
|
:returns dict: a `balance structure <https://docs.ccxt.com/#/?id=balance-structure>`
|
|
"""
|
|
await self.authenticate(params)
|
|
messageHash = 'balance'
|
|
url = self.urls['api']['ws']
|
|
subscribe: dict = {
|
|
'action': 'subscribe',
|
|
'channel': 'balances',
|
|
}
|
|
request = self.deep_extend(subscribe, params)
|
|
return await self.watch(url, messageHash, request, messageHash, request)
|
|
|
|
def handle_balance(self, client: Client, message):
|
|
#
|
|
# subscribed
|
|
# {
|
|
# "seqnum": 1,
|
|
# "event": "subscribed",
|
|
# "channel": "balances",
|
|
# "local_currency": "USD",
|
|
# "batching": False
|
|
# }
|
|
# snapshot
|
|
# {
|
|
# "seqnum": 2,
|
|
# "event": "snapshot",
|
|
# "channel": "balances",
|
|
# "balances": [
|
|
# {
|
|
# "currency": "BTC",
|
|
# "balance": 0.00366963,
|
|
# "available": 0.00266963,
|
|
# "balance_local": 38.746779155,
|
|
# "available_local": 28.188009155,
|
|
# "rate": 10558.77
|
|
# },
|
|
# ...
|
|
# ],
|
|
# "total_available_local": 65.477864168,
|
|
# "total_balance_local": 87.696634168
|
|
# }
|
|
#
|
|
event = self.safe_string(message, 'event')
|
|
if event == 'subscribed':
|
|
return
|
|
result: dict = {'info': message}
|
|
balances = self.safe_value(message, 'balances', [])
|
|
for i in range(0, len(balances)):
|
|
entry = balances[i]
|
|
currencyId = self.safe_string(entry, 'currency')
|
|
code = self.safe_currency_code(currencyId)
|
|
account = self.account()
|
|
account['free'] = self.safe_string(entry, 'available')
|
|
account['total'] = self.safe_string(entry, 'balance')
|
|
result[code] = account
|
|
messageHash = 'balance'
|
|
self.balance = self.safe_balance(result)
|
|
client.resolve(self.balance, messageHash)
|
|
|
|
async def watch_ohlcv(self, symbol: str, timeframe: str = '1m', since: Int = None, limit: Int = None, params={}) -> List[list]:
|
|
"""
|
|
watches historical candlestick data containing the open, high, low, and close price, and the volume of a market.
|
|
|
|
https://exchange.blockchain.com/api/#prices
|
|
|
|
:param str symbol: unified symbol of the market to fetch OHLCV data for
|
|
:param str timeframe: the length of time each candle represents. Allows '1m', '5m', '15m', '1h', '6h' '1d'. Can only watch one timeframe per symbol.
|
|
:param int [since]: timestamp in ms of the earliest candle to fetch
|
|
:param int [limit]: the maximum amount of candles to fetch
|
|
:param dict [params]: extra parameters specific to the exchange API endpoint
|
|
:returns int[][]: A list of candles ordered, open, high, low, close, volume
|
|
"""
|
|
await self.load_markets()
|
|
market = self.market(symbol)
|
|
symbol = market['symbol']
|
|
interval = self.safe_string(self.timeframes, timeframe, timeframe)
|
|
messageHash = 'ohlcv:' + symbol
|
|
request = {
|
|
'action': 'subscribe',
|
|
'channel': 'prices',
|
|
'symbol': market['id'],
|
|
'granularity': self.parse_number(interval),
|
|
}
|
|
request = self.deep_extend(request, params)
|
|
url = self.urls['api']['ws']
|
|
ohlcv = await self.watch(url, messageHash, request, messageHash, request)
|
|
if self.newUpdates:
|
|
limit = ohlcv.getLimit(symbol, limit)
|
|
return self.filter_by_since_limit(ohlcv, since, limit, 0, True)
|
|
|
|
def handle_ohlcv(self, client: Client, message):
|
|
#
|
|
# subscribed
|
|
# {
|
|
# "seqnum": 0,
|
|
# "event": "subscribed",
|
|
# "channel": "prices",
|
|
# "symbol": "BTC-USDT",
|
|
# "granularity": 60
|
|
# }
|
|
#
|
|
# updated
|
|
# {
|
|
# "seqnum": 1,
|
|
# "event": "updated",
|
|
# "channel": "prices",
|
|
# "symbol": "BTC-USD",
|
|
# "price": [1660085580000, 23185.215, 23185.935, 23164.79, 23169.97, 0]
|
|
# }
|
|
#
|
|
event = self.safe_string(message, 'event')
|
|
if event == 'rejected':
|
|
jsonMessage = self.json(message)
|
|
raise ExchangeError(self.id + ' ' + jsonMessage)
|
|
elif event == 'updated':
|
|
marketId = self.safe_string(message, 'symbol')
|
|
symbol = self.safe_symbol(marketId, None, '-')
|
|
messageHash = 'ohlcv:' + symbol
|
|
request = self.safe_value(client.subscriptions, messageHash)
|
|
timeframeId = self.safe_number(request, 'granularity')
|
|
timeframe = self.find_timeframe(timeframeId)
|
|
ohlcv = self.safe_value(message, 'price', [])
|
|
self.ohlcvs[symbol] = self.safe_value(self.ohlcvs, symbol, {})
|
|
stored = self.safe_value(self.ohlcvs[symbol], timeframe)
|
|
if stored is None:
|
|
limit = self.safe_integer(self.options, 'OHLCVLimit', 1000)
|
|
stored = ArrayCacheByTimestamp(limit)
|
|
self.ohlcvs[symbol][timeframe] = stored
|
|
stored.append(ohlcv)
|
|
client.resolve(stored, messageHash)
|
|
elif event != 'subscribed':
|
|
raise NotSupported(self.id + ' ' + self.json(message))
|
|
|
|
async def watch_ticker(self, symbol: str, params={}) -> Ticker:
|
|
"""
|
|
watches a price ticker, a statistical calculation with the information calculated over the past 24 hours for a specific market
|
|
|
|
https://exchange.blockchain.com/api/#ticker
|
|
|
|
:param str symbol: unified symbol of the market to fetch the ticker for
|
|
:param dict [params]: extra parameters specific to the exchange API endpoint
|
|
:returns dict: a `ticker structure <https://docs.ccxt.com/#/?id=ticker-structure>`
|
|
"""
|
|
await self.load_markets()
|
|
market = self.market(symbol)
|
|
symbol = market['symbol']
|
|
url = self.urls['api']['ws']
|
|
messageHash = 'ticker:' + symbol
|
|
request = {
|
|
'action': 'subscribe',
|
|
'channel': 'ticker',
|
|
'symbol': market['id'],
|
|
}
|
|
request = self.deep_extend(request, params)
|
|
return await self.watch(url, messageHash, request, messageHash)
|
|
|
|
def handle_ticker(self, client: Client, message):
|
|
#
|
|
# subscribed
|
|
# {
|
|
# "seqnum": 0,
|
|
# "event": "subscribed",
|
|
# "channel": "ticker",
|
|
# "symbol": "BTC-USD"
|
|
# }
|
|
# snapshot
|
|
# {
|
|
# "seqnum": 1,
|
|
# "event": "snapshot",
|
|
# "channel": "ticker",
|
|
# "symbol": "BTC-USD",
|
|
# "price_24h": 23071.4,
|
|
# "volume_24h": 236.28398636,
|
|
# "last_trade_price": 23936.4,
|
|
# "mark_price": 23935.335240262
|
|
# }
|
|
# update
|
|
# {
|
|
# "seqnum": 2,
|
|
# "event": "updated",
|
|
# "channel": "ticker",
|
|
# "symbol": "BTC-USD",
|
|
# "mark_price": 23935.242443617
|
|
# }
|
|
#
|
|
event = self.safe_string(message, 'event')
|
|
marketId = self.safe_string(message, 'symbol')
|
|
market = self.safe_market(marketId)
|
|
symbol = market['symbol']
|
|
ticker = None
|
|
if event == 'subscribed':
|
|
return
|
|
elif event == 'snapshot':
|
|
ticker = self.parse_ticker(message, market)
|
|
elif event == 'updated':
|
|
lastTicker = self.safe_value(self.tickers, symbol)
|
|
ticker = self.parse_ws_updated_ticker(message, lastTicker, market)
|
|
messageHash = 'ticker:' + symbol
|
|
self.tickers[symbol] = ticker
|
|
client.resolve(ticker, messageHash)
|
|
|
|
def parse_ws_updated_ticker(self, ticker, lastTicker=None, market=None):
|
|
#
|
|
# {
|
|
# "seqnum": 2,
|
|
# "event": "updated",
|
|
# "channel": "ticker",
|
|
# "symbol": "BTC-USD",
|
|
# "mark_price": 23935.242443617
|
|
# }
|
|
#
|
|
marketId = self.safe_string(ticker, 'symbol')
|
|
symbol = self.safe_symbol(marketId, None, '-')
|
|
last = self.safe_string(ticker, 'mark_price')
|
|
return self.safe_ticker({
|
|
'symbol': symbol,
|
|
'timestamp': None,
|
|
'datetime': None,
|
|
'high': None,
|
|
'low': None,
|
|
'bid': None,
|
|
'bidVolume': None,
|
|
'ask': None,
|
|
'askVolume': None,
|
|
'vwap': None,
|
|
'open': self.safe_string(lastTicker, 'open'),
|
|
'close': None,
|
|
'last': last,
|
|
'previousClose': self.safe_string(lastTicker, 'close'),
|
|
'change': None,
|
|
'percentage': None,
|
|
'average': None,
|
|
'baseVolume': self.safe_string(lastTicker, 'baseVolume'),
|
|
'quoteVolume': None,
|
|
'info': self.extend(self.safe_value(lastTicker, 'info', {}), ticker),
|
|
}, market)
|
|
|
|
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://exchange.blockchain.com/api/#trades
|
|
|
|
: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()
|
|
market = self.market(symbol)
|
|
symbol = market['symbol']
|
|
url = self.urls['api']['ws']
|
|
messageHash = 'trades:' + symbol
|
|
request = {
|
|
'action': 'subscribe',
|
|
'channel': 'trades',
|
|
'symbol': market['id'],
|
|
}
|
|
request = self.deep_extend(request, params)
|
|
trades = await self.watch(url, messageHash, request, messageHash, request)
|
|
return self.filter_by_since_limit(trades, since, limit, 'timestamp', True)
|
|
|
|
def handle_trades(self, client: Client, message):
|
|
#
|
|
# subscribed
|
|
# {
|
|
# "seqnum": 0,
|
|
# "event": "subscribed",
|
|
# "channel": "trades",
|
|
# "symbol": "BTC-USDT"
|
|
# }
|
|
# updates
|
|
# {
|
|
# "seqnum": 1,
|
|
# "event": "updated",
|
|
# "channel": "trades",
|
|
# "symbol": "BTC-USDT",
|
|
# "timestamp": "2022-08-08T17:23:48.163096Z",
|
|
# "side": "sell",
|
|
# "qty": 0.083523,
|
|
# "price": 23940.67,
|
|
# "trade_id": "563078810223444"
|
|
# }
|
|
#
|
|
event = self.safe_string(message, 'event')
|
|
if event != 'updated':
|
|
return
|
|
marketId = self.safe_string(message, 'symbol')
|
|
symbol = self.safe_symbol(marketId)
|
|
market = self.safe_market(marketId)
|
|
messageHash = 'trades:' + symbol
|
|
stored = self.safe_value(self.trades, symbol)
|
|
if stored is None:
|
|
limit = self.safe_integer(self.options, 'tradesLimit', 1000)
|
|
stored = ArrayCache(limit)
|
|
self.trades[symbol] = stored
|
|
parsed = self.parse_ws_trade(message, market)
|
|
stored.append(parsed)
|
|
self.trades[symbol] = stored
|
|
client.resolve(self.trades[symbol], messageHash)
|
|
|
|
def parse_ws_trade(self, trade, market=None):
|
|
#
|
|
# {
|
|
# "seqnum": 1,
|
|
# "event": "updated",
|
|
# "channel": "trades",
|
|
# "symbol": "BTC-USDT",
|
|
# "timestamp": "2022-08-08T17:23:48.163096Z",
|
|
# "side": "sell",
|
|
# "qty": 0.083523,
|
|
# "price": 23940.67,
|
|
# "trade_id": "563078810223444"
|
|
# }
|
|
#
|
|
marketId = self.safe_string(trade, 'symbol')
|
|
datetime = self.safe_string(trade, 'timestamp')
|
|
return self.safe_trade({
|
|
'id': self.safe_string(trade, 'trade_id'),
|
|
'timestamp': self.parse8601(datetime),
|
|
'datetime': datetime,
|
|
'symbol': self.safe_symbol(marketId, market, '-'),
|
|
'order': None,
|
|
'type': None,
|
|
'side': self.safe_string(trade, 'side'),
|
|
'takerOrMaker': None,
|
|
'price': self.safe_string(trade, 'price'),
|
|
'amount': self.safe_string(trade, 'qty'),
|
|
'cost': None,
|
|
'fee': None,
|
|
'info': trade,
|
|
}, market)
|
|
|
|
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://exchange.blockchain.com/api/#mass-order-status-request-ordermassstatusrequest
|
|
|
|
: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()
|
|
await self.authenticate()
|
|
if symbol is not None:
|
|
market = self.market(symbol)
|
|
symbol = market['symbol']
|
|
url = self.urls['api']['ws']
|
|
message: dict = {
|
|
'action': 'subscribe',
|
|
'channel': 'trading',
|
|
}
|
|
messageHash = 'orders'
|
|
request = self.deep_extend(message, params)
|
|
orders = await self.watch(url, messageHash, request, messageHash)
|
|
if self.newUpdates:
|
|
limit = orders.getLimit(symbol, limit)
|
|
return self.filter_by_symbol_since_limit(orders, symbol, since, limit, True)
|
|
|
|
def handle_orders(self, client: Client, message):
|
|
#
|
|
# {
|
|
# "seqnum": 1,
|
|
# "event": "rejected",
|
|
# "channel": "trading",
|
|
# "text": "Not subscribed to channel"
|
|
# }
|
|
# snapshot
|
|
# {
|
|
# "seqnum": 2,
|
|
# "event": "snapshot",
|
|
# "channel": "trading",
|
|
# "orders": [
|
|
# {
|
|
# "orderID": "562965341621940",
|
|
# "gwOrderId": 181011136260,
|
|
# "clOrdID": "016caf67f7a94508webd",
|
|
# "symbol": "BTC-USD",
|
|
# "side": "sell",
|
|
# "ordType": "limit",
|
|
# "orderQty": 0.000675,
|
|
# "leavesQty": 0.000675,
|
|
# "cumQty": 0,
|
|
# "avgPx": 0,
|
|
# "ordStatus": "open",
|
|
# "timeInForce": "GTC",
|
|
# "text": "New order",
|
|
# "execType": "0",
|
|
# "execID": "21415965325",
|
|
# "transactTime": "2022-08-08T23:31:00.550795Z",
|
|
# "msgType": 8,
|
|
# "lastPx": 0,
|
|
# "lastShares": 0,
|
|
# "tradeId": "0",
|
|
# "fee": 0,
|
|
# "price": 30000,
|
|
# "marginOrder": False,
|
|
# "closePositionOrder": False
|
|
# }
|
|
# ],
|
|
# "positions": []
|
|
# }
|
|
# update
|
|
# {
|
|
# "seqnum": 3,
|
|
# "event": "updated",
|
|
# "channel": "trading",
|
|
# "orderID": "562965341621940",
|
|
# "gwOrderId": 181011136260,
|
|
# "clOrdID": "016caf67f7a94508webd",
|
|
# "symbol": "BTC-USD",
|
|
# "side": "sell",
|
|
# "ordType": "limit",
|
|
# "orderQty": 0.000675,
|
|
# "leavesQty": 0.000675,
|
|
# "cumQty": 0,
|
|
# "avgPx": 0,
|
|
# "ordStatus": "cancelled",
|
|
# "timeInForce": "GTC",
|
|
# "text": "Canceled by User",
|
|
# "execType": "4",
|
|
# "execID": "21416034921",
|
|
# "transactTime": "2022-08-08T23:33:25.727785Z",
|
|
# "msgType": 8,
|
|
# "lastPx": 0,
|
|
# "lastShares": 0,
|
|
# "tradeId": "0",
|
|
# "fee": 0,
|
|
# "price": 30000,
|
|
# "marginOrder": False,
|
|
# "closePositionOrder": False
|
|
# }
|
|
#
|
|
event = self.safe_string(message, 'event')
|
|
messageHash = 'orders'
|
|
cachedOrders = self.orders
|
|
if cachedOrders is None:
|
|
limit = self.safe_integer(self.options, 'ordersLimit', 1000)
|
|
self.orders = ArrayCacheBySymbolById(limit)
|
|
if event == 'subscribed':
|
|
return
|
|
elif event == 'rejected':
|
|
raise ExchangeError(self.id + ' ' + self.json(message))
|
|
elif event == 'snapshot':
|
|
orders = self.safe_value(message, 'orders', [])
|
|
for i in range(0, len(orders)):
|
|
order = orders[i]
|
|
parsedOrder = self.parse_ws_order(order)
|
|
cachedOrders.append(parsedOrder)
|
|
elif event == 'updated':
|
|
parsedOrder = self.parse_ws_order(message)
|
|
cachedOrders.append(parsedOrder)
|
|
self.orders = cachedOrders
|
|
client.resolve(self.orders, messageHash)
|
|
|
|
def parse_ws_order(self, order, market=None):
|
|
#
|
|
# {
|
|
# "seqnum": 3,
|
|
# "event": "updated",
|
|
# "channel": "trading",
|
|
# "orderID": "562965341621940",
|
|
# "gwOrderId": 181011136260,
|
|
# "clOrdID": "016caf67f7a94508webd",
|
|
# "symbol": "BTC-USD",
|
|
# "side": "sell",
|
|
# "ordType": "limit",
|
|
# "orderQty": 0.000675,
|
|
# "leavesQty": 0.000675,
|
|
# "cumQty": 0,
|
|
# "avgPx": 0,
|
|
# "ordStatus": "cancelled",
|
|
# "timeInForce": "GTC",
|
|
# "text": "Canceled by User",
|
|
# "execType": "4",
|
|
# "execID": "21416034921",
|
|
# "transactTime": "2022-08-08T23:33:25.727785Z",
|
|
# "msgType": 8,
|
|
# "lastPx": 0,
|
|
# "lastShares": 0,
|
|
# "tradeId": "0",
|
|
# "fee": 0,
|
|
# "price": 30000,
|
|
# "marginOrder": False,
|
|
# "closePositionOrder": False
|
|
# }
|
|
#
|
|
datetime = self.safe_string(order, 'transactTime')
|
|
status = self.safe_string(order, 'ordStatus')
|
|
marketId = self.safe_string(order, 'symbol')
|
|
market = self.safe_market(marketId, market)
|
|
tradeId = self.safe_string(order, 'tradeId')
|
|
trades = []
|
|
if tradeId != '0':
|
|
trades.append({'id': tradeId})
|
|
return self.safe_order({
|
|
'id': self.safe_string(order, 'orderID'),
|
|
'clientOrderId': self.safe_string(order, 'clOrdID'),
|
|
'datetime': datetime,
|
|
'timestamp': self.parse8601(datetime),
|
|
'status': self.parse_ws_order_status(status),
|
|
'symbol': self.safe_symbol(marketId, market),
|
|
'type': self.safe_string(order, 'ordType'), # limit, market, stop, stopLimit, trailingStop, fillOrKill
|
|
'timeInForce': self.safe_string(order, 'timeInForce'),
|
|
'postOnly': self.safe_string(order, 'execInst') == 'ALO',
|
|
'side': self.safe_string(order, 'side'),
|
|
'price': self.safe_string(order, 'price'),
|
|
'stopPrice': self.safe_string(order, 'stopPx'),
|
|
'cost': None,
|
|
'amount': self.safe_string(order, 'orderQty'),
|
|
'filled': self.safe_string(order, 'cumQty'),
|
|
'remaining': self.safe_string(order, 'leavesQty'),
|
|
'trades': trades,
|
|
'fee': {
|
|
'rate': None,
|
|
'cost': self.safe_number(order, 'fee'),
|
|
'currency': self.safe_string(market, 'quote'),
|
|
},
|
|
'info': order,
|
|
'lastTradeTimestamp': None,
|
|
'average': self.safe_string(order, 'avgPx'),
|
|
}, market)
|
|
|
|
def parse_ws_order_status(self, status):
|
|
statuses: dict = {
|
|
'pending': 'open',
|
|
'open': 'open',
|
|
'rejected': 'rejected',
|
|
'cancelled': 'canceled',
|
|
'filled': 'closed',
|
|
'partial': 'open',
|
|
'expired': 'expired',
|
|
}
|
|
return self.safe_string(statuses, status, status)
|
|
|
|
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://exchange.blockchain.com/api/#l2-order-book
|
|
|
|
: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 dictConstructor [params]: extra parameters specific to the exchange API endpoint
|
|
:param str [params.type]: accepts l2 or l3 for level 2 or level 3 order book
|
|
:returns dict: A dictionary of `order book structures <https://docs.ccxt.com/#/?id=order-book-structure>` indexed by market symbols
|
|
"""
|
|
await self.load_markets()
|
|
market = self.market(symbol)
|
|
url = self.urls['api']['ws']
|
|
type = self.safe_string(params, 'type', 'l2')
|
|
params = self.omit(params, 'type')
|
|
messageHash = 'orderbook:' + symbol + ':' + type
|
|
subscribe: dict = {
|
|
'action': 'subscribe',
|
|
'channel': type,
|
|
'symbol': market['id'],
|
|
}
|
|
request = self.deep_extend(subscribe, params)
|
|
orderbook = await self.watch(url, messageHash, request, messageHash)
|
|
return orderbook.limit()
|
|
|
|
def handle_order_book(self, client: Client, message):
|
|
#
|
|
# subscribe
|
|
# {
|
|
# "seqnum": 0,
|
|
# "event": "subscribed",
|
|
# "channel": "l2",
|
|
# "symbol": "BTC-USDT",
|
|
# "batching": False
|
|
# }
|
|
# snapshot
|
|
# {
|
|
# "seqnum": 1,
|
|
# "event": "snapshot",
|
|
# "channel": "l2",
|
|
# "symbol": "BTC-USDT",
|
|
# "bids": [
|
|
# {num: 1, px: 0.01, qty: 22},
|
|
# ],
|
|
# "asks": [
|
|
# {num: 1, px: 23840.26, qty: 0.25},
|
|
# ],
|
|
# "timestamp": "2022-08-08T22:03:19.071870Z"
|
|
# }
|
|
# update
|
|
# {
|
|
# "seqnum": 2,
|
|
# "event": "updated",
|
|
# "channel": "l2",
|
|
# "symbol": "BTC-USDT",
|
|
# "bids": [],
|
|
# "asks": [{num: 1, px: 23855.06, qty: 1.04786347}],
|
|
# "timestamp": "2022-08-08T22:03:19.014680Z"
|
|
# }
|
|
#
|
|
event = self.safe_string(message, 'event')
|
|
if event == 'subscribed':
|
|
return
|
|
type = self.safe_string(message, 'channel')
|
|
marketId = self.safe_string(message, 'symbol')
|
|
symbol = self.safe_symbol(marketId)
|
|
messageHash = 'orderbook:' + symbol + ':' + type
|
|
datetime = self.safe_string(message, 'timestamp')
|
|
timestamp = self.parse8601(datetime)
|
|
if self.safe_value(self.orderbooks, symbol) is None:
|
|
self.orderbooks[symbol] = self.counted_order_book()
|
|
orderbook = self.orderbooks[symbol]
|
|
if event == 'snapshot':
|
|
snapshot = self.parse_order_book(message, symbol, timestamp, 'bids', 'asks', 'px', 'qty', 'num')
|
|
orderbook.reset(snapshot)
|
|
elif event == 'updated':
|
|
asks = self.safe_list(message, 'asks', [])
|
|
bids = self.safe_list(message, 'bids', [])
|
|
self.handle_deltas(orderbook['asks'], asks)
|
|
self.handle_deltas(orderbook['bids'], bids)
|
|
orderbook['timestamp'] = timestamp
|
|
orderbook['datetime'] = datetime
|
|
else:
|
|
raise NotSupported(self.id + ' watchOrderBook() does not support ' + event + ' yet')
|
|
client.resolve(orderbook, messageHash)
|
|
|
|
def handle_delta(self, bookside, delta):
|
|
bookArray = self.parse_bid_ask(delta, 'px', 'qty', 'num')
|
|
bookside.storeArray(bookArray)
|
|
|
|
def handle_deltas(self, bookside, deltas):
|
|
for i in range(0, len(deltas)):
|
|
self.handle_delta(bookside, deltas[i])
|
|
|
|
def handle_message(self, client: Client, message):
|
|
channel = self.safe_string(message, 'channel')
|
|
handlers: dict = {
|
|
'ticker': self.handle_ticker,
|
|
'trades': self.handle_trades,
|
|
'prices': self.handle_ohlcv,
|
|
'l2': self.handle_order_book,
|
|
'l3': self.handle_order_book,
|
|
'auth': self.handle_authentication_message,
|
|
'balances': self.handle_balance,
|
|
'trading': self.handle_orders,
|
|
}
|
|
handler = self.safe_value(handlers, channel)
|
|
if handler is not None:
|
|
handler(client, message)
|
|
return
|
|
raise NotSupported(self.id + ' received an unsupported message: ' + self.json(message))
|
|
|
|
def handle_authentication_message(self, client: Client, message):
|
|
#
|
|
# {
|
|
# "seqnum": 0,
|
|
# "event": "subscribed",
|
|
# "channel": "auth",
|
|
# "readOnly": False
|
|
# }
|
|
#
|
|
event = self.safe_string(message, 'event')
|
|
if event != 'subscribed':
|
|
raise AuthenticationError(self.id + ' received an authentication error: ' + self.json(message))
|
|
future = self.safe_value(client.futures, 'authenticated')
|
|
if future is not None:
|
|
future.resolve(True)
|
|
|
|
async def authenticate(self, params={}):
|
|
url = self.urls['api']['ws']
|
|
client = self.client(url)
|
|
messageHash = 'authenticated'
|
|
future = client.reusableFuture(messageHash)
|
|
isAuthenticated = self.safe_value(client.subscriptions, messageHash)
|
|
if isAuthenticated is None:
|
|
self.check_required_credentials()
|
|
request: dict = {
|
|
'action': 'subscribe',
|
|
'channel': 'auth',
|
|
'token': self.secret,
|
|
}
|
|
return self.watch(url, messageHash, self.extend(request, params), messageHash)
|
|
return await future
|