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order_book.py
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order_book.py
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import GDAX
import eth.gdax_priv as gdax_priv
from eth.gdax_msg import *
import queue
import threading
import numpy as np
class WsClient(GDAX.WebsocketClient):
def __init__(self):
GDAX.WebsocketClient.__init__(self, products=['ETH-USD'])
self.onOpenCB = None
self.onMessageCB = None
self.onCloseCB = None
def onMessage(self, msg):
typ = msg['type']
if(typ == "received"):
res = ReceivedMessage(msg)
elif(typ == "match"):
res = MatchMessage(msg)
elif(typ == "done"):
res = DoneMessage(msg)
elif(typ == "open"):
res = OpenMessage(msg)
elif(typ == "change"):
res = ChangeMessage(msg)
elif(typ == "error"):
res = ErrorMessage(msg)
elif(typ == "heartbeat"):
res = HeartbeatMessage(msg)
else:
print("Unknown message type:", typ)
print(msg)
if(self.onMessageCB):
self.onMessageCB(res)
def onOpen(self):
if(self.onOpenCB):
self.onOpenCB()
def onClose(self):
if(self.onCloseCB):
self.onCloseCB()
class RealTimeOrderBook():
def __init__(self, authClient):
self.authClient = authClient
self.wsClient = WsClient()
self.wsClient.onOpenCB = self.__onOpen
self.wsClient.onCloseCB = self.__onClose
self.wsClient.onMessageCB = self.__handleMessage
self.keep_going = False
self.connected = False
self.lock = threading.Lock()
def __onOpen(self):
self.connected = True
def __onClose(self):
self.connected = False
def __handleMessage(self, msg):
self.msg_queue.put(msg)
def __processQueue(self):
while(self.keep_going):
try:
msg = self.msg_queue.get(block = True, timeout = 1)
except queue.Empty:
#nothing in queue at the moment, loop around to see if we
#should quit
continue
self.lock.acquire()
if(self.sequence < msg.sequence):
try:
self.__processMessage(msg)
self.sequence = msg.sequence
#occasionally verify the state of our book
if(self.sequence % 100 == 0):
assert(all([x > 0 for x in self.asks.keys()]))
assert(all([x > 0 for x in self.bids.keys()]))
assert(all([x.price > 0 for x in self.asks.values()]))
assert(all([x.price > 0 for x in self.bids.values()]))
assert(all([x.size >= 0 for x in self.asks.values()]))
assert(all([x.size >= 0 for x in self.bids.values()]))
assert(all([x.num_orders >= 0 for x in self.asks.values()]))
assert(all([x.num_orders >= 0 for x in self.bids.values()]))
except Exception as e:
self.lock.release()
print("An error occurred while processing a message: {0}".format(e))
print("Stopping")
self.stop()
return
self.lock.release()
def __processMessage(self, msg):
if(isinstance(msg, ReceivedMessage)):
#do nothing
return
elif(isinstance(msg, MatchMessage)):
#match occurred
if(msg.side == 'sell'):
if(not (msg.price in self.asks)):
print(msg.original_msg)
print(self.asks)
raise Exception("ERROR: match was made without an entry in our book to subtract from.")
so = self.asks[msg.price]
so.size -= msg.size
self.asks[msg.price] = so
elif(msg.side == 'buy'):
if(not (msg.price in self.bids)):
print( msg.original_msg)
print( self.bids)
raise Exception("ERROR: match was made without an entry in our book to subtract from.")
so = self.bids[msg.price]
so.size -= msg.size
self.bids[msg.price] = so
else:
raise Exception("ERROR: received MatchMessage with unknown side: %s" % msg.side)
elif(isinstance(msg, OpenMessage)):
#new order is on the book
if(msg.side == 'sell'):
if(not (msg.price in self.asks)):
self.asks[msg.price] = gdax_priv.SimpleOrder()
so = self.asks[msg.price]
so.size += msg.remaining_size
so.num_orders += 1
self.asks[msg.price] = so
elif(msg.side == 'buy'):
if(not (msg.price in self.bids)):
self.bids[msg.price] = gdax_priv.SimpleOrder()
so = self.bids[msg.price]
so.size += msg.remaining_size
so.num_orders += 1
self.bids[msg.price] = so
else:
raise Exception("ERROR: received OpenMessage with unknown side: %s" % msg.side)
elif(isinstance(msg, DoneMessage)):
#if the DoneMessage has a price or remaining_size, then it was in the order book
#and should reduce num_orders
if( not ('price' in msg.__dict__)):
return
if(msg.side == 'sell'):
if(not (msg.price in self.asks)):
print( msg.original_msg)
print( self.asks)
raise Exception("ERROR: match was made without an entry in our book to subtract from.")
so = self.asks[msg.price]
so.num_orders -= 1
if(so.num_orders <= 0):
self.asks[msg.price] = so
else:
self.asks.pop(msg.price)
elif(msg.side == 'buy'):
if(not (msg.price in self.bids)):
print( msg.original_msg)
print( self.bids)
raise Exception("ERROR: match was made without an entry in our book to subtract from.")
so = self.bids[msg.price]
so.num_orders -= 1
if(so.num_orders <= 0):
self.bids[msg.price] = so
else:
self.bids.pop(msg.price)
else:
raise Exception("ERROR: received DoneMessage with unknown side: %s" % msg.side)
elif(isinstance(msg, ChangeMessage)):
#I'm not really sure what should be done here...
#the GDAX API isn't really clean on when these can be ignored
#and when they cannot be
return
else:
return
#don't care
def __initializeFromOrderBook(self, book):
print(book)
self.sequence = book.sequence
self.asks = {x.price: x for x in book.asks}
self.bids = {x.price: x for x in book.bids}
def start(self):
self.lock.acquire()
self.msg_queue = queue.Queue()
#start the wsClient
self.wsClient.start()
self.keep_going = True
#grab a copy of the order book (level 2 should be fine..?)
self.__initializeFromOrderBook(self.authClient.getProductOrderBook(level=2))
#now start the message processing thread
self.msg_thread = threading.Thread(target = self.__processQueue,
name = "__processQueue")
self.msg_thread.start()
self.lock.release()
def stop(self):
if(self.keep_going):
self.lock.acquire()
self.keep_going = False
#for some reason this crashes us
#self.wsClient.close()
self.msg_thread.join()
self.asks = None
self.bids = None
self.sequence = None
self.lock.release()
def isConnected(self):
self.lock.acquire()
res = self.connected
self.lock.release()
return res
def getBestAsk(self):
self.lock.acquire()
res = np.min([x for x in self.asks.keys() if self.asks[x].size > 0])
self.lock.release()
return res
def getBestBid(self):
self.lock.acquire()
res = np.max([x for x in self.bids.keys() if self.bids[x].size > 0])
self.lock.release()
return res
#