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Websocket implementation for BitMEX cryptocurrency derivatives exchange.

Project description

BitMEX Trio-Websocket

PyPI Build Status

Websocket implementation for BitMEX cryptocurrency derivatives exchange.

  • Free software: MIT license

Features

  • Supports authenticated connections using api keys.
  • Uses SortedDict as backend storage for easy and fast table searching.
  • Fully async using async generators. No callbacks or event emitters.
  • Based on Slurry and Slurry-websocket.

Installation

This library requires Python 3.6 or greater.

To install from PyPI:

pip install bitmex-trio-websocket

Client example

import trio
from async_generator import aclosing

from bitmex_trio_websocket import open_bitmex_websocket

async def main():
    async with open_bitmex_websocket('testnet') as bws:
        async with aclosing(bws.listen('instrument')) as agen:
            async for msg in agen:
                print(f'Received message, symbol: \'{msg["symbol"]}\', timestamp: \'{msg["timestamp"]}\'')

if __name__ == '__main__':
    trio.run(main)

This will print a sequence of dicts for each received item on inserts (including partials) or updates.

API

async def

Creates a new websocket object.

This is an async context manager, so it needs to be used with the async with .. as ..: construct. The returned value is a BitMEXWebsocket object.

network str

Network to connect to. Options: 'mainnet', 'testnet'.

api_key Optional[str]

Api key for authenticated connections.

api_secret Optional[str]

Api secret for authenticated connections.

dead_mans_switch Optional[bool]

When enabled, the websocket will periodically send cancelAllAfter messages with a timeout of 60 seconds. The timer is refreshed every 15 seconds.

See: https://www.bitmex.com/app/wsAPI#Dead-Mans-Switch-Auto-Cancel

bitmex__trio__websocket.BitMEXWebsocket

await listen

Subscribes to the channel and optionally a specific symbol. It is possible for multiple listeners to be listening using the same subscription.

Returns an async generator object that yields messages from the channel.

table str

Channel to subscribe to.

symbol Optional[str]

Optional symbol to subscribe to.

storage

This attribute contains the storage object for the websocket. The storage object caches the data tables for received items. The implementation uses SortedDict from Sorted Containers, to handle inserts, updates and deletes.

The storage object has two public attributes data, and keys.

data contains the table state for each channel as a dictionary with the table name as key. The tables are sorted dictionaries, stored with key tuples generated from each item using the keys schema received in the initial partial message.

data['orderBookL2'] is a special state dictionary for the orderBookL2 table. It is a double nested defaultdict, with a SortedDict containing each price level. The nested dictionaries are composed like this:

# Special storage for orderBookL2
# dict[symbol][side][id]
self.data['orderBookL2'] = defaultdict(lambda: defaultdict(SortedDict))

keys contains a mapping for lists of keys by which to look up values in each table.

In addition the following helper methods are supplied:

make_key(table, match_data) creates a key for searching the data table. Raises ValueError if table == 'orderBookL2', since this table needs special indexing.

parse_timestamp(timestamp) static method for converting BitMEX timestamps to datetime with timezone (UTC).

Credits

Thanks to the Trio and Trio-websocket libraries for their awesome work.

The library was originally based on the reference client, but is now substantially redesigned.

This package was created with Cookiecutter and the audreyr/cookiecutter-pypackage project template.

Project details


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