bitmex-trio-websocket 0.4.0a0

Websocket implementation for BitMEX cryptocurrency derivatives exchange.

BitMEX Trio-Websocket

Websocket implementation for BitMEX cryptocurrency derivatives exchange.

• Free software: MIT license
• Documentation: https://bitmex-trio-websocket.readthedocs.io.

Features

• Automatically subscribes to the appropriate channel, when a stream for that channel is requested.
• Supports authenticated connections using api keys.
• Fully async using async generators. No callbacks or event emitters.
• Based on trio and trio-websocket.

Installation

This library requires Python 3.7 or greater. It could probably be made to run with Python 3.6, since this is the minimal version where async generators are supported. To install from PyPI:

pip install bitmex-trio-websocket

Client example

import trio

from bitmex_trio_websocket import BitMEXWebsocket

async def main():
    async with BitMEXWebsocket.connect('testnet') as bws:
        async for msg in bws.listen('instrument'):
            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.

Note, that delete actions are simply applied and consumed, with no output sent.

API

Creates a new websocket object.

endpoint 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.

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

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 three public attributes data, orderbook 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.

orderbook 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.orderbook = 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.

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

When connected, contains the underlying trio-websocket object. Can be used to manage the connection.

See - https://trio-websocket.readthedocs.io/en/stable/api.html#connections

Credits

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

The library was originally based on the reference client, but now hardly resembles it at all.

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