Remember last update id, check next message is sequential · NeutralCode/python-binance@7ba13fa · GitHub

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Commit 7ba13fa

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Sam McHardy

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Remember last update id, check next message is sequential

if not init the cache again

1 parent 42c27d8 commit 7ba13fa
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1 file changed

+15-8Lines changed: 15 additions & 8 deletions

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• binance
  • depthcache.py

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‎binance/depthcache.py‎

Copy file name to clipboardExpand all lines: binance/depthcache.py

+15-8Lines changed: 15 additions & 8 deletions

Original file line number	Diff line number	Diff line change
@@ -137,7 +137,7 @@ def __init__(self, client, symbol, callback=None, refresh_interval=_default_refr
137	137	self._client = client
138	138	self._symbol = symbol
139	139	self._callback = callback
140		- self._first_update_id = None
	140	+ self._last_update_id = None
141	141	self._depth_message_buffer = []
142	142	self._bm = None
143	143	self._depth_cache = DepthCache(self._symbol)
@@ -151,7 +151,7 @@ def _init_cache(self):
151	151
152	152	:return:
153	153	"""
154		- self._first_update_id = None
	154	+ self._last_update_id = None
155	155	self._depth_message_buffer = []
156	156
157	157	res = self._client.get_order_book(symbol=self._symbol, limit=500)
@@ -163,15 +163,15 @@ def _init_cache(self):
163	163	self._depth_cache.add_ask(ask)
164	164
165	165	# set first update id
166		- self._first_update_id = res['lastUpdateId']
	166	+ self._last_update_id = res['lastUpdateId']
167	167
168	168	# set a time to refresh the depth cache
169	169	if self._refresh_interval:
170	170	self._refresh_time = int(time.time()) + self._refresh_interval
171	171
172	172	# Apply any updates from the websocket
173	173	for msg in self._depth_message_buffer:
174		- self._process_depth_message(msg)
	174	+ self._process_depth_message(msg, buffer=True)
175	175
176	176	# clear the depth buffer
177	177	del self._depth_message_buffer
@@ -199,22 +199,27 @@ def _depth_event(self, msg):
199	199
200	200	"""
201	201
202		- if self._first_update_id is None:
	202	+ if self._last_update_id is None:
203	203	# Initial depth snapshot fetch not yet performed, buffer messages
204	204	self._depth_message_buffer.append(msg)
205	205	else:
206	206	self._process_depth_message(msg)
207	207
208		- def _process_depth_message(self, msg):
	208	+ def _process_depth_message(self, msg, buffer=False):
209	209	"""Process a depth event message.
210	210
211	211	:param msg: Depth event message.
212	212	:return:
213	213
214	214	"""
215		- # ignore any updates before the initial update id
216		- if msg['u'] <= self._first_update_id:
	215	+
	216	+ if buffer and msg['u'] <= self._last_update_id:
	217	+ # ignore any updates before the initial update id
217	218	return
	219	+ elif msg['U'] != self._last_update_id + 1:
	220	+ # if not buffered check we get sequential updates
	221	+ # otherwise init cache again
	222	+ self._init_cache()
218	223
219	224	# add any bid or ask values
220	225	for bid in msg['b']:
@@ -226,6 +231,8 @@ def _process_depth_message(self, msg):
226	231	if self._callback:
227	232	self._callback(self._depth_cache)
228	233
	234	+ self._last_update_id = msg['u']
	235	+
229	236	# after processing event see if we need to refresh the depth cache
230	237	if self._refresh_interval and int(time.time()) > self._refresh_time:
231	238	self._init_cache()

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