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python-binance/binance/websockets.py at develop · SoniCoder/python-binance · GitHub
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# coding=utf-8
import
json
import
threading
from
autobahn
.
twisted
.
websocket
import
WebSocketClientFactory
, \
WebSocketClientProtocol
, \
connectWS
from
twisted
.
internet
import
reactor
,
ssl
from
twisted
.
internet
.
protocol
import
ReconnectingClientFactory
from
twisted
.
internet
.
error
import
ReactorAlreadyRunning
from
binance
.
client
import
Client
class
BinanceClientProtocol
(
WebSocketClientProtocol
):
def
__init__
(
self
):
super
(
WebSocketClientProtocol
,
self
).
__init__
()
def
onConnect
(
self
,
response
):
# reset the delay after reconnecting
self
.
factory
.
resetDelay
()
def
onMessage
(
self
,
payload
,
isBinary
):
if
not
isBinary
:
try
:
payload_obj
=
json
.
loads
(
payload
.
decode
(
'utf8'
))
except
ValueError
:
pass
else
:
self
.
factory
.
callback
(
payload_obj
)
class
BinanceReconnectingClientFactory
(
ReconnectingClientFactory
):
# set initial delay to a short time
initialDelay
=
0.1
maxDelay
=
10
maxRetries
=
5
class
BinanceClientFactory
(
WebSocketClientFactory
,
BinanceReconnectingClientFactory
):
protocol
=
BinanceClientProtocol
_reconnect_error_payload
=
{
'e'
:
'error'
,
'm'
:
'Max reconnect retries reached'
}
def
clientConnectionFailed
(
self
,
connector
,
reason
):
self
.
retry
(
connector
)
if
self
.
retries
>
self
.
maxRetries
:
self
.
callback
(
self
.
_reconnect_error_payload
)
def
clientConnectionLost
(
self
,
connector
,
reason
):
self
.
retry
(
connector
)
if
self
.
retries
>
self
.
maxRetries
:
self
.
callback
(
self
.
_reconnect_error_payload
)
class
BinanceSocketManager
(
threading
.
Thread
):
STREAM_URL
=
'wss://stream.binance.com:9443/'
WEBSOCKET_DEPTH_5
=
'5'
WEBSOCKET_DEPTH_10
=
'10'
WEBSOCKET_DEPTH_20
=
'20'
DEFAULT_USER_TIMEOUT
=
30
*
60
# 30 minutes
def
__init__
(
self
,
client
,
user_timeout
=
DEFAULT_USER_TIMEOUT
):
"""Initialise the BinanceSocketManager
:param client: Binance API client
:type client: binance.Client
:param user_timeout: Custom websocket timeout
:type user_timeout: int
"""
threading
.
Thread
.
__init__
(
self
)
self
.
_conns
=
{}
self
.
_client
=
client
self
.
_user_timeout
=
user_timeout
self
.
_timers
=
{
'user'
:
None
,
'margin'
:
None
}
self
.
_listen_keys
=
{
'user'
:
None
,
'margin'
:
None
}
self
.
_account_callbacks
=
{
'user'
:
None
,
'margin'
:
None
}
def
_start_socket
(
self
,
path
,
callback
,
prefix
=
'ws/'
):
if
path
in
self
.
_conns
:
return
False
factory_url
=
self
.
STREAM_URL
+
prefix
+
path
factory
=
BinanceClientFactory
(
factory_url
)
factory
.
protocol
=
BinanceClientProtocol
factory
.
callback
=
callback
factory
.
reconnect
=
True
context_factory
=
ssl
.
ClientContextFactory
()
self
.
_conns
[
path
]
=
connectWS
(
factory
,
context_factory
)
return
path
def
start_depth_socket
(
self
,
symbol
,
callback
,
depth
=
None
):
"""Start a websocket for symbol market depth returning either a diff or a partial book
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#partial-book-depth-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:param depth: optional Number of depth entries to return, default None. If passed returns a partial book instead of a diff
:type depth: str
:returns: connection key string if successful, False otherwise
Partial Message Format
.. code-block:: python
{
"lastUpdateId": 160, # Last update ID
"bids": [ # Bids to be updated
[
"0.0024", # price level to be updated
"10", # quantity
[] # ignore
]
],
"asks": [ # Asks to be updated
[
"0.0026", # price level to be updated
"100", # quantity
[] # ignore
]
]
}
Diff Message Format
.. code-block:: python
{
"e": "depthUpdate", # Event type
"E": 123456789, # Event time
"s": "BNBBTC", # Symbol
"U": 157, # First update ID in event
"u": 160, # Final update ID in event
"b": [ # Bids to be updated
[
"0.0024", # price level to be updated
"10", # quantity
[] # ignore
]
],
"a": [ # Asks to be updated
[
"0.0026", # price level to be updated
"100", # quantity
[] # ignore
]
]
}
"""
socket_name
=
symbol
.
lower
()
+
'@depth'
if
depth
and
depth
!=
'1'
:
socket_name
=
'{}{}'
.
format
(
socket_name
,
depth
)
return
self
.
_start_socket
(
socket_name
,
callback
)
def
start_kline_socket
(
self
,
symbol
,
callback
,
interval
=
Client
.
KLINE_INTERVAL_1MINUTE
):
"""Start a websocket for symbol kline data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#klinecandlestick-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:param interval: Kline interval, default KLINE_INTERVAL_1MINUTE
:type interval: str
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "kline", # event type
"E": 1499404907056, # event time
"s": "ETHBTC", # symbol
"k": {
"t": 1499404860000, # start time of this bar
"T": 1499404919999, # end time of this bar
"s": "ETHBTC", # symbol
"i": "1m", # interval
"f": 77462, # first trade id
"L": 77465, # last trade id
"o": "0.10278577", # open
"c": "0.10278645", # close
"h": "0.10278712", # high
"l": "0.10278518", # low
"v": "17.47929838", # volume
"n": 4, # number of trades
"x": false, # whether this bar is final
"q": "1.79662878", # quote volume
"V": "2.34879839", # volume of active buy
"Q": "0.24142166", # quote volume of active buy
"B": "13279784.01349473" # can be ignored
}
}
"""
socket_name
=
'{}@kline_{}'
.
format
(
symbol
.
lower
(),
interval
)
return
self
.
_start_socket
(
socket_name
,
callback
)
def
start_miniticker_socket
(
self
,
callback
,
update_time
=
1000
):
"""Start a miniticker websocket for all trades
This is not in the official Binance api docs, but this is what
feeds the right column on a ticker page on Binance.
:param callback: callback function to handle messages
:type callback: function
:param update_time: time between callbacks in milliseconds, must be 1000 or greater
:type update_time: int
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
[
{
'e': '24hrMiniTicker', # Event type
'E': 1515906156273, # Event time
's': 'QTUMETH', # Symbol
'c': '0.03836900', # close
'o': '0.03953500', # open
'h': '0.04400000', # high
'l': '0.03756000', # low
'v': '147435.80000000', # volume
'q': '5903.84338533' # quote volume
}
]
"""
return
self
.
_start_socket
(
'!miniTicker@arr@{}ms'
.
format
(
update_time
),
callback
)
def
start_trade_socket
(
self
,
symbol
,
callback
):
"""Start a websocket for symbol trade data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#trade-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "trade", # Event type
"E": 123456789, # Event time
"s": "BNBBTC", # Symbol
"t": 12345, # Trade ID
"p": "0.001", # Price
"q": "100", # Quantity
"b": 88, # Buyer order Id
"a": 50, # Seller order Id
"T": 123456785, # Trade time
"m": true, # Is the buyer the market maker?
"M": true # Ignore.
}
"""
return
self
.
_start_socket
(
symbol
.
lower
()
+
'@trade'
,
callback
)
def
start_aggtrade_socket
(
self
,
symbol
,
callback
):
"""Start a websocket for symbol trade data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#aggregate-trade-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "aggTrade", # event type
"E": 1499405254326, # event time
"s": "ETHBTC", # symbol
"a": 70232, # aggregated tradeid
"p": "0.10281118", # price
"q": "8.15632997", # quantity
"f": 77489, # first breakdown trade id
"l": 77489, # last breakdown trade id
"T": 1499405254324, # trade time
"m": false, # whether buyer is a maker
"M": true # can be ignored
}
"""
return
self
.
_start_socket
(
symbol
.
lower
()
+
'@aggTrade'
,
callback
)
def
start_symbol_ticker_socket
(
self
,
symbol
,
callback
):
"""Start a websocket for a symbol's ticker data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#individual-symbol-ticker-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"e": "24hrTicker", # Event type
"E": 123456789, # Event time
"s": "BNBBTC", # Symbol
"p": "0.0015", # Price change
"P": "250.00", # Price change percent
"w": "0.0018", # Weighted average price
"x": "0.0009", # Previous day's close price
"c": "0.0025", # Current day's close price
"Q": "10", # Close trade's quantity
"b": "0.0024", # Best bid price
"B": "10", # Bid bid quantity
"a": "0.0026", # Best ask price
"A": "100", # Best ask quantity
"o": "0.0010", # Open price
"h": "0.0025", # High price
"l": "0.0010", # Low price
"v": "10000", # Total traded base asset volume
"q": "18", # Total traded quote asset volume
"O": 0, # Statistics open time
"C": 86400000, # Statistics close time
"F": 0, # First trade ID
"L": 18150, # Last trade Id
"n": 18151 # Total number of trades
}
"""
return
self
.
_start_socket
(
symbol
.
lower
()
+
'@ticker'
,
callback
)
def
start_ticker_socket
(
self
,
callback
):
"""Start a websocket for all ticker data
By default all markets are included in an array.
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#all-market-tickers-stream
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
[
{
'F': 278610,
'o': '0.07393000',
's': 'BCCBTC',
'C': 1509622420916,
'b': '0.07800800',
'l': '0.07160300',
'h': '0.08199900',
'L': 287722,
'P': '6.694',
'Q': '0.10000000',
'q': '1202.67106335',
'p': '0.00494900',
'O': 1509536020916,
'a': '0.07887800',
'n': 9113,
'B': '1.00000000',
'c': '0.07887900',
'x': '0.07399600',
'w': '0.07639068',
'A': '2.41900000',
'v': '15743.68900000'
}
]
"""
return
self
.
_start_socket
(
'!ticker@arr'
,
callback
)
def
start_symbol_book_ticker_socket
(
self
,
symbol
,
callback
):
"""Start a websocket for the best bid or ask's price or quantity for a specified symbol.
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#individual-symbol-book-ticker-streams
:param symbol: required
:type symbol: str
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
"u":400900217, // order book updateId
"s":"BNBUSDT", // symbol
"b":"25.35190000", // best bid price
"B":"31.21000000", // best bid qty
"a":"25.36520000", // best ask price
"A":"40.66000000" // best ask qty
}
"""
return
self
.
_start_socket
(
symbol
.
lower
()
+
'@bookTicker'
,
callback
)
def
start_book_ticker_socket
(
self
,
callback
):
"""Start a websocket for the best bid or ask's price or quantity for all symbols.
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#all-book-tickers-stream
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format
.. code-block:: python
{
// Same as <symbol>@bookTicker payload
}
"""
return
self
.
_start_socket
(
'!bookTicker'
,
callback
)
def
start_multiplex_socket
(
self
,
streams
,
callback
):
"""Start a multiplexed socket using a list of socket names.
User stream sockets can not be included.
Symbols in socket name must be lowercase i.e bnbbtc@aggTrade, neobtc@ticker
Combined stream events are wrapped as follows: {"stream":"<streamName>","data":<rawPayload>}
https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md
:param streams: list of stream names in lower case
:type streams: list
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format - see Binance API docs for all types
"""
stream_path
=
'streams={}'
.
format
(
'/'
.
join
(
streams
))
return
self
.
_start_socket
(
stream_path
,
callback
,
'stream?'
)
def
start_user_socket
(
self
,
callback
):
"""Start a websocket for user data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/user-data-stream.md
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format - see Binance API docs for all types
"""
# Get the user listen key
user_listen_key
=
self
.
_client
.
stream_get_listen_key
()
# and start the socket with this specific key
return
self
.
_start_account_socket
(
'user'
,
user_listen_key
,
callback
)
def
start_margin_socket
(
self
,
callback
):
"""Start a websocket for margin data
https://github.com/binance-exchange/binance-official-api-docs/blob/master/user-data-stream.md
:param callback: callback function to handle messages
:type callback: function
:returns: connection key string if successful, False otherwise
Message Format - see Binance API docs for all types
"""
# Get the user margin listen key
margin_listen_key
=
self
.
_client
.
margin_stream_get_listen_key
()
# and start the socket with this specific key
return
self
.
_start_account_socket
(
'margin'
,
margin_listen_key
,
callback
)
def
_start_account_socket
(
self
,
socket_type
,
listen_key
,
callback
):
"""Starts one of user or margin socket"""
self
.
_check_account_socket_open
(
listen_key
)
self
.
_listen_keys
[
socket_type
]
=
listen_key
self
.
_account_callbacks
[
socket_type
]
=
callback
conn_key
=
self
.
_start_socket
(
listen_key
,
callback
)
if
conn_key
:
# start timer to keep socket alive
self
.
_start_socket_timer
(
socket_type
)
return
conn_key
def
_check_account_socket_open
(
self
,
listen_key
):
if
not
listen_key
:
return
for
conn_key
in
self
.
_conns
:
if
len
(
conn_key
)
>=
60
and
conn_key
[:
60
]
==
listen_key
:
self
.
stop_socket
(
conn_key
)
break
def
_start_socket_timer
(
self
,
socket_type
):
callback
=
self
.
_keepalive_account_socket
self
.
_timers
[
socket_type
]
=
threading
.
Timer
(
self
.
_user_timeout
,
callback
, [
socket_type
])
self
.
_timers
[
socket_type
].
setDaemon
(
True
)
self
.
_timers
[
socket_type
].
start
()
def
_keepalive_account_socket
(
self
,
socket_type
):
if
socket_type
==
'user'
:
listen_key_func
=
self
.
_client
.
stream_get_listen_key
callback
=
self
.
_account_callbacks
[
socket_type
]
else
:
listen_key_func
=
self
.
_client
.
margin_stream_get_listen_key
callback
=
self
.
_account_callbacks
[
socket_type
]
listen_key
=
listen_key_func
()
if
listen_key
!=
self
.
_listen_keys
[
socket_type
]:
self
.
_start_account_socket
(
socket_type
,
listen_key
,
callback
)
def
stop_socket
(
self
,
conn_key
):
"""Stop a websocket given the connection key
:param conn_key: Socket connection key
:type conn_key: string
:returns: connection key string if successful, False otherwise
"""
if
conn_key
not
in
self
.
_conns
:
return
# disable reconnecting if we are closing
self
.
_conns
[
conn_key
].
factory
=
WebSocketClientFactory
(
self
.
STREAM_URL
+
'tmp_path'
)
self
.
_conns
[
conn_key
].
disconnect
()
del
(
self
.
_conns
[
conn_key
])
# check if we have a user stream socket
if
len
(
conn_key
)
>=
60
and
conn_key
[:
60
]
==
self
.
_listen_keys
[
'user'
]:
self
.
_stop_account_socket
(
'user'
)
# or a margin stream socket
if
len
(
conn_key
)
>=
60
and
conn_key
[:
60
]
==
self
.
_listen_keys
[
'margin'
]:
self
.
_stop_account_socket
(
'margin'
)
def
_stop_account_socket
(
self
,
socket_type
):
if
not
self
.
_listen_keys
[
socket_type
]:
return
if
self
.
_timers
[
socket_type
]:
self
.
_timers
[
socket_type
].
cancel
()
self
.
_timers
[
socket_type
]
=
None
self
.
_listen_keys
[
socket_type
]
=
None
def
run
(
self
):
try
:
reactor
.
run
(
installSignalHandlers
=
False
)
except
ReactorAlreadyRunning
:
# Ignore error about reactor already running
pass
def
close
(
self
):
"""Close all connections
"""
keys
=
set
(
self
.
_conns
.
keys
())
for
key
in
keys
:
self
.
stop_socket
(
key
)
self
.
_conns
=
{}
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