finplot/finplot/examples/bitmex-ws.py at master · TinkerForFun/finplot · GitHub

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#!/usr/bin/env python3

'''Slightly more advanced example which requires "pip install bitmex-ws" to run. The data is pushed from the BitMEX server

to our chart, which we update in a couple of Hertz.'''

from bitmex_websocket import Instrument

from bitmex_websocket.constants import InstrumentChannels

import dateutil.parser

import finplot as fplt

import pandas as pd

import requests

from threading import Thread

from time import time

baseurl = 'https://www.bitmex.com/api'

orderbook = None

def price_history(load_periods=500, interval_mins=1):

symbol = 'XBTUSD'

end_t = int(time()) + 120*interval_mins

end_t -= end_t % (60*interval_mins)

start_t = end_t - load_periods*60*interval_mins

url = baseurl + '/udf/history?symbol=%s&resolution=%s&from=%s&to=%s' % (symbol, interval_mins, start_t, end_t)

d = requests.get(url).json()

# drop volume and status

del d['v']

del d['s']

return d

def calc_bollinger_bands(df):

r = df['c'].rolling(20)

df['bbh'] = r.mean() + 2*r.std()

df['bbl'] = r.mean() - 2*r.std()

def update_plot():

global orderbook

calc_bollinger_bands(df)

candlesticks = df['t o c h l'.split()]

bollband_hi = df['t bbh'.split()]

bollband_lo = df['t bbl'.split()]

if orderbook is None:

# generate dummy orderbook plot, which we update next time

x = len(candlesticks)+0.5

y = candlesticks.c.iloc[-1]

orderbook = [[x,[(y,1)]]]

plot_candles.candlestick_ochl(candlesticks)

plot_bb_hi.plot(bollband_hi, color='#4e4ef1')

plot_bb_lo.plot(bollband_lo, color='#4e4ef1')

fplt.fill_between(plot_bb_hi.item, plot_bb_lo.item, color='#9999fa')

orderbook_colorfunc = fplt.horizvol_colorfilter([(0,'bull'),(10,'bear')])

plot_orderbook.horiz_time_volume(orderbook, candle_width=1, draw_body=10, colorfunc=orderbook_colorfunc)

def update_candlestick_data(trade, interval_mins=1):

global df

t = int(dateutil.parser.parse(trade['timestamp']).timestamp())

t -= t % (60*interval_mins)

c = trade['price']

if t < df['t'].iloc[-1]:

# ignore already-recorded trades

return

elif t > df['t'].iloc[-1]:

# add new candle

o = c = h = l = df['c'].iloc[-1]

df1 = pd.DataFrame(dict(t=[t], o=[o], c=[c], h=[l], l=[l]))

df = pd.concat([df, df1], ignore_index=True, sort=False)

else:

# update last candle

i = df.index.max()

df.loc[i,'c'] = c

if c > df.loc[i,'h']:

df.loc[i,'h'] = c

if c < df.loc[i,'l']:

df.loc[i,'l'] = c

def update_orderbook_data(orderbook10):

global orderbook

ask = pd.DataFrame(orderbook10['asks'], columns=['price','volume'])

bid = pd.DataFrame(orderbook10['bids'], columns=['price','volume'])

bid['price'] -= 0.5 # bid below price

ask['volume'] = -ask['volume'].cumsum() # negative volume means pointing left

bid['volume'] = -bid['volume'].cumsum()

orderbook = [[len(df)+0.5, pd.concat([bid.iloc[::-1], ask])]]

if __name__ == '__main__':

df = pd.DataFrame(price_history())

# fix bug in BitMEX websocket lib

def bugfix(self, *args, **kwargs):

from pyee import EventEmitter

EventEmitter.__init__(self)

orig_init(self, *args, **kwargs)

orig_init = Instrument.__init__

Instrument.__init__ = bugfix

ws = Instrument(channels=[InstrumentChannels.trade, InstrumentChannels.orderBook10])

@ws.on('action')

def action(message):

if 'orderBook' in message['table']:

for orderbook10 in message['data']:

update_orderbook_data(orderbook10)

else:

for trade in message['data']:

update_candlestick_data(trade)

thread = Thread(target=ws.run_forever)

thread.daemon = True

thread.start()

fplt.create_plot('Realtime Bitcoin/Dollar 1m (BitMEX websocket)', init_zoom_periods=75, maximize=False)

plot_candles, plot_bb_hi, plot_bb_lo, plot_orderbook = fplt.live(4)

# use bitmex colors

plot_candles.colors.update(dict(

bull_shadow = '#388d53',

bull_frame = '#205536',

bull_body = '#52b370',

bear_shadow = '#d56161',

bear_frame = '#5c1a10',

bear_body = '#e8704f'))

plot_orderbook.colors.update(dict(

bull_frame = '#52b370',

bull_body = '#bae1c6',

bear_frame = '#e8704f',

bear_body = '#f6c6b9'))

update_plot()

fplt.timer_callback(update_plot, 0.5) # update in 2 Hz

fplt.show()

finplot/finplot/examples/bitmex-ws.py at master · TinkerForFun/finplot · GitHub

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