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Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -0,0 +1,55 @@ | ||
import time | ||
from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Subscription, Event | ||
import matplotlib.pyplot as plt | ||
import seaborn as sns | ||
import time | ||
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if __name__ == "__main__": | ||
option = SessionOptions() | ||
config = SessionConfigs() | ||
session = Session(option, config) | ||
exchange = "okx" | ||
instrument = "BTC-USDT" | ||
subscription = Subscription(exchange, instrument, "MARKET_DEPTH", "MARKET_DEPTH_MAX=400&CONFLATE_INTERVAL_MILLISECONDS=100") | ||
session.subscribe(subscription) | ||
fig, ax = plt.subplots() | ||
startTime = time.time() | ||
while True: | ||
bids = {"price": [], "size": []} | ||
asks = {"price": [], "size": []} | ||
eventList = session.getEventQueue().purge() | ||
if eventList: | ||
event = eventList[-1] | ||
if event.getType() == Event.Type_SUBSCRIPTION_DATA: | ||
for message in event.getMessageList(): | ||
for element in message.getElementList(): | ||
elementNameValueMap = element.getNameValueMap() | ||
for name, value in elementNameValueMap.items(): | ||
if name == "BID_PRICE": | ||
bids["price"].append(float(value)) | ||
if name == "BID_SIZE": | ||
bids["size"].append(float(value)) | ||
if name == "ASK_PRICE": | ||
asks["price"].append(float(value)) | ||
if name == "ASK_SIZE": | ||
asks["size"].append(float(value)) | ||
ax.clear() | ||
ax.set_title(f"{instrument} Order Book On {exchange.title()} at {message.getTimeISO()}") | ||
ax.set_xlabel("Price") | ||
ax.set_ylabel("Amount") | ||
sns.ecdfplot( | ||
x="price", | ||
weights="size", | ||
legend=False, | ||
stat="count", | ||
complementary=True, | ||
data={"price": bids["price"], "size": bids["size"]}, | ||
ax=ax, | ||
color="g", | ||
) | ||
sns.ecdfplot(x="price", weights="size", legend=False, stat="count", data={"price": asks["price"], "size": asks["size"]}, ax=ax, color="r") | ||
plt.pause(0.1) | ||
if time.time() - startTime > 10: | ||
break | ||
session.stop() | ||
print("Bye") |
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17 changes: 11 additions & 6 deletions
17
binding/python/example/market_data_multiple_subscription/main.py
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Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -1,27 +1,32 @@ | ||
import time | ||
from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Subscription, Event, SubscriptionList | ||
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class MyEventHandler(EventHandler): | ||
def __init__(self): | ||
super().__init__() | ||
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def processEvent(self, event: Event, session: Session) -> bool: | ||
if event.getType() == Event.Type_SUBSCRIPTION_DATA: | ||
for message in event.getMessageList(): | ||
correlationId = message.getCorrelationIdList()[0] | ||
print(f'{correlationId}: Best bid and ask at {message.getTimeISO()} are:') | ||
print(f"{correlationId}: Best bid and ask at {message.getTimeISO()} are:") | ||
for element in message.getElementList(): | ||
elementNameValueMap = element.getNameValueMap() | ||
for name, value in elementNameValueMap.items(): | ||
print(f' {name} = {value}') | ||
print(f" {name} = {value}") | ||
return True # This line is needed. | ||
if __name__ == '__main__': | ||
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if __name__ == "__main__": | ||
eventHandler = MyEventHandler() | ||
option = SessionOptions() | ||
config = SessionConfigs() | ||
session = Session(option, config, eventHandler) | ||
subscriptionList = SubscriptionList() | ||
subscriptionList.append(Subscription('coinbase', 'BTC-USD', 'MARKET_DEPTH', '', 'BTC')) | ||
subscriptionList.append(Subscription('coinbase', 'ETH-USD', 'MARKET_DEPTH', '', 'ETH')) | ||
subscriptionList.append(Subscription("coinbase", "BTC-USD", "MARKET_DEPTH", "", "BTC")) | ||
subscriptionList.append(Subscription("coinbase", "ETH-USD", "MARKET_DEPTH", "", "ETH")) | ||
session.subscribe(subscriptionList) | ||
time.sleep(10) | ||
session.stop() | ||
print('Bye') | ||
print("Bye") |
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Original file line number | Diff line number | Diff line change |
---|---|---|
@@ -1,21 +1,28 @@ | ||
import time | ||
from ccapi import EventHandler, SessionOptions, SessionConfigs, Session, Request, Event | ||
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class MyEventHandler(EventHandler): | ||
def __init__(self): | ||
super().__init__() | ||
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def processEvent(self, event: Event, session: Session) -> bool: | ||
print(f'Received an event:\n{event.toStringPretty(2, 2)}') | ||
print(f"Received an event:\n{event.toStringPretty(2, 2)}") | ||
return True # This line is needed. | ||
if __name__ == '__main__': | ||
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if __name__ == "__main__": | ||
eventHandler = MyEventHandler() | ||
option = SessionOptions() | ||
config = SessionConfigs() | ||
session = Session(option, config, eventHandler) | ||
request = Request(Request.Operation_GET_RECENT_TRADES, 'coinbase', 'BTC-USD') | ||
request.appendParam({ | ||
'LIMIT':'1', | ||
}) | ||
request = Request(Request.Operation_GET_RECENT_TRADES, "coinbase", "BTC-USD") | ||
request.appendParam( | ||
{ | ||
"LIMIT": "1", | ||
} | ||
) | ||
session.sendRequest(request) | ||
time.sleep(10) | ||
session.stop() | ||
print('Bye') | ||
print("Bye") |
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