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import asyncio | |
import datetime | |
import json | |
import sys | |
import time | |
import pytz | |
from autobahn.asyncio.websocket import WebSocketClientFactory, WebSocketClientProtocol | |
if len(sys.argv) > 1 and sys.argv[1].lower() == 'spot': | |
# Listen in spot market | |
api_endpoint = 'https://api.binance.com/api/v3/aggTrades' # spot | |
ws_endpoint = f'wss://stream.binance.com/ws' | |
ws_host = 'stream.binance.com' | |
print('Using Spot') | |
else: | |
# Listen in futures market | |
api_endpoint = 'https://fapi.binance.com/fapi/v1/aggTrades' # futures | |
ws_endpoint = f'wss://fstream.binance.com/ws' | |
ws_host = 'fstream.binance.com' | |
print('Using futures') | |
last_received = time.time() | |
running = True | |
last_trades_statistics_time = time.time() | |
class MyClientProtocol(WebSocketClientProtocol): | |
def __init__(self): | |
super().__init__() | |
self.tick = 0 | |
self.cvd = 0 | |
def onConnect(self, response): | |
print("Server connected: {0}".format(response.peer)) | |
def onConnecting(self, transport_details): | |
# print("Connecting; transport details: {}".format(transport_details)) | |
return None # ask for defaults | |
def onOpen(self): | |
print("WebSocket connection open.") | |
message = json.dumps({ | |
"method": "SUBSCRIBE", | |
"params": [ | |
'tomousdt@aggTrade', | |
], | |
"id": 1, | |
}).encode() | |
self.sendMessage(message) | |
def onMessage(self, payload, isBinary): | |
global last_received | |
trade = json.loads(payload) | |
now = time.time() | |
last_received = now | |
global last_trades_statistics_time | |
if 'e' not in trade: | |
print(f'Invalid Trade - {trade}') | |
return | |
trade_timestamp = trade['T'] | |
trade_time = datetime.datetime.fromtimestamp(trade['T'] / 1000, tz=pytz.UTC) | |
trade['datetime'] = trade_time | |
trade['timestamp'] = trade_timestamp | |
trade['base_quantity'] = float(trade['q']) | |
trade['nominal_size'] = float(trade['p']) * float(trade['q']) | |
is_sell = trade['m'] | |
big_str = 'big' if trade['nominal_size'] >= 7_000 else '' | |
if is_sell: | |
side = 'sell' | |
self.cvd -= trade['nominal_size'] | |
else: | |
side = 'buy' | |
self.cvd += trade['nominal_size'] | |
print( | |
f'- {trade_time} - {big_str} {side} Trade: {format(round(trade["nominal_size"], 2), ",")}$, ' | |
f'{trade["base_quantity"]} ' | |
f'- CVD: {format(round(self.cvd, 2), ",")}$') | |
return | |
def onClose(self, wasClean, code, reason): | |
print("WebSocket connection closed: {0}".format(reason)) | |
def run(): | |
factory = WebSocketClientFactory(ws_endpoint) | |
factory.protocol = lambda: MyClientProtocol() | |
loop = asyncio.get_event_loop() | |
coro = loop.create_connection(factory, ws_host, 443, ssl=True) | |
loop.run_until_complete(coro) | |
loop.run_forever() | |
loop.close() | |
if __name__ == '__main__': | |
run() |
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