Created
March 22, 2023 05:27
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figuring out how to work with cryptofeed books
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import asyncio | |
from cryptofeed import FeedHandler | |
from cryptofeed.defines import L2_BOOK | |
from cryptofeed.exchanges import Binance, Huobi | |
def add_feed_test(): | |
# following example from https://github.com/bmoscon/cryptofeed/blob/master/examples/demo_loop.py | |
async def orderbook_watch(book, receipt_timestamp): | |
print(f'{receipt_timestamp}: {book.exchange} - {book.symbol}, {len(book.book)} entries') | |
def stop(): | |
loop.stop() | |
loop = asyncio.get_event_loop() | |
book_cb = {L2_BOOK: orderbook_watch} | |
ticker_code = 'USDC-USDT' | |
conf = {'log': {'filename': 'cryptofeed.log', 'level': 'DEBUG', 'disabled': False}} | |
f = FeedHandler(config=conf) | |
f.run(start_loop=False) | |
f.add_feed(Binance(symbols=[ticker_code], channels=[L2_BOOK], callbacks=book_cb), loop=loop) | |
loop.call_later(3, stop) | |
loop.run_forever() | |
f.stop(loop=loop) |
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log after the first run:
2023-03-22 12:19:03,960 : INFO : Config: use dict containing the following main keys: log
2023-03-22 12:19:03,960 : DEBUG : BINANCE: reading symbol information from https://api.binance.com/api/v3/exchangeInfo
2023-03-22 12:19:03,960 : DEBUG : HTTPSync: requesting data from https://api.binance.com/api/v3/exchangeInfo
2023-03-22 12:19:04,246 : DEBUG : BINANCE.ws.1: connecting to wss://stream.binance.com:9443/stream?streams=usdcusdt@depth@100ms
2023-03-22 12:19:05,680 : DEBUG : BINANCE.http.0: create HTTP session
2023-03-22 12:19:05,680 : DEBUG : BINANCE.http.0: requesting data from https://api.binance.com/api/v3/depth?symbol=USDCUSDT&limit=1000
1679462345.8633428: BINANCE - USDC-USDT, 287 entries
....
after the second one:
2023-03-22 12:19:24,230 : INFO : Config: use dict containing the following main keys: log
2023-03-22 12:19:24,230 : INFO : Config: use dict containing the following main keys: log
2023-03-22 12:19:24,230 : DEBUG : BINANCE.ws.3: connecting to wss://stream.binance.com:9443/stream?streams=usdcusdt@depth@100ms
2023-03-22 12:19:24,230 : DEBUG : BINANCE.ws.3: connecting to wss://stream.binance.com:9443/stream?streams=usdcusdt@depth@100ms
2023-03-22 12:19:25,002 : DEBUG : BINANCE.http.2: create HTTP session
2023-03-22 12:19:25,002 : DEBUG : BINANCE.http.2: create HTTP session
2023-03-22 12:19:25,002 : DEBUG : BINANCE.http.2: requesting data from https://api.binance.com/api/v3/depth?symbol=USDCUSDT&limit=1000
2023-03-22 12:19:25,002 : DEBUG : BINANCE.http.2: requesting data from https://api.binance.com/api/v3/depth?symbol=USDCUSDT&limit=1000
...