I want to manage local orderbook with manage_local_order_book.py.
This file is v2 library. I edited for v3 library. This work good.
But I am getting wrong information from websocket after a while.
I modified the file to prove it.
Below are the results
Best prices → bid:[‘30951.29000000’, ‘16.01986000’] , ask:[‘30951.30000000’, ‘0.31950000’]
Best prices → bid:[‘30952.15000000’, ‘14.05981000’] , ask:[‘30952.16000000’, ‘0.05100000’]
Best prices → bid:[‘30952.15000000’, ‘14.18427000’] , ask:[‘30952.16000000’, ‘0.04932000’]
Best prices → bid:[‘30953.39000000’, ‘14.16773000’] , ask:[‘30953.40000000’, ‘0.02977000’]
[‘145000.00000000’, ‘1.00500100’]
{‘e’: ‘depthUpdate’, ‘E’: 1688461906237, ‘s’: ‘BTCUSDT’, ‘U’: 37721178376, ‘u’: 37721178387, ‘b’: [[‘30953.39000000’, ‘13.73832000’], [‘30949.93000000’, ‘0.62491000’], [‘30943.57000000’, ‘0.07200000’], [‘30940.28000000’, ‘0.00000000’], [‘30940.21000000’, ‘0.00000000’]], ‘a’: [[‘30953.40000000’, ‘0.02689000’], [‘30953.44000000’, ‘0.00100000’], [‘30954.73000000’, ‘0.00000000’], [‘30954.90000000’, ‘0.04000000’], [‘30955.16000000’, ‘0.00000000’], [‘145000.00000000’, ‘1.00500100’]]}
Best prices → bid:[‘30953.39000000’, ‘13.73832000’] , ask:[‘145000.00000000’, ‘1.00500100’]
Best prices → bid:[‘30953.99000000’, ‘17.18252000’] , ask:[‘145000.00000000’, ‘1.00500100’]
Best prices → bid:[‘30955.98000000’, ‘11.28332000’] , ask:[‘145000.00000000’, ‘1.00500100’]
How can I fix it?
:::::::Source Code::::::::
“”"
Manages a local order book and prints out its best prices.
Based on Binance API Documentation
Instructions:
** 1. Have binance-connector installed**
** 2. Define symbol in this file and adjust other fields if needed**
** 3. python manage_local_order_book.py**
“”"
from binance.spot import Spot as Client
from binance.websocket.spot.websocket_stream import SpotWebsocketStreamClient
from binance.lib.utils import config_logging
import os
import logging
import json
import asyncio
from Piton.Kaynak.Baglantı.Bin.Calculate_Procces import Calculate_Time
from aioconsole import ainput
config_logging(logging, logging.INFO)
symbol = ‘BTCUSDT’ # Example: BNBUSDT
# base_url = ‘https://testnet.binance.vision’
# stream_url = ‘wss://testnet.binance.vision/ws’
base_url = “https://api.binance.com”
stream_url = “wss://stream.binance.com:9443”
order_book = {
** “lastUpdateId”: 0,**
** “bids”: ,**
** “asks”: **
}
Degisik=0
def message_handler(_,Veri):
** “”“**
** Syncs local order book with depthUpdate message’s u (Final update ID in event) and U (First update ID in event).**
** If synced, then the message will be processed.**
** “””**
** message=json.loads(Veri)**
** #print(message)**
** global order_book**
** global Degisik**
** if “depthUpdate” in json.dumps(message):**
** Problem=0**
** last_update_id = order_book[‘lastUpdateId’]**
** # logging.info(‘LastUpdateId:’ + str(last_update_id))**
** # logging.info(‘Message U:’ + str(message[‘U’]) + ’ u:’ + str(message[‘u’]))**
** if message[‘u’] <= last_update_id:**
** return # Not an update, wait for next message**
** if message[‘U’] <= last_update_id + 1 <= message[‘u’]: # U <= lastUpdateId+1 AND u >= lastUpdateId+1.**
** order_book[‘lastUpdateId’] = message[‘u’]**
** process_updates(message)**
** else:**
** logging.info(‘Out of sync, re-syncing…’)**
** order_book = get_snapshot()**
** #print(order_book)**
** if Degisik==1:**
** print(message)**
** Degisik=0**
client = Client(base_url=base_url)
ws_client = SpotWebsocketStreamClient(stream_url=stream_url,on_message=message_handler)
def get_snapshot():
** “”“**
** Retrieve order book**
** “””**
** return client.depth(symbol, limit=1000)**
def manage_order_book(side, update):
** “”“**
** Updates local order book’s bid or ask lists based on the received update ([price, quantity])**
** “””**
** price, quantity = update**
** # price exists: remove or update local order**
** for i in range(0, len(order_book[side])):**
** if price == order_book[side][i][0]:**
** # quantity is 0: remove**
** if float(quantity) == 0:**
** order_book[side].pop(i)**
** return**
** else:**
** # quantity is not 0: update the order with new quantity**
** order_book[side][i] = update**
** return**
** # price not found: add new order**
** if float(quantity) != 0:**
** order_book[side].append(update)**
** if side == ‘asks’:**
** order_book[side] = sorted(order_book[side]) # asks prices in ascendant order**
** else:**
** order_book[side] = sorted(order_book[side], reverse=True) # bids prices in descendant order**
** #maintain side depth <= 1000**
** if len(order_book[side]) > 1000:**
** order_book[side].pop(len(order_book[side]) - 1)**
def process_updates(message):
** “”“**
** Updates bid and ask orders in the local order book.**
** “””**
** global Degisik**
** for update in message[‘b’]:**
** if float(update[0])<10000:**
** print(update)**
** Degisik=1**
** if float(update[0])>40000:**
** print(update)**
** Degisik=1**
** manage_order_book(‘bids’, update)**
** for update in message[‘a’]:**
** if float(update[0])<10000:**
** print(update)**
** Degisik=1**
** if float(update[0])>40000:**
** print(update)**
** Degisik=1**
** manage_order_book(‘asks’, update)**
** return**
** # logging.info(“Condition ‘U’ <= last_update_id + 1 <= ‘u’ matched! Process diff update”)**
async def listen_ws():
** “”“**
** Listens to the ws to get the updates messages.**
** “””**
** ws_client.diff_book_depth(**
** symbol=symbol.lower(),**
** id=1,**
** speed=100**
** )**
async def get_best_price():
** “”“**
** Gets best available prices (for bid and ask) every second**
** “””**
** while True:**
** if order_book.get(‘lastUpdateId’) > 0:**
** pass**
** print(f’Best prices → bid:{order_book[“bids”][0]} , ask:{order_book[“asks”][0]}')**
** await asyncio.sleep(1)**
async def GirisBekle():
** while True:**
** line=await ainput(“Birşeyler”)**
** if line==“a”:**
** print(order_book[“asks”])**
** print(order_book[‘bids’])**
def main():
** loop = asyncio.get_event_loop()**
** loop.run_until_complete(asyncio.gather(listen_ws(), get_best_price(),GirisBekle()))**
** loop.close()**
main()
