bitmex-trio-websocket 0.16.1
Websocket implementation for BitMEX cryptocurrency derivatives exchange.
License: MIT
Requires Python: >=3.7,<4.0
Keywords: BitMEX,Trio,Websocket,async

# BitMEX Trio-Websocket


[![PyPI](https://img.shields.io/pypi/v/bitmex_trio_websocket.svg)](https://pypi.python.org/pypi/bitmex-trio-websocket)
[![Build Status](https://img.shields.io/travis/com/andersea/bitmex-trio-websocket.svg)](https://travis-ci.com/andersea/bitmex-trio-websocket)

Websocket implementation for BitMEX cryptocurrency derivatives exchange.

* Free software: MIT license

## Features

* Supports authenticated connections using api keys.
* Uses SortedDict as backend storage for easy and fast table searching.
* Fully async using async generators. No callbacks or event emitters.
* Based on [Slurry](https://slurry.readthedocs.io/en/latest/) and [Slurry-websocket](https://github.com/andersea/slurry-websocket). 

## Installation

This library requires Python 3.7 or greater. 

To install from PyPI:

    pip install bitmex-trio-websocket

## Client example

    import trio
    from async_generator import aclosing

    from bitmex_trio_websocket import open_bitmex_websocket
    from trio_websocket import ConnectionClosed

    async def main():
        async with open_bitmex_websocket('testnet') as bws:
            async with aclosing(bws.listen('instrument')) as agen:
                try:
                    async for msg in agen:
                        print(f'Received message, symbol: \'{msg["symbol"]}\', timestamp: \'{msg["timestamp"]}\'')
                except ConnectionClosed as e:
                    print(e)

    if __name__ == '__main__':
        trio.run(main)

This will print a sequence of dicts for each received item on inserts (including partials) or updates.

Multiple tables can be listened to concurrently, by running each listener in a seperate task using nursery.start_soon.

## API

![async def](https://img.shields.io/badge/async%20with-open__bitmex__websocket(network%2C%20api__key%2C%20api__secret%2C%20*%2C%20dead_mans_switch)-blue)

Creates a new websocket object.

This is an async context manager, so it needs to be used with the `async with .. as ..:` construct. The returned value is a BitMEXWebsocket object.

**`network`** str

Network to connect to. Options: 'mainnet', 'testnet'.

**`api_key`** Optional\[str\]

Api key for authenticated connections. 

**`api_secret`** Optional\[str\]

Api secret for authenticated connections.

**`dead_mans_switch`** Optional\[bool\]

When enabled, the websocket will periodically send cancelAllAfter messages with a timeout of 60 seconds. The timer is refreshed every 15 seconds.

See: https://www.bitmex.com/app/wsAPI#Dead-Mans-Switch-Auto-Cancel

![bitmex__trio__websocket.BitMEXWebsocket](https://img.shields.io/badge/class-bitmex__trio__websocket.BitMEXWebsocket-blue?style=flat-square)


![await listen](https://img.shields.io/badge/await-listen(table,%20symbol=None)-green)

Subscribes to the channel and optionally a specific symbol. It is possible for multiple listeners
to be listening using the same subscription.

Returns an async generator object that yields messages from the channel.

If the websocket is closed, while a listener is still active, a [trio-websocket.ConnectionClosed](https://trio-websocket.readthedocs.io/en/stable/api.html#trio_websocket.ConnectionClosed) error will be raised by the generator, with the reason for the closure.

**`table`** str

Channel to subscribe to.

**`symbol`** Optional[str]

Optional symbol to subscribe to.

![storage](https://img.shields.io/badge/attribute-storage-teal)

This attribute contains the storage object for the websocket. The storage object caches the data tables for received
items. The implementation uses SortedDict from [Sorted Containers](http://www.grantjenks.com/docs/sortedcontainers/index.html),
to handle inserts, updates and deletes.

The storage object has two public attributes `data`, and `keys`.

`data` contains the table state for each channel as a dictionary with the table name as key. The tables are sorted dictionaries, stored with key tuples generated from each item using the keys schema received in the initial partial message.

`data['orderBookL2']` is a special state dictionary for the orderBookL2 table. It is a double nested defaultdict, with a SortedDict containing each price level. The nested dictionaries are composed like this:

    # Special storage for orderBookL2
    # dict[symbol][side][id]
    self.data['orderBookL2'] = defaultdict(lambda: defaultdict(SortedDict))

`keys` contains a mapping for lists of keys by which to look up values in each table.

In addition the following helper methods are supplied:

`make_key(table, match_data)` creates a key for searching the `data` table. Raises `ValueError` if `table == 'orderBookL2'`, since this table needs special indexing.

`parse_timestamp(timestamp)` static method for converting BitMEX timestamps to datetime with timezone (UTC).

## Credits

Thanks to the [Trio](https://github.com/python-trio/trio) and [Trio-websocket](https://github.com/HyperionGray/trio-websocket) libraries for their awesome work.

The library was originally based on the [reference client](https://github.com/BitMEX/api-connectors/tree/master/official-ws), but is now substantially redesigned.

This package was created with [Cookiecutter](https://github.com/audreyr/cookiecutter) and the [audreyr/cookiecutter-pypackage](https://github.com/audreyr/cookiecutter-pypackage) project template.