如何从 Bitmex Websocket API ws.recent_trades() 日志中提取个人和独特的实时交易
How to extract individual and unique live trades from Bitmex Websocket API ws.recent_trades() log
我正在尝试从 Bitmex 流式传输实时交易数据以执行一些计算并使我的交易自动化。我使用了从 https://github.com/BitMEX/api-connectors/blob/master/official-ws/python/main.py 获得的以下代码，我的代码如下：
from bitmex_websocket import BitMEXWebsocket
import logging
# Basic use of websocket.
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
api_key=api_key, api_secret=api_secret)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
while(ws.ws.sock.connected):
# CODE TO STREAM THE LIVE TRADE
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
def setup_logger():
# Prints logger info to terminal
logger = logging.getLogger()
logger.setLevel(logging.INFO) # Change this to DEBUG if you want a lot more info
ch = logging.StreamHandler()
# create formatter
formatter = logging.Formatter("%(asctime)s - %(name)s - %(levelname)s - %(message)s")
# add formatter to ch
ch.setFormatter(formatter)
logger.addHandler(ch)
return logger
if __name__ == "__main__":
run()
这是我得到的输出：
2019-09-08 02:35:35,220 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]
2019-09-08 02:35:35,221 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]
2019-09-08 02:35:35,222 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]
如您所见，所有 3 个输出都是针对同一笔交易，我怎样才能让代码只打印发生但不是连续发生的同一笔交易的实时唯一交易？
有时，我获得很长的流，其中每个流包含一些交易，例如：
2019-09-08 02:36:03,539 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}, {'timestamp': '2019-09-07T18:36:04.168Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 1485, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '8edc4253-85fa-dc93-23e4-3394be2153cc', 'grossValue': 14165415, 'homeNotional': 0.14165415, 'foreignNotional': 1485}, {'timestamp': '2019-09-07T18:36:04.168Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 10, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '09bea4d1-14e2-86af-7152-38d468e7fbed', 'grossValue': 95390, 'homeNotional': 0.0009539, 'foreignNotional': 10},
我如何将它们拆分成单独的交易？我的期望输出将是列表中的每个单独交易：
[timestamp, price, qty, side]
和 运行 对每笔交易执行一些计算的函数。谢谢！
好问题 - 看起来没有明显的方法可以使用该库获取事件驱动的 websocket 消息（即使您尝试只订阅 trade 频道！）
根据您当前的代码，这是最简单的解决方案。它会记录您的上次交易，并且仅在发生变化时记录。
from bitmex_websocket import BitMEXWebsocket
import logging
import time
# Basic use of websocket.
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
api_key=api_key, api_secret=api_secret)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
start_time = time.time()
trades = []
while(ws.ws.sock.connected):
recent = ws.recent_trades()[-1] # take only last (most recent) trade
if not len(trades) or trades[-1] != recent:
# only store first trade or changed ones
logger.info("Trade: %s" % recent)
trades.append(recent)
# you could call some other useful function here
else:
logger.info('Unchanged')
# below recommended to slow down your poll slightly
time.sleep(0.05)
# below is just to exit loop after 5 secs and print the trades
if time.time() > start_time + 5:
print(trades)
break
输出：
2019-09-11 23:57:28,601 - bitmex_websocket - INFO - Connected to WS.
2019-09-11 23:57:30,139 - bitmex_websocket - INFO - Got all market data. Starting.
2019-09-11 23:57:30,140 - root - INFO - Instrument data: {'symbol': 'XBTUSD', ...
2019-09-11 23:57:30,142 - root - INFO - Trade: {'timestamp': '2019-09-11T22:57:29.880Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 159, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'cc39257d-dc11-5b90-a0cc-ebabe7b6d104', 'grossValue': 1566945, 'homeNotional': 0.01566945, 'foreignNotional': 159}
2019-09-11 23:57:30,196 - root - INFO - Unchanged
2019-09-11 23:57:30,248 - root - INFO - Unchanged
2019-09-11 23:57:30,299 - root - INFO - Unchanged
2019-09-11 23:57:34,614 - root - INFO - Unchanged
2019-09-11 23:57:34,683 - root - INFO - Trade: {'timestamp': '2019-09-11T22:57:33.298Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 145, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '3f12ae9f-371e-6261-3380-456b3c0a3c06', 'grossValue': 1428975, 'homeNotional': 0.01428975, 'foreignNotional': 145}
2019-09-11 23:57:34,752 - root - INFO - Unchanged
[
{'timestamp': '2019-09-11T22:57:29.880Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 159, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'cc39257d-dc11-5b90-a0cc-ebabe7b6d104', 'grossValue': 1566945, 'homeNotional': 0.01566945, 'foreignNotional': 159},
{'timestamp': '2019-09-11T22:57:33.298Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 145, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '3f12ae9f-371e-6261-3380-456b3c0a3c06', 'grossValue': 1428975, 'homeNotional': 0.01428975, 'foreignNotional': 145}
]
希望对您有所帮助！
编辑：
要仅提取您想要的信息，只需执行以下操作：
# Run forever
start_time = time.time()
trades = []
while(ws.ws.sock.connected):
recent = ws.recent_trades()[-1] # take only last (most recent) trade
if not len(trades) or trades[-1] != recent:
# only store first trade or changed ones
useful = {
"time": recent["timestamp"],
"price": recent["price"],
"size": recent["size"],
}
logger.info("Trade: %s" % useful)
trades.append(useful)
my_processing_func(trades)
# below recommended to slow down your poll slightly
time.sleep(0.05)
def my_processing_func(trades):
# This gets called every new trade, and gives you all past trades
# You may want to write them all to a file or just pass the most recent trade
just_sizes = [t["size"] for t in trades]
如果要让它运行一直持续下去，去掉我加的块：
# below is just to exit loop after 5 secs and print the trades
if time.time() > start_time + 5:
print(trades)
break
我正在尝试从 Bitmex 流式传输实时交易数据以执行一些计算并使我的交易自动化。我使用了从 https://github.com/BitMEX/api-connectors/blob/master/official-ws/python/main.py 获得的以下代码，我的代码如下：
from bitmex_websocket import BitMEXWebsocket
import logging
# Basic use of websocket.
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
api_key=api_key, api_secret=api_secret)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
while(ws.ws.sock.connected):
# CODE TO STREAM THE LIVE TRADE
logger.info("Recent Trades: %s\n\n" % ws.recent_trades())
def setup_logger():
# Prints logger info to terminal
logger = logging.getLogger()
logger.setLevel(logging.INFO) # Change this to DEBUG if you want a lot more info
ch = logging.StreamHandler()
# create formatter
formatter = logging.Formatter("%(asctime)s - %(name)s - %(levelname)s - %(message)s")
# add formatter to ch
ch.setFormatter(formatter)
logger.addHandler(ch)
return logger
if __name__ == "__main__":
run()
这是我得到的输出：
2019-09-08 02:35:35,220 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]
2019-09-08 02:35:35,221 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]
2019-09-08 02:35:35,222 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]
如您所见，所有 3 个输出都是针对同一笔交易，我怎样才能让代码只打印发生但不是连续发生的同一笔交易的实时唯一交易？
有时，我获得很长的流，其中每个流包含一些交易，例如：
2019-09-08 02:36:03,539 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}, {'timestamp': '2019-09-07T18:36:04.168Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 1485, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '8edc4253-85fa-dc93-23e4-3394be2153cc', 'grossValue': 14165415, 'homeNotional': 0.14165415, 'foreignNotional': 1485}, {'timestamp': '2019-09-07T18:36:04.168Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 10, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '09bea4d1-14e2-86af-7152-38d468e7fbed', 'grossValue': 95390, 'homeNotional': 0.0009539, 'foreignNotional': 10},
我如何将它们拆分成单独的交易？我的期望输出将是列表中的每个单独交易：
[timestamp, price, qty, side]
和 运行 对每笔交易执行一些计算的函数。谢谢！
好问题 - 看起来没有明显的方法可以使用该库获取事件驱动的 websocket 消息（即使您尝试只订阅 trade 频道！）
根据您当前的代码，这是最简单的解决方案。它会记录您的上次交易，并且仅在发生变化时记录。
from bitmex_websocket import BitMEXWebsocket
import logging
import time
# Basic use of websocket.
def run():
logger = setup_logger()
# Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
api_key=api_key, api_secret=api_secret)
logger.info("Instrument data: %s" % ws.get_instrument())
# Run forever
start_time = time.time()
trades = []
while(ws.ws.sock.connected):
recent = ws.recent_trades()[-1] # take only last (most recent) trade
if not len(trades) or trades[-1] != recent:
# only store first trade or changed ones
logger.info("Trade: %s" % recent)
trades.append(recent)
# you could call some other useful function here
else:
logger.info('Unchanged')
# below recommended to slow down your poll slightly
time.sleep(0.05)
# below is just to exit loop after 5 secs and print the trades
if time.time() > start_time + 5:
print(trades)
break
输出：
2019-09-11 23:57:28,601 - bitmex_websocket - INFO - Connected to WS.
2019-09-11 23:57:30,139 - bitmex_websocket - INFO - Got all market data. Starting.
2019-09-11 23:57:30,140 - root - INFO - Instrument data: {'symbol': 'XBTUSD', ...
2019-09-11 23:57:30,142 - root - INFO - Trade: {'timestamp': '2019-09-11T22:57:29.880Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 159, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'cc39257d-dc11-5b90-a0cc-ebabe7b6d104', 'grossValue': 1566945, 'homeNotional': 0.01566945, 'foreignNotional': 159}
2019-09-11 23:57:30,196 - root - INFO - Unchanged
2019-09-11 23:57:30,248 - root - INFO - Unchanged
2019-09-11 23:57:30,299 - root - INFO - Unchanged
2019-09-11 23:57:34,614 - root - INFO - Unchanged
2019-09-11 23:57:34,683 - root - INFO - Trade: {'timestamp': '2019-09-11T22:57:33.298Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 145, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '3f12ae9f-371e-6261-3380-456b3c0a3c06', 'grossValue': 1428975, 'homeNotional': 0.01428975, 'foreignNotional': 145}
2019-09-11 23:57:34,752 - root - INFO - Unchanged
[
{'timestamp': '2019-09-11T22:57:29.880Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 159, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'cc39257d-dc11-5b90-a0cc-ebabe7b6d104', 'grossValue': 1566945, 'homeNotional': 0.01566945, 'foreignNotional': 159},
{'timestamp': '2019-09-11T22:57:33.298Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 145, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '3f12ae9f-371e-6261-3380-456b3c0a3c06', 'grossValue': 1428975, 'homeNotional': 0.01428975, 'foreignNotional': 145}
]
希望对您有所帮助！
编辑： 要仅提取您想要的信息，只需执行以下操作：
# Run forever
start_time = time.time()
trades = []
while(ws.ws.sock.connected):
recent = ws.recent_trades()[-1] # take only last (most recent) trade
if not len(trades) or trades[-1] != recent:
# only store first trade or changed ones
useful = {
"time": recent["timestamp"],
"price": recent["price"],
"size": recent["size"],
}
logger.info("Trade: %s" % useful)
trades.append(useful)
my_processing_func(trades)
# below recommended to slow down your poll slightly
time.sleep(0.05)
def my_processing_func(trades):
# This gets called every new trade, and gives you all past trades
# You may want to write them all to a file or just pass the most recent trade
just_sizes = [t["size"] for t in trades]
如果要让它运行一直持续下去，去掉我加的块：
# below is just to exit loop after 5 secs and print the trades
if time.time() > start_time + 5:
print(trades)
break