diff --git a/wait_for_ping_message.py b/wait_for_ping_message.py
new file mode 100755
index 0000000000000000000000000000000000000000..d391a6de0eba84b04b5d2fee4d4c889ca4c0af65
--- /dev/null
+++ b/wait_for_ping_message.py
@@ -0,0 +1,60 @@
+#!/usr/bin/python3
+# https://binance-docs.github.io/apidocs/spot/en/#test-new-order-trade
+
+# we have one thread to maintain the dataset, another thread would run the pytorch model every 5 seconds, to see if it's time to place order.
+
+import json, time
+from websocket import create_connection
+
+# [(Snapshot_Time, [(buy_price1, amount1), ...] , [(sell_price1, amount1), ...]), ...]
+# [(1620457034392, [(56000, 0.01), (55900, 1), (55700, 30), ...] , [(57000, 0.01), (57100, 1), ...] ), (1620457034394, [...]), ...]
+# The snapshots should has almost identical time-interval. Good for LSTM.
+# Time axis: [history, older, newer, ..., latest]
+realtime_shortterm_dataset_aggtrade = []
+realtime_shortterm_dataset_aggtrade_size = 1024
+
+# [(Trade_Time, PRICE, AMOUNT), ...]
+# [(1620457034392, 56000, 0.5), (1620457034394, 56001, 0.05), ...]
+# The trades usually have various time-interval. TODO: transform it to [(WeightedAvgPrice, Volume), ...] for every 1 minutes?
+# Time axis: [history, older, newer, ..., latest]
+realtime_shortterm_dataset_depth = []
+realtime_shortterm_dataset_depth_size = 1024*1024
+
+def dataset_maintain_thread_main():
+ global realtime_shortterm_dataset_aggtrade, realtime_shortterm_dataset_aggtrade_size, realtime_shortterm_dataset_depth, realtime_shortterm_dataset_depth_size
+
+ ws = create_connection("wss://stream.binance.com:9443/ws/btcusdt")
+ ws.send(json.dumps({
+ "method": "SUBSCRIBE",
+ "params": ["btcusdt@depth"],
+ "id": 1,
+ }))
+
+ subs_response = ws.recv()
+ if '"result":null' not in subs_response:
+ raise RuntimeError("Failed to subscribe: server says: " + subs_response)
+
+ _debug_tmp = 0
+ while True:
+ message = ws.recv()
+ # print("DEBUG: message=", message)
+ parsed = json.loads(message)
+ if 'a' in parsed.keys() and 'b' in parsed.keys():
+ # Is a depth snapshot update
+ a = 1
+ else:
+ print("ERROR: unexpected message (maybe ping message): ", message)
+
+ ###### DEBUG ONLY
+ # if int(time.time()) % 60 == 0 and _debug_tmp != int(time.time()):
+ # _debug_tmp = int(time.time())
+ # print("DEBUG: dumping realtime_shortterm_dataset_aggtrade================")
+ # print(realtime_shortterm_dataset_aggtrade)
+ # print("DEBUG: dumping realtime_shortterm_dataset_depth================")
+ # print(realtime_shortterm_dataset_depth)
+ # print("DEBUG: dumping END ==|||||||||||||||||||||||||||||================")
+
+ ws.close()
+
+dataset_maintain_thread_main()
+
diff --git a/ws.py b/ws.py
old mode 100644
new mode 100755
index 3dbded367c5c2e6664499251fc6e8239dc88c384..cb7c128b67bb068ce9b9fd0d1cbc77366e27084a
--- a/ws.py
+++ b/ws.py
@@ -1,3 +1,4 @@
+#!/usr/bin/python3
# https://binance-docs.github.io/apidocs/spot/en/#test-new-order-trade
# we have one thread to maintain the dataset, another thread would run the pytorch model every 5 seconds, to see if it's time to place order.
@@ -19,6 +20,10 @@ realtime_shortterm_dataset_aggtrade_size = 1024
realtime_shortterm_dataset_depth = []
realtime_shortterm_dataset_depth_size = 1024*1024
+# The trading thread would not start working, before finish analysing longterm dataset.
+# Time-interval for longterm dataset is 1 minute.
+longterm_dataset = []
+
def dataset_maintain_thread_main():
global realtime_shortterm_dataset_aggtrade, realtime_shortterm_dataset_aggtrade_size, realtime_shortterm_dataset_depth, realtime_shortterm_dataset_depth_size
@@ -35,24 +40,34 @@ def dataset_maintain_thread_main():
_debug_tmp = 0
while True:
- result = ws.recv()
- # print("DEBUG: result=", result)
- parsed = json.loads(result)
+ message = ws.recv()
+ # print("DEBUG: message=", message)
+ parsed = json.loads(message)
if 'p' in parsed.keys():
# Is a trade message
trade_time, price, amount = parsed.get('T'), parsed.get('p'), parsed.get('q')
- realtime_shortterm_dataset_depth.append((trade_time, price, amount))
+ realtime_shortterm_dataset_aggtrade.append((trade_time, price, amount))
+ if len(realtime_shortterm_dataset_aggtrade) > realtime_shortterm_dataset_aggtrade_size:
+ del realtime_shortterm_dataset_aggtrade[0]
elif 'b' in parsed.keys():
# Is a depth snapshot update
- print('TODO')
-
- if int(time.time()) % 60 == 0 and _debug_tmp != int(time.time()):
- _debug_tmp = int(time.time())
- print("DEBUG: dumping realtime_shortterm_dataset_aggtrade================")
- print(realtime_shortterm_dataset_aggtrade)
- print("DEBUG: dumping realtime_shortterm_dataset_depth================")
- print(realtime_shortterm_dataset_depth)
- print("DEBUG: dumping END ==|||||||||||||||||||||||||||||================")
+ snapshot_time, buy_makers, sell_makers = parsed.get('E'), parsed.get('b'), parsed.get('a')
+ buy_makes_parsed = [(float(ele[0]), float(ele[1])) for ele in buy_makers]
+ sell_makes_parsed = [(float(ele[0]), float(ele[1])) for ele in sell_makers]
+ realtime_shortterm_dataset_depth.append((snapshot_time, buy_makes_parsed, sell_makes_parsed))
+ if len(realtime_shortterm_dataset_depth) > realtime_shortterm_dataset_depth_size:
+ del realtime_shortterm_dataset_depth[0]
+ else:
+ print("ERROR: unexpected message (maybe ping message): ", message)
+
+ ###### DEBUG ONLY
+ # if int(time.time()) % 60 == 0 and _debug_tmp != int(time.time()):
+ # _debug_tmp = int(time.time())
+ # print("DEBUG: dumping realtime_shortterm_dataset_aggtrade================")
+ # print(realtime_shortterm_dataset_aggtrade)
+ # print("DEBUG: dumping realtime_shortterm_dataset_depth================")
+ # print(realtime_shortterm_dataset_depth)
+ # print("DEBUG: dumping END ==|||||||||||||||||||||||||||||================")
ws.close()