-
Notifications
You must be signed in to change notification settings - Fork 1
/
api_test.py
192 lines (157 loc) · 6.72 KB
/
api_test.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
import asyncio
import websockets
import json
import datetime
import pymongo
import requests
class DBManager:
def __init__(self):
self.conn: pymongo.MongoClient = None
self.db = None
self.collection = None
def Connect(self, db='test', coll='tmp'):
self.conn = pymongo.MongoClient('localhost', 27017)
self.db = self.conn.get_database(db)
self.collection = self.db.get_collection(coll)
def GetRow(self, timestamp):
# find 는 cursor 반환. cursor 는 generator 혹은 iterator.
# find_one 은 dict 반환
query = {'timestamp' : {'$eq':timestamp}}
result = self.collection.find_one(query)
return result
def WriteLOB(self, stamp, lob):
self.collection.update_one({'timestamp': stamp}, {'$set': {'lob': lob}}, upsert=True)
def PushLOB(self, stamp, lob):
self.collection.update_one({'timestamp': stamp}, {'$push': {'lob': lob}}, upsert=True)
def WriteTransaction(self, stamp, transaction):
self.collection.update_one({'timestamp': stamp}, {'$set': {'transaction': transaction}}, upsert=True)
def PushTransaction(self, stamp, transaction):
self.collection.update_one({'timestamp': stamp}, {'$push': {'transaction': transaction}}, upsert=True)
def WriteLOBSnapshot(self, stamp, snapshot):
self.collection.update_one({'timestamp': stamp}, {'$set': {'snapshot_lob': snapshot}}, upsert=True)
def WriteTransactionSnapshot(self, stamp, snapshot):
self.collection.update_one({'timestamp': stamp}, {'$set': {'snapshot_transaction': snapshot}}, upsert=True)
def Clear(self):
self.collection.drop()
async def LOBSaver(manager):
uri = "wss://pubwss.bithumb.com/pub/ws"
async with websockets.connect(uri, ping_interval=None) as websocket:
greeting = await websocket.recv()
print('> LOB saver connected: ', greeting)
subscribe_fmt = {
"type": "orderbookdepth",
"symbols": ["XRP_KRW"],
"tickTypes": ["12H"]
}
subscribe_data = json.dumps(subscribe_fmt)
await websocket.send(subscribe_data)
status = await websocket.recv()
status = json.loads(status)
if status['status'] == '0000':
pass
# initial stamp save.
now = datetime.datetime.now().replace(microsecond=0)
LOBSnapshotSaver(manager, now)
count = 0
while True:
# orderbook
data = await websocket.recv()
data = json.loads(data)
stamp = float(data['content']['datetime'][:-6])
stamp = datetime.datetime.fromtimestamp(stamp)
orderData = data['content']['list']
# row = {'timestamp' : stamp, 'lob' : orderData}
result = manager.GetRow(stamp)
if result is not None:
# document 가 이미 있으며 lob 가 이미 있을 땐 확장 후 update.
if 'lob' in result.keys():
# print('> lob, document exist, lob exist')
# result['lob'].extend(orderData)
# manager.WriteLOB(stamp, result['lob'])
manager.PushLOB(stamp, orderData)
# document 는 있는데 lob 가 없으면 field 만 update.
else:
# print('> lob, document exist')
manager.WriteLOB(stamp, orderData)
# document 가 없을 땐, 신규 생성 insert.
else:
# print('> lob, no document')
manager.WriteLOB(stamp, orderData)
# snapshot save
if count % 5 == 0:
LOBSnapshotSaver(manager, stamp)
# print('> snapshot save')
count += 1
async def TransactionSaver(manager):
uri = "wss://pubwss.bithumb.com/pub/ws"
async with websockets.connect(uri, ping_interval=None) as websocket:
greeting = await websocket.recv()
print('> transaction saver connected: ', greeting)
subscribe_fmt = {
"type":"transaction",
"symbols": ["XRP_KRW"],
"tickTypes": ["12H"]
}
subscribe_data = json.dumps(subscribe_fmt)
await websocket.send(subscribe_data)
status = await websocket.recv()
status = json.loads(status)
if status['status'] == '0000':
pass
# initial stamp save.
now = datetime.datetime.now().replace(microsecond=0)
TransactionSnapshotSaver(manager, now)
count = 0
while True:
# transaction
data = await websocket.recv()
data = json.loads(data)
transactionData = data['content']['list']
separated = dict()
for trans in transactionData:
# print(trans['contDtm'])
stamp = trans['contDtm']
stamp = datetime.datetime.strptime(stamp.split('.')[0], '%Y-%m-%d %H:%M:%S')
if stamp not in separated.keys():
separated[stamp] = list()
separated[stamp].append(trans)
# row = {'timestamp': stamp, 'data': trans}
# print('> trans: ', row)
# manager.Write(row)
for stamp, trans in separated.items():
result = manager.GetRow(stamp)
if result is not None:
if 'transaction' in result.keys():
# print('> trans, document exist, lob exist')
manager.PushTransaction(stamp, trans)
else:
# print('> trans, document exist')
manager.WriteTransaction(stamp, trans)
else:
# print('> trans, no document')
manager.WriteTransaction(stamp, trans)
# snapshot save
if count % 5 == 0:
TransactionSnapshotSaver(manager, stamp)
# print('> transaction snapshot save', count)
# print(count)
count += 1
def LOBSnapshotSaver(manager, stamp):
url = 'https://api.bithumb.com/public/orderbook/XRP_KRW'
params = {'count': 5}
result = requests.get(url=url, params=params)
j = result.json()
manager.WriteLOBSnapshot(stamp, j['data'])
def TransactionSnapshotSaver(manager, stamp):
url = 'https://api.bithumb.com/public/transaction_history/XRP_KRW'
params = {'count': 5}
result = requests.get(url=url, params=params)
j = result.json()
manager.WriteTransactionSnapshot(stamp, j['data'])
async def main():
manager = DBManager()
manager.Connect()
# task 로 만들어서 event loop 에 한 번에 등록해도 됨.
savers = [TransactionSaver(manager), LOBSaver(manager)]
await asyncio.gather(*savers)
asyncio.run(main())