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kraken_check.py
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kraken_check.py
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#!/usr/bin/env python
import sys
import json
import signal
from websocket import create_connection
from volumne_analyser import VolumeAnalyser
from pprint import pprint
from datetime import datetime
if __name__ == "__main__":
#validates volume on Kraken's XBT/EUR pair
global dabestbid, dabestask, last_book_update, va
va = VolumeAnalyser('Kraken')
va.set_symbol_info( { 'symbol': 'XBTEUR', 'base_asset': 'XBT', 'quote_asset': 'EUR'} )
dabestbid = dabestask = last_book_update = 0
def dicttofloat(keyvalue):
return float(keyvalue[0])
def get_last_book_update():
return last_book_update
def best_bid():
bid = sorted(api_book["bid"].items(), key=dicttofloat, reverse=True)
return bid[0][0]
def best_ask():
ask = sorted(api_book["ask"].items(), key=dicttofloat)
return ask[0][0]
def printfunction(signalnumber, frame):
signal.alarm(1)
bestbid=round(float(best_bid()),1)
bestask=round(float(best_ask()),1)
data = {
'u' : float(last_book_update), # Unique, order book updateId
'bb': float(va.bestbid), # best bid
'bo': float(va.bestoffer), # best offer
'bq': float(0), # best bid qty
'aq': float(0), # best ask qty
}
va.process_book_entry(data)
def api_update_book(side, data):
global last_book_update
for x in data:
price_level = x[0]
last_book_update = x[2]
if float(x[1]) != 0.0:
api_book[side].update({price_level:float(x[1])})
else:
if price_level in api_book[side]:
api_book[side].pop(price_level)
if side == "bid":
api_book["bid"] = dict(sorted(api_book["bid"].items(), key=dicttofloat, reverse=True)[:int(api_depth)])
elif side == "ask":
api_book["ask"] = dict(sorted(api_book["ask"].items(), key=dicttofloat)[:int(api_depth)])
signal.signal(signal.SIGALRM, printfunction)
api_feed = "book"
api_symbol = "XBT/EUR"
api_depth = 10
api_domain = "wss://ws.kraken.com/"
api_book = {"bid":{}, "ask":{}}
try:
ws = create_connection(api_domain)
except Exception as error:
print("WebSocket connection failed (%s)" % error)
sys.exit(1)
api_data = '{"event":"subscribe", "subscription":{"name":"%(feed)s", "depth":%(depth)s}, "pair":["%(symbol)s"]}' % {"feed":api_feed, "depth":api_depth, "symbol":api_symbol}
ws.send(json.dumps({
"event": "subscribe",
"pair": ["XBT/EUR"],
"subscription": {"name": "trade" }
}))
try:
ws.send(api_data)
except Exception as error:
print("Feed subscription failed (%s)" % error)
ws.close()
sys.exit(1)
totalfake = totallegit = num_fake_trades = num_legit_trades = 0
while True:
try:
api_data = ws.recv()
except KeyboardInterrupt:
ws.close()
sys.exit(0)
except Exception as error:
print("WebSocket message failed (%s)" % error)
ws.close()
sys.exit(1)
api_data = json.loads(api_data)
result=api_data
if type(api_data) == list:
if str(api_data[0]) == '241':
tradeprice=float(result[1][0][0])
tradevol=result[1][0][1]
va.bestbid=round(float(best_bid()),1)
va.bestoffer=round(float(best_ask()),1)
trade_ts = result[1][0][2]
data = {
'ts': float(trade_ts),
'price': float(tradeprice),
'qty': float(tradevol),
}
va.process_trade_entry(data)
va.print_summary()
elif "as" in api_data[1]:
api_update_book("ask", api_data[1]["as"])
api_update_book("bid", api_data[1]["bs"])
signal.alarm(1)
elif "a" in api_data[1] or "b" in api_data[1]:
for x in api_data[1:len(api_data[1:])-1]:
if "a" in x:
api_update_book("ask", x["a"])
elif "b" in x:
api_update_book("bid", x["b"])
ws.close()
sys.exit(1)