- uv for package management
- improve websocket a bit - updated database for daily rotation and locking threads, errors handling
This commit is contained in:
Vasily.onl
parent
957118ff23
commit
14272ab6eb
1
.python-version
Normal file
1
.python-version
Normal file
@ -0,0 +1 @@
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3.12
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96
main.py
96
main.py
@ -20,22 +20,34 @@ shutdown_flag = threading.Event()
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PING_INTERVAL = 25 # N seconds, must be < 30
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PONG_TIMEOUT = 25 # Wait this long for pong after ping
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logging.basicConfig(
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level=logging.INFO,
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format='%(asctime)s %(levelname)s %(message)s',
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handlers=[
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logging.FileHandler('market_data_collector.log', mode='a'),
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logging.StreamHandler()
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]
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)
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def connect(instrument, max_retries=5):
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logging.info(f"Connecting to OKX for instrument: {instrument}")
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logging.info(f"Attempting to connect to OKX for instrument: {instrument}")
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retries = 0
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backoff = 1
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while not shutdown_flag.is_set():
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try:
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logging.info(f"Creating OKXClient for {instrument}")
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client = OKXClient(authenticate=False)
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logging.info(f"Subscribing to trades for {instrument}")
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client.subscribe_trades(instrument)
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logging.info(f"Subscribing to book for {instrument}")
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client.subscribe_book(instrument, depth=5, channel="books")
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logging.info(f"Subscribed to trades and book for {instrument}")
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logging.info(f"Successfully connected and subscribed for {instrument}")
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return client
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except Exception as e:
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retries += 1
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logging.error(f"Failed to connect to OKX: {e}. Retry {retries}/{max_retries} in {backoff}s.")
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logging.error(f"Failed to connect to OKX for {instrument}: {e}. Retry {retries}/{max_retries} in {backoff}s.")
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if retries >= max_retries:
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logging.critical("Max retries reached. Exiting connect loop.")
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logging.critical(f"Max retries reached for {instrument}. Exiting connect loop.")
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raise
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time.sleep(backoff)
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backoff = min(backoff * 2, 60) # exponential backoff, max 60s
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@ -63,13 +75,40 @@ def initialize_instruments(instruments):
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last_msg_time = {}
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ping_sent = {}
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pong_queue = {}
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for instrument in instruments:
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dbs[instrument] = MarketDB(market=instrument.replace("-", "_"), db_dir="./data/db")
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logging.info(f"Database initialized for {instrument}")
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clients[instrument] = connect(instrument)
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last_msg_time[instrument] = time.time()
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ping_sent[instrument] = False
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pong_queue[instrument] = queue.Queue()
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try:
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logging.info(f"Initializing database for {instrument}")
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dbs[instrument] = MarketDB(market=instrument, db_dir="./data/db")
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logging.info(f"Successfully initialized database for {instrument}")
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logging.info(f"Establishing websocket connection for {instrument}")
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clients[instrument] = connect(instrument)
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if not clients[instrument]:
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logging.error(f"Failed to establish connection for {instrument}")
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continue
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last_msg_time[instrument] = time.time()
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ping_sent[instrument] = False
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pong_queue[instrument] = queue.Queue()
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logging.info(f"Completed initialization for {instrument}")
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except Exception as e:
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logging.error(f"Failed to initialize {instrument}: {e}")
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# Cleanup any partial initialization
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if instrument in dbs:
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try:
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dbs[instrument].close()
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del dbs[instrument]
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except Exception as cleanup_e:
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logging.error(f"Error during cleanup for {instrument}: {cleanup_e}")
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if instrument in clients:
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try:
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cleanup(clients[instrument], None)
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del clients[instrument]
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except Exception as cleanup_e:
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logging.error(f"Error during client cleanup for {instrument}: {cleanup_e}")
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raise # Re-raise the exception to handle it in main()
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return dbs, clients, last_msg_time, ping_sent, pong_queue
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def handle_message(data, instrument, db, trade_history, book_history, latest_book, pong_queue):
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@ -174,15 +213,7 @@ def shutdown_cleanup(clients, dbs):
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def main():
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instruments = [
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"ETH-USDT",
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"BTC-USDT",
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"SOL-USDT",
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"DOGE-USDT",
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"TON-USDT",
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"ETH-USDC",
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"SOPH-USDT",
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"PEPE-USDT",
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"BTC-USDC",
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"UNI-USDT"
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"BTC-USDT"
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]
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# Configure logging to both file and stdout
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@ -194,14 +225,35 @@ def main():
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logging.StreamHandler()
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]
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)
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dbs, clients, last_msg_time, ping_sent, pong_queue = initialize_instruments(instruments)
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try:
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logging.info("Starting Market Data Collector")
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logging.info(f"Initializing instruments: {instruments}")
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dbs, clients, last_msg_time, ping_sent, pong_queue = initialize_instruments(instruments)
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if not dbs or not clients:
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logging.critical("Failed to initialize all required components. Exiting.")
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return
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logging.info("Successfully initialized all components. Starting main loop.")
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while not shutdown_flag.is_set():
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now = time.time()
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for instrument in instruments:
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if instrument not in clients or instrument not in dbs:
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logging.warning(f"Skipping {instrument} - not properly initialized")
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continue
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client = clients[instrument]
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db = dbs[instrument]
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ws = client.ws
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if not ws:
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logging.error(f"No websocket connection for {instrument}. Attempting to reconnect.")
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if not reconnect_instrument(instrument, clients, last_msg_time, ping_sent, pong_queue):
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continue
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ws = clients[instrument].ws
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try:
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ws.settimeout(1)
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try:
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@ -229,14 +281,14 @@ def main():
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continue
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except Exception as e:
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logging.warning(f"WebSocket disconnected or error for {instrument}: {e}. Reconnecting...")
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logging.warning(f"WebSocket error for {instrument}: {e}. Attempting to reconnect...")
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if not reconnect_instrument(instrument, clients, last_msg_time, ping_sent, pong_queue):
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continue
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continue
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except Exception as e:
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logging.critical(f"Fatal error in main: {e}")
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finally:
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logging.info("Shutting down Market Data Collector")
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shutdown_cleanup(clients, dbs)
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if __name__ == '__main__':
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208
market_db.py
208
market_db.py
@ -2,76 +2,158 @@ import sqlite3
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import os
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from typing import Any, Dict, List, Optional
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import logging
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from datetime import datetime
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import threading
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class MarketDB:
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def __init__(self, market: str, db_dir: str = ""):
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db_name = f"{market}.db"
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db_path = db_name if not db_dir else f"{db_dir.rstrip('/')}/{db_name}"
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if db_dir:
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os.makedirs(db_dir, exist_ok=True)
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self.conn = sqlite3.connect(db_path)
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logging.info(f"Connected to database at {db_path}")
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self._create_tables()
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def __init__(self, market: str, db_dir: str = "", date: Optional[datetime] = None):
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logging.debug(f"MarketDB.__init__ start for {market}")
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self.market = market
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self.db_dir = db_dir
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self.current_date = date or datetime.now()
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self.conn = None
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self._lock = threading.RLock() # Use re-entrant lock to avoid deadlock
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logging.debug(f"MarketDB.__init__ before _connect_db for {market}")
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self._connect_db()
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logging.debug(f"MarketDB.__init__ end for {market}")
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def _get_db_path(self, date: datetime) -> str:
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db_name = f"{self.market}-{date.strftime('%y-%m-%d')}.db"
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return db_name if not self.db_dir else f"{self.db_dir.rstrip('/')}/{db_name}"
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def _connect_db(self):
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logging.debug(f"MarketDB._connect_db start for {self.market}")
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with self._lock: # Thread-safe connection management
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try:
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if self.conn:
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try:
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self.conn.close()
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logging.debug(f"Closed previous connection for {self.market}")
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except Exception as e:
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logging.warning(f"Error closing previous connection: {e}")
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if self.db_dir:
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os.makedirs(self.db_dir, exist_ok=True)
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logging.debug(f"Ensured db_dir exists for {self.market}")
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db_path = self._get_db_path(self.current_date)
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logging.debug(f"Connecting to sqlite3 at {db_path} for {self.market}")
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self.conn = sqlite3.connect(db_path)
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self.conn.execute('PRAGMA journal_mode=WAL')
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logging.info(f"Connected to database at {db_path}")
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self._create_tables()
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logging.debug(f"MarketDB._connect_db end for {self.market}")
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except Exception as e:
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logging.error(f"Failed to connect to database: {e}")
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raise
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def check_and_rotate_db(self):
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logging.debug(f"MarketDB.check_and_rotate_db start for {self.market}")
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current_date = datetime.now()
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if current_date.date() != self.current_date.date():
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logging.info(f"Date changed from {self.current_date.date()} to {current_date.date()}, rotating database")
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try:
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self.current_date = current_date
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self._connect_db()
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logging.info("Successfully rotated to new database")
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except Exception as e:
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logging.error(f"Failed to rotate database: {e}")
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try:
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self.current_date = current_date.replace(hour=0, minute=0, second=0, microsecond=0)
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self._connect_db()
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except Exception as fallback_error:
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logging.critical(f"Failed to reconnect to previous database: {fallback_error}")
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raise
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logging.debug(f"MarketDB.check_and_rotate_db end for {self.market}")
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def _create_tables(self):
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cursor = self.conn.cursor()
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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instrument TEXT,
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trade_id TEXT,
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price REAL,
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size REAL,
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side TEXT,
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timestamp TEXT
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)
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''')
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS book (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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instrument TEXT,
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bids TEXT,
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asks TEXT,
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timestamp TEXT
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)
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''')
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self.conn.commit()
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logging.info("Database tables ensured.")
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logging.debug(f"MarketDB._create_tables start for {self.market}")
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with self._lock: # Thread-safe table creation
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cursor = self.conn.cursor()
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS trades (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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instrument TEXT,
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trade_id TEXT,
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price REAL,
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size REAL,
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side TEXT,
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timestamp TEXT
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)
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''')
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cursor.execute('''
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CREATE TABLE IF NOT EXISTS book (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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instrument TEXT,
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bids TEXT,
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asks TEXT,
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timestamp TEXT
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)
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''')
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self.conn.commit()
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logging.info("Database tables ensured.")
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logging.debug(f"MarketDB._create_tables end for {self.market}")
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def insert_trade(self, trade: Dict[str, Any]):
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cursor = self.conn.cursor()
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cursor.execute('''
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INSERT INTO trades (instrument, trade_id, price, size, side, timestamp)
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VALUES (?, ?, ?, ?, ?, ?)
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''', (
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trade.get('instrument'),
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trade.get('trade_id'),
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trade.get('price'),
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trade.get('size'),
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trade.get('side'),
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trade.get('timestamp')
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))
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self.conn.commit()
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logging.debug(f"Inserted trade: {trade}")
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self.check_and_rotate_db()
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with self._lock: # Thread-safe insert
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try:
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cursor = self.conn.cursor()
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cursor.execute('''
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INSERT INTO trades (instrument, trade_id, price, size, side, timestamp)
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VALUES (?, ?, ?, ?, ?, ?)
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''', (
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trade.get('instrument'),
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trade.get('trade_id'),
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trade.get('price'),
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trade.get('size'),
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trade.get('side'),
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trade.get('timestamp')
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))
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self.conn.commit()
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logging.debug(f"Inserted trade: {trade}")
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except sqlite3.Error as e:
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logging.error(f"Database error during trade insert: {e}")
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self._handle_db_error()
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raise
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def insert_book(self, book: Dict[str, Any]):
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cursor = self.conn.cursor()
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bids = book.get('bids', [])
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asks = book.get('asks', [])
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best_bid = next((b for b in bids if float(b[1]) > 0), ['-', '-'])
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best_ask = next((a for a in asks if float(a[1]) > 0), ['-', '-'])
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cursor.execute('''
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INSERT INTO book (instrument, bids, asks, timestamp)
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VALUES (?, ?, ?, ?)
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''', (
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book.get('instrument'),
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str(bids),
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str(asks),
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book.get('timestamp')
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))
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self.conn.commit()
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logging.debug(f"Inserted book: {book.get('instrument', 'N/A')} ts:{book.get('timestamp', 'N/A')} bid:{best_bid} ask:{best_ask}")
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self.check_and_rotate_db()
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with self._lock: # Thread-safe insert
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try:
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cursor = self.conn.cursor()
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bids = book.get('bids', [])
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asks = book.get('asks', [])
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best_bid = next((b for b in bids if float(b[1]) > 0), ['-', '-'])
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best_ask = next((a for a in asks if float(a[1]) > 0), ['-', '-'])
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cursor.execute('''
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INSERT INTO book (instrument, bids, asks, timestamp)
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VALUES (?, ?, ?, ?)
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''', (
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book.get('instrument'),
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str(bids),
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str(asks),
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book.get('timestamp')
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))
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self.conn.commit()
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logging.debug(f"Inserted book: {book.get('instrument', 'N/A')} ts:{book.get('timestamp', 'N/A')} bid:{best_bid} ask:{best_ask}")
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except sqlite3.Error as e:
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logging.error(f"Database error during book insert: {e}")
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self._handle_db_error()
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raise
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def _handle_db_error(self):
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try:
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self._connect_db()
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except Exception as e:
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logging.critical(f"Failed to reconnect to database after error: {e}")
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raise
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def close(self):
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self.conn.close()
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logging.info("Database connection closed.")
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with self._lock: # Thread-safe close
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if self.conn:
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try:
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self.conn.close()
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logging.info("Database connection closed.")
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except Exception as e:
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logging.error(f"Error closing database connection: {e}")
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finally:
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self.conn = None
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@ -46,10 +46,40 @@ class OKXClient:
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self._connect_ws()
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def _connect_ws(self):
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if self.ws is None:
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self.ws = websocket.create_connection(self.PUBLIC_WS_URL, timeout=10)
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if self.authenticated and self.api_key and self.api_secret and self.api_passphrase and self.ws_private is None:
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self.ws_private = websocket.create_connection(self.PRIVATE_WS_URL, timeout=10)
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logging.info("Attempting to connect to OKX websocket...")
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try:
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if self.ws is None:
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logging.debug("Creating public websocket connection...")
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self.ws = websocket.create_connection(
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self.PUBLIC_WS_URL,
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timeout=10,
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header=["User-Agent: OKX-Market-Data-Collector"]
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)
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logging.info("Successfully connected to public websocket")
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if self.authenticated and self.api_key and self.api_secret and self.api_passphrase and self.ws_private is None:
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logging.debug("Creating private websocket connection...")
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self.ws_private = websocket.create_connection(
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self.PRIVATE_WS_URL,
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timeout=10,
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header=["User-Agent: OKX-Market-Data-Collector"]
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)
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logging.info("Successfully connected to private websocket")
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except Exception as e:
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logging.error(f"Failed to connect to websocket: {e}")
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if self.ws:
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try:
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self.ws.close()
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except:
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pass
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self.ws = None
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if self.ws_private:
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try:
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self.ws_private.close()
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except:
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pass
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self.ws_private = None
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raise
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def _get_timestamp(self):
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return str(round(time.time(), 3))
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@ -62,7 +92,6 @@ class OKXClient:
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return base64.b64encode(mac.digest()).decode()
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def _authenticate(self):
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import websocket
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timestamp = self._get_timestamp()
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sign = self._sign(timestamp, 'GET', '/users/self/verify', '')
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login_params = {
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@ -101,42 +130,59 @@ class OKXClient:
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logging.error(f"Exception during authentication: {e}")
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raise
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def _send_subscription(self, params, is_private=False):
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ws = self.ws_private if is_private else self.ws
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if not ws:
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raise Exception("WebSocket connection not established")
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try:
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ws.send(json.dumps(params))
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# Wait for subscription confirmation
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resp = ws.recv()
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||||
msg = json.loads(resp)
|
||||
if msg.get("event") == "error":
|
||||
raise Exception(f"Subscription error: {msg}")
|
||||
elif msg.get("event") == "subscribe":
|
||||
logging.info(f"Successfully subscribed to {params['args'][0]['channel']}")
|
||||
else:
|
||||
logging.debug(f"Received subscription response: {msg}")
|
||||
except Exception as e:
|
||||
logging.error(f"Error during subscription: {e}")
|
||||
raise
|
||||
|
||||
def subscribe_candlesticks(self, instrument="BTC-USDT", timeframe="1m"):
|
||||
# OKX uses candle1m, candle5m, etc.
|
||||
tf_map = {"1m": "candle1m", "5m": "candle5m", "15m": "candle15m", "1h": "candle1H"}
|
||||
channel = tf_map.get(timeframe, f"candle{timeframe}")
|
||||
params = {
|
||||
"op": "subscribe",
|
||||
"args": [{"channel": channel, "instId": instrument}]
|
||||
}
|
||||
logging.debug(f"[PUBLIC WS] Sending subscription: {json.dumps(params)}")
|
||||
self.ws.send(json.dumps(params))
|
||||
logging.info(f"Subscribing to candlesticks for {instrument}")
|
||||
self._send_subscription(params)
|
||||
|
||||
def subscribe_trades(self, instrument="BTC-USDT"):
|
||||
params = {
|
||||
"op": "subscribe",
|
||||
"args": [{"channel": "trades", "instId": instrument}]
|
||||
}
|
||||
logging.debug(f"[PUBLIC WS] Sending subscription: {json.dumps(params)}")
|
||||
self.ws.send(json.dumps(params))
|
||||
logging.info(f"Subscribing to trades for {instrument}")
|
||||
self._send_subscription(params)
|
||||
|
||||
def subscribe_ticker(self, instrument="BTC-USDT"):
|
||||
params = {
|
||||
"op": "subscribe",
|
||||
"args": [{"channel": "tickers", "instId": instrument}]
|
||||
}
|
||||
logging.debug(f"[PUBLIC WS] Sending subscription: {json.dumps(params)}")
|
||||
self.ws.send(json.dumps(params))
|
||||
logging.info(f"Subscribing to ticker for {instrument}")
|
||||
self._send_subscription(params)
|
||||
|
||||
def subscribe_book(self, instrument="BTC-USDT", depth=5, channel="books5"):
|
||||
# OKX supports books5, books50, books-l2-tbt
|
||||
# channel = "books5" if depth <= 5 else "books50"
|
||||
def subscribe_book(self, instrument="BTC-USDT", depth=5, channel="books"):
|
||||
params = {
|
||||
"op": "subscribe",
|
||||
"args": [{"channel": channel, "instId": instrument}]
|
||||
}
|
||||
logging.debug(f"[PUBLIC WS] Sending subscription: {json.dumps(params)}")
|
||||
self.ws.send(json.dumps(params))
|
||||
logging.info(f"Subscribing to order book for {instrument}")
|
||||
self._send_subscription(params)
|
||||
|
||||
def subscribe_user_order(self):
|
||||
if not self.authenticated:
|
||||
@ -146,8 +192,7 @@ class OKXClient:
|
||||
"op": "subscribe",
|
||||
"args": [{"channel": "orders", "instType": "SPOT"}]
|
||||
}
|
||||
logging.debug(f"[PRIVATE WS] Sending subscription: {json.dumps(params)}")
|
||||
self.ws_private.send(json.dumps(params))
|
||||
self._send_subscription(params, is_private=True)
|
||||
|
||||
def subscribe_user_trade(self):
|
||||
if not self.authenticated:
|
||||
@ -157,8 +202,7 @@ class OKXClient:
|
||||
"op": "subscribe",
|
||||
"args": [{"channel": "trades", "instType": "SPOT"}]
|
||||
}
|
||||
logging.debug(f"[PRIVATE WS] Sending subscription: {json.dumps(params)}")
|
||||
self.ws_private.send(json.dumps(params))
|
||||
self._send_subscription(params, is_private=True)
|
||||
|
||||
def subscribe_user_balance(self):
|
||||
if not self.authenticated:
|
||||
@ -168,8 +212,7 @@ class OKXClient:
|
||||
"op": "subscribe",
|
||||
"args": [{"channel": "balance_and_position"}]
|
||||
}
|
||||
logging.debug(f"[PRIVATE WS] Sending subscription: {json.dumps(params)}")
|
||||
self.ws_private.send(json.dumps(params))
|
||||
self._send_subscription(params, is_private=True)
|
||||
|
||||
def get_balance(self, currency=None):
|
||||
url = f"{self.REST_URL}/api/v5/account/balance"
|
||||
|
||||
12
pyproject.toml
Normal file
12
pyproject.toml
Normal file
@ -0,0 +1,12 @@
|
||||
[project]
|
||||
name = "marketdatacollector"
|
||||
version = "0.1.0"
|
||||
description = "Add your description here"
|
||||
readme = "README.md"
|
||||
requires-python = ">=3.12"
|
||||
dependencies = [
|
||||
"pandas>=2.3.0",
|
||||
"requests>=2.32.3",
|
||||
"websocket>=0.2.1",
|
||||
"websocket-client>=1.8.0",
|
||||
]
|
||||
364
uv.lock
generated
Normal file
364
uv.lock
generated
Normal file
@ -0,0 +1,364 @@
|
||||
version = 1
|
||||
revision = 1
|
||||
requires-python = ">=3.12"
|
||||
|
||||
[[package]]
|
||||
name = "certifi"
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||||
version = "2025.4.26"
|
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source = { registry = "https://pypi.org/simple" }
|
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sdist = { url = "https://files.pythonhosted.org/packages/e8/9e/c05b3920a3b7d20d3d3310465f50348e5b3694f4f88c6daf736eef3024c4/certifi-2025.4.26.tar.gz", hash = "sha256:0a816057ea3cdefcef70270d2c515e4506bbc954f417fa5ade2021213bb8f0c6", size = 160705 }
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wheels = [
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|
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]
|
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|
||||
[[package]]
|
||||
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|
||||
version = "1.17.1"
|
||||
source = { registry = "https://pypi.org/simple" }
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dependencies = [
|
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{ name = "pycparser" },
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||||
|
||||
[[package]]
|
||||
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|
||||
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|
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||||
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Loading…
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Reference in New Issue
Block a user