- uv for package management

- improve websocket a bit
- updated database for daily rotation and locking threads, errors handling

.python-version

@@ -0,0 +1 @@
+3.12

main.py

@@ -20,22 +20,34 @@ shutdown_flag = threading.Event()
 PING_INTERVAL = 25  # N seconds, must be < 30
 PONG_TIMEOUT = 25   # Wait this long for pong after ping
 
+logging.basicConfig(
+    level=logging.INFO,
+    format='%(asctime)s %(levelname)s %(message)s',
+    handlers=[
+        logging.FileHandler('market_data_collector.log', mode='a'),
+        logging.StreamHandler()
+    ]
+)
+
 def connect(instrument, max_retries=5):
-    logging.info(f"Connecting to OKX for instrument: {instrument}")
+    logging.info(f"Attempting to connect to OKX for instrument: {instrument}")
     retries = 0
     backoff = 1
     while not shutdown_flag.is_set():
         try:
+            logging.info(f"Creating OKXClient for {instrument}")
             client = OKXClient(authenticate=False)
+            logging.info(f"Subscribing to trades for {instrument}")
             client.subscribe_trades(instrument)
+            logging.info(f"Subscribing to book for {instrument}")
             client.subscribe_book(instrument, depth=5, channel="books")
-            logging.info(f"Subscribed to trades and book for {instrument}")
+            logging.info(f"Successfully connected and subscribed for {instrument}")
             return client
         except Exception as e:
             retries += 1
-            logging.error(f"Failed to connect to OKX: {e}. Retry {retries}/{max_retries} in {backoff}s.")
+            logging.error(f"Failed to connect to OKX for {instrument}: {e}. Retry {retries}/{max_retries} in {backoff}s.")
             if retries >= max_retries:
-                logging.critical("Max retries reached. Exiting connect loop.")
+                logging.critical(f"Max retries reached for {instrument}. Exiting connect loop.")
                 raise
             time.sleep(backoff)
             backoff = min(backoff * 2, 60)  # exponential backoff, max 60s
@@ -63,13 +75,40 @@ def initialize_instruments(instruments):
     last_msg_time = {}
     ping_sent = {}
     pong_queue = {}
+    
     for instrument in instruments:
-        dbs[instrument] = MarketDB(market=instrument.replace("-", "_"), db_dir="./data/db")    
+        try:
-        logging.info(f"Database initialized for {instrument}")
+            logging.info(f"Initializing database for {instrument}")
-        clients[instrument] = connect(instrument)
+            dbs[instrument] = MarketDB(market=instrument, db_dir="./data/db")    
-        last_msg_time[instrument] = time.time()
+            logging.info(f"Successfully initialized database for {instrument}")
-        ping_sent[instrument] = False
+            
-        pong_queue[instrument] = queue.Queue()
+            logging.info(f"Establishing websocket connection for {instrument}")
+            clients[instrument] = connect(instrument)
+            if not clients[instrument]:
+                logging.error(f"Failed to establish connection for {instrument}")
+                continue
+                
+            last_msg_time[instrument] = time.time()
+            ping_sent[instrument] = False
+            pong_queue[instrument] = queue.Queue()
+            logging.info(f"Completed initialization for {instrument}")
+        except Exception as e:
+            logging.error(f"Failed to initialize {instrument}: {e}")
+            # Cleanup any partial initialization
+            if instrument in dbs:
+                try:
+                    dbs[instrument].close()
+                    del dbs[instrument]
+                except Exception as cleanup_e:
+                    logging.error(f"Error during cleanup for {instrument}: {cleanup_e}")
+            if instrument in clients:
+                try:
+                    cleanup(clients[instrument], None)
+                    del clients[instrument]
+                except Exception as cleanup_e:
+                    logging.error(f"Error during client cleanup for {instrument}: {cleanup_e}")
+            raise  # Re-raise the exception to handle it in main()
+            
     return dbs, clients, last_msg_time, ping_sent, pong_queue
 
 def handle_message(data, instrument, db, trade_history, book_history, latest_book, pong_queue):
@@ -174,15 +213,7 @@ def shutdown_cleanup(clients, dbs):
 def main():
     instruments = [
         "ETH-USDT",
-        "BTC-USDT",
+        "BTC-USDT"
-        "SOL-USDT",
-        "DOGE-USDT",
-        "TON-USDT",
-        "ETH-USDC",
-        "SOPH-USDT",
-        "PEPE-USDT",
-        "BTC-USDC",
-        "UNI-USDT"
     ]
 
     # Configure logging to both file and stdout
@@ -194,14 +225,35 @@ def main():
             logging.StreamHandler()
         ]
     )
-    dbs, clients, last_msg_time, ping_sent, pong_queue = initialize_instruments(instruments)
+    
     try:
+        logging.info("Starting Market Data Collector")
+        logging.info(f"Initializing instruments: {instruments}")
+        dbs, clients, last_msg_time, ping_sent, pong_queue = initialize_instruments(instruments)
+        
+        if not dbs or not clients:
+            logging.critical("Failed to initialize all required components. Exiting.")
+            return
+            
+        logging.info("Successfully initialized all components. Starting main loop.")
+        
         while not shutdown_flag.is_set():
             now = time.time()
             for instrument in instruments:
+                if instrument not in clients or instrument not in dbs:
+                    logging.warning(f"Skipping {instrument} - not properly initialized")
+                    continue
+                    
                 client = clients[instrument]
                 db = dbs[instrument]
                 ws = client.ws
+                
+                if not ws:
+                    logging.error(f"No websocket connection for {instrument}. Attempting to reconnect.")
+                    if not reconnect_instrument(instrument, clients, last_msg_time, ping_sent, pong_queue):
+                        continue
+                    ws = clients[instrument].ws
+                
                 try:
                     ws.settimeout(1)
                     try:
@@ -229,14 +281,14 @@ def main():
                             continue
 
                 except Exception as e:
-                    logging.warning(f"WebSocket disconnected or error for {instrument}: {e}. Reconnecting...")
+                    logging.warning(f"WebSocket error for {instrument}: {e}. Attempting to reconnect...")
                     if not reconnect_instrument(instrument, clients, last_msg_time, ping_sent, pong_queue):
                         continue
-                    continue
 
     except Exception as e:
         logging.critical(f"Fatal error in main: {e}")
     finally:
+        logging.info("Shutting down Market Data Collector")
         shutdown_cleanup(clients, dbs)
 
 if __name__ == '__main__':

market_db.py

@@ -2,76 +2,158 @@ import sqlite3
 import os
 from typing import Any, Dict, List, Optional
 import logging
+from datetime import datetime
+import threading
 
 class MarketDB:
-    def __init__(self, market: str, db_dir: str = ""):
+    def __init__(self, market: str, db_dir: str = "", date: Optional[datetime] = None):
-        db_name = f"{market}.db"
+        logging.debug(f"MarketDB.__init__ start for {market}")
-        db_path = db_name if not db_dir else f"{db_dir.rstrip('/')}/{db_name}"
+        self.market = market
-        if db_dir:
+        self.db_dir = db_dir
-            os.makedirs(db_dir, exist_ok=True)
+        self.current_date = date or datetime.now()
-        self.conn = sqlite3.connect(db_path)
+        self.conn = None
-        logging.info(f"Connected to database at {db_path}")
+        self._lock = threading.RLock()  # Use re-entrant lock to avoid deadlock
-        self._create_tables()
+        logging.debug(f"MarketDB.__init__ before _connect_db for {market}")
+        self._connect_db()
+        logging.debug(f"MarketDB.__init__ end for {market}")
+        
+    def _get_db_path(self, date: datetime) -> str:
+        db_name = f"{self.market}-{date.strftime('%y-%m-%d')}.db"
+        return db_name if not self.db_dir else f"{self.db_dir.rstrip('/')}/{db_name}"
+        
+    def _connect_db(self):
+        logging.debug(f"MarketDB._connect_db start for {self.market}")
+        with self._lock:  # Thread-safe connection management
+            try:
+                if self.conn:
+                    try:
+                        self.conn.close()
+                        logging.debug(f"Closed previous connection for {self.market}")
+                    except Exception as e:
+                        logging.warning(f"Error closing previous connection: {e}")
+                if self.db_dir:
+                    os.makedirs(self.db_dir, exist_ok=True)
+                    logging.debug(f"Ensured db_dir exists for {self.market}")
+                db_path = self._get_db_path(self.current_date)
+                logging.debug(f"Connecting to sqlite3 at {db_path} for {self.market}")
+                self.conn = sqlite3.connect(db_path)
+                self.conn.execute('PRAGMA journal_mode=WAL')
+                logging.info(f"Connected to database at {db_path}")
+                self._create_tables()
+                logging.debug(f"MarketDB._connect_db end for {self.market}")
+            except Exception as e:
+                logging.error(f"Failed to connect to database: {e}")
+                raise
+
+    def check_and_rotate_db(self):
+        logging.debug(f"MarketDB.check_and_rotate_db start for {self.market}")
+        current_date = datetime.now()
+        if current_date.date() != self.current_date.date():
+            logging.info(f"Date changed from {self.current_date.date()} to {current_date.date()}, rotating database")
+            try:
+                self.current_date = current_date
+                self._connect_db()
+                logging.info("Successfully rotated to new database")
+            except Exception as e:
+                logging.error(f"Failed to rotate database: {e}")
+                try:
+                    self.current_date = current_date.replace(hour=0, minute=0, second=0, microsecond=0)
+                    self._connect_db()
+                except Exception as fallback_error:
+                    logging.critical(f"Failed to reconnect to previous database: {fallback_error}")
+                    raise
+        logging.debug(f"MarketDB.check_and_rotate_db end for {self.market}")
 
     def _create_tables(self):
-        cursor = self.conn.cursor()
+        logging.debug(f"MarketDB._create_tables start for {self.market}")
-        cursor.execute('''
+        with self._lock:  # Thread-safe table creation
-            CREATE TABLE IF NOT EXISTS trades (
+            cursor = self.conn.cursor()
-                id INTEGER PRIMARY KEY AUTOINCREMENT,
+            cursor.execute('''
-                instrument TEXT,
+                CREATE TABLE IF NOT EXISTS trades (
-                trade_id TEXT,
+                    id INTEGER PRIMARY KEY AUTOINCREMENT,
-                price REAL,
+                    instrument TEXT,
-                size REAL,
+                    trade_id TEXT,
-                side TEXT,
+                    price REAL,
-                timestamp TEXT
+                    size REAL,
-            )
+                    side TEXT,
-        ''')
+                    timestamp TEXT
-        cursor.execute('''
+                )
-            CREATE TABLE IF NOT EXISTS book (
+            ''')
-                id INTEGER PRIMARY KEY AUTOINCREMENT,
+            cursor.execute('''
-                instrument TEXT,
+                CREATE TABLE IF NOT EXISTS book (
-                bids TEXT,
+                    id INTEGER PRIMARY KEY AUTOINCREMENT,
-                asks TEXT,
+                    instrument TEXT,
-                timestamp TEXT
+                    bids TEXT,
-            )
+                    asks TEXT,
-        ''')
+                    timestamp TEXT
-        self.conn.commit()
+                )
-        logging.info("Database tables ensured.")
+            ''')
+            self.conn.commit()
+            logging.info("Database tables ensured.")
+        logging.debug(f"MarketDB._create_tables end for {self.market}")
 
     def insert_trade(self, trade: Dict[str, Any]):
-        cursor = self.conn.cursor()
+        self.check_and_rotate_db()
-        cursor.execute('''
+        with self._lock:  # Thread-safe insert
-            INSERT INTO trades (instrument, trade_id, price, size, side, timestamp)
+            try:
-            VALUES (?, ?, ?, ?, ?, ?)
+                cursor = self.conn.cursor()
-        ''', (
+                cursor.execute('''
-            trade.get('instrument'),
+                    INSERT INTO trades (instrument, trade_id, price, size, side, timestamp)
-            trade.get('trade_id'),
+                    VALUES (?, ?, ?, ?, ?, ?)
-            trade.get('price'),
+                ''', (
-            trade.get('size'),
+                    trade.get('instrument'),
-            trade.get('side'),
+                    trade.get('trade_id'),
-            trade.get('timestamp')
+                    trade.get('price'),
-        ))
+                    trade.get('size'),
-        self.conn.commit()
+                    trade.get('side'),
-        logging.debug(f"Inserted trade: {trade}")
+                    trade.get('timestamp')
+                ))
+                self.conn.commit()
+                logging.debug(f"Inserted trade: {trade}")
+            except sqlite3.Error as e:
+                logging.error(f"Database error during trade insert: {e}")
+                self._handle_db_error()
+                raise
 
     def insert_book(self, book: Dict[str, Any]):
-        cursor = self.conn.cursor()
+        self.check_and_rotate_db()
-        bids = book.get('bids', [])
+        with self._lock:  # Thread-safe insert
-        asks = book.get('asks', [])
+            try:
-        best_bid = next((b for b in bids if float(b[1]) > 0), ['-', '-'])
+                cursor = self.conn.cursor()
-        best_ask = next((a for a in asks if float(a[1]) > 0), ['-', '-'])
+                bids = book.get('bids', [])
-        cursor.execute('''
+                asks = book.get('asks', [])
-            INSERT INTO book (instrument, bids, asks, timestamp)
+                best_bid = next((b for b in bids if float(b[1]) > 0), ['-', '-'])
-            VALUES (?, ?, ?, ?)
+                best_ask = next((a for a in asks if float(a[1]) > 0), ['-', '-'])
-        ''', (
+                cursor.execute('''
-            book.get('instrument'),
+                    INSERT INTO book (instrument, bids, asks, timestamp)
-            str(bids),
+                    VALUES (?, ?, ?, ?)
-            str(asks),
+                ''', (
-            book.get('timestamp')
+                    book.get('instrument'),
-        ))
+                    str(bids),
-        self.conn.commit()
+                    str(asks),
-        logging.debug(f"Inserted book: {book.get('instrument', 'N/A')} ts:{book.get('timestamp', 'N/A')} bid:{best_bid} ask:{best_ask}")
+                    book.get('timestamp')
+                ))
+                self.conn.commit()
+                logging.debug(f"Inserted book: {book.get('instrument', 'N/A')} ts:{book.get('timestamp', 'N/A')} bid:{best_bid} ask:{best_ask}")
+            except sqlite3.Error as e:
+                logging.error(f"Database error during book insert: {e}")
+                self._handle_db_error()
+                raise
+
+    def _handle_db_error(self):
+        try:
+            self._connect_db()
+        except Exception as e:
+            logging.critical(f"Failed to reconnect to database after error: {e}")
+            raise
 
     def close(self):
-        self.conn.close()
+        with self._lock:  # Thread-safe close
-        logging.info("Database connection closed.")
+            if self.conn:
+                try:
+                    self.conn.close()
+                    logging.info("Database connection closed.")
+                except Exception as e:
+                    logging.error(f"Error closing database connection: {e}")
+                finally:
+                    self.conn = None

okx_client.py

@@ -46,10 +46,40 @@ class OKXClient:
         self._connect_ws()
 
     def _connect_ws(self):
-        if self.ws is None:
+        logging.info("Attempting to connect to OKX websocket...")
-            self.ws = websocket.create_connection(self.PUBLIC_WS_URL, timeout=10)
+        try:
-        if self.authenticated and self.api_key and self.api_secret and self.api_passphrase and self.ws_private is None:
+            if self.ws is None:
-            self.ws_private = websocket.create_connection(self.PRIVATE_WS_URL, timeout=10)
+                logging.debug("Creating public websocket connection...")
+                self.ws = websocket.create_connection(
+                    self.PUBLIC_WS_URL,
+                    timeout=10,
+                    header=["User-Agent: OKX-Market-Data-Collector"]
+                )
+                logging.info("Successfully connected to public websocket")
+            
+            if self.authenticated and self.api_key and self.api_secret and self.api_passphrase and self.ws_private is None:
+                logging.debug("Creating private websocket connection...")
+                self.ws_private = websocket.create_connection(
+                    self.PRIVATE_WS_URL,
+                    timeout=10,
+                    header=["User-Agent: OKX-Market-Data-Collector"]
+                )
+                logging.info("Successfully connected to private websocket")
+        except Exception as e:
+            logging.error(f"Failed to connect to websocket: {e}")
+            if self.ws:
+                try:
+                    self.ws.close()
+                except:
+                    pass
+                self.ws = None
+            if self.ws_private:
+                try:
+                    self.ws_private.close()
+                except:
+                    pass
+                self.ws_private = None
+            raise
 
     def _get_timestamp(self):
         return str(round(time.time(), 3))
@@ -62,7 +92,6 @@ class OKXClient:
         return base64.b64encode(mac.digest()).decode()
 
     def _authenticate(self):
-        import websocket
         timestamp = self._get_timestamp()
         sign = self._sign(timestamp, 'GET', '/users/self/verify', '')
         login_params = {
@@ -101,42 +130,59 @@ class OKXClient:
                 logging.error(f"Exception during authentication: {e}")
                 raise
 
+    def _send_subscription(self, params, is_private=False):
+        ws = self.ws_private if is_private else self.ws
+        if not ws:
+            raise Exception("WebSocket connection not established")
+        
+        try:
+            ws.send(json.dumps(params))
+            # Wait for subscription confirmation
+            resp = ws.recv()
+            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)}")
+        logging.info(f"Subscribing to candlesticks for {instrument}")
-        self.ws.send(json.dumps(params))
+        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)}")
+        logging.info(f"Subscribing to trades for {instrument}")
-        self.ws.send(json.dumps(params))
+        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)}")
+        logging.info(f"Subscribing to ticker for {instrument}")
-        self.ws.send(json.dumps(params))
+        self._send_subscription(params)
 
-    def subscribe_book(self, instrument="BTC-USDT", depth=5, channel="books5"):
+    def subscribe_book(self, instrument="BTC-USDT", depth=5, channel="books"):
-        # OKX supports books5, books50, books-l2-tbt
-        # channel = "books5" if depth <= 5 else "books50"
         params = {
             "op": "subscribe",
             "args": [{"channel": channel, "instId": instrument}]
         }
-        logging.debug(f"[PUBLIC WS] Sending subscription: {json.dumps(params)}")
+        logging.info(f"Subscribing to order book for {instrument}")
-        self.ws.send(json.dumps(params))
+        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._send_subscription(params, is_private=True)
-        self.ws_private.send(json.dumps(params))
 
     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._send_subscription(params, is_private=True)
-        self.ws_private.send(json.dumps(params))
 
     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._send_subscription(params, is_private=True)
-        self.ws_private.send(json.dumps(params))
 
     def get_balance(self, currency=None):
         url = f"{self.REST_URL}/api/v5/account/balance"

pyproject.toml

@@ -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",
+]

uv.lock

@@ -0,0 +1,364 @@
+version = 1
+revision = 1
+requires-python = ">=3.12"
+
+[[package]]
+name = "certifi"
+version = "2025.4.26"
+source = { registry = "https://pypi.org/simple" }
+sdist = { url = "https://files.pythonhosted.org/packages/e8/9e/c05b3920a3b7d20d3d3310465f50348e5b3694f4f88c6daf736eef3024c4/certifi-2025.4.26.tar.gz", hash = "sha256:0a816057ea3cdefcef70270d2c515e4506bbc954f417fa5ade2021213bb8f0c6", size = 160705 }
+wheels = [
+    { url = "https://files.pythonhosted.org/packages/4a/7e/3db2bd1b1f9e95f7cddca6d6e75e2f2bd9f51b1246e546d88addca0106bd/certifi-2025.4.26-py3-none-any.whl", hash = "sha256:30350364dfe371162649852c63336a15c70c6510c2ad5015b21c2345311805f3", size = 159618 },
+]
+
+[[package]]
+name = "cffi"
+version = "1.17.1"
+source = { registry = "https://pypi.org/simple" }
+dependencies = [
+    { name = "pycparser" },
+]
+sdist = { url = "https://files.pythonhosted.org/packages/fc/97/c783634659c2920c3fc70419e3af40972dbaf758daa229a7d6ea6135c90d/cffi-1.17.1.tar.gz", hash = "sha256:1c39c6016c32bc48dd54561950ebd6836e1670f2ae46128f67cf49e789c52824", size = 516621 }
+wheels = [
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