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我正在尝试从 Bitmex 流式传输实时交易数据以执行一些计算并自动化我的交易。我使用了从https://github.com/BitMEX/api-connectors/blob/master/official-ws/python/main.py获得的以下代码，我的代码如下：

from bitmex_websocket import BitMEXWebsocket
import logging

# Basic use of websocket.
def run():
    logger = setup_logger()

    # Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
    ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
                         api_key=api_key, api_secret=api_secret)

    logger.info("Instrument data: %s" % ws.get_instrument())

    # Run forever
    while(ws.ws.sock.connected):
        # CODE TO STREAM THE LIVE TRADE
        logger.info("Recent Trades: %s\n\n" % ws.recent_trades())

def setup_logger():
    # Prints logger info to terminal
    logger = logging.getLogger()
    logger.setLevel(logging.INFO)  # Change this to DEBUG if you want a lot more info
    ch = logging.StreamHandler()
    # create formatter
    formatter = logging.Formatter("%(asctime)s - %(name)s - %(levelname)s - %(message)s")
    # add formatter to ch
    ch.setFormatter(formatter)
    logger.addHandler(ch)
    return logger

if __name__ == "__main__":
    run()

这是我得到的输出：

2019-09-08 02:35:35,220 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]


2019-09-08 02:35:35,221 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]


2019-09-08 02:35:35,222 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}]

如您所见，所有 3 个输出都是针对同一笔交易的，我怎样才能让代码仅打印发生的实时唯一交易但不是连续同一笔交易？

有时，我会获得一大段流，其中每个流包含一些交易，例如：

2019-09-08 02:36:03,539 - root - INFO - Recent Trades: [{'timestamp': '2019-09-07T18:35:21.333Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 100, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'b5f7a502-9d28-5139-19e3-b713f7d86426', 'grossValue': 953900, 'homeNotional': 0.009539, 'foreignNotional': 100}, {'timestamp': '2019-09-07T18:36:04.168Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 1485, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '8edc4253-85fa-dc93-23e4-3394be2153cc', 'grossValue': 14165415, 'homeNotional': 0.14165415, 'foreignNotional': 1485}, {'timestamp': '2019-09-07T18:36:04.168Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 10, 'price': 10483, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '09bea4d1-14e2-86af-7152-38d468e7fbed', 'grossValue': 95390, 'homeNotional': 0.0009539, 'foreignNotional': 10},

我怎样才能将它们分成单独的交易？我希望的输出将是列表中的每笔交易： [timestamp, price, qty, side]

并运行一个函数来对每笔交易执行一些计算。谢谢！

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1 回答 1

5

好问题 - 看起来没有一种明显的方法可以使用该库获取事件驱动的 websocket 消息（即使您尝试只订阅trade频道！）

鉴于您当前的代码，这是最简单的解决方案。它会记录您的最后一笔交易，并且仅在发生变化时记录。

from bitmex_websocket import BitMEXWebsocket
import logging
import time

# Basic use of websocket.
def run():
    logger = setup_logger()

    # Instantiating the WS will make it connect. Be sure to add your api_key/api_secret.
    ws = BitMEXWebsocket(endpoint="https://testnet.bitmex.com/api/v1", symbol="XBTUSD",
                         api_key=api_key, api_secret=api_secret)

    logger.info("Instrument data: %s" % ws.get_instrument())

    # Run forever
    start_time = time.time()
    trades = []

    while(ws.ws.sock.connected):
        recent = ws.recent_trades()[-1] # take only last (most recent) trade

        if not len(trades) or trades[-1] != recent:
            # only store first trade or changed ones
            logger.info("Trade: %s" % recent)
            trades.append(recent)
            # you could call some other useful function here
        else:
            logger.info('Unchanged')

        # below recommended to slow down your poll slightly
        time.sleep(0.05)

        # below is just to exit loop after 5 secs and print the trades
        if time.time() > start_time + 5:
            print(trades)
            break

输出：

2019-09-11 23:57:28,601 - bitmex_websocket - INFO - Connected to WS.
2019-09-11 23:57:30,139 - bitmex_websocket - INFO - Got all market data. Starting.
2019-09-11 23:57:30,140 - root - INFO - Instrument data: {'symbol': 'XBTUSD', ...
2019-09-11 23:57:30,142 - root - INFO - Trade: {'timestamp': '2019-09-11T22:57:29.880Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 159, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'cc39257d-dc11-5b90-a0cc-ebabe7b6d104', 'grossValue': 1566945, 'homeNotional': 0.01566945, 'foreignNotional': 159}
2019-09-11 23:57:30,196 - root - INFO - Unchanged
2019-09-11 23:57:30,248 - root - INFO - Unchanged
2019-09-11 23:57:30,299 - root - INFO - Unchanged
2019-09-11 23:57:34,614 - root - INFO - Unchanged
2019-09-11 23:57:34,683 - root - INFO - Trade: {'timestamp': '2019-09-11T22:57:33.298Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 145, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '3f12ae9f-371e-6261-3380-456b3c0a3c06', 'grossValue': 1428975, 'homeNotional': 0.01428975, 'foreignNotional': 145}
2019-09-11 23:57:34,752 - root - INFO - Unchanged

[
    {'timestamp': '2019-09-11T22:57:29.880Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 159, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': 'cc39257d-dc11-5b90-a0cc-ebabe7b6d104', 'grossValue': 1566945, 'homeNotional': 0.01566945, 'foreignNotional': 159}, 
    {'timestamp': '2019-09-11T22:57:33.298Z', 'symbol': 'XBTUSD', 'side': 'Sell', 'size': 145, 'price': 10147, 'tickDirection': 'ZeroMinusTick', 'trdMatchID': '3f12ae9f-371e-6261-3380-456b3c0a3c06', 'grossValue': 1428975, 'homeNotional': 0.01428975, 'foreignNotional': 145}
]

希望这可以帮助！

编辑：要提取您想要的信息，只需执行以下操作：

    # Run forever
    start_time = time.time()
    trades = []

    while(ws.ws.sock.connected):
        recent = ws.recent_trades()[-1] # take only last (most recent) trade

        if not len(trades) or trades[-1] != recent:
            # only store first trade or changed ones
            useful = {
                "time": recent["timestamp"],
                "price": recent["price"],
                "size": recent["size"],
            }
            logger.info("Trade: %s" % useful)
            trades.append(useful)

            my_processing_func(trades) 

        # below recommended to slow down your poll slightly
        time.sleep(0.05)

def my_processing_func(trades):
    # This gets called every new trade, and gives you all past trades
    # You may want to write them all to a file or just pass the most recent trade

    just_sizes = [t["size"] for t in trades]

如果要让它连续运行，请删除我添加的块：

        # below is just to exit loop after 5 secs and print the trades
        if time.time() > start_time + 5:
            print(trades)
            break
于 2019-09-11T23:01:31.260 回答