fix model mappings,dash updates, trading
This commit is contained in:
Dobromir Popov
@ -97,7 +97,7 @@ class EnhancedCOBWebSocket:
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logger.info(f"Enhanced COB WebSocket initialized for symbols: {self.symbols}")
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if not WEBSOCKETS_AVAILABLE:
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logger.error("⚠️ WebSockets module not available - COB data will be limited to REST API")
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logger.error("WebSockets module not available - COB data will be limited to REST API")
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def add_cob_callback(self, callback: Callable):
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"""Add callback for COB data updates"""
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@ -109,7 +109,7 @@ class EnhancedCOBWebSocket:
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async def start(self):
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"""Start COB WebSocket connections"""
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logger.info("🚀 Starting Enhanced COB WebSocket system")
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logger.info("Starting Enhanced COB WebSocket system")
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# Initialize REST session for fallback
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await self._init_rest_session()
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@ -121,11 +121,11 @@ class EnhancedCOBWebSocket:
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# Start monitoring task
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asyncio.create_task(self._monitor_connections())
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logger.info("✅ Enhanced COB WebSocket system started")
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logger.info("Enhanced COB WebSocket system started")
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async def stop(self):
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"""Stop all WebSocket connections"""
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logger.info("🛑 Stopping Enhanced COB WebSocket system")
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logger.info("Stopping Enhanced COB WebSocket system")
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# Cancel all WebSocket tasks
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for symbol, task in self.websocket_tasks.items():
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@ -149,21 +149,161 @@ class EnhancedCOBWebSocket:
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if self.rest_session:
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await self.rest_session.close()
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logger.info("✅ Enhanced COB WebSocket system stopped")
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logger.info("Enhanced COB WebSocket system stopped")
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async def _init_rest_session(self):
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"""Initialize REST API session for fallback"""
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"""Initialize REST API session for fallback and snapshots"""
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try:
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timeout = aiohttp.ClientTimeout(total=10)
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self.rest_session = aiohttp.ClientSession(timeout=timeout)
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logger.info("✅ REST API session initialized for fallback")
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# Windows-compatible configuration without aiodns
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timeout = aiohttp.ClientTimeout(total=10, connect=5)
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connector = aiohttp.TCPConnector(
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limit=100,
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limit_per_host=10,
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enable_cleanup_closed=True,
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use_dns_cache=False, # Disable DNS cache to avoid aiodns
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family=0 # Use default family
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)
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self.rest_session = aiohttp.ClientSession(
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timeout=timeout,
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connector=connector,
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headers={'User-Agent': 'Enhanced-COB-WebSocket/1.0'}
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)
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logger.info("✅ REST API session initialized (Windows compatible)")
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except Exception as e:
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logger.error(f"❌ Failed to initialize REST session: {e}")
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logger.warning(f"⚠️ Failed to initialize REST session: {e}")
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# Try with minimal configuration
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try:
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self.rest_session = aiohttp.ClientSession(
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timeout=aiohttp.ClientTimeout(total=10),
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connector=aiohttp.TCPConnector(use_dns_cache=False)
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)
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logger.info("✅ REST API session initialized with minimal config")
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except Exception as e2:
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logger.warning(f"⚠️ Failed to initialize minimal REST session: {e2}")
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# Continue without REST session - WebSocket only
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self.rest_session = None
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async def _get_order_book_snapshot(self, symbol: str):
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"""Get initial order book snapshot from REST API
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This is necessary for properly maintaining the order book state
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with the WebSocket depth stream.
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"""
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try:
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# Ensure REST session is available
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if not self.rest_session:
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await self._init_rest_session()
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if not self.rest_session:
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logger.warning(f"⚠️ Cannot get order book snapshot for {symbol} - REST session not available, will use WebSocket data only")
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return
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# Convert symbol format for Binance API
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binance_symbol = symbol.replace('/', '')
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# Get order book snapshot with maximum depth
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url = f"https://api.binance.com/api/v3/depth?symbol={binance_symbol}&limit=1000"
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logger.debug(f"🔍 Getting order book snapshot for {symbol} from {url}")
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async with self.rest_session.get(url) as response:
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if response.status == 200:
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data = await response.json()
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# Validate response structure
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if not isinstance(data, dict) or 'bids' not in data or 'asks' not in data:
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logger.error(f"❌ Invalid order book snapshot response for {symbol}: missing bids/asks")
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return
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# Initialize order book state for proper WebSocket synchronization
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self.order_books[symbol] = {
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'bids': {float(price): float(qty) for price, qty in data['bids']},
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'asks': {float(price): float(qty) for price, qty in data['asks']}
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}
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# Store last update ID for synchronization
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if 'lastUpdateId' in data:
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self.last_update_ids[symbol] = data['lastUpdateId']
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logger.info(f"✅ Got order book snapshot for {symbol}: {len(data['bids'])} bids, {len(data['asks'])} asks")
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# Create initial COB data from snapshot
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bids = [{'price': float(price), 'size': float(qty)} for price, qty in data['bids'] if float(qty) > 0]
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asks = [{'price': float(price), 'size': float(qty)} for price, qty in data['asks'] if float(qty) > 0]
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# Sort bids (descending) and asks (ascending)
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bids.sort(key=lambda x: x['price'], reverse=True)
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asks.sort(key=lambda x: x['price'])
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# Create COB data structure if we have valid data
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if bids and asks:
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best_bid = bids[0]
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best_ask = asks[0]
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mid_price = (best_bid['price'] + best_ask['price']) / 2
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spread = best_ask['price'] - best_bid['price']
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spread_bps = (spread / mid_price) * 10000 if mid_price > 0 else 0
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# Calculate volumes
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bid_volume = sum(bid['size'] * bid['price'] for bid in bids)
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ask_volume = sum(ask['size'] * ask['price'] for ask in asks)
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total_volume = bid_volume + ask_volume
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cob_data = {
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'symbol': symbol,
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'timestamp': datetime.now(),
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'bids': bids,
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'asks': asks,
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'source': 'rest_snapshot',
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'exchange': 'binance',
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'stats': {
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'best_bid': best_bid['price'],
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'best_ask': best_ask['price'],
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'mid_price': mid_price,
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'spread': spread,
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'spread_bps': spread_bps,
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'bid_volume': bid_volume,
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'ask_volume': ask_volume,
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'total_bid_volume': bid_volume,
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'total_ask_volume': ask_volume,
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'imbalance': (bid_volume - ask_volume) / total_volume if total_volume > 0 else 0,
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'bid_levels': len(bids),
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'ask_levels': len(asks),
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'timestamp': datetime.now().isoformat()
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}
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}
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# Update cache
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self.latest_cob_data[symbol] = cob_data
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# Notify callbacks
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for callback in self.cob_callbacks:
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try:
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await callback(symbol, cob_data)
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except Exception as e:
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logger.error(f"❌ Error in COB callback: {e}")
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logger.debug(f"📊 Initial snapshot for {symbol}: ${mid_price:.2f}, spread: {spread_bps:.1f} bps")
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else:
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logger.warning(f"⚠️ No valid bid/ask data in snapshot for {symbol}")
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elif response.status == 429:
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logger.warning(f"⚠️ Rate limited getting snapshot for {symbol}, will continue with WebSocket only")
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else:
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logger.error(f"❌ Failed to get order book snapshot for {symbol}: HTTP {response.status}")
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response_text = await response.text()
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logger.debug(f"Response: {response_text}")
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except asyncio.TimeoutError:
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logger.warning(f"⚠️ Timeout getting order book snapshot for {symbol}, will continue with WebSocket only")
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except Exception as e:
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logger.warning(f"⚠️ Error getting order book snapshot for {symbol}: {e}, will continue with WebSocket only")
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logger.debug(f"Snapshot error details: {e}")
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# Don't fail the entire connection due to snapshot issues
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async def _start_symbol_websocket(self, symbol: str):
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"""Start WebSocket connection for a specific symbol"""
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if not WEBSOCKETS_AVAILABLE:
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logger.warning(f"⚠️ WebSockets not available for {symbol}, starting REST fallback")
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logger.warning(f"WebSockets not available for {symbol}, starting REST fallback")
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await self._start_rest_fallback(symbol)
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return
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@ -176,22 +316,25 @@ class EnhancedCOBWebSocket:
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self._websocket_connection_loop(symbol)
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)
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logger.info(f"🔌 Started WebSocket task for {symbol}")
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logger.info(f"Started WebSocket task for {symbol}")
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async def _websocket_connection_loop(self, symbol: str):
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"""Main WebSocket connection loop with reconnection logic"""
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"""Main WebSocket connection loop with reconnection logic
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Uses depth@100ms for fastest updates with maximum depth.
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"""
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status = self.status[symbol]
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while True:
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try:
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logger.info(f"🔌 Attempting WebSocket connection for {symbol} (attempt {status.connection_attempts + 1})")
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logger.info(f"Attempting WebSocket connection for {symbol} (attempt {status.connection_attempts + 1})")
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status.connection_attempts += 1
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# Create WebSocket URL with maximum depth
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# Create WebSocket URL with maximum depth - use depth@100ms for fastest updates
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ws_symbol = symbol.replace('/', '').lower() # BTCUSDT, ETHUSDT
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ws_url = f"wss://stream.binance.com:9443/ws/{ws_symbol}@depth@{self.update_speed}"
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ws_url = f"wss://stream.binance.com:9443/ws/{ws_symbol}@depth@100ms"
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logger.info(f"🔗 Connecting to: {ws_url}")
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logger.info(f"Connecting to: {ws_url}")
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async with websockets_connect(ws_url) as websocket:
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# Connection successful
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@ -199,7 +342,7 @@ class EnhancedCOBWebSocket:
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status.last_error = None
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status.reset_reconnect_delay()
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logger.info(f"✅ WebSocket connected for {symbol}")
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logger.info(f"WebSocket connected for {symbol}")
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await self._notify_dashboard_status(symbol, "connected", "WebSocket connected")
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# Deactivate REST fallback
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@ -216,24 +359,24 @@ class EnhancedCOBWebSocket:
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status.messages_received += 1
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except json.JSONDecodeError as e:
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logger.warning(f"⚠️ Invalid JSON from {symbol} WebSocket: {e}")
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logger.warning(f"Invalid JSON from {symbol} WebSocket: {e}")
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except Exception as e:
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logger.error(f"❌ Error processing WebSocket message for {symbol}: {e}")
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logger.error(f"Error processing WebSocket message for {symbol}: {e}")
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except ConnectionClosed as e:
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status.connected = False
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status.last_error = f"Connection closed: {e}"
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logger.warning(f"🔌 WebSocket connection closed for {symbol}: {e}")
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logger.warning(f"WebSocket connection closed for {symbol}: {e}")
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except WebSocketException as e:
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status.connected = False
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status.last_error = f"WebSocket error: {e}"
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logger.error(f"❌ WebSocket error for {symbol}: {e}")
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logger.error(f"WebSocket error for {symbol}: {e}")
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except Exception as e:
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status.connected = False
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status.last_error = f"Unexpected error: {e}"
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logger.error(f"❌ Unexpected WebSocket error for {symbol}: {e}")
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logger.error(f"Unexpected WebSocket error for {symbol}: {e}")
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logger.error(traceback.format_exc())
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# Connection failed or closed - start REST fallback
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@ -242,51 +385,163 @@ class EnhancedCOBWebSocket:
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# Wait before reconnecting
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status.increase_reconnect_delay()
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logger.info(f"⏳ Waiting {status.reconnect_delay:.1f}s before reconnecting {symbol}")
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logger.info(f"Waiting {status.reconnect_delay:.1f}s before reconnecting {symbol}")
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await asyncio.sleep(status.reconnect_delay)
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async def _process_websocket_message(self, symbol: str, data: Dict):
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"""Process WebSocket message and convert to COB format"""
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try:
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# Binance depth stream format
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if 'b' in data and 'a' in data: # bids and asks
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cob_data = {
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'symbol': symbol,
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'timestamp': datetime.now(),
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'bids': [{'price': float(bid[0]), 'size': float(bid[1])} for bid in data['b']],
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'asks': [{'price': float(ask[0]), 'size': float(ask[1])} for ask in data['a']],
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'source': 'websocket',
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'exchange': 'binance'
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}
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# Calculate stats
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if cob_data['bids'] and cob_data['asks']:
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best_bid = max(cob_data['bids'], key=lambda x: x['price'])
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best_ask = min(cob_data['asks'], key=lambda x: x['price'])
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cob_data['stats'] = {
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'best_bid': best_bid['price'],
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'best_ask': best_ask['price'],
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'spread': best_ask['price'] - best_bid['price'],
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'mid_price': (best_bid['price'] + best_ask['price']) / 2,
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'bid_volume': sum(bid['size'] for bid in cob_data['bids']),
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'ask_volume': sum(ask['size'] for ask in cob_data['asks'])
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}
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# Update cache
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self.latest_cob_data[symbol] = cob_data
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# Notify callbacks
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for callback in self.cob_callbacks:
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try:
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await callback(symbol, cob_data)
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except Exception as e:
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logger.error(f"❌ Error in COB callback: {e}")
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logger.debug(f"📊 Processed WebSocket COB data for {symbol}: {len(cob_data['bids'])} bids, {len(cob_data['asks'])} asks")
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"""Process WebSocket message and convert to COB format
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Based on the working implementation from cob_realtime_dashboard.py
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Using maximum depth for best performance - no order book maintenance needed.
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"""
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try:
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# Extract bids and asks from the message - handle all possible formats
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bids_data = data.get('b', [])
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asks_data = data.get('a', [])
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# Process the order book data - filter out zero quantities
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# Binance uses 0 quantity to indicate removal from the book
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valid_bids = []
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valid_asks = []
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# Process bids
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for bid in bids_data:
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try:
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if len(bid) >= 2:
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price = float(bid[0])
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size = float(bid[1])
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if size > 0: # Only include non-zero quantities
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valid_bids.append({'price': price, 'size': size})
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except (IndexError, ValueError, TypeError):
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continue
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# Process asks
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for ask in asks_data:
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try:
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if len(ask) >= 2:
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price = float(ask[0])
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size = float(ask[1])
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if size > 0: # Only include non-zero quantities
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valid_asks.append({'price': price, 'size': size})
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except (IndexError, ValueError, TypeError):
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continue
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# Sort bids (descending) and asks (ascending) for proper order book
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valid_bids.sort(key=lambda x: x['price'], reverse=True)
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valid_asks.sort(key=lambda x: x['price'])
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# Limit to maximum depth (1000 levels for maximum DOM)
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max_depth = 1000
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if len(valid_bids) > max_depth:
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valid_bids = valid_bids[:max_depth]
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if len(valid_asks) > max_depth:
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valid_asks = valid_asks[:max_depth]
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# Create COB data structure matching the working dashboard format
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cob_data = {
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'symbol': symbol,
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'timestamp': datetime.now(),
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'bids': valid_bids,
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'asks': valid_asks,
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'source': 'enhanced_websocket',
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'exchange': 'binance'
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}
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# Calculate comprehensive stats if we have valid data
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if valid_bids and valid_asks:
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best_bid = valid_bids[0] # Already sorted, first is highest
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best_ask = valid_asks[0] # Already sorted, first is lowest
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# Core price metrics
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mid_price = (best_bid['price'] + best_ask['price']) / 2
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spread = best_ask['price'] - best_bid['price']
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spread_bps = (spread / mid_price) * 10000 if mid_price > 0 else 0
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# Volume calculations (notional value) - limit to top 20 levels for performance
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top_bids = valid_bids[:20]
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top_asks = valid_asks[:20]
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bid_volume = sum(bid['size'] * bid['price'] for bid in top_bids)
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ask_volume = sum(ask['size'] * ask['price'] for ask in top_asks)
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# Size calculations (base currency)
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bid_size = sum(bid['size'] for bid in top_bids)
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ask_size = sum(ask['size'] for ask in top_asks)
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# Imbalance calculations
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total_volume = bid_volume + ask_volume
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volume_imbalance = (bid_volume - ask_volume) / total_volume if total_volume > 0 else 0
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total_size = bid_size + ask_size
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size_imbalance = (bid_size - ask_size) / total_size if total_size > 0 else 0
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cob_data['stats'] = {
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'best_bid': best_bid['price'],
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'best_ask': best_ask['price'],
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'mid_price': mid_price,
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'spread': spread,
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'spread_bps': spread_bps,
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'bid_volume': bid_volume,
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'ask_volume': ask_volume,
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'total_bid_volume': bid_volume,
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'total_ask_volume': ask_volume,
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'bid_liquidity': bid_volume, # Add liquidity fields
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'ask_liquidity': ask_volume,
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'total_bid_liquidity': bid_volume,
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'total_ask_liquidity': ask_volume,
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'bid_size': bid_size,
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'ask_size': ask_size,
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'volume_imbalance': volume_imbalance,
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'size_imbalance': size_imbalance,
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'imbalance': volume_imbalance, # Default to volume imbalance
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'bid_levels': len(valid_bids),
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'ask_levels': len(valid_asks),
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'timestamp': datetime.now().isoformat(),
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'update_id': data.get('u', 0), # Binance update ID
|
||||
'event_time': data.get('E', 0) # Binance event time
|
||||
}
|
||||
else:
|
||||
# Provide default stats if no valid data
|
||||
cob_data['stats'] = {
|
||||
'best_bid': 0,
|
||||
'best_ask': 0,
|
||||
'mid_price': 0,
|
||||
'spread': 0,
|
||||
'spread_bps': 0,
|
||||
'bid_volume': 0,
|
||||
'ask_volume': 0,
|
||||
'total_bid_volume': 0,
|
||||
'total_ask_volume': 0,
|
||||
'bid_size': 0,
|
||||
'ask_size': 0,
|
||||
'volume_imbalance': 0,
|
||||
'size_imbalance': 0,
|
||||
'imbalance': 0,
|
||||
'bid_levels': 0,
|
||||
'ask_levels': 0,
|
||||
'timestamp': datetime.now().isoformat(),
|
||||
'update_id': data.get('u', 0),
|
||||
'event_time': data.get('E', 0)
|
||||
}
|
||||
|
||||
# Update cache
|
||||
self.latest_cob_data[symbol] = cob_data
|
||||
|
||||
# Notify callbacks
|
||||
for callback in self.cob_callbacks:
|
||||
try:
|
||||
await callback(symbol, cob_data)
|
||||
except Exception as e:
|
||||
logger.error(f"Error in COB callback: {e}")
|
||||
|
||||
# Log success with key metrics (only for non-empty updates)
|
||||
if valid_bids and valid_asks:
|
||||
logger.debug(f"{symbol}: ${cob_data['stats']['mid_price']:.2f}, {len(valid_bids)} bids, {len(valid_asks)} asks, spread: {cob_data['stats']['spread_bps']:.1f} bps")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"❌ Error processing WebSocket message for {symbol}: {e}")
|
||||
logger.error(f"Error processing WebSocket message for {symbol}: {e}")
|
||||
import traceback
|
||||
logger.debug(traceback.format_exc())
|
||||
|
||||
async def _start_rest_fallback(self, symbol: str):
|
||||
"""Start REST API fallback for a symbol"""
|
||||
@ -304,7 +559,7 @@ class EnhancedCOBWebSocket:
|
||||
self._rest_fallback_loop(symbol)
|
||||
)
|
||||
|
||||
logger.warning(f"⚠️ Started REST API fallback for {symbol}")
|
||||
logger.warning(f"Started REST API fallback for {symbol}")
|
||||
await self._notify_dashboard_status(symbol, "fallback", "Using REST API fallback")
|
||||
|
||||
async def _stop_rest_fallback(self, symbol: str):
|
||||
@ -317,7 +572,7 @@ class EnhancedCOBWebSocket:
|
||||
if symbol in self.rest_tasks and not self.rest_tasks[symbol].done():
|
||||
self.rest_tasks[symbol].cancel()
|
||||
|
||||
logger.info(f"✅ Stopped REST API fallback for {symbol}")
|
||||
logger.info(f"Stopped REST API fallback for {symbol}")
|
||||
|
||||
async def _rest_fallback_loop(self, symbol: str):
|
||||
"""REST API fallback loop"""
|
||||
@ -328,7 +583,7 @@ class EnhancedCOBWebSocket:
|
||||
except asyncio.CancelledError:
|
||||
break
|
||||
except Exception as e:
|
||||
logger.error(f"❌ REST fallback error for {symbol}: {e}")
|
||||
logger.error(f"REST fallback error for {symbol}: {e}")
|
||||
await asyncio.sleep(5) # Wait longer on error
|
||||
|
||||
async def _fetch_rest_orderbook(self, symbol: str):
|
||||
@ -381,10 +636,10 @@ class EnhancedCOBWebSocket:
|
||||
logger.debug(f"📊 Fetched REST COB data for {symbol}: {len(cob_data['bids'])} bids, {len(cob_data['asks'])} asks")
|
||||
|
||||
else:
|
||||
logger.warning(f"⚠️ REST API error for {symbol}: HTTP {response.status}")
|
||||
logger.warning(f"REST API error for {symbol}: HTTP {response.status}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"❌ Error fetching REST order book for {symbol}: {e}")
|
||||
logger.error(f"Error fetching REST order book for {symbol}: {e}")
|
||||
|
||||
async def _monitor_connections(self):
|
||||
"""Monitor WebSocket connections and provide status updates"""
|
||||
@ -399,33 +654,40 @@ class EnhancedCOBWebSocket:
|
||||
if status.connected and status.last_message_time:
|
||||
time_since_last = datetime.now() - status.last_message_time
|
||||
if time_since_last > timedelta(seconds=30):
|
||||
logger.warning(f"⚠️ No messages from {symbol} WebSocket for {time_since_last.total_seconds():.0f}s")
|
||||
logger.warning(f"No messages from {symbol} WebSocket for {time_since_last.total_seconds():.0f}s")
|
||||
await self._notify_dashboard_status(symbol, "stale", "No recent messages")
|
||||
|
||||
# Log status
|
||||
if status.connected:
|
||||
logger.debug(f"✅ {symbol}: Connected, {status.messages_received} messages received")
|
||||
logger.debug(f"{symbol}: Connected, {status.messages_received} messages received")
|
||||
elif self.rest_fallback_active[symbol]:
|
||||
logger.debug(f"⚠️ {symbol}: Using REST fallback")
|
||||
logger.debug(f"{symbol}: Using REST fallback")
|
||||
else:
|
||||
logger.debug(f"❌ {symbol}: Disconnected, last error: {status.last_error}")
|
||||
logger.debug(f"{symbol}: Disconnected, last error: {status.last_error}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"❌ Error in connection monitor: {e}")
|
||||
logger.error(f"Error in connection monitor: {e}")
|
||||
|
||||
async def _notify_dashboard_status(self, symbol: str, status: str, message: str):
|
||||
"""Notify dashboard of status changes"""
|
||||
try:
|
||||
if self.dashboard_callback:
|
||||
await self.dashboard_callback({
|
||||
status_data = {
|
||||
'type': 'cob_status',
|
||||
'symbol': symbol,
|
||||
'status': status,
|
||||
'message': message,
|
||||
'timestamp': datetime.now().isoformat()
|
||||
})
|
||||
}
|
||||
|
||||
# Check if callback is async or sync
|
||||
if asyncio.iscoroutinefunction(self.dashboard_callback):
|
||||
await self.dashboard_callback(status_data)
|
||||
else:
|
||||
# Call sync function directly
|
||||
self.dashboard_callback(status_data)
|
||||
except Exception as e:
|
||||
logger.error(f"❌ Error notifying dashboard: {e}")
|
||||
logger.error(f"Error notifying dashboard: {e}")
|
||||
|
||||
def get_status_summary(self) -> Dict[str, Any]:
|
||||
"""Get status summary for all symbols"""
|
||||
|
||||
Reference in New Issue
Block a user