added Huobi HTX data provider
This commit is contained in:
Dobromir Popov
@ -47,6 +47,7 @@ from .tick_aggregator import RealTimeTickAggregator, RawTick, OHLCVBar
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from .cnn_monitor import log_cnn_prediction
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from .williams_market_structure import WilliamsMarketStructure, PivotPoint, TrendLevel
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from .enhanced_cob_websocket import EnhancedCOBWebSocket, get_enhanced_cob_websocket
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from .huobi_cob_websocket import get_huobi_cob_websocket
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from .cob_integration import COBIntegration
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logger = logging.getLogger(__name__)
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@ -4279,7 +4280,7 @@ class DataProvider:
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dashboard_callback=self._on_cob_websocket_status
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)
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# Add callback for COB data
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# Add callback for Binance COB data
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self.enhanced_cob_websocket.add_cob_callback(self._on_cob_websocket_data)
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# Start WebSocket in background thread
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@ -4307,6 +4308,103 @@ class DataProvider:
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except Exception as e:
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logger.error(f"Error initializing COB WebSocket: {e}")
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self._start_rest_only_cob_collection()
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# Start Huobi WS in background (parallel to Binance) and merge data
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try:
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import asyncio
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def run_huobi_ws():
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try:
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loop = asyncio.new_event_loop()
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asyncio.set_event_loop(loop)
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ws = loop.run_until_complete(get_huobi_cob_websocket(self.symbols))
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ws.add_cob_callback(lambda symbol, data: asyncio.run_coroutine_threadsafe(self._merge_huobi_tick(symbol, data), loop))
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loop.run_forever()
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except Exception as he:
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logger.error(f"Error in Huobi WS thread: {he}")
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huobi_thread = threading.Thread(target=run_huobi_ws, daemon=True)
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huobi_thread.start()
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logger.info("Huobi COB WebSocket initialized and started")
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except Exception as he:
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logger.warning(f"Huobi COB WebSocket init failed: {he}")
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async def _merge_huobi_tick(self, symbol: str, huobi_data: dict):
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"""Merge Huobi depth into consolidated snapshot for symbol with minimal overhead.
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Strategy: prefer best bid/ask from best spread; sum top-N notional liquidity across exchanges.
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"""
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try:
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# Update latest cache for Huobi
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if not huobi_data or not isinstance(huobi_data, dict):
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return
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# Build a lightweight merged snapshot using latest Binance (if any)
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with self.subscriber_lock:
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latest = {}
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if hasattr(self, 'cob_data_cache') and symbol in self.cob_data_cache and self.cob_data_cache[symbol]:
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latest = dict(self.cob_data_cache[symbol][-1])
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# Construct merged bids/asks limited depth
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hb_bids = huobi_data.get('bids', []) or []
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hb_asks = huobi_data.get('asks', []) or []
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bn_bids = latest.get('bids', []) if isinstance(latest.get('bids'), list) else []
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bn_asks = latest.get('asks', []) if isinstance(latest.get('asks'), list) else []
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# Concatenate and re-sort with depth limit
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merged_bids = (bn_bids + hb_bids)[:2000]
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merged_asks = (bn_asks + hb_asks)[:2000]
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if merged_bids:
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merged_bids.sort(key=lambda x: x['price'], reverse=True)
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if merged_asks:
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merged_asks.sort(key=lambda x: x['price'])
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merged_bids = merged_bids[:1000]
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merged_asks = merged_asks[:1000]
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# Stats from merged
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if merged_bids and merged_asks:
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best_bid = merged_bids[0]['price']
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best_ask = merged_asks[0]['price']
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mid = (best_bid + best_ask) / 2.0
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spread = best_ask - best_bid
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spread_bps = (spread / mid) * 10000 if mid > 0 else 0
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top_bids = merged_bids[:20]
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top_asks = merged_asks[:20]
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bid_vol = sum(x['price'] * x['size'] for x in top_bids)
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ask_vol = sum(x['price'] * x['size'] for x in top_asks)
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total = bid_vol + ask_vol
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merged_stats = {
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'best_bid': best_bid,
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'best_ask': best_ask,
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'mid_price': mid,
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'spread': spread,
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'spread_bps': spread_bps,
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'bid_volume': bid_vol,
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'ask_volume': ask_vol,
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'imbalance': (bid_vol - ask_vol) / total if total > 0 else 0.0,
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}
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else:
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merged_stats = latest.get('stats', {}) if isinstance(latest.get('stats', {}), dict) else {}
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# Create merged snapshot (preserve original + annotate source)
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merged = {
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'symbol': symbol,
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'timestamp': time.time(),
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'bids': merged_bids,
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'asks': merged_asks,
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'stats': merged_stats,
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'source': 'merged_ws',
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'exchanges': ['binance', 'huobi']
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}
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# Store as new tick into raw deque and cache
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if hasattr(self, 'cob_raw_ticks') and symbol in self.cob_raw_ticks:
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self.cob_raw_ticks[symbol].append(merged)
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if not hasattr(self, 'cob_data_cache'):
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self.cob_data_cache = {}
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if symbol not in self.cob_data_cache:
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self.cob_data_cache[symbol] = []
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self.cob_data_cache[symbol].append(merged)
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if len(self.cob_data_cache[symbol]) > 1800:
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self.cob_data_cache[symbol].pop(0)
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# Notify subscribers outside lock
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self._notify_cob_subscribers(symbol, merged)
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except Exception as e:
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logger.debug(f"Huobi merge error for {symbol}: {e}")
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def _start_cob_tick_aggregation(self):
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"""Start COB tick aggregation system"""
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