added Huobi HTX data provider
This commit is contained in:
Dobromir Popov
208
core/huobi_cob_websocket.py
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208
core/huobi_cob_websocket.py
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#!/usr/bin/env python3
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"""
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Huobi (HTX) COB WebSocket Connector
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Low-latency order book stream for additional market depth aggregation.
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Features:
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- GZIP-compressed message handling
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- Ping/pong keepalive
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- Automatic reconnection with backoff
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- Per-symbol tasks; safe for Windows
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This module emits standardized COB snapshots via callbacks:
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{ 'symbol': 'ETH/USDT', 'bids': [{'price': .., 'size': ..}], 'asks': [...],
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'exchange': 'huobi', 'source': 'huobi_ws', 'timestamp': datetime }
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"""
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import asyncio
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import json
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import logging
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import time
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from datetime import datetime
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from typing import Callable, Dict, List, Optional
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import gzip
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try:
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import websockets
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from websockets.client import connect as websockets_connect
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WEBSOCKETS_AVAILABLE = True
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except Exception:
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websockets = None
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websockets_connect = None
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WEBSOCKETS_AVAILABLE = False
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logger = logging.getLogger(__name__)
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class HuobiCOBWebSocket:
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"""Minimal Huobi order book WebSocket for depth updates."""
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def __init__(self, symbols: Optional[List[str]] = None):
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# Expect symbols like 'ETH/USDT', 'BTC/USDT'
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self.symbols = symbols or ['ETH/USDT', 'BTC/USDT']
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self.ws_tasks: Dict[str, asyncio.Task] = {}
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self.callbacks: List[Callable] = []
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self._stopping = False
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def add_cob_callback(self, callback: Callable):
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self.callbacks.append(callback)
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async def start(self):
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if not WEBSOCKETS_AVAILABLE:
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logger.warning("Huobi WS not available (websockets missing)")
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return
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for symbol in self.symbols:
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if symbol not in self.ws_tasks or self.ws_tasks[symbol].done():
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self.ws_tasks[symbol] = asyncio.create_task(self._run_symbol(symbol))
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async def stop(self):
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self._stopping = True
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for _, task in list(self.ws_tasks.items()):
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if task and not task.done():
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task.cancel()
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try:
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await task
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except asyncio.CancelledError:
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pass
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def _to_huobi_symbol(self, symbol: str) -> str:
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# 'ETH/USDT' -> 'ethusdt'
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return symbol.replace('/', '').lower()
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async def _run_symbol(self, symbol: str):
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huobi_symbol = self._to_huobi_symbol(symbol)
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sub_msg = {
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"sub": f"market.{huobi_symbol}.depth.step0",
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"id": f"sub_{huobi_symbol}_{int(time.time())}"
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}
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url = "wss://api.huobi.pro/ws"
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backoff = 1
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while not self._stopping:
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try:
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logger.info(f"Huobi: connecting WS for {symbol} -> {url}")
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async with websockets_connect(url, ping_interval=20, ping_timeout=60, close_timeout=10) as ws:
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# Subscribe
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await ws.send(json.dumps(sub_msg))
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logger.info(f"Huobi: subscribed {sub_msg}")
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backoff = 1
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while not self._stopping:
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raw = await ws.recv()
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# Huobi sends gzip-compressed bytes
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if isinstance(raw, (bytes, bytearray)):
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try:
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message = gzip.decompress(raw).decode('utf-8')
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except Exception:
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# Some servers send raw JSON; try decode directly
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try:
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message = raw.decode('utf-8')
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except Exception:
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continue
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else:
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message = raw
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try:
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data = json.loads(message)
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except Exception:
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continue
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# Ping/pong
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if 'ping' in data:
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await ws.send(json.dumps({"pong": data['ping']}))
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continue
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# Depth update
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if 'tick' in data and 'ch' in data:
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tick = data['tick'] or {}
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bids = tick.get('bids', []) or []
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asks = tick.get('asks', []) or []
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# Convert to standardized structure
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std_bids = []
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std_asks = []
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for b in bids[:1000]:
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try:
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price = float(b[0]); size = float(b[1])
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if size > 0:
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std_bids.append({'price': price, 'size': size})
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except Exception:
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continue
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for a in asks[:1000]:
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try:
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price = float(a[0]); size = float(a[1])
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if size > 0:
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std_asks.append({'price': price, 'size': size})
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except Exception:
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continue
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if std_bids:
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std_bids.sort(key=lambda x: x['price'], reverse=True)
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if std_asks:
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std_asks.sort(key=lambda x: x['price'])
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cob = {
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'symbol': symbol,
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'timestamp': datetime.now(),
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'bids': std_bids,
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'asks': std_asks,
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'exchange': 'huobi',
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'source': 'huobi_ws'
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}
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# Stats
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if std_bids and std_asks:
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best_bid = std_bids[0]['price']
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best_ask = std_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 = std_bids[:20]; top_asks = std_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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tot = bid_vol + ask_vol
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cob['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) / tot if tot > 0 else 0.0,
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}
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# Notify
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for cb in self.callbacks:
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try:
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await cb(symbol, cob)
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except Exception as cb_ex:
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logger.debug(f"Huobi callback error: {cb_ex}")
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except asyncio.CancelledError:
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break
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except Exception as e:
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logger.warning(f"Huobi WS error for {symbol}: {e}")
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await asyncio.sleep(backoff)
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backoff = min(backoff * 2, 60)
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huobi_cob_websocket: Optional[HuobiCOBWebSocket] = None
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async def get_huobi_cob_websocket(symbols: Optional[List[str]] = None) -> HuobiCOBWebSocket:
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global huobi_cob_websocket
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if huobi_cob_websocket is None:
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huobi_cob_websocket = HuobiCOBWebSocket(symbols)
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await huobi_cob_websocket.start()
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return huobi_cob_websocket
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async def stop_huobi_cob_websocket():
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global huobi_cob_websocket
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if huobi_cob_websocket:
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await huobi_cob_websocket.stop()
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huobi_cob_websocket = None
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