Class: Bitfinex::WSv2
Overview
Implements version 2 of the Bitfinex WebSocket API, taking an evented approach. Incoming packets trigger event broadcasts with names relevant to the individual packets. Provides order manipulation methods that support callback blocks, which are called when the relevant confirmation notifications are received
Constant Summary collapse
- INFO_SERVER_RESTART =
20051
- INFO_MAINTENANCE_START =
20060
- INFO_MAINTENANCE_END =
20061
- FLAG_DEC_S =
enables all decimals as strings
8, # enables all decimals as strings FLAG_TIME_S = 32, # enables all timestamps as strings FLAG_TIMESTAMP = 32768, # timestamps in milliseconds FLAG_SEQ_ALL = 65536, # enable sequencing FLAG_CHECKSUM = 131072
Instance Method Summary collapse
-
#auth!(calc = 0, dms = 0) ⇒ Object
Authenticates the socket connection.
-
#cancel_order(order, &cb) ⇒ Object
Cancel an order by ID.
-
#close! ⇒ Object
Closes the websocket client.
-
#enable_flag(flag) ⇒ Object
Enable an individual flag (see FLAG_* constants).
-
#enable_ob_checksums(audit = true) ⇒ Object
Sets the flag to activate order book checksums.
-
#enable_sequencing(audit = true) ⇒ Object
Sets the flag to activate sequence numbers on incoming packets.
-
#handle_auth_event(msg) ⇒ Object
:nodoc:.
-
#handle_auth_message(msg, chan) ⇒ Object
:nodoc:.
-
#handle_candles_message(msg, chan) ⇒ Object
:nodoc:.
-
#handle_config_event(msg) ⇒ Object
:nodoc:.
-
#handle_error_event(msg) ⇒ Object
:nodoc:.
-
#handle_info_event(msg) ⇒ Object
:nodoc:.
-
#handle_notification_promises(n) ⇒ Object
Resolves/rejects any pending promise associated with the notification.
-
#handle_order_book_checksum_message(msg, chan) ⇒ Object
:nodoc:.
-
#handle_order_book_message(msg, chan) ⇒ Object
:nodoc:.
-
#handle_subscribed_event(msg) ⇒ Object
:nodoc:.
-
#handle_ticker_message(msg, chan) ⇒ Object
:nodoc:.
-
#handle_trades_message(msg, chan) ⇒ Object
:nodoc:.
-
#handle_unsubscribed_event(msg) ⇒ Object
:nodoc:.
-
#initialize(params = {}) ⇒ WSv2
constructor
Creates a new instance of the class.
-
#is_flag_enabled(flag) ⇒ boolean
Checks if an individual flag is enabled (see FLAG_* constants).
-
#new_nonce ⇒ Object
:nodoc:.
-
#on_close(e) ⇒ Object
:nodoc:.
-
#on_message(e) ⇒ Object
:nodoc:.
-
#on_open(e) ⇒ Object
:nodoc:.
-
#open! ⇒ Object
Opens the websocket client inside an eventmachine run block.
-
#process_channel_message(msg) ⇒ Object
:nodoc:.
-
#process_event_message(msg) ⇒ Object
:nodoc:.
-
#process_message(msg) ⇒ Object
:nodoc:.
-
#request_calc(prefixes) ⇒ Object
Requests a calculation to be performed.
-
#sign(payload) ⇒ Object
:nodoc:.
-
#submit_order(order, &cb) ⇒ Object
Submit a new order.
-
#subscribe(channel, params = {}) ⇒ Object
Subscribes to the specified channel; params dictate the channel filter.
-
#subscribe_candles(key) ⇒ Object
Subscribes to a candle channel by key.
-
#subscribe_order_book(sym, prec, len) ⇒ Object
Subscribes to an order book channel.
-
#subscribe_ticker(sym) ⇒ Object
Subscribes to a ticker channel by symbol.
-
#subscribe_trades(sym) ⇒ Object
Subscribes to a trades channel by symbol.
-
#update_order(changes, &cb) ⇒ Object
Update an order with a changeset by ID.
-
#validate_message_seq(msg) ⇒ Object
:nodoc:.
Constructor Details
#initialize(params = {}) ⇒ WSv2
Creates a new instance of the class
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# File 'lib/ws/ws2.rb', line 62 def initialize (params = {}) @l = Logger.new(STDOUT) @l.progname = 'ws2' @url = params[:url] || 'wss://api.bitfinex.com/ws/2' @api_key = params[:api_key] @api_secret = params[:api_secret] @manage_obs = params[:manage_order_books] @transform = !!params[:transform] @seq_audit = !!params[:seq_audit] @checksum_audit = !!params[:checksum_audit] @enabled_flags = 0 @is_open = false @is_authenticated = false @channel_map = {} @order_books = {} @pending_blocks = {} @last_pub_seq = nil @last_auth_seq = nil end |
Instance Method Details
#auth!(calc = 0, dms = 0) ⇒ Object
Authenticates the socket connection
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# File 'lib/ws/ws2.rb', line 624 def auth! (calc = 0, dms = 0) if @is_authenticated raise Exception, 'already authenticated' end auth_nonce = new_nonce auth_payload = "AUTH#{auth_nonce}#{auth_nonce}" sig = sign(auth_payload) @ws.send(JSON.generate({ :event => 'auth', :apiKey => @api_key, :authSig => sig, :authPayload => auth_payload, :authNonce => auth_nonce, :dms => dms, :calc => calc })) end |
#cancel_order(order, &cb) ⇒ Object
Cancel an order by ID
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# File 'lib/ws/ws2.rb', line 683 def cancel_order (order, &cb) return if !@is_authenticated if order.is_a?(Numeric) id = order elsif order.is_a?(Array) id = order[0] elsif order.instance_of?(Models::Order) id = order.id elsif order.kind_of?(Hash) id = order[:id] || order['id'] else raise Exception, 'tried to cancel order with invalid ID' end @ws.send(JSON.generate([0, 'oc', nil, { :id => id }])) if !cb.nil? @pending_blocks["order-cancel-#{id}"] = cb end end |
#close! ⇒ Object
Closes the websocket client
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# File 'lib/ws/ws2.rb', line 136 def close! @ws.close end |
#enable_flag(flag) ⇒ Object
Enable an individual flag (see FLAG_* constants)
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# File 'lib/ws/ws2.rb', line 578 def enable_flag (flag) return unless @is_open @ws.send(JSON.generate({ :event => 'conf', :flags => @enabled_flags | flag })) end |
#enable_ob_checksums(audit = true) ⇒ Object
Sets the flag to activate order book checksums. Managed order books are required for automatic checksum audits.
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# File 'lib/ws/ws2.rb', line 613 def enable_ob_checksums (audit = true) @checksum_audit = audit enable_flag(FLAG_CHECKSUM) end |
#enable_sequencing(audit = true) ⇒ Object
Sets the flag to activate sequence numbers on incoming packets
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# File 'lib/ws/ws2.rb', line 602 def enable_sequencing (audit = true) @seq_audit = audit enable_flag(FLAG_SEQ_ALL) end |
#handle_auth_event(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 506 def handle_auth_event (msg) # :nodoc: if msg['status'] != 'OK' @l.error "auth failed: #{msg['message']}" return end @channel_map[msg['chanId']] = { 'channel' => 'auth' } @is_authenticated = true emit(:auth, msg) @l.info 'authenticated' end |
#handle_auth_message(msg, chan) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 359 def (msg, chan) # :nodoc: type = msg[1] return if type == 'hb' payload = msg[2] case type when 'n' emit(:notification, @transform ? Models::Notification.new(payload) : payload) handle_notification_promises(payload) when 'te' emit(:trade_entry, @transform ? Models::Trade.new(payload) : payload) when 'tu' emit(:trade_update, @transform ? Models::Trade.new(payload) : payload) when 'os' emit(:order_snapshot, @transform ? payload.map { |o| Models::Order.new(o) } : payload) when 'ou' emit(:order_update, @transform ? Models::Order.new(payload) : payload) when 'on' emit(:order_new, @transform ? Models::Order.new(payload) : payload) when 'oc' emit(:order_close, @transform ? Models::Order.new(payload) : payload) when 'ps' emit(:position_snapshot, @transform ? payload.map { |p| Models::Position.new(p) } : payload) when 'pn' emit(:position_new, @transform ? Models::Position.new(payload) : payload) when 'pu' emit(:position_update, @transform ? Models::Position.new(payload) : payload) when 'pc' emit(:position_close, @transform ? Models::Position.new(payload) : payload) when 'fos' emit(:funding_offer_snapshot, @transform ? payload.map { |fo| Models::FundingOffer.new(fo) } : payload) when 'fon' emit(:funding_offer_new, @transform ? Models::FundingOffer.new(payload) : payload) when 'fou' emit(:funding_offer_update, @transform ? Models::FundingOffer.new(payload) : payload) when 'foc' emit(:funding_offer_close, @transform ? Models::FundingOffer.new(payload) : payload) when 'fcs' emit(:funding_credit_snapshot, @transform ? payload.map { |fc| Models::FundingCredit.new(fc) } : payload) when 'fcn' emit(:funding_credit_new, @transform ? Models::FundingCredit.new(payload) : payload) when 'fcu' emit(:funding_credit_update, @transform ? Models::FundingCredit.new(payload) : payload) when 'fcc' emit(:funding_credit_close, @transform ? Models::FundingCredit.new(payload) : payload) when 'fls' emit(:funding_loan_snapshot, @transform ? payload.map { |fl| Models::FundingLoan.new(fl) } : payload) when 'fln' emit(:funding_loan_new, @transform ? Models::FundingLoan.new(payload) : payload) when 'flu' emit(:funding_loan_update, @transform ? Models::FundingLoan.new(payload) : payload) when 'flc' emit(:funding_loan_close, @transform ? Models::FundingLoan.new(payload) : payload) when 'ws' emit(:wallet_snapshot, @transform ? payload.map { |w| Models::Wallet.new(payload) } : payload) when 'wu' emit(:wallet_update, @transform ? Models::Wallet.new(payload) : payload) when 'bu' emit(:balance_update, @transform ? Models::BalanceInfo.new(payload) : payload) when 'miu' emit(:margin_info_update, @transform ? Models::MarginInfo.new(payload) : payload) when 'fiu' emit(:funding_info_update, @transform ? Models::FundingInfo.new(payload) : payload) when 'fte' emit(:funding_trade_entry, @transform ? Models::FundingTrade.new(payload) : payload) when 'ftu' emit(:funding_trade_update, @transform ? Models::FundingTrade.new(payload) : payload) end end |
#handle_candles_message(msg, chan) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 258 def (msg, chan) # :nodoc: payload = msg[1] if payload[0].kind_of?(Array) emit(:candles, chan['key'], @transform ? payload.map { |c| Models::Candle.new(c) } : payload) else emit(:candles, chan['key'], @transform ? Models::Candle.new(payload) : payload) end end |
#handle_config_event(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 552 def handle_config_event (msg) # :nodoc: if msg['status'] != 'OK' @l.error "config failed: #{msg['message']}" else @l.info "flags updated to #{msg['flags']}" @enabled_flags = msg['flags'] end end |
#handle_error_event(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 548 def handle_error_event (msg) # :nodoc: @l.error msg end |
#handle_info_event(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 519 def handle_info_event (msg) # :nodoc: if msg.include?('version') if msg['version'] != 2 close! raise Exception, "server not running API v2: #{msg['version']}" end platform = msg['platform'] @l.info "server running API v2 (platform: %s (%d))" % [ platform['status'] == 0 ? 'under maintenance' : 'operating normally', platform['status'] ] elsif msg.include?('code') code = msg['code'] if code == INFO_SERVER_RESTART @l.info 'server restarted, please reconnect' emit(:server_restart) elsif code == INFO_MAINTENANCE_START @l.info 'server maintenance period started!' emit(:maintenance_start) elsif code == INFO_MAINTENANCE_END @l.info 'server maintenance period ended!' emit(:maintenance_end) end end end |
#handle_notification_promises(n) ⇒ Object
Resolves/rejects any pending promise associated with the notification
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# File 'lib/ws/ws2.rb', line 310 def handle_notification_promises (n) # :nodoc: type = n[1] payload = n[4] status = n[6] msg = n[7] return unless payload.kind_of?(Array) # expect order payload case type when 'on-req' cid = payload[2] k = "order-new-#{cid}" return unless @pending_blocks.has_key?(k) if status == 'SUCCESS' @pending_blocks[k].call(@transform ? Models::Order.new(payload) : payload) else @pending_blocks[k].call(Exception.new("#{status}: #{msg}")) end @pending_blocks.delete(k) when 'oc-req' id = payload[0] k = "order-cancel-#{id}" return unless @pending_blocks.has_key?(k) if status == 'SUCCESS' @pending_blocks[k].call(payload) else @pending_blocks[k].call(Exception.new("#{status}: #{msg}")) end @pending_blocks.delete(k) when 'ou-req' id = payload[0] k = "order-update-#{id}" return unless @pending_blocks.has_key?(k) if status == 'SUCCESS' @pending_blocks[k].call(@transform ? Models::Order.new(payload) : payload) else @pending_blocks[k].call(Exception.new("#{status}: #{msg}")) end end end |
#handle_order_book_checksum_message(msg, chan) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 268 def (msg, chan) # :nodoc: key = "#{chan['symbol']}:#{chan['prec']}:#{chan['len']}" emit(:checksum, chan['symbol'], msg) return unless @manage_obs return unless @order_books.has_key?(key) remote_cs = msg[2] local_cs = @order_books[key].checksum if local_cs != remote_cs err = "OB checksum mismatch, have #{local_cs} want #{remote_cs} [#{chan['symbol']}" @l.error err emit(:error, err) else @l.info "OB checksum OK #{local_cs} [#{chan['symbol']}]" end end |
#handle_order_book_message(msg, chan) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 287 def (msg, chan) # :nodoc: ob = msg[1] if @manage_obs key = "#{chan['symbol']}:#{chan['prec']}:#{chan['len']}" if !@order_books.has_key?(key) @order_books[key] = Models::OrderBook.new(ob, chan['prec'][0] == 'R') else @order_books[key].update_with(ob) end data = @order_books[key] elsif @transform data = Models::OrderBook.new(ob) else data = ob end emit(:order_book, chan['symbol'], data) end |
#handle_subscribed_event(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 561 def handle_subscribed_event (msg) # :nodoc: @l.info "subscribed to #{msg['channel']} [#{msg['chanId']}]" @channel_map[msg['chanId']] = msg emit(:subscribed, msg['chanId']) end |
#handle_ticker_message(msg, chan) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 230 def (msg, chan) # :nodoc: payload = msg[1] if chan['symbol'][0] === 't' emit(:ticker, chan['symbol'], @transform ? Models::TradingTicker.new(payload) : payload) else emit(:ticker, chan['symbol'], @transform ? Models::FundingTicker.new(payload) : payload) end end |
#handle_trades_message(msg, chan) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 240 def (msg, chan) # :nodoc: if msg[1].kind_of?(Array) payload = msg[1] emit(:public_trades, chan['symbol'], @transform ? payload.map { |t| Models::PublicTrade.new(t) } : payload) else payload = @transform ? Models::PublicTrade.new(msg[2]) : msg[2] type = msg[1] emit(:public_trades, chan['symbol'], payload) if type == 'te' emit(:public_trade_entry, chan['symbol'], payload) elsif type == 'tu' emit(:public_trade_update, chan['symbol'], payload) end end end |
#handle_unsubscribed_event(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 567 def handle_unsubscribed_event (msg) # :nodoc: @l.info "unsubscribed from #{msg['chanId']}" @channel_map.delete(msg['chanId']) emit(:unsubscribed, msg['chanId']) end |
#is_flag_enabled(flag) ⇒ boolean
Checks if an individual flag is enabled (see FLAG_* constants)
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# File 'lib/ws/ws2.rb', line 593 def is_flag_enabled (flag) (@enabled_flags & flag) == flag end |
#new_nonce ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 644 def new_nonce # :nodoc: Time.now.to_i.to_s end |
#on_close(e) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 102 def on_close (e) # :nodoc: @l.info 'client closed' @is_open = false emit(:close) end |
#on_message(e) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 93 def (e) # :nodoc: @l.info "recv #{e.data}" msg = JSON.parse(e.data) (msg) emit(:message, msg) end |
#on_open(e) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 84 def on_open (e) # :nodoc: @l.info 'client open' @is_open = true emit(:open) enable_sequencing if @seq_audit enable_ob_checksums if @checksum_audit end |
#open! ⇒ Object
Opens the websocket client inside an eventmachine run block
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# File 'lib/ws/ws2.rb', line 111 def open! if @is_open raise Exception, 'already open' end EM.run { @ws = Faye::WebSocket::Client.new(@url) @ws.on(:open) do |e| on_open(e) end @ws.on(:message) do |e| (e) end @ws.on(:close) do |e| on_close(e) end } end |
#process_channel_message(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 199 def (msg) # :nodoc: if !@channel_map.include?(msg[0]) @l.error "recv message on unknown channel: #{msg[0]}" return end chan = @channel_map[msg[0]] type = msg[1] if msg.size < 2 || type == 'hb' return end case chan['channel'] when 'ticker' (msg, chan) when 'trades' (msg, chan) when 'candles' (msg, chan) when 'book' if type == 'cs' (msg, chan) else (msg, chan) end when 'auth' (msg, chan) end end |
#process_event_message(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 489 def (msg) # :nodoc: case msg['event'] when 'auth' handle_auth_event(msg) when 'subscribed' handle_subscribed_event(msg) when 'unsubscribed' handle_unsubscribed_event(msg) when 'info' handle_info_event(msg) when 'conf' handle_config_event(msg) when 'error' handle_error_event(msg) end end |
#process_message(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 140 def (msg) # :nodoc: if @seq_audit (msg) end if msg.kind_of?(Array) (msg) elsif msg.kind_of?(Hash) (msg) end end |
#request_calc(prefixes) ⇒ Object
Requests a calculation to be performed
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# File 'lib/ws/ws2.rb', line 658 def request_calc (prefixes) @ws.send(JSON.generate([0, 'calc', nil, prefixes.map { |p| [p] }])) end |
#sign(payload) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 648 def sign (payload) # :nodoc: OpenSSL::HMAC.hexdigest('sha384', @api_secret, payload) end |
#submit_order(order, &cb) ⇒ Object
Submit a new order
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# File 'lib/ws/ws2.rb', line 711 def submit_order (order, &cb) return if !@is_authenticated if order.kind_of?(Array) packet = order elsif order.instance_of?(Models::Order) packet = order.to_new_order_packet elsif order.kind_of?(Hash) packet = Models::Order.new(order).to_new_order_packet else raise Exception, 'tried to submit order of unkown type' end @ws.send(JSON.generate([0, 'on', nil, packet])) if packet.has_key?(:cid) && !cb.nil? @pending_blocks["order-new-#{packet[:cid]}"] = cb end end |
#subscribe(channel, params = {}) ⇒ Object
Subscribes to the specified channel; params dictate the channel filter
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# File 'lib/ws/ws2.rb', line 439 def subscribe (channel, params = {}) @l.info 'subscribing to channel %s [%s]' % [channel, params] @ws.send(JSON.generate(params.merge({ :event => 'subscribe', :channel => channel, }))) end |
#subscribe_candles(key) ⇒ Object
Subscribes to a candle channel by key
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# File 'lib/ws/ws2.rb', line 470 def subscribe_candles (key) subscribe('candles', { :key => key }) end |
#subscribe_order_book(sym, prec, len) ⇒ Object
Subscribes to an order book channel
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# File 'lib/ws/ws2.rb', line 481 def subscribe_order_book (sym, prec, len) subscribe('book', { :symbol => sym, :prec => prec, :len => len }) end |
#subscribe_ticker(sym) ⇒ Object
Subscribes to a ticker channel by symbol
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# File 'lib/ws/ws2.rb', line 452 def subscribe_ticker (sym) subscribe('ticker', { :symbol => sym }) end |
#subscribe_trades(sym) ⇒ Object
Subscribes to a trades channel by symbol
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# File 'lib/ws/ws2.rb', line 461 def subscribe_trades (sym) subscribe('trades', { :symbol => sym }) end |
#update_order(changes, &cb) ⇒ Object
Update an order with a changeset by ID
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# File 'lib/ws/ws2.rb', line 668 def update_order (changes, &cb) id = changes[:id] || changes['id'] @ws.send(JSON.generate([0, 'ou', nil, changes])) if !cb.nil? @pending_blocks["order-update-#{id}"] = cb end end |
#validate_message_seq(msg) ⇒ Object
:nodoc:
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# File 'lib/ws/ws2.rb', line 152 def (msg) # :nodoc: return unless @seq_audit return unless msg.kind_of?(Array) return unless msg.size > 2 # The auth sequence # is the last value in channel 0 non-hb packets if msg[0] == 0 && msg[1] != 'hb' auth_seq = msg[-1] else auth_seq = nil end # all other packets provide a public sequence # as the last value. For # chan 0 packets, these are included as the 2nd to last value # # note that error notifications lack seq if msg[0] == 0 && msg[1] != 'hb' && !(msg[1] && msg[2][6] == 'ERROR') pub_seq = msg[-2] else pub_seq = msg[-1] end return unless pub_seq.is_a?(Numeric) if @last_pub_seq.nil? @last_pub_seq = pub_seq return end if pub_seq != (@last_pub_seq + 1) # check pub seq @l.warn "invalid pub seq #; last #{@last_pub_seq}, got #{pub_seq}" end @last_pub_seq = pub_seq return unless auth_seq.is_a?(Numeric) return if auth_seq == 0 return if msg[1] == 'n' && msg[2][6] == 'ERROR' # error notifications return if auth_seq == @last_auth_seq # seq didn't advance if !@last_auth_seq.nil? && auth_seq != @last_auth_seq + 1 @l.warn "invalid auth seq #; last #{@last_auth_seq}, got #{auth_seq}" end @last_auth_seq = auth_seq end |