├── recorder ├── __init__.py ├── configuration.py ├── db.py ├── recorder.py └── depth_cache.py ├── README.md ├── Dockerfile ├── docker-compose.yml ├── Pipfile ├── config.json ├── main.py ├── .gitignore ├── tests ├── test_depth_cache.py └── xrp_depth.json └── Pipfile.lock /recorder/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # Binance Limit Order Book Recorder 2 | 3 | ## 1. Purpose 4 | The purpose of this application is to record limit order book from **Binance** into an Clickhouse database 5 | to perform reinforcement learning research. -------------------------------------------------------------------------------- /Dockerfile: -------------------------------------------------------------------------------- 1 | FROM python:3 2 | 3 | LABEL maintainer="rogozhnikov.dmitriy@gmail.com" 4 | 5 | RUN mkdir /app 6 | WORKDIR /app 7 | 8 | COPY Pipfile Pipfile.lock /app/ 9 | 10 | RUN pip install pipenv 11 | 12 | RUN pipenv install --system --deploy 13 | 14 | COPY . /app 15 | -------------------------------------------------------------------------------- /docker-compose.yml: -------------------------------------------------------------------------------- 1 | version: '3' 2 | services: 3 | app: 4 | build: . 5 | command: python main.py 6 | 7 | db: 8 | image: yandex/clickhouse-server 9 | volumes: 10 | - ./exchange-data/clickhouse-data:/var/lib/clickhouse 11 | ports: 12 | - 8123:8123 13 | - 9000:9000 14 | ulimits: 15 | nofile: 16 | soft: 262144 17 | hard: 262144 18 | -------------------------------------------------------------------------------- /recorder/configuration.py: -------------------------------------------------------------------------------- 1 | import json 2 | 3 | 4 | def load_config(config_path='config.json'): 5 | try: 6 | with open(config_path) as file: 7 | return json.load(file) 8 | except FileNotFoundError: 9 | raise FileNotFoundError( 10 | f'Config file "{config_path}" not found!' 11 | 'Please create a config file or check whether it exists.' 12 | ) 13 | -------------------------------------------------------------------------------- /Pipfile: -------------------------------------------------------------------------------- 1 | [[source]] 2 | url = "https://pypi.org/simple" 3 | verify_ssl = true 4 | name = "pypi" 5 | 6 | [packages] 7 | aioch = "*" 8 | loguru = "*" 9 | pandas = "*" 10 | python-binance = {editable = true,ref = "feature/asyncio",git = "https://github.com/dmitry-r/python-binance"} 11 | 12 | [dev-packages] 13 | aioresponses = "*" 14 | pytest = "*" 15 | pytest-aiohttp = "*" 16 | pytest-asyncio = "*" 17 | pytest-cov = "*" 18 | 19 | [requires] 20 | python_version = "3.7.1" 21 | -------------------------------------------------------------------------------- /config.json: -------------------------------------------------------------------------------- 1 | { 2 | "exchange": { 3 | "api_key": "", 4 | "api_secret": "", 5 | "pair_blacklist": [ 6 | "ETHBTC", 7 | "LTCBTC", 8 | "XRPBTC", 9 | "XLMBTC", 10 | "BNBBTC", 11 | "XMRBTC", 12 | "ZECBTC", 13 | "DASHBTC", 14 | "NEOBTC", 15 | "TUSDBTC", 16 | "PAXBTC" 17 | ] 18 | }, 19 | "db": { 20 | "host": "db", 21 | "port": 9000, 22 | "throttle_count": 5, 23 | "price_limit": 0.1 24 | } 25 | } -------------------------------------------------------------------------------- /main.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | 3 | from recorder.configuration import load_config 4 | from recorder.db import create_table 5 | from recorder.recorder import LOBRecorder 6 | 7 | if __name__ == '__main__': 8 | 9 | config = load_config() 10 | 11 | create_table(config) 12 | 13 | loop = asyncio.get_event_loop() 14 | 15 | recorder = LOBRecorder(loop=loop, config=config) 16 | 17 | loop.run_until_complete(recorder.run()) 18 | 19 | try: 20 | loop.run_forever() 21 | except KeyboardInterrupt: 22 | loop.close() 23 | -------------------------------------------------------------------------------- /recorder/db.py: -------------------------------------------------------------------------------- 1 | from time import sleep 2 | from typing import Dict, Any 3 | 4 | from clickhouse_driver import Client 5 | from clickhouse_driver.errors import NetworkError 6 | from loguru import logger 7 | 8 | 9 | def create_table(config: Dict[str, Any]) -> None: 10 | while True: 11 | try: 12 | client = Client(config['db']['host'], config['db']['port']) 13 | client.execute( 14 | '''CREATE TABLE IF NOT EXISTS LOB( 15 | symbol String, 16 | event_date DateTime, 17 | update_id UInt64, 18 | price Float64, 19 | amount Float64, 20 | is_bid UInt8 21 | ) 22 | ENGINE = MergeTree() 23 | PARTITION BY toYYYYMM(event_date) 24 | ORDER BY (symbol, event_date, update_id, price)''' 25 | ) 26 | except NetworkError: 27 | logger.error('Clickhouse DB connection error. Retry after 5s...') 28 | sleep(5) 29 | else: 30 | break 31 | -------------------------------------------------------------------------------- /.gitignore: -------------------------------------------------------------------------------- 1 | # Created by .ignore support plugin (hsz.mobi) 2 | ### Python template 3 | # Byte-compiled / optimized / DLL files 4 | __pycache__/ 5 | *.py[cod] 6 | *$py.class 7 | 8 | # C extensions 9 | *.so 10 | 11 | # Distribution / packaging 12 | .Python 13 | build/ 14 | develop-eggs/ 15 | dist/ 16 | downloads/ 17 | eggs/ 18 | .eggs/ 19 | lib/ 20 | lib64/ 21 | parts/ 22 | sdist/ 23 | var/ 24 | wheels/ 25 | *.egg-info/ 26 | .installed.cfg 27 | *.egg 28 | MANIFEST 29 | 30 | # PyInstaller 31 | # Usually these files are written by a python script from a template 32 | # before PyInstaller builds the exe, so as to inject date/other infos into it. 33 | *.manifest 34 | *.spec 35 | 36 | # Installer logs 37 | pip-log.txt 38 | pip-delete-this-directory.txt 39 | 40 | # Unit test / coverage reports 41 | htmlcov/ 42 | .tox/ 43 | .coverage 44 | .coverage.* 45 | .cache 46 | nosetests.xml 47 | coverage.xml 48 | *.cover 49 | .hypothesis/ 50 | .pytest_cache/ 51 | 52 | # Translations 53 | *.mo 54 | *.pot 55 | 56 | # Django stuff: 57 | *.log 58 | local_settings.py 59 | db.sqlite3 60 | 61 | # Flask stuff: 62 | instance/ 63 | .webassets-cache 64 | 65 | # Scrapy stuff: 66 | .scrapy 67 | 68 | # Sphinx documentation 69 | docs/_build/ 70 | 71 | # PyBuilder 72 | target/ 73 | 74 | # Jupyter Notebook 75 | .ipynb_checkpoints 76 | 77 | # pyenv 78 | .python-version 79 | 80 | # celery beat schedule file 81 | celerybeat-schedule 82 | 83 | # SageMath parsed files 84 | *.sage.py 85 | 86 | # Environments 87 | .env 88 | .venv 89 | env/ 90 | venv/ 91 | ENV/ 92 | env.bak/ 93 | venv.bak/ 94 | 95 | # Spyder project settings 96 | .spyderproject 97 | .spyproject 98 | 99 | # Rope project settings 100 | .ropeproject 101 | 102 | # mkdocs documentation 103 | /site 104 | 105 | # mypy 106 | .mypy_cache/ 107 | 108 | # IDEA 109 | .idea/ 110 | -------------------------------------------------------------------------------- /tests/test_depth_cache.py: -------------------------------------------------------------------------------- 1 | import json 2 | 3 | import pytest 4 | from aioresponses import aioresponses 5 | from binance.client_async import AsyncClient as Client 6 | 7 | from recorder.depth_cache import DepthCache 8 | 9 | 10 | @pytest.fixture 11 | async def depth_cache(): 12 | with open('tests/xrp_depth.json') as f: 13 | res_depth = json.load(f) 14 | 15 | client = Client('api_key', 'api_secret') 16 | 17 | dc = DepthCache(client, 'XRPBTC') 18 | 19 | with aioresponses() as m: 20 | m.get( 21 | 'https://api.binance.com/api/v1/depth?limit=500&symbol=XRPBTC', 22 | payload=res_depth, 23 | ) 24 | await dc.init_from_rest() 25 | return dc 26 | 27 | 28 | @pytest.mark.asyncio 29 | async def test_depth_cache_init_from_rest(depth_cache): 30 | assert len(depth_cache.get_bids()) == 500 31 | assert len(depth_cache.get_asks()) == 500 32 | 33 | 34 | @pytest.mark.asyncio 35 | async def test_depth_cache_update(depth_cache): 36 | msg = { 37 | 'e': 'depthUpdate', 38 | 'E': 1544893446185, 39 | 's': 'XRPBTC', 40 | 'U': 158868280, 41 | 'u': 158868282, 42 | 'b': [ 43 | ['0.00008830', '51614.00000000', []], 44 | ['0.00008765', '1780.00000000', []], 45 | ], 46 | 'a': [['0.00008872', '0.00000000', []]], 47 | } 48 | 49 | await depth_cache.update(msg) 50 | bids = depth_cache.get_bids() 51 | asks = depth_cache.get_bids() 52 | 53 | b1 = [p for p, q in bids if p == 0.00008830 and q == 51614.0] 54 | b2 = [p for p, q in bids if p == 0.00008765 and q == 1780.0] 55 | 56 | a1 = [p for p, q in asks if p == 0.00008872 and q == 0.0] 57 | 58 | assert len(b1) == 1 59 | assert len(b2) == 1 60 | assert len(a1) == 0 61 | 62 | 63 | def test_get_orders(depth_cache): 64 | orders = depth_cache.get_orders() 65 | assert len(orders) == 1000 66 | orders = depth_cache.get_orders(price_limit=0) 67 | assert len(orders) == 0 68 | orders = depth_cache.get_orders(price_limit=0.02) 69 | assert len(orders) == 292 70 | -------------------------------------------------------------------------------- /recorder/recorder.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | import traceback 3 | from typing import Dict, List, Any 4 | 5 | from aioch import Client as CHClient 6 | from binance.client_async import AsyncClient as BClient 7 | from loguru import logger 8 | 9 | from recorder.depth_cache import DepthCache 10 | from recorder.depth_cache import MultiplexDepthCacheManager 11 | 12 | 13 | class LOBRecorder: 14 | def __init__(self, loop: asyncio.AbstractEventLoop, config: Dict[str, Any]) -> None: 15 | self._loop = loop 16 | self.config = config 17 | self.client = BClient( 18 | self.config['exchange']['api_key'], self.config['exchange']['api_secret'] 19 | ) 20 | 21 | async def run(self) -> None: 22 | symbols = await self.get_symbols() 23 | logger.info(f'Watching symbols: {symbols}') 24 | mdcm = MultiplexDepthCacheManager( 25 | self.client, 26 | self._loop, 27 | symbols, 28 | coro=self.process_depth, 29 | coro_throttle_count=self.config['db']['throttle_count'], 30 | ) 31 | logger.info('Connecting to Binance ws endpoint') 32 | await mdcm.connect() 33 | 34 | async def get_symbols(self) -> List[str]: 35 | response = await self.client.get_exchange_info() 36 | symbols = [ 37 | s['symbol'] 38 | for s in response['symbols'] 39 | if s['symbol'].endswith('BTC') 40 | and not s['symbol'] in self.config['exchange']['pair_blacklist'] 41 | ] 42 | return symbols 43 | 44 | async def process_depth(self, depth_cache: DepthCache) -> None: 45 | """ 46 | Websocket event callback coroutine 47 | :param depth_cache: 48 | :return: 49 | """ 50 | logger.info(f'Depth cache update for symbol: {depth_cache.symbol}') 51 | try: 52 | client = CHClient(self.config['db']['host'], self.config['db']['port']) 53 | if depth_cache is not None: 54 | orders = depth_cache.get_orders(self.config['db']['price_limit']) 55 | await client.execute( 56 | 'INSERT INTO LOB (price, amount, is_bid, symbol, event_date, update_id) VALUES', 57 | orders, 58 | ) 59 | logger.info(f'Number of records inserted: {len(orders)} ') 60 | await client.disconnect() 61 | except Exception: 62 | logger.error(traceback.format_exc()) 63 | -------------------------------------------------------------------------------- /recorder/depth_cache.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | import time 3 | from datetime import datetime 4 | from operator import itemgetter 5 | from typing import Callable, Dict, List, Union, Optional, Any 6 | 7 | import pandas as pd 8 | from binance.client_async import AsyncClient 9 | from binance.websockets_async import BinanceSocketManager 10 | from loguru import logger 11 | 12 | 13 | class DepthCache(object): 14 | """DepthCache 15 | 16 | """ 17 | 18 | def __init__(self, client: AsyncClient, symbol: str) -> None: 19 | self._client = client 20 | self.symbol = symbol 21 | self._updating = False 22 | self.last_updated_id = None 23 | self.timestamp = None 24 | self._bids = {} 25 | self._asks = {} 26 | self.throttle_counter = 0 27 | 28 | async def init_from_rest(self) -> None: 29 | self.last_updated_id = None 30 | self._updating = True 31 | 32 | res = await self._client.get_order_book(symbol=self.symbol, limit='500') 33 | 34 | # process bid and asks from the order book 35 | for bid in res['bids']: 36 | self.add_bid(bid) 37 | for ask in res['asks']: 38 | self.add_ask(ask) 39 | 40 | # set first update id 41 | self._updating = False 42 | self.last_updated_id = res['lastUpdateId'] 43 | self.timestamp = datetime.timestamp(datetime.now()) 44 | 45 | async def update(self, msg: Dict[str, Any]) -> bool: 46 | """Update cache using websocket diff depth message 47 | https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#how-to-manage-a-local-order-book-correctly 48 | 49 | :param msg: 50 | :return: 51 | """ 52 | # wait initial update 53 | while self._updating: 54 | await asyncio.sleep(1) 55 | 56 | if msg['u'] <= self.last_updated_id: 57 | # ignore any updates before the initial update id 58 | return False 59 | elif msg['U'] != self.last_updated_id + 1: 60 | # if not buffered check we get sequential updates 61 | # otherwise init cache again 62 | await self.init_from_rest() 63 | 64 | # add any bid or ask values 65 | for bid in msg['b']: 66 | self.add_bid(bid) 67 | for ask in msg['a']: 68 | self.add_ask(ask) 69 | 70 | self.last_updated_id = msg['u'] 71 | self.timestamp = msg['E'] 72 | return True 73 | 74 | def add_bid(self, bid: List[str]) -> None: 75 | """Add a bid to the cache 76 | 77 | :param bid: 78 | :return: 79 | """ 80 | self._bids[bid[0]] = float(bid[1]) 81 | if bid[1] == "0.00000000": 82 | del self._bids[bid[0]] 83 | 84 | def add_ask(self, ask: List[str]) -> None: 85 | """Add an ask to the cache 86 | 87 | :param ask: 88 | :return: 89 | """ 90 | self._asks[ask[0]] = float(ask[1]) 91 | if ask[1] == "0.00000000": 92 | del self._asks[ask[0]] 93 | 94 | def get_bids(self) -> List[List[float]]: 95 | """Get the current bids 96 | 97 | :return: list of bids with price and quantity as floats 98 | 99 | .. code-block:: python 100 | 101 | [ 102 | [ 103 | 0.0001946, # Price 104 | 45.0 # Quantity 105 | ], 106 | ] 107 | 108 | """ 109 | return DepthCache.sort_depth(self._bids, reverse=True) 110 | 111 | def get_asks(self) -> List[List[float]]: 112 | """Get the current asks 113 | 114 | :return: list of asks with price and quantity as floats 115 | 116 | .. code-block:: python 117 | 118 | [ 119 | [ 120 | 0.0001955, # Price 121 | 57.0' # Quantity 122 | ], 123 | ] 124 | 125 | """ 126 | return DepthCache.sort_depth(self._asks, reverse=False) 127 | 128 | def get_orders( 129 | self, price_limit: float = 1 130 | ) -> List[List[Union[float, int, str, datetime]]]: 131 | """Get LOB cache limited by percent current price 132 | 133 | :param price_limit 134 | :return: 135 | """ 136 | columns = ['price', 'amount'] 137 | 138 | bids = pd.DataFrame(self.get_bids(), columns=columns) 139 | asks = pd.DataFrame(self.get_asks(), columns=columns) 140 | bids['is_bid'] = 1 141 | asks['is_bid'] = 0 142 | 143 | percent_bid = (1 - bids["price"].min() / bids["price"].max()) * 100 144 | percent_ask = (1 - asks["price"].min() / asks["price"].max()) * 100 145 | logger.debug(f'Bottom bid: {percent_bid:.2f} Top ask: {percent_ask:.2f}') 146 | 147 | bids = bids.loc[bids['price'] > bids['price'].max() * (1 - price_limit)] 148 | asks = asks.loc[asks['price'] < asks['price'].min() * (1 + price_limit)] 149 | orders = pd.concat([bids, asks]) 150 | orders['symbol'] = self.symbol 151 | logger.debug(f'Orders in current price limit: {len(orders)} ') 152 | 153 | orders_list = [ 154 | x + [datetime.fromtimestamp(self.timestamp / 1000), self.last_updated_id] 155 | for x in list(map(list, orders.itertuples(index=False))) 156 | ] 157 | 158 | return orders_list 159 | 160 | @staticmethod 161 | def sort_depth(vals: Dict[str, float], reverse: bool = False) -> List[List[float]]: 162 | """Sort bids or asks by price 163 | """ 164 | lst = [[float(price), quantity] for price, quantity in vals.items()] 165 | lst = sorted(lst, key=itemgetter(0), reverse=reverse) 166 | return lst 167 | 168 | 169 | class MultiplexDepthCacheManager(object): 170 | """ 171 | Connect to multiple depth streams with one ws connection 172 | 173 | """ 174 | 175 | _default_refresh = 60 * 30 # 30 minutes 176 | 177 | def __init__( 178 | self, 179 | client: AsyncClient, 180 | loop: asyncio.AbstractEventLoop, 181 | symbols: List[str], 182 | coro: Optional[Callable] = None, 183 | coro_throttle_count: int = 0, 184 | refresh_interval: int = _default_refresh, 185 | ) -> None: 186 | """ 187 | :param client: Binance API client 188 | :type client: binance.Client 189 | :param loop: Event loop 190 | :type loop: 191 | :param symbol: Symbol to create depth cache for 192 | :type symbol: string 193 | :param coro: Optional coroutine to receive depth cache updates 194 | :type coro: async coroutine 195 | :param coro_throttle_count: Optional throttling coroutine calls 196 | :type coro_throttle_count: int 197 | :param refresh_interval: Optional number of seconds between cache refresh, use 0 or None to disable 198 | :type refresh_interval: int 199 | 200 | """ 201 | self._client = client 202 | self._loop = loop 203 | self._symbols = symbols 204 | self._coro = coro 205 | self._coro_throttle_count = coro_throttle_count 206 | self._depth_cache = { 207 | symbol: DepthCache(client, symbol) for symbol in self._symbols 208 | } 209 | self._depth_message_buffer = [] 210 | self._bm = None 211 | self._refresh_interval = refresh_interval 212 | self._refresh_time = None 213 | 214 | async def connect(self) -> None: 215 | await self._start_socket() 216 | 217 | await self._init_cache() 218 | 219 | async def _init_cache(self) -> None: 220 | """Initialise the depth cache calling REST endpoint 221 | 222 | :return: None 223 | """ 224 | self._depth_message_buffer = [] 225 | 226 | for symbol in self._symbols: 227 | await self._depth_cache[symbol].init_from_rest() 228 | 229 | # set a time to refresh the depth cache 230 | if self._refresh_interval: 231 | self._refresh_time = int(time.time()) + self._refresh_interval 232 | 233 | # Apply any updates from the websocket 234 | for msg in self._depth_message_buffer: 235 | await self._process_depth_message(msg) 236 | 237 | # clear the depth buffer 238 | del self._depth_message_buffer 239 | 240 | async def _start_socket(self) -> None: 241 | """Start the depth cache socket 242 | 243 | :return: None 244 | """ 245 | self._bm = BinanceSocketManager(self._client, self._loop) 246 | 247 | # ['ethbtc@depth', 'xrpbtc@depth',] 248 | streams = [f'{s.lower()}@depth' for s in self._symbols] 249 | await self._bm.start_multiplex_socket(streams, self._handle_depth_event) 250 | 251 | # wait for some socket responses 252 | while not len(self._depth_message_buffer): 253 | await asyncio.sleep(1) 254 | 255 | async def _handle_depth_event(self, msg: Dict[str, Union[str, Any]]) -> None: 256 | """Handle a depth event 257 | 258 | :param msg: 259 | :return: None 260 | """ 261 | if 'e' in msg['data'] and msg['data']['e'] == 'error': 262 | # close the socket 263 | await self.close() 264 | 265 | # Initial depth snapshot fetch not yet performed 266 | # Buffer messages until init from REST API completed 267 | if self._refresh_time is None: 268 | self._depth_message_buffer.append(msg['data']) 269 | else: 270 | await self._process_depth_message(msg['data']) 271 | 272 | async def _process_depth_message(self, msg: Dict[str, Any]) -> None: 273 | """Process a depth event message. 274 | 275 | :param msg: Depth event message. 276 | :return: None 277 | """ 278 | 279 | if not (await self._depth_cache[msg['s']].update(msg)): 280 | # ignore any updates before the initial update 281 | return 282 | 283 | # Check throttle counter and call the callback with the updated depth cache 284 | if ( 285 | self._coro 286 | and self._depth_cache[msg['s']].throttle_counter 287 | == self._coro_throttle_count 288 | ): 289 | await self._coro(self._depth_cache[msg['s']]) 290 | self._depth_cache[msg['s']].throttle_counter = 0 291 | self._depth_cache[msg['s']].throttle_counter += 1 292 | 293 | # after processing event see if we need to refresh the depth cache 294 | if self._refresh_interval and int(time.time()) > self._refresh_time: 295 | await self._init_cache() 296 | 297 | def get_depth_cache(self) -> Dict[str, DepthCache]: 298 | """Get the current depth cache 299 | 300 | :return: DepthCache object 301 | """ 302 | return self._depth_cache 303 | 304 | async def close(self) -> None: 305 | """Close the open socket for this manager 306 | 307 | :return: None 308 | """ 309 | await 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