thing.py

from collections import deque, defaultdict
import gdax
import calendar
from dateutil.parser import parse
from threading import RLock


deques = defaultdict(deque)
pop_lock = RLock()

MIN = 60
FIVE_MIN = MIN * 5
TWO_MIN, TEN_MIN = MIN * 2, FIVE_MIN * 2
HALF_HOUR = TEN_MIN * 3
HOUR = HALF_HOUR * 2
SIX_HOUR = HOUR * 6

enumerate_deques = [
    (deques['two_min'], TWO_MIN),
    (deques['five_min'], FIVE_MIN),
    (deques['ten_min'], TEN_MIN),
    (deques['half_hour'], HALF_HOUR),
    (deques['hour'], HOUR),
    (deques['six_hour'], SIX_HOUR)
]



class gdaxWebsocket(gdax.WebsocketClient):
    def on_message(self, msg):
        if msg.get('time') and msg.get('price'):
            with pop_lock:
                # daylight savings?
                timestamp = calendar.timegm(parse(msg['time']).timetuple())
                for deque, time_interval in enumerate_deques:
                    if deque and ((timestamp - deque[0][0]) > time_interval):
                        deque.popleft()
                    deque.append([timestamp, float(msg['price'])])


if __name__ == '__main__':
    gdaxWebsocket().start()