frozen_tip.py

import asyncio
import ccxtpro
from threading import Thread


async def run(symbol, exchange):
    exchange.verbose = (
        True  # after loading the markets to reduce the size of the output
    )
    prev_bid = -1
    prev_ask = -1
    count = 0
    while True:
        try:
            orderbook = await exchange.watch_order_book(symbol)
            bids = orderbook["bids"]
            asks = orderbook["asks"]
            sum = 0
            if bids[0][0] == prev_bid or asks[0][0] == prev_ask:
                count += 1
            else:
                count = 0
            for bid in bids:
                sum += bid[1]
            for ask in asks:
                sum += ask[1]
            if count > 500:
                print("frozen", symbol, exchange, bids[0][0], asks[0][0], sum, count)
            if bids[0][0] > asks[0][0]:
                print("bid > ask", symbol, exchange, bids[0][0], asks[0][0], sum, count)
            prev_bid = bids[0][0]
            prev_ask = asks[0][0]

        except Exception as e:
            print(symbol, exchange.id, e)
            continue
    await exchange.close()


async def init_exchanges_async(exchange):
    exchange_id = exchange
    exchange_class = getattr(ccxtpro, exchange_id)
    init = {
        "enableRateLimit": True,
    }
    exchange = exchange_class(init)
    await exchange.load_markets()
    return exchange


def main(symbols, exchange):
    loop = asyncio.new_event_loop()
    asyncio.set_event_loop(loop)
    exchange = loop.run_until_complete(init_exchanges_async(exchange))
    if not exchange.has["watchOrderBook"]:
        return
    markets = exchange.markets
    group = asyncio.gather(*[run(s, exchange) for s in symbols if s in markets])
    tasks = asyncio.ensure_future(group, loop=loop)
    try:
        loop.run_until_complete(tasks)
    except KeyboardInterrupt as e:
        print(e)
        print("Caught keyboard interrupt. Canceling tasks...")
        tasks.cancel()
    finally:
        loop.close()


if __name__ == "__main__":
    trade_symbols = [
        "BTC/USDT",
        "BTC/EUR",
        "BTC/USD",
    ]
    exchanges = [
        "bequant",
        "binance",
        "binanceje",
        "binanceus",
        "bitstamp",
        "bitvavo",
        "coinbasepro",
        "currencycom",
        "ftx",
        "gateio",
        "hitbtc",
        "huobijp",
        "huobipro",
        "huobiru",
        "kraken",
        "kucoin",
        "okcoin",
        "okex",
        "phemex",
        "poloniex",
        "upbit",
    ]
    for exchange in exchanges:
        Thread(target=main, args=(trade_symbols, exchange,)).start()