api.py

def connect_to_stream(self, callback):
    self.order_book = GDAXOrderBook(api=self, callback=callback, product_id=self.currency_pair)
    self.order_book.start()
    return self
        
class GDAXOrderBook(gdax_api.OrderBook):

    def __init__(self, api, callback, *args, **kwargs):
        super().__init__(*args, **kwargs)
        self.api = api
        self.callback = callback

    def onOpen(self):
        logging.getLogger('notifications').info('GDAX Order Book is connected to the trading stream for {}.'.format(
            self.api.currency_pair
        ), extra={'channel': self.api.currency_pair})

    def onClose(self):
        logging.getLogger('notifications').info(
            'GDAX Order Book has been disconnected from the trading stream for {}.'.format(self.api.currency_pair),
            extra={'channel': self.api.currency_pair}
        )
        self.api.connect_to_stream(self.callback)

    def onMessage(self, message):
        super().onMessage(message)
        bid = self.get_bid()
        bids = self.get_bids(bid)
        bid_depth = sum([b['size'] for b in bids])
        ask = self.get_ask()
        asks = self.get_asks(ask)
        ask_depth = sum([a['size'] for a in asks])
        self.callback(self.api, {
            'bid_depth': bid_depth,
            'bid':bid,
            'ask_depth': ask_depth,
            'ask': ask
        })