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Luno Streams

Build Status

Python library to connect to the Luno Streaming API with websockets.

Includes example app to replicate the Luno Exchange interface as well as proxy server for easy consumption of practical market data.

Requires Python 3.6+.

Install

pip install luno_streams

Example usage

import asyncio
from luno_streams import Updater

def print_it(consolidated_order_book, trades):
    print(consolidated_order_book, trades)

updater = Updater(
    pair_code='XBTZAR',
    api_key='123',
    api_secret='456',
    hooks=[print_it],
)

loop = asyncio.get_event_loop()
loop.run_until_complete(updater.run())

See cli.py in the source code for an example of running multiple websocket connections in parallel, as well as how hooks are used to store results and proxy to other websockets.

Hooks

The Updater accepts a hooks parameter - a list of functions (can be async) that will be called whenever the order book is updated. This is where you will probably add some code to store the data in redis or do some calculations and make some API calls.

Each hook will receive two arguments:

  1. a consolidated order book, which groups all orders by price. See Order Book Structure below.
  2. a list of trades that were performed during the last update. See Trade Structure below.

Scan the list of trades if you need to determine whether your order was fulfilled without making an API call. Pro tip: if you have an open order, you are a maker.

Please keep in mind that if you add synchronous/non-async hooks, you will block the processing of updates from the API until your code has finished running. It is advised to either a) use async hooks or b) store the data in a fast database like redis and then connect to it from another process. Redis pubsub can be very useful here.

Order Book Structure

An order book is a dict with two keys: bids and asks. Each side contains a list of entries, where each entry is a list of the form [price, volume].

Entries are ordered — bids are ordered with the highest price on top, and asks are ordered with the lowest price on top.

Example:

{
    "bids": [
      ["500", "0.5"],
      ["480", "0.7"]
    ],
    "asks": [
      ["520", "0.4"],
      ["540", "0.6"]
    ]
}

Trade Structure

A trade is a dict with the following keys:

  • type - buy or sell
  • price
  • base - volume
  • taker_order_id
  • maker_order_id

Running the socket server

luno_streams api_key api_secret pairs [pairs ...]

Extras:

  • --app - Serve a single page javascript app to render live order books
  • --depth - specify an integer n to trim the order book to at most n orders on each side

Run luno_streams --help to view all options.

It is highly recommended to use the --depth option, usually somewhere between 100 - 200 is a good choice.

Example app

An example app made with Vue is included. See app.html in the source code and run it using the --app flag when running the server. This will serve the app.html in a new thread.

Example: retrieving multiple pairs

import asyncio
from luno_strams import Updater

API_KEY, API_SECRET = '123', 'ABC'

pairs = {'XBTZAR', 'ETHZAR'}

def xbt_hook(order_book, trades):
    pass

def eth_hook(order_book, trades):
    pass

hooks = {
    'XBTZAR': [xbt_hook],
    'ETHZAR': [eth_hook],
}

async def run_updater(code):

    updater = Updater(
        pair_code=code,
        api_key=API_KEY,
        api_secret=API_SECRET,
        hooks=hooks.get(code),
    )
    await updater.run()

loop = asyncio.get_event_loop()
tasks = [loop.create_task(run_updater(code)) for code in pairs]
loop.run_until_complete(asyncio.gather(*tasks))

Running tests and contributing

Setup:

git clone [email protected]:jacoduplessis/luno_streams.git
cd luno_streams
pip install -e .

Testing:

Run mock server

python test/mock_server.py

and in a separate terminal run tests:

python -m unittest discover tests