Programming assignment
(Streaming Protocol) You will develop an asynchronous web socket client. First, your client program is subscribed to a streaming channel of Binance server (https://www.binance.com/en/markets) that constantly transmits textual information of cryptocurrency.
The receiving information is so called market data of bitcoin, aka ‘btc’. This is equivalent to buying/selling information about btc at the moment, it’s same as the stock market. Let’s try to receive the market data of btc@usdt (referred to as ‘btcusdt’, ‘usdt’ implies US dollars) and print them out.
For testing:
Try wscat to receive the data first and take a look. How to install:
$ npm install -g wscat
$ wscat -c wscat -c wss://stream.binance.com:443/ws/btcusdt@depth5 connected (press CTRL+C to quit)
After connection, you will receive the data from the web socket:
<{“lastUpdateId”:27547033276,”bids”:[[“16702.06000000″,”0.00069000”],[“16701.76000000″,”0.008 61000”],[“16701.75000000″,”0.00149000”],[“16701.32000000″,”0.04320000”],[“16701.31000000″,”0. 01571000″]],”asks”:[[“16702.84000000″,”0.05546000”],[“16702.85000000″,”0.02665000”],[“16702.8 6000000″,”0.03324000”],[“16703.34000000″,”0.01139000”],[“16703.39000000″,”0.03000000”]]} <{“lastUpdateId”:27547033811,”bids”:[[“16702.75000000″,”0.00087000”],[“16702.74000000″,”0.021 61000”],[“16702.73000000″,”0.01909000”],[“16702.63000000″,”0.00600000”],[“16702.19000000″,”0. 03417000″]],”asks”:[[“16703.33000000″,”0.00893000”],[“16703.34000000″,”0.00069000”],[“16703.8 7000000″,”0.00649000”],[“16703.92000000″,”0.00599000”],[“16704.00000000″,”0.00337000”]]}
…
Please refer to the following references for sample code:
For python3 https://websockets.readthedocs.io/en/stable/ You may need to know how to process json format in python.
If you choose to do this assignment in other languages, like C++, it will be also great. BIG BONUS!
Submission:
- Show your source code and output of each step in PDF and submit it to LMS. The output of step A, B, and C should just contain the last 10 (or 20) lines of each data file.
- You do not have to create three separate python files to do step A, B, and C. You can do it in a single file separately (perhaps using a function). It’s completely up to you.
- Again, if you do this in C++, then there will be bonus.
*Step A)
Write a streaming client program receiving ‘btcusdt@depth5’ and a trade stream of ‘btcusdt’ information in the same stream connection. The data will be updated every 100-500 milliseconds. Your program will save the data into a text file (do not use shell redirect), called stream-data- binance.txt. You will add a new line of data as they arrive. The trade stream shows “p” and “q” values only. The stream-data-single.txt file should be like the following:
$ ./step_a.py
$ tail -n 10 stream-data-binance.txt
btcusdt@orderbook,bids:[[“16702.06000000″,”0.00069000”],[“16701.76000000″,”0.00861000”],[“16701.75000000″,”0.001 49000”],[“16701.32000000″,”0.04320000”],[“16701.31000000″,”0.01571000″]],”asks”:[[“16702.84000000″,”0.05546000”], [“16702.85000000″,”0.02665000”],[“16702.86000000″,”0.03324000”],[“16703.34000000″,”0.01139000”],[“16703.3900000 0″,”0.03000000”]],asks:[[“16702.84000000″,”0.05546000”],[“16702.85000000″,”0.02665000”],[“16702.86000000″,”0.0332 4000”],[“16703.34000000″,”0.01139000”],[“16703.39000000″,”0.03000000”]]
btcusdt@trade, p:16728.50000000,q:0.00626000 btcusdt@orderbook, …
Please read Table 3: WebSocket Market Streams to figure out how to receive two or more streams. (https://www.binance.com/en/support/faq/binance-options-api-interface-and-websocket-fe0be251ac014a8082e702f83d089e54)
*Step B)
Modify your program from Step A receiving a similar btc data from the Upbit server (a Korean local stream server). Let’s try.
$ wscat -c wss://api.upbit.com/websocket/v1 connected (press CTRL+C to quit)
After connection, your input to web socket: [{“ticket”:”UNIQUE_TICKET”},{“type”:”orderbook”,”codes”:[“KRW-BTC”]}] After the input, you will receive the data from the web socket:
< {“type”:”orderbook”,”code”:”KRW- BTC”,”timestamp”:1668495774440,”total_ask_size”:11.400931790000001,”total_bid_size”:3.10816646 99999996,”orderbook_units”:[{“ask_price”:2.2855E7,”bid_price”:2.2845E7,”ask_size”:2.21720611,”bid _size”:0.00164598},{“ask_price”:2.286E7,”bid_price”:2.2844E7,”ask_size”:1.07409042,”bid_size”:0.39 629050},{“ask_price”:2.2861E7,”bid_price”:2.2843E7,”ask_size”:0.13138600,”bid_size”:0.07457449},{ “ask_price”:2.2862E7,”bid_price”:2.2842E7,”ask_size”:1.11673137,”bid_size”:0.41861210},{“ask_pric e”:2.2863E7,”bid_price”:2.2841E7,”ask_size”:0.695,”bid_size”:0.23034224},{“ask_price”:2.2864E7,”bi d_price”:2.284E7,”ask_size”:0.24999199,”bid_size”:0.00146232},{“ask_price”:2.2865E7,”bid_price”:2. 283E7,”ask_size”:0.06318533,”bid_size”:0.50251088},{“ask_price”:2.2866E7,”bid_price”:2.2827E7,”as k_size”:0.46969651,”bid_size”:0.08409668},{“ask_price”:2.2867E7,”bid_price”:2.2826E7,”ask_size”:1. 68992953,”bid_size”:0.00087619},{“ask_price”:2.2868E7,”bid_price”:2.2825E7,”ask_size”:0.86078502 ,”bid_size”:0.00044389},{“ask_price”:2.2869E7,”bid_price”:2.2821E7,”ask_size”:0.01956419,”bid_size “:0.058},{“ask_price”:2.2872E7,”bid_price”:2.282E7,”ask_size”:2.06000000,”bid_size”:0.45073815},{” ask_price”:2.2874E7,”bid_price”:2.2818E7,”ask_size”:0.74898200,”bid_size”:0.00043825},{“ask_price “:2.2875E7,”bid_price”:2.2817E7,”ask_size”:0.00354223,”bid_size”:0.17213480},{“ask_price”:2.2876E 7,”bid_price”:2.2816E7,”ask_size”:0.00084109,”bid_size”:0.716}],”stream_type”:”REALTIME”}
Your text data file is now called stream-data-upbit.txt. Print out the data after “orderbook_units” only. You will add a new line of data as they arrive. It should be like the following:
$ ./step_b.py
$ tail -n 10 stream-data-upbit.txt
btckrw@orderbook,[{“ask_price”:2.2855E7,”bid_price”:2.2845E7,”ask_size”:2.21720611,”bid_size”:0.00164598},{“ask_pri ce”:2.286E7,”bid_price”:2.2844E7,”ask_size”:1.07409042,”bid_size”:0.39629050},{“ask_price”:2.2861E7,”bid_price”:2.28 43E7,”ask_size”:0.13138600,”bid_size”:0.07457449},{“ask_price”:2.2862E7,”bid_price”:2.2842E7,”ask_size”:1.11673137, “bid_size”:0.41861210},{“ask_price”:2.2863E7,”bid_price”:2.2841E7,”ask_size”:0.695,”bid_size”:0.23034224},{“ask_price “:2.2864E7,”bid_price”:2.284E7,”ask_size”:0.24999199,”bid_size”:0.00146232},{“ask_price”:2.2865E7,”bid_price”:2.283E 7,”ask_size”:0.06318533,”bid_size”:0.50251088},{“ask_price”:2.2866E7,”bid_price”:2.2827E7,”ask_size”:0.46969651,”bid _size”:0.08409668},{“ask_price”:2.2867E7,”bid_price”:2.2826E7,”ask_size”:1.68992953,”bid_size”:0.00087619},{“ask_pri ce”:2.2868E7,”bid_price”:2.2825E7,”ask_size”:0.86078502,”bid_size”:0.00044389},{“ask_price”:2.2869E7,”bid_price”:2.2 821E7,”ask_size”:0.01956419,”bid_size”:0.058},{“ask_price”:2.2872E7,”bid_price”:2.282E7,”ask_size”:2.06000000,”bid_si ze”:0.45073815},{“ask_price”:2.2874E7,”bid_price”:2.2818E7,”ask_size”:0.74898200,”bid_size”:0.00043825},{“ask_price” :2.2875E7,”bid_price”:2.2817E7,”ask_size”:0.00354223,”bid_size”:0.17213480},{“ask_price”:2.2876E7,”bid_price”:2.2816 E7,”ask_size”:0.00084109,”bid_size”:0.716}] btckrw@orderbook,[{“ask_price”:2.2855E7,”bid_price”:2.2846E7,”ask_size”:2.21720611,”bid_size”:0.875},{“ask_price”:2. 286E7,”bid_price”:2.2845E7,”ask_size”:1.07409042,”bid_size”:0.00164598},{“ask_price”:2.2861E7,”bid_price”:2.2844E7, “ask_size”:0.13138600,”bid_size”:0.39629050},{“ask_price”:2.2862E7,”bid_price”:2.2843E7,”ask_size”:1.11673137,”bid_s ize”:0.07457449},{“ask_price”:2.2863E7,”bid_price”:2.2842E7,”ask_size”:0.695,”bid_size”:0.41861210},{“ask_price”:2.28 64E7,”bid_price”:2.2841E7,”ask_size”:0.24999199,”bid_size”:0.23034224},{“ask_price”:2.2865E7,”bid_price”:2.284E7,”as k_size”:0.06318533,”bid_size”:0.00146232},{“ask_price”:2.2866E7,”bid_price”:2.283E7,”ask_size”:0.46969651,”bid_size”: 0.50251088},{“ask_price”:2.2867E7,”bid_price”:2.2827E7,”ask_size”:1.68992953,”bid_size”:0.08409668},{“ask_price”:2.2 868E7,”bid_price”:2.2826E7,”ask_size”:0.86078502,”bid_size”:0.00087619},{“ask_price”:2.2869E7,”bid_price”:2.2825E7, “ask_size”:0.01956419,”bid_size”:0.00044389},{“ask_price”:2.2872E7,”bid_price”:2.2821E7,”ask_size”:2.06000000,”bid_s ize”:0.058},{“ask_price”:2.2874E7,”bid_price”:2.282E7,”ask_size”:0.74898200,”bid_size”:0.45073815},{“ask_price”:2.287 5E7,”bid_price”:2.2818E7,”ask_size”:0.00354223,”bid_size”:0.00043825},{“ask_price”:2.2876E7,”bid_price”:2.2817E7,”as k_size”:0.00084109,”bid_size”:0.17213480}]
btckrw@orderbook, …
*Step C) This is a kinda BONUS.
You will take the codes from Step A and B to combine two stream data into a single file. You need to figure out how to open two stream connections for Binance and Upbit simultaneously. You may use thread (multi-thread or multi-process) to run two receiving clients, however, the output file must be a single text file: stream-data-multi.txt. The order of the streams may be random.
$ ./step_c.py
$ tail -n 10 stream-data-multi.txt
btcusdt@orderbook,bids:[[“16702.06000000″,”0.00069000”],[“16701.76000000″,”0.00861000”],[“16701.75000000″,”0.001 49000”],[“16701.32000000″,”0.04320000”],[“16701.31000000″,”0.01571000″]],”asks”:[[“16702.84000000″,”0.05546000”], [“16702.85000000″,”0.02665000”],[“16702.86000000″,”0.03324000”],[“16703.34000000″,”0.01139000”],[“16703.3900000 0″,”0.03000000”]],asks:[[“16702.84000000″,”0.05546000”],[“16702.85000000″,”0.02665000”],[“16702.86000000″,”0.0332 4000”],[“16703.34000000″,”0.01139000”],[“16703.39000000″,”0.03000000”]]
btcusdt@trade, p:16728.50000000,q:0.00626000 btckrw@orderbook,[{“ask_price”:2.2855E7,”bid_price”:2.2846E7,”ask_size”:2.21720611,”bid_size”:0.875},{“ask_price”:2. 286E7,”bid_price”:2.2845E7,”ask_size”:1.07409042,”bid_size”:0.00164598},{“ask_price”:2.2861E7,”bid_price”:2.2844E7, “ask_size”:0.13138600,”bid_size”:0.39629050},{“ask_price”:2.2862E7,”bid_price”:2.2843E7,”ask_size”:1.11673137,”bid_s ize”:0.07457449},{“ask_price”:2.2863E7,”bid_price”:2.2842E7,”ask_size”:0.695,”bid_size”:0.41861210},{“ask_price”:2.28 64E7,”bid_price”:2.2841E7,”ask_size”:0.24999199,”bid_size”:0.23034224},{“ask_price”:2.2865E7,”bid_price”:2.284E7,”as k_size”:0.06318533,”bid_size”:0.00146232},{“ask_price”:2.2866E7,”bid_price”:2.283E7,”ask_size”:0.46969651,”bid_size”: 0.50251088},{“ask_price”:2.2867E7,”bid_price”:2.2827E7,”ask_size”:1.68992953,”bid_size”:0.08409668},{“ask_price”:2.2 868E7,”bid_price”:2.2826E7,”ask_size”:0.86078502,”bid_size”:0.00087619},{“ask_price”:2.2869E7,”bid_price”:2.2825E7, “ask_size”:0.01956419,”bid_size”:0.00044389},{“ask_price”:2.2872E7,”bid_price”:2.2821E7,”ask_size”:2.06000000,”bid_s ize”:0.058},{“ask_price”:2.2874E7,”bid_price”:2.282E7,”ask_size”:0.74898200,”bid_size”:0.45073815},{“ask_price”:2.287 5E7,”bid_price”:2.2818E7,”ask_size”:0.00354223,”bid_size”:0.00043825},{“ask_price”:2.2876E7,”bid_price”:2.2817E7,”as k_size”:0.00084109,”bid_size”:0.17213480}]
btcusdt@orderbook, …
btckrw@orderbook, …
btcusdt@trade, …
