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danpaquin / coinbasepro-python

The unofficial Python client for the Coinbase Pro API
MIT License
1.82k stars 740 forks source link
bitcoin cbpro coinbase coinbasepro coinbasepro-api ethereum exchange libaray orderbook python-client trading websocket-client wrapper

readme

coinbasepro-python

Build Status

The Python client for the Coinbase Pro API (formerly known as the GDAX)

Provided under MIT License by Daniel Paquin.

Note: this library may be subtly broken or buggy. The code is released under the MIT License – please take the following message to heart:

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

Benefits

Under Development

Getting Started

This README is documentation on the syntax of the python client presented in this repository. See function docstrings for full syntax details.
This API attempts to present a clean interface to CB Pro, but in order to use it to its full potential, you must familiarize yourself with the official CB Pro documentation.

Public Client

Only some endpoints in the API are available to everyone. The public endpoints can be reached using PublicClient

import cbpro
public_client = cbpro.PublicClient()

PublicClient Methods

Authenticated Client

Not all API endpoints are available to everyone. Those requiring user authentication can be reached using AuthenticatedClient. You must setup API access within your account settings. The AuthenticatedClient inherits all methods from the PublicClient class, so you will only need to initialize one if you are planning to integrate both into your script.

import cbpro
auth_client = cbpro.AuthenticatedClient(key, b64secret, passphrase)
# Use the sandbox API (requires a different set of API access credentials)
auth_client = cbpro.AuthenticatedClient(key, b64secret, passphrase,
                                  api_url="https://api-public.sandbox.pro.coinbase.com")

Pagination

Some calls are paginated, meaning multiple calls must be made to receive the full set of data. The CB Pro Python API provides an abstraction for paginated endpoints in the form of generators which provide a clean interface for iteration but may make multiple HTTP requests behind the scenes. The pagination options before, after, and limit may be supplied as keyword arguments if desired, but aren't necessary for typical use cases.

fills_gen = auth_client.get_fills()
# Get all fills (will possibly make multiple HTTP requests)
all_fills = list(fills_gen)

One use case for pagination parameters worth pointing out is retrieving only new data since the previous request. For the case of get_fills(), the trade_id is the parameter used for indexing. By passing before=some_trade_id, only fills more recent than that trade_id will be returned. Note that when using before, a maximum of 100 entries will be returned - this is a limitation of CB Pro.

from itertools import islice
# Get 5 most recent fills
recent_fills = islice(auth_client.get_fills(), 5)
# Only fetch new fills since last call by utilizing `before` parameter.
new_fills = auth_client.get_fills(before=recent_fills[0]['trade_id'])

AuthenticatedClient Methods

WebsocketClient

If you would like to receive real-time market updates, you must subscribe to the websocket feed.

Subscribe to a single product

import cbpro

# Parameters are optional
wsClient = cbpro.WebsocketClient(url="wss://ws-feed.pro.coinbase.com",
                                products="BTC-USD",
                                channels=["ticker"])
# Do other stuff...
wsClient.close()

Subscribe to multiple products

import cbpro
# Parameters are optional
wsClient = cbpro.WebsocketClient(url="wss://ws-feed.pro.coinbase.com",
                                products=["BTC-USD", "ETH-USD"],
                                channels=["ticker"])
# Do other stuff...
wsClient.close()

WebsocketClient + Mongodb

The WebsocketClient now supports data gathering via MongoDB. Given a MongoDB collection, the WebsocketClient will stream results directly into the database collection.

# import PyMongo and connect to a local, running Mongo instance
from pymongo import MongoClient
import cbpro
mongo_client = MongoClient('mongodb://localhost:27017/')

# specify the database and collection
db = mongo_client.cryptocurrency_database
BTC_collection = db.BTC_collection

# instantiate a WebsocketClient instance, with a Mongo collection as a parameter
wsClient = cbpro.WebsocketClient(url="wss://ws-feed.pro.coinbase.com", products="BTC-USD",
    mongo_collection=BTC_collection, should_print=False)
wsClient.start()

WebsocketClient Methods

The WebsocketClient subscribes in a separate thread upon initialization. There are three methods which you could overwrite (before initialization) so it can react to the data streaming in. The current client is a template used for illustration purposes only.

wsClient = myWebsocketClient() wsClient.start() print(wsClient.url, wsClient.products) while (wsClient.message_count < 500): print ("\nmessage_count =", "{} \n".format(wsClient.message_count)) time.sleep(1) wsClient.close()

## Testing
A test suite is under development. Tests for the authenticated client require a 
set of sandbox API credentials. To provide them, rename 
`api_config.json.example` in the tests folder to `api_config.json` and edit the 
file accordingly. To run the tests, start in the project directory and run

python -m pytest


### Real-time OrderBook
The ```OrderBook``` is a convenient data structure to keep a real-time record of
the orderbook for the product_id input. It processes incoming messages from an
already existing WebsocketClient. Please provide your feedback for future
improvements.

```python
import cbpro, time, Queue
class myWebsocketClient(cbpro.WebsocketClient):
    def on_open(self):
        self.products = ['BTC-USD', 'ETH-USD']
        self.order_book_btc = OrderBookConsole(product_id='BTC-USD')
        self.order_book_eth = OrderBookConsole(product_id='ETH-USD')
    def on_message(self, msg):
        self.order_book_btc.process_message(msg)
        self.order_book_eth.process_message(msg)

wsClient = myWebsocketClient()
wsClient.start()
time.sleep(10)
while True:
    print(wsClient.order_book_btc.get_ask())
    print(wsClient.order_book_eth.get_bid())
    time.sleep(1)

Testing

Unit tests are under development using the pytest framework. Contributions are welcome!

To run the full test suite, in the project directory run:

python -m pytest

Change Log

1.1.2 Current PyPI release

1.0

0.3

0.2.2

0.2.1

0.2.0

0.1.2

0.1.1b2