python - 通过异步 websocket 客户端与 websocket 服务器保持连接

Question

我想连接 Bitmex 交易所(testnet.bitmex.com)的 WS API 并持续获取数据。我正在使用以下代码，它连接成功，但不保持连接，在收到订阅数据后关闭:

import time
import json
import hmac
import hashlib
secret ='7sol85dTkfWprpa03TbRFfgbnQDxpwiYP5PLspgYx_nNDSrn'
key='YPR0oojxqAR-2dp1J76BgNhT'
websocket_url = 'wss://testnet.bitmex.com/realtime?'


async def main():
        expires = str(int(round(time.time())) + 5)
        path = 'GET/realtime' + expires
        signature =  hmac.new(secret.encode(),path.encode(),hashlib.sha256).hexdigest()
        async with websockets.connect(websocket_url + 'api-expires=' + expires + '&api-signature=' + signature + '&api-key=' + key) as ws:
           request = {"op": "subscribe", "args": ['trade:XBTUSD', 'instrument:XBTUSD', 'quote:XBTUSD', 'position:XBTUSD']}
           await ws.send(json.dumps(request))

        while True:
            result = await ws.recv()
            print(result)


asyncio.run(main())

这是结果，您可以看到来自 API 的响应，但是在获取订阅列表后它会关闭。在同步执行中一切顺利

{"info":"Welcome to the BitMEX Realtime API.","version":"2019-07-18T21:20:16.000Z","timestamp":"2019-07-20T22:19:51.071Z","docs":"https://testnet.bitmex.com/app/wsAPI","limit":{"remaining":39}}
{"table":"trade","action":"partial","keys":[],"types":{"timestamp":"timestamp","symbol":"symbol","side":"symbol","size":"long","price":"float","tickDirection":"symbol","trdMatchID":"guid","grossValue":"long","homeNotional":"float","foreignNotional":"float"},"foreignKeys":{"symbol":"instrument","side":"side"},"attributes":{"timestamp":"sorted","symbol":"grouped"},"filter":{"symbol":"XBTUSD"},"data":[{"timestamp":"2019-07-20T22:19:43.770Z","symbol":"XBTUSD","side":"Buy","size":3,"price":10954,"tickDirection":"PlusTick","trdMatchID":"bff64535-4c5d-2a0a-8533-47e93091daa3","grossValue":27387,"homeNotional":0.00027387,"foreignNotional":3}]}
{"table":"quote","action":"partial","keys":[],"types":{"timestamp":"timestamp","symbol":"symbol","bidSize":"long","bidPrice":"float","askPrice":"float","askSize":"long"},"foreignKeys":{"symbol":"instrument"},"attributes":{"timestamp":"sorted","symbol":"grouped"},"filter":{"symbol":"XBTUSD"},"data":[{"timestamp":"2019-07-20T22:19:43.770Z","symbol":"XBTUSD","bidSize":1863,"bidPrice":10951,"askPrice":10954,"askSize":1403}]}
{"success":true,"subscribe":"trade:XBTUSD","request":{"op":"subscribe","args":["trade:XBTUSD","instrument:XBTUSD","quote:XBTUSD","position:XBTUSD"]}}
{"success":true,"subscribe":"instrument:XBTUSD","request":{"op":"subscribe","args":["trade:XBTUSD","instrument:XBTUSD","quote:XBTUSD","position:XBTUSD"]}}
{"success":true,"subscribe":"quote:XBTUSD","request":{"op":"subscribe","args":["trade:XBTUSD","instrument:XBTUSD","quote:XBTUSD","position:XBTUSD"]}}
{"success":true,"subscribe":"position:XBTUSD","request":{"op":"subscribe","args":["trade:XBTUSD","instrument:XBTUSD","quote:XBTUSD","position:XBTUSD"]}}
{"table":"position","action":"partial","keys":["account","symbol","currency"],"types":{"account":"long","symbol":"symbol","currency":"symbol","underlying":"symbol","quoteCurrency":"symbol","commission":"float","initMarginReq":"float","maintMarginReq":"float","riskLimit":"long","leverage":"float","crossMargin":"boolean","deleveragePercentile":"float","rebalancedPnl":"long","prevRealisedPnl":"long","prevUnrealisedPnl":"long","prevClosePrice":"float","openingTimestamp":"timestamp","openingQty":"long","openingCost":"long","openingComm":"long","openOrderBuyQty":"long","openOrderBuyCost":"long","openOrderBuyPremium":"long","openOrderSellQty":"long","openOrderSellCost":"long","openOrderSellPremium":"long","execBuyQty":"long","execBuyCost":"long","execSellQty":"long","execSellCost":"long","execQty":"long","execCost":"long","execComm":"long","currentTimestamp":"timestamp","currentQty":"long","currentCost":"long","currentComm":"long","realisedCost":"long","unrealisedCost":"long","grossOpenCost":"long","grossOpenPremium":"long","grossExecCost":"long","isOpen":"boolean","markPrice":"float","markValue":"long","riskValue":"long","homeNotional":"float","foreignNotional":"float","posState":"symbol","posCost":"long","posCost2":"long","posCross":"long","posInit":"long","posComm":"long","posLoss":"long","posMargin":"long","posMaint":"long","posAllowance":"long","taxableMargin":"long","initMargin":"long","maintMargin":"long","sessionMargin":"long","targetExcessMargin":"long","varMargin":"long","realisedGrossPnl":"long","realisedTax":"long","realisedPnl":"long","unrealisedGrossPnl":"long","longBankrupt":"long","shortBankrupt":"long","taxBase":"long","indicativeTaxRate":"float","indicativeTax":"long","unrealisedTax":"long","unrealisedPnl":"long","unrealisedPnlPcnt":"float","unrealisedRoePcnt":"float","simpleQty":"float","simpleCost":"float","simpleValue":"float","simplePnl":"float","simplePnlPcnt":"float","avgCostPrice":"float","avgEntryPrice":"float","breakEvenPrice":"float","marginCallPrice":"float","liquidationPrice":"float","bankruptPrice":"float","timestamp":"timestamp","lastPrice":"float","lastValue":"long"},"foreignKeys":{"symbol":"instrument"},"attributes":{"account":"sorted","symbol":"grouped","currency":"grouped","underlying":"grouped","quoteCurrency":"grouped"},"filter":{"account":92043,"symbol":"XBTUSD"},"data":[{"account":92043,"symbol":"XBTUSD","currency":"XBt","underlying":"XBT","quoteCurrency":"USD","commission":0.00075,"initMarginReq":0.25,"maintMarginReq":0.005,"riskLimit":20000000000,"leverage":4,"crossMargin":false,"deleveragePercentile":1,"rebalancedPnl":38942,"prevRealisedPnl":255686,"prevUnrealisedPnl":0,"prevClosePrice":10978.78,"openingTimestamp":"2019-07-20T22:00:00.000Z","openingQty":-100,"openingCost":991600,"openingComm":-4854,"openOrderBuyQty":0,"openOrderBuyCost":0,"openOrderBuyPremium":0,"openOrderSellQty":0,"openOrderSellCost":0,"openOrderSellPremium":0,"execBuyQty":0,"execBuyCost":0,"execSellQty":0,"execSellCost":0,"execQty":0,"execCost":0,"execComm":0,"currentTimestamp":"2019-07-20T22:19:50.061Z","currentQty":-100,"currentCost":991600,"currentComm":-4854,"realisedCost":0,"unrealisedCost":991600,"grossOpenCost":0,"grossOpenPremium":0,"grossExecCost":0,"isOpen":true,"markPrice":10966.17,"markValue":911900,"riskValue":911900,"homeNotional":-0.009119,"foreignNotional":100,"posState":"","posCost":991600,"posCost2":991600,"posCross":44500,"posInit":247900,"posComm":963,"posLoss":0,"posMargin":293363,"posMaint":5921,"posAllowance":0,"taxableMargin":0,"initMargin":0,"maintMargin":213663,"sessionMargin":0,"targetExcessMargin":0,"varMargin":0,"realisedGrossPnl":0,"realisedTax":0,"realisedPnl":4854,"unrealisedGrossPnl":-79700,"longBankrupt":0,"shortBankrupt":0,"taxBase":0,"indicativeTaxRate":0,"indicativeTax":0,"unrealisedTax":0,"unrealisedPnl":-79700,"unrealisedPnlPcnt":-0.0804,"unrealisedRoePcnt":-0.3215,"simpleQty":null,"simpleCost":null,"simpleValue":null,"simplePnl":null,"simplePnlPcnt":null,"avgCostPrice":10084.5,"avgEntryPrice":10084.5,"breakEvenPrice":10549.5,"marginCallPrice":14200.5,"liquidationPrice":14200.5,"bankruptPrice":14302,"timestamp":"2019-07-20T22:19:50.061Z","lastPrice":10966.17,"lastValue":911900}]}
Traceback (most recent call last):
  File "E:/python/TRADE2/venv/2.py", line 37, in <module>
    asyncio.run(main())
  File "C:\Users\Padalecki\AppData\Local\Programs\Python\Python37-32\lib\asyncio\runners.py", line 43, in run
    return loop.run_until_complete(main)
  File "C:\Users\Padalecki\AppData\Local\Programs\Python\Python37-32\lib\asyncio\base_events.py", line 584, in run_until_complete
    return future.result()
  File "E:/python/TRADE2/venv/2.py", line 27, in main
    result = await ws.recv()
  File "E:\python\TRADE2\venv\lib\site-packages\websockets\protocol.py", line 485, in recv
    await self.ensure_open()
  File "E:\python\TRADE2\venv\lib\site-packages\websockets\protocol.py", line 772, in ensure_open
    raise self.connection_closed_exc()
websockets.exceptions.ConnectionClosedOK: code = 1000 (OK), no reason

我尝试使用 run_forever():

loop = asyncio.get_event_loop()
loop.create_task(main())
loop.run_forever()

同样的结果 它没有帮助

Answer 1

您的 while 循环在 connect() 上下文管理器 block 之外，退出该 block 后连接将关闭。您只需要缩进一些代码

    async with websockets.connect(websocket_url + 'api-expires=' + expires + '&api-signature=' + signature + '&api-key=' + key) as ws:
        request = {"op": "subscribe", "args": ['trade:XBTUSD', 'instrument:XBTUSD', 'quote:XBTUSD', 'position:XBTUSD']}
        await ws.send(json.dumps(request))

    >>>>while True:
    >>>>    result = await ws.recv()
    >>>>    print(result)