Merge pull request sammchardy#577 from gabriel-milan/master

[New feature] Faster order book updates

Author: kimchirichie

binance/depthcache.py

@@ -121,7 +121,7 @@ class DepthCacheManager(object):
 
     _default_refresh = 60 * 30  # 30 minutes
 
-    def __init__(self, client, symbol, callback=None, refresh_interval=_default_refresh, bm=None, limit=500):
+    def __init__(self, client, symbol, callback=None, refresh_interval=_default_refresh, bm=None, limit=500, ws_interval=None):
         """Initialise the DepthCacheManager
 
         :param client: Binance API client
@@ -134,6 +134,8 @@ def __init__(self, client, symbol, callback=None, refresh_interval=_default_refr
         :type refresh_interval: int
         :param limit: Optional number of orders to get from orderbook
         :type limit: int
+        :param ws_interval: Optional interval for updates on websocket, default None. If not set, updates happen every second. Must be 0, None (1s) or 100 (100ms).
+        :type ws_interval: int
 
         """
         self._client = client
@@ -146,6 +148,7 @@ def __init__(self, client, symbol, callback=None, refresh_interval=_default_refr
         self._depth_cache = DepthCache(self._symbol)
         self._refresh_interval = refresh_interval
         self._conn_key = None
+        self._ws_interval = ws_interval
 
         self._start_socket()
         self._init_cache()
@@ -188,7 +191,7 @@ def _start_socket(self):
         if self._bm is None:
             self._bm = BinanceSocketManager(self._client)
 
-        self._conn_key = self._bm.start_depth_socket(self._symbol, self._depth_event)
+        self._conn_key = self._bm.start_depth_socket(self._symbol, self._depth_event, interval=self._ws_interval)
         if not self._bm.is_alive():
             self._bm.start()
 

binance/websockets.py

@@ -118,7 +118,7 @@ def _start_futures_socket(self, path, callback, prefix='stream?streams='):
         self._conns[path] = connectWS(factory, context_factory)
         return path
 
-    def start_depth_socket(self, symbol, callback, depth=None):
+    def start_depth_socket(self, symbol, callback, depth=None, interval=None):
         """Start a websocket for symbol market depth returning either a diff or a partial book
 
         https://github.com/binance-exchange/binance-official-api-docs/blob/master/web-socket-streams.md#partial-book-depth-streams
@@ -129,6 +129,8 @@ def start_depth_socket(self, symbol, callback, depth=None):
         :type callback: function
         :param depth: optional Number of depth entries to return, default None. If passed returns a partial book instead of a diff
         :type depth: str
+        :param interval: optional interval for updates, default None. If not set, updates happen every second. Must be 0, None (1s) or 100 (100ms)
+        :type interval: int
 
         :returns: connection key string if successful, False otherwise
 
@@ -185,6 +187,11 @@ def start_depth_socket(self, symbol, callback, depth=None):
         socket_name = symbol.lower() + '@depth'
         if depth and depth != '1':
             socket_name = '{}{}'.format(socket_name, depth)
+        if interval:
+            if interval in [0, 100]:
+                socket_name = '{}@{}ms'.format(socket_name, interval)
+            else:
+                raise ValueError("Websocket interval value not allowed. Allowed values are [0, 100]")
         return self._start_socket(socket_name, callback)
 
     def start_kline_socket(self, symbol, callback, interval=Client.KLINE_INTERVAL_1MINUTE):