226 lines
9.6 KiB
Python
226 lines
9.6 KiB
Python
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from __future__ import annotations
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import asyncio
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from typing import Any
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from nautilus_trader.cache.cache import Cache
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from nautilus_trader.common.component import LiveClock
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from nautilus_trader.common.component import MessageBus
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from nautilus_trader.common.enums import LogColor
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from nautilus_trader.common.providers import InstrumentProvider
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from nautilus_trader.core.datetime import millis_to_nanos
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from nautilus_trader.data.messages import SubscribeOrderBook
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from nautilus_trader.data.messages import SubscribeQuoteTicks
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from nautilus_trader.data.messages import UnsubscribeOrderBook
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from nautilus_trader.data.messages import UnsubscribeQuoteTicks
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from nautilus_trader.live.data_client import LiveMarketDataClient
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from nautilus_trader.model.data import BookOrder
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from nautilus_trader.model.data import OrderBookDelta
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from nautilus_trader.model.data import OrderBookDeltas
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from nautilus_trader.model.data import QuoteTick
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from nautilus_trader.model.enums import BookAction
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from nautilus_trader.model.enums import OrderSide
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from nautilus_trader.model.identifiers import ClientId
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from nautilus_trader.model.identifiers import InstrumentId
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from nautilus_trader.model.objects import Price
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from nautilus_trader.model.objects import Quantity
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from .data_config import BingxDataClientConfig
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from .enums import BINGX_VENUE
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from .http import BingxHttpClient
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from .market_stream import BingxMarketStream
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from .urls import get_public_ws_url
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class BingxMarketDataClient(LiveMarketDataClient):
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"""
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Nautilus `LiveMarketDataClient` for BingX USDT-M perpetuals.
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"""
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def __init__(
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self,
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loop: asyncio.AbstractEventLoop,
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client: BingxHttpClient,
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msgbus: MessageBus,
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cache: Cache,
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clock: LiveClock,
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instrument_provider: InstrumentProvider,
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config: BingxDataClientConfig,
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name: str | None = None,
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) -> None:
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super().__init__(
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loop=loop,
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client_id=ClientId(name or config.venue.value),
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venue=BINGX_VENUE,
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msgbus=msgbus,
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cache=cache,
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clock=clock,
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instrument_provider=instrument_provider,
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)
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self._client = client
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self._cfg = config
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ws_url = config.base_url_ws_market or get_public_ws_url(config.environment)
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self._ws_url = ws_url
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self._stream = BingxMarketStream(
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ws_url=ws_url,
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on_event=self._handle_ws_event,
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on_health=self._handle_ws_health,
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reconnect_initial_ms=int(config.ws_reconnect_initial_ms),
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reconnect_max_ms=int(config.ws_reconnect_max_ms),
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http_timeout_secs=int(config.http_timeout_secs),
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)
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self._stream_task: asyncio.Task | None = None
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self._raw_to_instrument_id: dict[str, InstrumentId] = {}
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self._book_sequences: dict[InstrumentId, int] = {}
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self._quote_subs: set[InstrumentId] = set()
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self._book_subs: dict[InstrumentId, int] = {}
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def _instrument_for(self, instrument_id: InstrumentId):
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return self._instrument_provider.get_all().get(instrument_id)
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def _send_all_instruments_to_data_engine(self) -> None:
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for instrument in self._instrument_provider.get_all().values():
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self._handle_data(instrument)
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for currency in self._instrument_provider.currencies().values():
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self._cache.add_currency(currency)
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async def _connect(self) -> None:
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await self._instrument_provider.initialize()
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self._send_all_instruments_to_data_engine()
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for instrument_id, instrument in self._instrument_provider.get_all().items():
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raw = getattr(instrument, "raw_symbol", None)
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if raw is None:
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continue
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self._raw_to_instrument_id[str(raw)] = instrument_id
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self._log.info(f"BingX market WS {self._ws_url}", LogColor.BLUE)
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self._stream_task = self.create_task(self._stream.run_forever(), log_msg="bingx_market_stream") # type: ignore[arg-type]
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async def _disconnect(self) -> None:
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if self._stream_task is not None:
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self._stream_task.cancel()
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await self._stream.close()
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async def _subscribe_quote_ticks(self, command: SubscribeQuoteTicks) -> None:
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instrument = self._instrument_for(command.instrument_id)
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if instrument is None:
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self._log.warning(f"BingX quote subscription skipped, instrument not found: {command.instrument_id}")
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return
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self._quote_subs.add(command.instrument_id)
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raw_symbol = str(getattr(instrument, "raw_symbol"))
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self._stream.subscribe(f"{raw_symbol}@bookTicker")
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async def _unsubscribe_quote_ticks(self, command: UnsubscribeQuoteTicks) -> None:
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self._quote_subs.discard(command.instrument_id)
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instrument = self._instrument_for(command.instrument_id)
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if instrument is None:
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return
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raw_symbol = str(getattr(instrument, "raw_symbol"))
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self._stream.unsubscribe(f"{raw_symbol}@bookTicker")
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async def _subscribe_order_book_deltas(self, command: SubscribeOrderBook) -> None:
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instrument = self._instrument_for(command.instrument_id)
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if instrument is None:
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self._log.warning(f"BingX book subscription skipped, instrument not found: {command.instrument_id}")
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return
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self._book_subs[command.instrument_id] = int(command.depth or self._cfg.depth_level)
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raw_symbol = str(getattr(instrument, "raw_symbol"))
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self._stream.subscribe(f"{raw_symbol}@incrDepth")
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async def _unsubscribe_order_book_deltas(self, command: UnsubscribeOrderBook) -> None:
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self._book_subs.pop(command.instrument_id, None)
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instrument = self._instrument_for(command.instrument_id)
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if instrument is None:
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return
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raw_symbol = str(getattr(instrument, "raw_symbol"))
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self._stream.unsubscribe(f"{raw_symbol}@incrDepth")
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async def _subscribe_order_book_depth(self, command: SubscribeOrderBook) -> None:
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await self._subscribe_order_book_deltas(command)
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async def _unsubscribe_order_book_depth(self, command: UnsubscribeOrderBook) -> None:
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await self._unsubscribe_order_book_deltas(command)
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async def _handle_ws_event(self, payload: dict[str, Any]) -> None:
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data_type = str(payload.get("dataType") or "")
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data = payload.get("data")
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if not isinstance(data, dict) or not data_type:
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return
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sym = str(data.get("s") or data.get("symbol") or "")
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if not sym:
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sym = data_type.split("@", 1)[0]
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instrument_id = self._raw_to_instrument_id.get(sym)
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if instrument_id is None:
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return
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ts_ms = int(data.get("T") or 0)
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ts_event = millis_to_nanos(ts_ms) if ts_ms else self._clock.timestamp_ns()
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ts_init = self._clock.timestamp_ns()
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if data_type.endswith("@bookTicker") and instrument_id in self._quote_subs:
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qt = QuoteTick(
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instrument_id,
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Price.from_str(str(data.get("b") or "0")),
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Price.from_str(str(data.get("a") or "0")),
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Quantity.from_str(str(data.get("B") or "0")),
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Quantity.from_str(str(data.get("A") or "0")),
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ts_event,
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ts_init,
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)
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self._handle_data(qt)
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return
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if data_type.endswith("@incrDepth") and instrument_id in self._book_subs:
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action = str(data.get("action") or "")
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last_update_id = int(data.get("lastUpdateId") or 0)
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bids = data.get("bids")
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asks = data.get("asks")
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if not isinstance(bids, list) or not isinstance(asks, list):
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return
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deltas: list[OrderBookDelta] = []
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if action == "all":
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deltas.append(OrderBookDelta(instrument_id, BookAction.CLEAR, None, 0, last_update_id, ts_event, ts_init))
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else:
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prev = self._book_sequences.get(instrument_id)
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if prev is not None and last_update_id and last_update_id != prev + 1:
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deltas.append(OrderBookDelta(instrument_id, BookAction.CLEAR, None, 0, last_update_id, ts_event, ts_init))
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if last_update_id:
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self._book_sequences[instrument_id] = last_update_id
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depth = int(self._book_subs[instrument_id])
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def _emit(side: OrderSide, rows: list) -> None:
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n = 0
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for item in rows:
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if n >= depth:
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break
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if not isinstance(item, (list, tuple)) or len(item) < 2:
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continue
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px_s = str(item[0])
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qty_s = str(item[1])
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qty = Quantity.from_str(qty_s)
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if qty.as_double() == 0.0:
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order = BookOrder(side, Price.from_str(px_s), Quantity.from_str("0"), 0)
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deltas.append(OrderBookDelta(instrument_id, BookAction.DELETE, order, 0, last_update_id, ts_event, ts_init))
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else:
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order = BookOrder(side, Price.from_str(px_s), qty, 0)
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deltas.append(OrderBookDelta(instrument_id, BookAction.UPDATE, order, 0, last_update_id, ts_event, ts_init))
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n += 1
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_emit(OrderSide.BUY, bids)
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_emit(OrderSide.SELL, asks)
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if deltas:
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self._handle_data(OrderBookDeltas(instrument_id, deltas))
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def _handle_ws_health(self, healthy: bool) -> None:
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if healthy:
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self._log.info("BingX market WS healthy", LogColor.GREEN)
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else:
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self._log.warning("BingX market WS unhealthy")
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