From 592350f4a5544ea7e975cabdd0a37e77589559aa Mon Sep 17 00:00:00 2001
From: Petter Reinholdtsen <pere@hungry.com>
Date: Fri, 5 Mar 2021 18:43:56 +0100
Subject: [PATCH] Add client demonstrating how Kraken websocket give negative
 spread.

After a fairly short time, the code will produce an error, for example
looking like this:

  error: Improbable negative spread lastupdate=1614966172.542893
     ask=(Decimal('47973.30000'), Decimal('0.10000000'))
     bid=(Decimal('47975.10000'), Decimal('1.00000000'))
---
 client.py                                | 98 ++++++++++++++++++++++++
 kraken_wsclient_py/kraken_wsclient_py.py |  3 +-
 2 files changed, 100 insertions(+), 1 deletion(-)
 create mode 100644 client.py

diff --git a/client.py b/client.py
new file mode 100644
index 0000000..bf80785
--- /dev/null
+++ b/client.py
@@ -0,0 +1,98 @@
+#!/usr/bin/env python3
+
+import simplejson
+
+from decimal import Decimal
+from operator import neg
+from sortedcontainers.sorteddict import SortedDict
+
+from kraken_wsclient_py import kraken_wsclient_py as client
+
+class Orderbook(object):
+    SIDE_ASK = "ask"
+    SIDE_BID = "bid"
+    def __init__(self):
+        self.ask = SortedDict()
+        self.bid = SortedDict(neg)
+        self.lastupdate = None
+    def copy(self):
+        o = Orderbook()
+        o.ask = self.ask.copy()
+        o.bid = self.bid.copy()
+        o.lastupdate = self.lastupdate
+        return o
+    def update(self, side, price, volume, timestamp = None):
+        table = {
+            self.SIDE_ASK : self.ask,
+            self.SIDE_BID : self.bid,
+        }[side]
+        table[price] = volume
+        if timestamp and (self.lastupdate is None or timestamp > self.lastupdate):
+            self.lastupdate = timestamp
+    def remove(self, side, price):
+        table = {
+            self.SIDE_ASK : self.ask,
+            self.SIDE_BID : self.bid,
+        }[side]
+        del table[price]
+
+
+book = Orderbook()
+
+def my_handler(m):
+    global book
+    # Here you can do stuff with the messages
+    #print(m)
+    if list == type(m):
+        updates = list(m[1].keys())
+        pair = ('XBT', 'USD')
+        #print("channel update:", updates, pair)
+        for update in updates:
+            if update in ('as', 'bs'):
+                o = Orderbook()
+                for side in ('as', 'bs'):
+                    oside = {
+                        'as' : o.SIDE_ASK,
+                        'bs' : o.SIDE_BID,
+                    }[side]
+                    for e in m[1][side]:
+                        o.update(oside, Decimal(e[0]), Decimal(e[1]), float(e[2]))
+                book = o
+            elif update in ('a', 'b'):
+                o = book
+                for side in ('a', 'b'):
+                    oside = {
+                        'a' : book.SIDE_ASK,
+                        'b' : book.SIDE_BID,
+                    }[side]
+                    if side in m[1]:
+                        for e in m[1][side]:
+                            price = Decimal(e[0])
+                            if '0.00000000' == e[1]:
+                                try:
+                                    book.remove(oside, price)
+                                except KeyError as e:
+                                    raise ValueError('asked to remove non-existing %s order %s' % (oside, price))
+                            else:
+                                volume = Decimal(e[1])
+                                book.update(oside, price, volume, float(e[2]))
+        askprice = book.ask.peekitem(0)
+        bidprice = book.bid.peekitem(0)
+        if askprice < bidprice:
+            print("error: Improbable negative spread lastupdate=%s ask=%s bid=%s" %(book.lastupdate, askprice, bidprice))
+            exit(1)
+    return
+    
+
+my_client = client.WssClient()
+my_client.start()
+
+# Sample public-data subscription:
+
+my_client.subscribe_public(
+    subscription = {
+        'name': 'book'
+    },
+    pair = ['XBT/USD'],
+    callback = my_handler
+)
diff --git a/kraken_wsclient_py/kraken_wsclient_py.py b/kraken_wsclient_py/kraken_wsclient_py.py
index aca1f53..ecb71a2 100644
--- a/kraken_wsclient_py/kraken_wsclient_py.py
+++ b/kraken_wsclient_py/kraken_wsclient_py.py
@@ -3,6 +3,7 @@
 import json
 import hmac
 import hashlib
+from decimal import Decimal
 from autobahn.twisted.websocket import WebSocketClientFactory, \
     WebSocketClientProtocol, \
     connectWS
@@ -30,7 +31,7 @@ def onConnect(self, response):
     def onMessage(self, payload, isBinary):
         if not isBinary:
             try:
-                payload_obj = json.loads(payload.decode('utf8'))
+                payload_obj = json.loads(payload.decode('utf8'), parse_float=Decimal)
             except ValueError:
                 pass
             else: