Overview

This documentation outlines the process of creating a WebSocket client for cryptocurrency exchanges. The script connects to an exchange's WebSocket stream, retrieves real-time market data for a specific symbol (e.g., LTCUSDT), processes the data into a standardized format, and makes it available through a local WebSocket server for further aggregation.

Dependencies

The following Python libraries are required:

• websocket-client
• websockets
• aiohttp

To install these dependencies, run:

pip install websocket-client websockets aiohttp

General Script Structure

1. Initial Connection: Connect to the exchange's WebSocket and subscribe to the relevant data stream.
2. Data Processing: Receive and process raw data from the exchange.
3. Data Standardization: Convert the processed data into a consistent format.
4. Local WebSocket Server: Set up a server to make the standardized data available for aggregation.

Step-by-Step Implementation Guide

Step 1: Basic Connection and Raw Data Retrieval

1. Start with a simple script that connects to the exchange's WebSocket and prints raw data:

import websocket
import json

def on_message(ws, message):
    print(f"Received: {message}")

def on_error(ws, error):
    print(f"Error: {error}")

def on_close(ws):
    print("Connection closed")

def on_open(ws):
    subscribe_message = {
        "op": "subscribe",
        "args": ["spot/ticker:LTC_USDT"]
    }
    ws.send(json.dumps(subscribe_message))

if __name__ == "__main__":
    ws_url = "wss://example-exchange.com/ws"
    ws = websocket.WebSocketApp(ws_url,
                                on_message=on_message,
                                on_error=on_error,
                                on_close=on_close,
                                on_open=on_open)
    ws.run_forever()

1. Run this script to see the raw data format from the exchange.

Step 2: Data Processing and Standardization