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docs/ccxt/examples/ccxt.pro/py/spot-vs-future-arbitrage-bitmart.py

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+# -*- coding: utf-8 -*-
+ 
+import asyncio
+import sys
+import os
+
+# ------------------------------------------------------------------------------
+
+root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__)))))
+sys.path.append(root + '/python')
+
+# ------------------------------------------------------------------------------
+
+import ccxt.pro
+
+print('CCXT Version:', ccxt.pro.__version__)
+
+orderbooks = {}
+
+def handle_all_orderbooks(exchange, orderbooks, spot, future):
+    if spot in orderbooks and future in orderbooks: 
+        spot_order_book = orderbooks[spot]
+        future_order_book = orderbooks[future]
+        timestamp = exchange.milliseconds()
+        spot_lag = abs(timestamp - spot_order_book['timestamp']) if spot_order_book['timestamp'] else 10000
+        future_lag = abs(timestamp - future_order_book['timestamp']) if future_order_book['timestamp'] else 10000
+        if spot_lag >= 10000 or future_lag >= 10000:
+            print('Lag > 10 seconds')
+
+async def symbol_loop(exchange, symbol, spot, future):
+    while True:
+        try:
+            orderbook = await exchange.watch_order_book(symbol)
+            orderbooks[symbol] = orderbook
+            print(exchange.id, '{:13s}'.format(symbol), orderbook['datetime'], orderbook['asks'][0], orderbook['bids'][0])
+            #
+            # here you can do what you want
+            # with the most recent versions of each orderbook you have so far
+            #
+            # you can also wait until all of them are available
+            # by just looking into all the orderbooks and counting them
+            #
+            # we just print them here to keep this example simple
+            #
+            handle_all_orderbooks(exchange, orderbooks, spot, future)
+        except Exception as e:
+            print(str(e))
+            # raise e  # uncomment to break all loops in case of an error in any one of them
+            break  # you can break just this one loop if it fails
+
+
+async def main():
+    spot = 'BTC/USDT'
+    future = 'BTC/USDT:USDT'
+    symbols = [ spot, future ]
+    exchange = ccxt.pro.bitmart()
+    loops = [
+        symbol_loop(exchange, spot, spot, future),
+        symbol_loop(exchange, future, spot, future),
+    ]
+    await asyncio.gather(*loops)
+    await exchange.close()
+
+
+asyncio.run(main())
+