async_depth.py

import asyncio

from binance import AsyncClient, BinanceSocketManager
from binance.depthcache import DepthCache, DepthCacheManager
from psutil import Process

caches_sum_length = {}
cache_10_bids = {}
cache_10_asks = {}
cache_num_of_zeros = {}


SYMBOLS = ['DOGE', 'BTT', 'HOT', 'WIN', 'AKRO', 'KEY', 'ICP', 'NANO', 'ICX', 'DENT', 'MBL', 'ADA', 'SHIB']

async def run_depth():
    client = await AsyncClient.create()
    bm = BinanceSocketManager(client)

    dcms = {
        s: DepthCacheManager(client, s + 'USDT', bm=bm, limit=10)
        for s in SYMBOLS
    }

    async def handlerLoop(dcm:DepthCacheManager):
        async with dcm as dcm_socket:
            while True:
                depth_cache:DepthCache = await dcm_socket.recv()
                asks = depth_cache.get_asks()
                bids = depth_cache.get_bids()
                caches_sum_length[depth_cache.symbol] = len(asks) + len(bids)
                cache_10_asks[depth_cache.symbol] = asks[:10]
                cache_10_bids[depth_cache.symbol] = bids[:10]
                cache_num_of_zeros[depth_cache.symbol] = len([x for x in asks if x[1] == 0.0]) + len(
                    [x for x in bids if x[1] == 0.0])
    futures = [handlerLoop(dcm) for dcm in dcms.values()]
    await asyncio.gather(*futures)

async def mon_loop():
    while True:
        keys = sorted(caches_sum_length.keys())
        print("="*80)
        print(f"{Process().memory_info().rss / 1024 ** 2:0.4f} MB used")
        for k in keys:
            print(f"{k}={caches_sum_length[k]}\t", end='')
        print()
        for k in keys:
            if k in cache_num_of_zeros:
                print(f"{k}(0)={cache_num_of_zeros[k]}\t", end='')
        print()
        print("="*80)

        await asyncio.sleep(10)

async def main():
    await asyncio.gather(run_depth(), mon_loop())

if __name__ == "__main__":
    loop = asyncio.get_event_loop()
    loop.run_until_complete(main())