Removed seq_no as per doc: Subscribe to the level2 channel to guarant…

…ee that messages are delivered and your order book is in sync.

cryptofeed/exchanges/coinbase.py

@@ -4,7 +4,6 @@
 Please see the LICENSE file for the terms and conditions
 associated with this software.
 '''
-import asyncio
 import datetime
 import hashlib
 import hmac
@@ -84,20 +83,9 @@ def symbols(cls, config: dict = None, refresh=False) -> list:
 
     def __init__(self, callbacks=None, **kwargs):
         super().__init__(callbacks=callbacks, **kwargs)
-        # we only keep track of the L3 order book if we have at least one subscribed order-book callback.
-        # use case: subscribing to the L3 book plus Trade type gives you order_type information (see _received below),
-        # and we don't need to do the rest of the book-keeping unless we have an active callback
         self.__reset()
 
     def __reset(self):
-        self.order_map = {}
-        self.order_type_map = {}
-        self.seq_no = None
-        # sequence number validation only works when the FULL data stream is enabled
-        chan = self.std_channel_to_exchange(L2_BOOK)
-        if chan in self.subscription:
-            pairs = self.subscription[chan]
-            self.seq_no = {pair: None for pair in pairs}
         self._l2_book = {}
 
     async def _ticker(self, msg: dict, timestamp: float):
@@ -167,62 +155,11 @@ async def _pair_level2_update(self, msg: dict, timestamp: float, ts: datetime):
 
         await self.book_callback(L2_BOOK, self._l2_book[pair], timestamp, timestamp=ts, raw=msg, delta=delta)
 
-    async def _book_snapshot(self, pairs: list):
-        # Coinbase needs some time to send messages to us
-        # before we request the snapshot. If we don't sleep
-        # the snapshot seq no could be much earlier than
-        # the subsequent messages, causing a seq no mismatch.
-        await asyncio.sleep(2)
-
-        urls = [self.rest_endpoints[0].route('l3book', self.sandbox).format(pair) for pair in pairs]
-
-        results = []
-        headers = get_private_parameters(self.config, rest_api=True, endpoint='product_book')
-        for url in urls:
-            ret = await self.http_conn.read(url, header=headers)
-            results.append(ret)
-            # rate limit - 3 per second
-            await asyncio.sleep(0.3)
-
-        timestamp = time.time()
-        for res, pair in zip(results, pairs):
-            orders = json.loads(res, parse_float=Decimal)
-            npair = self.exchange_symbol_to_std_symbol(pair)
-            self._l2_book[npair] = OrderBook(self.id, pair, max_depth=self.max_depth)
-            # self.seq_no[npair] = orders['sequence'] # TODO: no longer available post transition to Coinbase Advanced Trade
-            for side in (BID, ASK):
-                for order in orders['pricebook'][side + 's']:
-                    price = Decimal(order['price'])
-                    size = Decimal(order['size'])
-                    order_id = f'{side}@{size}@{price}'
-                    if price in self._l2_book[npair].book[side]:
-                        self._l2_book[npair].book[side][price][order_id] = size
-                    else:
-                        self._l2_book[npair].book[side][price] = {order_id: size}
-                    self.order_map[order_id] = (price, size)
-            await self.book_callback(L2_BOOK, self._l2_book[npair], timestamp, raw=orders)
-
     async def message_handler(self, msg: str, conn: AsyncConnection, timestamp: float):
         # PERF perf_start(self.id, 'msg')
         msg = json.loads(msg, parse_float=Decimal)
         if 'channel' in msg and 'events' in msg:
             for event in msg['events']:
-                if self.seq_no and 'product_id' in event and 'sequence_num' in msg:
-                    pair = self.exchange_symbol_to_std_symbol(event['product_id'])
-                    if not self.seq_no.get(pair, None):
-                        return
-                    if msg['sequence_num'] <= self.seq_no[pair]:
-                        return
-                    if msg['sequence_num'] != self.seq_no[pair] + 1:
-                        LOG.warning("%s: Missing sequence number detected for %s. Received %d, expected %d", self.id,
-                                    pair, msg['sequence_num'], self.seq_no[pair] + 1)
-                        LOG.warning("%s: Resetting data for %s", self.id, pair)
-                        self.__reset()
-                        await self._book_snapshot([pair])
-                        return
-
-                    self.seq_no[pair] = msg['sequence_num']
-
                 if msg['channel'] == 'market_trades':
                     if event.get('type') == 'update':
                         for trade in event['trades']: