Process websocket stream while downloading multiple files using aiohttp

Question

I'm following instructions (here) to mirror multiple orderbooks on Binance Exchange on my local machine.

Suppose for simplicity, I wish to mirror orderbooks for 2 symbols: ETHBTC and DOGEBTC (in reality it's 350+).

First I have to buffer the websocket order-update streams:

• wss://stream.binance.com:9443/stream?streams=ETHBTC@depth@100ms
• wss://stream.binance.com:9443/stream?streams=DOGEBTC@depth@100ms

Now I have to download snapshots:

• https://api.binance.com/api/v3/depth?symbol=ETHBTC&limit=1000
• https://api.binance.com/api/v3/depth?symbol=DOGEBTC&limit=1000

As soon as I have the snapshots, I apply the buffer (which is ongoing) to them, yielding a STATE.

After that, all order-updates can simply be applied to the state.

For the updates stream I can do:

        async with aiohttp.ClientSession() as session:
            async with session.ws_connect(URL) as wsock:
                async for msg in wsock:
                    if msg.type != aiohttp.WSMsgType.TEXT:
                        J = json.loads(msg.data)
                        symbol = J['data']['s']

                        process_update(symbol, J)

But how can I, once the first update has come in, initiate downloading the snapshot, with a completion handler that will process it, in such a way as to not interrupt the stream?

If I'm tracking 300 symbols, that's 300 downloads happening at the same time.

I found resources on async downloading of multiple files, but I cannot see how to integrate this with the requirement of processing the stream.

I could always do the downloads in a separate thread, but isn't this fighting the architecture goals of aiohttp?

REF:

• https://gist.github.com/Hammer2900/2b5da5c08f6406ab49ddb02b0c5ae9f7

Answer 1

Answer thanks to graingert on IRC Freenode #python 🙏

import anyio.to_thread


async def foo():
    async def download(symbol):
        async with session.get(f"{url}/{symbol}") as resp:
            await do_something(resp)

    async with aiohttp.ClientSession() as session, session.ws_connect(
        URL
    ) as wsock, anyio.create_task_group() as tg:
        async for msg in wsock:
            if msg.type != aiohttp.WSMsgType.TEXT:
                J = json.loads(msg.data)
                symbol = J["data"]["s"]

                tg.start_soon(download, symbol)
                await anyio.to_thread.run(process_update, symbol, J)