GDAX / Coinbase API authentication process: Unicode-objects must be encoded before hashing

The code you're using is written for Python2, you can't expect it to run as it is. I've modified some parts to make it Python3 compatible.

Original code:

import json, hmac, hashlib, time, requests, base64
from requests.auth import AuthBase

# Create custom authentication for Exchange
class CoinbaseExchangeAuth(AuthBase):
    def __init__(self, api_key, secret_key, passphrase):
        self.api_key = api_key
        self.secret_key = secret_key
        self.passphrase = passphrase

    def __call__(self, request):
        timestamp = str(time.time())
        message = timestamp + request.method + request.path_url + (request.body or '')
        hmac_key = base64.b64decode(self.secret_key)
        signature = hmac.new(hmac_key, message, hashlib.sha256)
        signature_b64 = signature.digest().encode('base64').rstrip('\n')

        request.headers.update({
            'CB-ACCESS-SIGN': signature_b64,
            'CB-ACCESS-TIMESTAMP': timestamp,
            'CB-ACCESS-KEY': self.api_key,
            'CB-ACCESS-PASSPHRASE': self.passphrase,
            'Content-Type': 'application/json'
        })
        return request

api_url = 'https://api.gdax.com/'
auth = CoinbaseExchangeAuth(API_KEY, API_SECRET, API_PASS)

# Get accounts
r = requests.get(api_url + 'accounts', auth=auth)
print r.json()
# [{"id": "a1b2c3d4", "balance":...

# Place an order
order = {
    'size': 1.0,
    'price': 1.0,
    'side': 'buy',
    'product_id': 'BTC-USD',
}
r = requests.post(api_url + 'orders', json=order, auth=auth)
print r.json()

---

Modified code:

import json, hmac, hashlib, time, requests, base64
from requests.auth import AuthBase

# Create custom authentication for Exchange
class CoinbaseExchangeAuth(AuthBase):
    def __init__(self, api_key, secret_key, passphrase):
        self.api_key = api_key
        self.secret_key = secret_key
        self.passphrase = passphrase

    def __call__(self, request):
        timestamp = str(time.time())
        message = timestamp + request.method + request.path_url + (request.body or b'').decode()
        hmac_key = base64.b64decode(self.secret_key)
        signature = hmac.new(hmac_key, message.encode(), hashlib.sha256)
        signature_b64 = base64.b64encode(signature.digest()).decode()

        request.headers.update({
            'CB-ACCESS-SIGN': signature_b64,
            'CB-ACCESS-TIMESTAMP': timestamp,
            'CB-ACCESS-KEY': self.api_key,
            'CB-ACCESS-PASSPHRASE': self.passphrase,
            'Content-Type': 'application/json'
        })
        return request

api_url = 'https://api.gdax.com/'
auth = CoinbaseExchangeAuth(APIKEY, API_SECRET,  API_PASS)

# Get accounts
r = requests.get(api_url + 'accounts', auth=auth)
print(r.json())
# [{"id": "a1b2c3d4", "balance":...

# Place an order
order = {
    'size': 1.0,
    'price': 1.0,
    'side': 'buy',
    'product_id': 'BTC-USD',
}
r = requests.post(api_url + 'orders', json=order, auth=auth)
print(r.json())

---

Note that i've only "translated" the original code, i can't guarantee for it's functionality or security.