def collect_order_book():
gdax_order_book = gdax_client.get_order_book(ticker='eth', level=2)
gob_model = OrderBookModel.build(gdax_order_book)
gob_model.db_save(es)
cex_order_book = cex_client.get_order_book(ticker='eth', level=2)
cob_model = OrderBookModel.build(cex_order_book)
cob_model.db_save(es)
timestamp = gob_model.js['timestamp__long']
logger.info("saved data: {0}, {1}".format(str(timestamp),
epoch.to_str(timestamp)))
def get_order_book_data(self):
try:
gdax_order_book = self.gdax_public_client.get_product_order_book('ETH-USD', 2)
gob_model = OrderBookModel.build(gdax_order_book)
gob_model.db_save(es)
cex_order_book = self.cex_public_client.get_product_order_book('ETH-USD')
cob_model = OrderBookModel.build(cex_order_book)
cob_model.db_save(es)
logger.info("saved data: gdx:{0} | cex:{1}".format(gob_model.uid, cob_model.uid))
except Exception:
sentry_client.captureException()
tb = traceback.format_exc()
logger.error(tb)
def get_order_book(self, product_id=None, ticker=None, timestamp=-1):
"""
Search from timstamp, and work backward until one is found.
:return: OrderbookModel
"""
if timestamp == -1:
timestamp = epoch.current_milli_time()
search_window = 11000 # 11 seconds
search_window = 15 * 60000 # 15 minutes
search_window = 1000 * 60000 # 1000 minutes
(t0, t1) = timestamp - search_window, timestamp + 500
query = {
"size": 1,
"sort": [
{
"timestamp__long": {
"order": "desc"
}
}
],
"query": {
"bool": {
"must": [
{
"range": {
"timestamp__long": {
"gte": t0,
"lte": t1
}
}
},
{
"match": {
"exchange.raw": self.exh
}
},
{
"match": {
"product.raw": 'eth-usd'
}
}
]
}
}
}
params = default_es_get_params()
result = es.search("order_book", "data", query, params=params)
# validation
if result['hits']['total'] == 0:
logger.info(pretty_json(query))
logger.info(timestamp)
logger.info(epoch.to_str(timestamp))
raise RuntimeError('Cannot find orderbook in backtesting')
ob_js = result['hits']['hits'][0]['_source']
ob = OrderBookModel.build(ob_js)
return ob
def get_order_book(self, product_id=None, ticker=None, timestamp=-1):
if timestamp != -1:
raise RuntimeError('should always be -1')
exh_client = self._get_exh_client()
ob_js = exh_client.get_order_book(product_id=product_id, ticker=ticker, level=2)
ob = OrderBookModel.build(ob_js)
return ob
def test__build_order_book_model__001(self):
js1 = {
"uid": "5cdf981ca55344fc84f390faa10dbafb",
"key1__bool": False,
"key2__long": 343,
"key3": "buy",
"exchange": "gdax",
"product": "sdfds"
}
uid = js1['uid']
ob = OrderBookModel.build(js1)
assert ob.js['uid'] == uid
def test__db_save__and_db_get(self):
js = {
"product": "usdeth",
"exchange": "gdax",
}
ob = OrderBookModel.build(js)
uid = ob.uid
# saving data
ob.db_save(es)
# get data
js = ob.db_get(es, uid)
ob2 = OrderBookModel.parse(js)
assert ob == ob2
def test__build_order_book_model__002(self):
js = {
"key1__bool": False,
"key2__long": 343,
# "product": "usdeth",
"exchange": "gdax",
"key3": "buy"
}
got_error = False
try:
ob = OrderBookModel.build(js)
except ModelKeyValueException as e:
got_error = True
assert got_error