def get_current_orderbook(self, equity_pair, depth):
current_ts = ts()
connected = current_ts - self.last_updated_ts < 500
if not connected:
return None
if equity_pair not in self.orderbooks:
return None
if not (len(self.orderbooks[equity_pair]['asks']) > 0 and len(self.orderbooks[equity_pair]['bids']) > 0):
return None
cex_asks = self.orderbooks[equity_pair]['asks']
cex_bids = self.orderbooks[equity_pair]['bids']
timestamp = self.orderbooks[equity_pair]['timestamp']
if current_ts - timestamp > 3000:
# cex 서버 타임스탬프가 3초 이상 오래된 경우에는 최신이라고 확신할 수 없기 때문에 그냥 사용하지 않습니다.
return None
asks_result = []
for ask_price in cex_asks:
ask_volume = cex_asks[ask_price]
asks_result.append([ask_price, ask_volume])
asks_result.sort()
asks_result = asks_result[0:min(depth, len(asks_result))]
asks = map(lambda elem: {'price': elem[0], 'volume': elem[1]}, asks_result)
bids_result = []
for bid_price in cex_bids:
bid_volume = cex_bids[bid_price]
bids_result.append([bid_price, bid_volume])
bids_result.sort(reverse=True)
bids_result = bids_result[0:min(depth, len(bids_result))]
bids = map(lambda elem: {'price': elem[0], 'volume': elem[1]}, bids_result)
return Orderbook('cex', equity_pair=equity_pair, asks=asks, bids=bids, timestamp=timestamp)
def parse_orderbook_response(cls, response, poloniex_currency_pair):
validate_response(response, required_keys=['asks', 'bids', 'timestamp'])
assert len(response['asks']) != 0, 'INVALID_VALUE: orderbook:asks should not be empty'
assert len(response['bids']) != 0, 'INVALID_VALUE: orderbook:bids should not be empty'
equity_pair = EQUITY_PAIRS.from_exchange_pair(poloniex_currency_pair)
asks = map(lambda elem: {'price': float(elem[0]), 'volume': float(elem[1])}, response['asks'])
bids = map(lambda elem: {'price': float(elem[0]), 'volume': float(elem[1])}, response['bids'])
timestamp = int(response['timestamp']) * 1000
return Orderbook('poloniex', equity_pair, asks, bids, timestamp)
def parse_orderbook_response(cls, response, binance_equity_pair):
validate_response(response,
required_keys=['asks', 'bids', 'lastUpdateId'])
assert len(response['asks']
) != 0, 'INVALID_VALUE: orderbook:asks should not be empty'
assert len(response['bids']
) != 0, 'INVALID_VALUE: orderbook:bids should not be empty'
equity_pair = EQUITY_PAIRS.from_exchange_pair(binance_equity_pair)
asks = map(
lambda elem: {
'price': float(elem[0]),
'volume': float(elem[1])
}, response['asks'])
bids = map(
lambda elem: {
'price': float(elem[0]),
'volume': float(elem[1])
}, response['bids'])
timestamp = ts()
return Orderbook('binance', equity_pair, asks, bids, timestamp)
def parse_orderbook_response(cls,
response,
okex_equity_pair,
contract_type=None):
validate_response(response, required_keys=['asks', 'bids'])
assert len(response['asks']
) != 0, 'INVALID_VALUE: orderbook:asks should not be empty'
assert len(response['bids']
) != 0, 'INVALID_VALUE: orderbook:bids should not be empty'
equity_pair = EQUITY_PAIRS.from_exchange_pair(okex_equity_pair)
# 만약 contract_type이 주어진 경우 선물에 대한 오더북이다.
# 이 경우에는 equity_pair를 선물 포맷에 맞게 변형해서 넣어줘야 한다.
if contract_type is not None:
expiry_yymmdd = get_future_expiry_symbol(contract_type)
equity_pair = 'f_{}_{}'.format(equity_pair, expiry_yymmdd)
asks = sorted(response['asks'], key=lambda b: b[0])
bids = sorted(response['bids'], key=lambda b: b[0], reverse=True)
asks = map(lambda elem: {'price': elem[0], 'volume': elem[1]}, asks)
bids = map(lambda elem: {'price': elem[0], 'volume': elem[1]}, bids)
timestamp = ts()
return Orderbook('okex', equity_pair, asks, bids, timestamp)