def _trim_orderbook_list(arr: list,
ascending: bool,
limit_len: int = 50) -> list:
"""trims prices up to 4 digits precision"""
first_price = arr[0][0]
if first_price < 0.1:
unit = 1e-5
elif first_price < 1:
unit = 1e-4
elif first_price < 10:
unit = 1e-3
elif first_price < 100:
unit = 1e-2
elif first_price < 1000:
unit = 1e-1
elif first_price < 10000:
unit = 1
else:
unit = 10
trimmed_price = jh.orderbook_trim_price(first_price, ascending, unit)
temp_qty = 0
trimmed_arr = []
for a in arr:
if len(trimmed_arr) == limit_len:
break
if (ascending and a[0] > trimmed_price) or (not ascending
and a[0] < trimmed_price):
# add previous record
trimmed_arr.append([trimmed_price, temp_qty])
# update temp values
temp_qty = a[1]
trimmed_price = jh.orderbook_trim_price(a[0], ascending, unit)
else:
temp_qty += a[1]
return trimmed_arr
def test_orderbook_trim_price():
# bids
assert jh.orderbook_trim_price(101.12, False, .1) == 101.1
assert jh.orderbook_trim_price(101.1, False, .1) == 101.1
assert jh.orderbook_trim_price(10.12, False, .01) == 10.12
assert jh.orderbook_trim_price(10.1, False, .01) == 10.1
assert jh.orderbook_trim_price(10.122, False, .01) == 10.12
assert jh.orderbook_trim_price(1.1223, False, .001) == 1.122
# asks
assert jh.orderbook_trim_price(101.12, True, .1) == 101.2
assert jh.orderbook_trim_price(101.1, True, .1) == 101.1
assert jh.orderbook_trim_price(10.12, True, .01) == 10.12
assert jh.orderbook_trim_price(10.122, True, .01) == 10.13
assert jh.orderbook_trim_price(1.1223, True, .001) == 1.123
