def _get_order_book(base_asset,
quote_asset,
bid_book_min_pct_fee_provided=None,
bid_book_min_pct_fee_required=None,
bid_book_max_pct_fee_required=None,
ask_book_min_pct_fee_provided=None,
ask_book_min_pct_fee_required=None,
ask_book_max_pct_fee_required=None):
"""Gets the current order book for a specified asset pair
@param: normalized_fee_required: Only specify if buying BTC. If specified, the order book will be pruned down to only
show orders at and above this fee_required
@param: normalized_fee_provided: Only specify if selling BTC. If specified, the order book will be pruned down to only
show orders at and above this fee_provided
"""
base_asset_info = config.mongo_db.tracked_assets.find_one(
{'asset': base_asset})
quote_asset_info = config.mongo_db.tracked_assets.find_one(
{'asset': quote_asset})
if not base_asset_info or not quote_asset_info:
raise Exception("Invalid asset(s)")
# TODO: limit # results to 8 or so for each book (we have to sort as well to limit)
base_bid_filters = [
{
"field": "get_asset",
"op": "==",
"value": base_asset
},
{
"field": "give_asset",
"op": "==",
"value": quote_asset
},
]
base_ask_filters = [
{
"field": "get_asset",
"op": "==",
"value": quote_asset
},
{
"field": "give_asset",
"op": "==",
"value": base_asset
},
]
if base_asset == config.BTC or quote_asset == config.BTC:
extra_filters = [
{
'field': 'give_remaining',
'op': '>',
'value': 0
}, # don't show empty BTC orders
{
'field': 'get_remaining',
'op': '>',
'value': 0
}, # don't show empty BTC orders
{
'field': 'fee_required_remaining',
'op': '>=',
'value': 0
},
{
'field': 'fee_provided_remaining',
'op': '>=',
'value': 0
},
]
base_bid_filters += extra_filters
base_ask_filters += extra_filters
base_bid_orders = util.call_jsonrpc_api("get_orders", {
'filters': base_bid_filters,
'show_expired': False,
'status': 'open',
'order_by': 'block_index',
'order_dir': 'asc',
},
abort_on_error=True)['result']
base_ask_orders = util.call_jsonrpc_api("get_orders", {
'filters': base_ask_filters,
'show_expired': False,
'status': 'open',
'order_by': 'block_index',
'order_dir': 'asc',
},
abort_on_error=True)['result']
def get_o_pct(o):
if o['give_asset'] == config.BTC: # NB: fee_provided could be zero here
pct_fee_provided = float(
(D(o['fee_provided_remaining']) / D(o['give_quantity'])))
else:
pct_fee_provided = None
if o['get_asset'] == config.BTC: # NB: fee_required could be zero here
pct_fee_required = float(
(D(o['fee_required_remaining']) / D(o['get_quantity'])))
else:
pct_fee_required = None
return pct_fee_provided, pct_fee_required
# filter results by pct_fee_provided and pct_fee_required for BTC pairs as appropriate
filtered_base_bid_orders = []
filtered_base_ask_orders = []
if base_asset == config.BTC or quote_asset == config.BTC:
for o in base_bid_orders:
pct_fee_provided, pct_fee_required = get_o_pct(o)
addToBook = True
if bid_book_min_pct_fee_provided is not None and pct_fee_provided is not None and pct_fee_provided < bid_book_min_pct_fee_provided:
addToBook = False
if bid_book_min_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required < bid_book_min_pct_fee_required:
addToBook = False
if bid_book_max_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required > bid_book_max_pct_fee_required:
addToBook = False
if addToBook:
filtered_base_bid_orders.append(o)
for o in base_ask_orders:
pct_fee_provided, pct_fee_required = get_o_pct(o)
addToBook = True
if ask_book_min_pct_fee_provided is not None and pct_fee_provided is not None and pct_fee_provided < ask_book_min_pct_fee_provided:
addToBook = False
if ask_book_min_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required < ask_book_min_pct_fee_required:
addToBook = False
if ask_book_max_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required > ask_book_max_pct_fee_required:
addToBook = False
if addToBook:
filtered_base_ask_orders.append(o)
else:
filtered_base_bid_orders += base_bid_orders
filtered_base_ask_orders += base_ask_orders
def make_book(orders, isBidBook):
book = {}
for o in orders:
if o['give_asset'] == base_asset:
if base_asset == config.BTC and o[
'give_quantity'] <= config.ORDER_BTC_DUST_LIMIT_CUTOFF:
continue # filter dust orders, if necessary
give_quantity = blockchain.normalize_quantity(
o['give_quantity'], base_asset_info['divisible'])
get_quantity = blockchain.normalize_quantity(
o['get_quantity'], quote_asset_info['divisible'])
unit_price = float((D(get_quantity) / D(give_quantity)))
remaining = blockchain.normalize_quantity(
o['give_remaining'], base_asset_info['divisible'])
else:
if quote_asset == config.BTC and o[
'give_quantity'] <= config.ORDER_BTC_DUST_LIMIT_CUTOFF:
continue # filter dust orders, if necessary
give_quantity = blockchain.normalize_quantity(
o['give_quantity'], quote_asset_info['divisible'])
get_quantity = blockchain.normalize_quantity(
o['get_quantity'], base_asset_info['divisible'])
unit_price = float((D(give_quantity) / D(get_quantity)))
remaining = blockchain.normalize_quantity(
o['get_remaining'], base_asset_info['divisible'])
id = "%s_%s_%s" % (base_asset, quote_asset, unit_price)
#^ key = {base}_{bid}_{unit_price}, values ref entries in book
book.setdefault(id, {
'unit_price': unit_price,
'quantity': 0,
'count': 0
})
book[id]['quantity'] += remaining # base quantity outstanding
book[id]['count'] += 1 # num orders at this price level
book = sorted(iter(book.values()),
key=operator.itemgetter('unit_price'),
reverse=isBidBook)
#^ convert to list and sort -- bid book = descending, ask book = ascending
return book
# compile into a single book, at volume tiers
base_bid_book = make_book(filtered_base_bid_orders, True)
base_ask_book = make_book(filtered_base_ask_orders, False)
# get stats like the spread and median
if base_bid_book and base_ask_book:
# don't do abs(), as this is "the amount by which the ask price exceeds the bid", so I guess it could be negative
# if there is overlap in the book (right?)
bid_ask_spread = float((D(base_ask_book[0]['unit_price']) -
D(base_bid_book[0]['unit_price'])))
bid_ask_median = float((D(
max(base_ask_book[0]['unit_price'],
base_bid_book[0]['unit_price'])) -
(D(abs(bid_ask_spread)) / 2)))
else:
bid_ask_spread = 0
bid_ask_median = 0
# compose depth and round out quantities
bid_depth = D(0)
for o in base_bid_book:
o['quantity'] = float(D(o['quantity']))
bid_depth += D(o['quantity'])
o['depth'] = float(D(bid_depth))
bid_depth = float(D(bid_depth))
ask_depth = D(0)
for o in base_ask_book:
o['quantity'] = float(D(o['quantity']))
ask_depth += D(o['quantity'])
o['depth'] = float(D(ask_depth))
ask_depth = float(D(ask_depth))
# compose raw orders
orders = filtered_base_bid_orders + filtered_base_ask_orders
for o in orders:
# add in the blocktime to help makes interfaces more user-friendly (i.e. avoid displaying block
# indexes and display datetimes instead)
o['block_time'] = calendar.timegm(
util.get_block_time(o['block_index']).timetuple()) * 1000
result = {
'base_bid_book': base_bid_book,
'base_ask_book': base_ask_book,
'bid_depth': bid_depth,
'ask_depth': ask_depth,
'bid_ask_spread': bid_ask_spread,
'bid_ask_median': bid_ask_median,
'raw_orders': orders,
'base_asset': base_asset,
'quote_asset': quote_asset
}
return result
def _get_order_book(base_asset, quote_asset,
bid_book_min_pct_fee_provided=None, bid_book_min_pct_fee_required=None, bid_book_max_pct_fee_required=None,
ask_book_min_pct_fee_provided=None, ask_book_min_pct_fee_required=None, ask_book_max_pct_fee_required=None):
"""Gets the current order book for a specified asset pair
@param: normalized_fee_required: Only specify if buying BTC. If specified, the order book will be pruned down to only
show orders at and above this fee_required
@param: normalized_fee_provided: Only specify if selling BTC. If specified, the order book will be pruned down to only
show orders at and above this fee_provided
"""
base_asset_info = config.mongo_db.tracked_assets.find_one({'asset': base_asset})
quote_asset_info = config.mongo_db.tracked_assets.find_one({'asset': quote_asset})
if not base_asset_info or not quote_asset_info:
raise Exception("Invalid asset(s)")
#TODO: limit # results to 8 or so for each book (we have to sort as well to limit)
base_bid_filters = [
{"field": "get_asset", "op": "==", "value": base_asset},
{"field": "give_asset", "op": "==", "value": quote_asset},
]
base_ask_filters = [
{"field": "get_asset", "op": "==", "value": quote_asset},
{"field": "give_asset", "op": "==", "value": base_asset},
]
if base_asset == config.BTC or quote_asset == config.BTC:
extra_filters = [
{'field': 'give_remaining', 'op': '>', 'value': 0}, #don't show empty BTC orders
{'field': 'get_remaining', 'op': '>', 'value': 0}, #don't show empty BTC orders
{'field': 'fee_required_remaining', 'op': '>=', 'value': 0},
{'field': 'fee_provided_remaining', 'op': '>=', 'value': 0},
]
base_bid_filters += extra_filters
base_ask_filters += extra_filters
base_bid_orders = util.call_jsonrpc_api("get_orders", {
'filters': base_bid_filters,
'show_expired': False,
'status': 'open',
'order_by': 'block_index',
'order_dir': 'asc',
}, abort_on_error=True)['result']
base_ask_orders = util.call_jsonrpc_api("get_orders", {
'filters': base_ask_filters,
'show_expired': False,
'status': 'open',
'order_by': 'block_index',
'order_dir': 'asc',
}, abort_on_error=True)['result']
def get_o_pct(o):
if o['give_asset'] == config.BTC: #NB: fee_provided could be zero here
pct_fee_provided = float(( D(o['fee_provided_remaining']) / D(o['give_quantity']) ))
else: pct_fee_provided = None
if o['get_asset'] == config.BTC: #NB: fee_required could be zero here
pct_fee_required = float(( D(o['fee_required_remaining']) / D(o['get_quantity']) ))
else: pct_fee_required = None
return pct_fee_provided, pct_fee_required
#filter results by pct_fee_provided and pct_fee_required for BTC pairs as appropriate
filtered_base_bid_orders = []
filtered_base_ask_orders = []
if base_asset == config.BTC or quote_asset == config.BTC:
for o in base_bid_orders:
pct_fee_provided, pct_fee_required = get_o_pct(o)
addToBook = True
if bid_book_min_pct_fee_provided is not None and pct_fee_provided is not None and pct_fee_provided < bid_book_min_pct_fee_provided:
addToBook = False
if bid_book_min_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required < bid_book_min_pct_fee_required:
addToBook = False
if bid_book_max_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required > bid_book_max_pct_fee_required:
addToBook = False
if addToBook: filtered_base_bid_orders.append(o)
for o in base_ask_orders:
pct_fee_provided, pct_fee_required = get_o_pct(o)
addToBook = True
if ask_book_min_pct_fee_provided is not None and pct_fee_provided is not None and pct_fee_provided < ask_book_min_pct_fee_provided:
addToBook = False
if ask_book_min_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required < ask_book_min_pct_fee_required:
addToBook = False
if ask_book_max_pct_fee_required is not None and pct_fee_required is not None and pct_fee_required > ask_book_max_pct_fee_required:
addToBook = False
if addToBook: filtered_base_ask_orders.append(o)
else:
filtered_base_bid_orders += base_bid_orders
filtered_base_ask_orders += base_ask_orders
def make_book(orders, isBidBook):
book = {}
for o in orders:
if o['give_asset'] == base_asset:
if base_asset == config.BTC and o['give_quantity'] <= config.ORDER_BTC_DUST_LIMIT_CUTOFF:
continue #filter dust orders, if necessary
give_quantity = blockchain.normalize_quantity(o['give_quantity'], base_asset_info['divisible'])
get_quantity = blockchain.normalize_quantity(o['get_quantity'], quote_asset_info['divisible'])
unit_price = float(( D(get_quantity) / D(give_quantity) ))
remaining = blockchain.normalize_quantity(o['give_remaining'], base_asset_info['divisible'])
else:
if quote_asset == config.BTC and o['give_quantity'] <= config.ORDER_BTC_DUST_LIMIT_CUTOFF:
continue #filter dust orders, if necessary
give_quantity = blockchain.normalize_quantity(o['give_quantity'], quote_asset_info['divisible'])
get_quantity = blockchain.normalize_quantity(o['get_quantity'], base_asset_info['divisible'])
unit_price = float(( D(give_quantity) / D(get_quantity) ))
remaining = blockchain.normalize_quantity(o['get_remaining'], base_asset_info['divisible'])
id = "%s_%s_%s" % (base_asset, quote_asset, unit_price)
#^ key = {base}_{bid}_{unit_price}, values ref entries in book
book.setdefault(id, {'unit_price': unit_price, 'quantity': 0, 'count': 0})
book[id]['quantity'] += remaining #base quantity outstanding
book[id]['count'] += 1 #num orders at this price level
book = sorted(book.itervalues(), key=operator.itemgetter('unit_price'), reverse=isBidBook)
#^ convert to list and sort -- bid book = descending, ask book = ascending
return book
#compile into a single book, at volume tiers
base_bid_book = make_book(filtered_base_bid_orders, True)
base_ask_book = make_book(filtered_base_ask_orders, False)
#get stats like the spread and median
if base_bid_book and base_ask_book:
#don't do abs(), as this is "the amount by which the ask price exceeds the bid", so I guess it could be negative
# if there is overlap in the book (right?)
bid_ask_spread = float(( D(base_ask_book[0]['unit_price']) - D(base_bid_book[0]['unit_price']) ))
bid_ask_median = float(( D( max(base_ask_book[0]['unit_price'], base_bid_book[0]['unit_price']) ) - (D(abs(bid_ask_spread)) / 2) ))
else:
bid_ask_spread = 0
bid_ask_median = 0
#compose depth and round out quantities
bid_depth = D(0)
for o in base_bid_book:
o['quantity'] = float(D(o['quantity']))
bid_depth += D(o['quantity'])
o['depth'] = float(D(bid_depth))
bid_depth = float(D(bid_depth))
ask_depth = D(0)
for o in base_ask_book:
o['quantity'] = float(D(o['quantity']))
ask_depth += D(o['quantity'])
o['depth'] = float(D(ask_depth))
ask_depth = float(D(ask_depth))
#compose raw orders
orders = filtered_base_bid_orders + filtered_base_ask_orders
for o in orders:
#add in the blocktime to help makes interfaces more user-friendly (i.e. avoid displaying block
# indexes and display datetimes instead)
o['block_time'] = time.mktime(util.get_block_time(o['block_index']).timetuple()) * 1000
result = {
'base_bid_book': base_bid_book,
'base_ask_book': base_ask_book,
'bid_depth': bid_depth,
'ask_depth': ask_depth,
'bid_ask_spread': bid_ask_spread,
'bid_ask_median': bid_ask_median,
'raw_orders': orders,
'base_asset': base_asset,
'quote_asset': quote_asset
}
return result