async def _book(self, msg: dict, pair: str, timestamp: float):
delta = {BID: [], ASK: []}
msg = msg[1:-2]
if 'as' in msg[0]:
# Snapshot
bids = {
Decimal(update[0]): Decimal(update[1])
for update in msg[0]['bs']
}
asks = {
Decimal(update[0]): Decimal(update[1])
for update in msg[0]['as']
}
self._l2_book[pair] = OrderBook(
self.id,
pair,
max_depth=self.max_depth,
bids=bids,
asks=asks,
checksum_format='KRAKEN',
truncate=self.max_depth != self.valid_depths[-1])
await self.book_callback(L2_BOOK,
self._l2_book[pair],
timestamp,
raw=msg)
else:
for m in msg:
for s, updates in m.items():
side = False
if s == 'b':
side = BID
elif s == 'a':
side = ASK
if side:
for update in updates:
price, size, *_ = update
price = Decimal(price)
size = Decimal(size)
if size == 0:
# Per Kraken's technical support
# they deliver erroneous deletion messages
# periodically which should be ignored
if price in self._l2_book[pair].book[side]:
del self._l2_book[pair].book[side][price]
delta[side].append((price, 0))
else:
delta[side].append((price, size))
self._l2_book[pair].book[side][price] = size
if self.checksum_validation and 'c' in msg[0] and self._l2_book[
pair].book.checksum() != int(msg[0]['c']):
raise BadChecksum("Checksum validation on orderbook failed")
await self.book_callback(
L2_BOOK,
self._l2_book[pair],
timestamp,
delta=delta,
raw=msg,
checksum=int(msg[0]['c']) if 'c' in msg[0] else None)
async def _book(self, msg: dict, pair: str, timestamp: float):
delta = {BID: [], ASK: []}
msg = msg[1:-2]
if 'as' in msg[0]:
# Snapshot
self.l2_book[pair] = {
BID:
sd({
Decimal(update[0]): Decimal(update[1])
for update in msg[0]['bs']
}),
ASK:
sd({
Decimal(update[0]): Decimal(update[1])
for update in msg[0]['as']
})
}
await self.book_callback(self.l2_book[pair], L2_BOOK, pair, True,
delta, timestamp, timestamp)
else:
for m in msg:
for s, updates in m.items():
side = False
if s == 'b':
side = BID
elif s == 'a':
side = ASK
if side:
for update in updates:
price, size, *_ = update
price = Decimal(price)
size = Decimal(size)
if size == 0:
# Per Kraken's technical support
# they deliver erroneous deletion messages
# periodically which should be ignored
if price in self.l2_book[pair][side]:
del self.l2_book[pair][side][price]
delta[side].append((price, 0))
else:
delta[side].append((price, size))
self.l2_book[pair][side][price] = size
for side in (BID, ASK):
while len(self.l2_book[pair][side]) > self.book_depth:
del_price = self.l2_book[pair][side].items(
)[0 if side == BID else -1][0]
del self.l2_book[pair][side][del_price]
delta[side].append((del_price, 0))
if self.checksum_validation and 'c' in msg[
0] and self.__calc_checksum(pair) != msg[0]['c']:
raise BadChecksum("Checksum validation on orderbook failed")
await self.book_callback(self.l2_book[pair], L2_BOOK, pair, False,
delta, timestamp, timestamp)