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)