def test_ftx_checksum():
BID = 'bid'
ASK = 'ask'
r = requests.get(
"https://ftx.com/api/markets/BTC-PERP/orderbook?depth=100")
r.raise_for_status()
ftx_data = json.loads(r.text, parse_float=Decimal)
def ftx_checksum(book):
bid_it = reversed(book[BID])
ask_it = iter(book[ASK])
bids = [f"{bid}:{book[BID][bid]}" for bid in bid_it]
asks = [f"{ask}:{book[ASK][ask]}" for ask in ask_it]
if len(bids) == len(asks):
combined = [val for pair in zip(bids, asks) for val in pair]
elif len(bids) > len(asks):
combined = [
val for pair in zip(bids[:len(asks)], asks) for val in pair
]
combined += bids[len(asks):]
else:
combined = [
val for pair in zip(bids, asks[:len(bids)]) for val in pair
]
combined += asks[len(bids):]
computed = ":".join(combined).encode()
return zlib.crc32(computed)
ob = OrderBook(checksum_format='FTX')
book = {
BID:
sd({
Decimal(update[0]): Decimal(update[1])
for update in ftx_data['result']['bids']
}),
ASK:
sd({
Decimal(update[0]): Decimal(update[1])
for update in ftx_data['result']['asks']
})
}
ob.bids = {
Decimal(update[0]): Decimal(update[1])
for update in ftx_data['result']['bids']
}
ob.asks = {
Decimal(update[0]): Decimal(update[1])
for update in ftx_data['result']['asks']
}
ob.checksum() == ftx_checksum(book)
def test_kraken_checksum():
# This checksum is from the kraken docs
ob = OrderBook(max_depth=10, checksum_format='KRAKEN')
asks = [["0.05005", "0.00000500", "1582905487.684110"],
["0.05010", "0.00000500", "1582905486.187983"],
["0.05015", "0.00000500", "1582905484.480241"],
["0.05020", "0.00000500", "1582905486.645658"],
["0.05025", "0.00000500", "1582905486.859009"],
["0.05030", "0.00000500", "1582905488.601486"],
["0.05035", "0.00000500", "1582905488.357312"],
["0.05040", "0.00000500", "1582905488.785484"],
["0.05045", "0.00000500", "1582905485.302661"],
["0.05050", "0.00000500", "1582905486.157467"]]
bids = [["0.05000", "0.00000500", "1582905487.439814"],
["0.04995", "0.00000500", "1582905485.119396"],
["0.04990", "0.00000500", "1582905486.432052"],
["0.04980", "0.00000500", "1582905480.609351"],
["0.04975", "0.00000500", "1582905476.793880"],
["0.04970", "0.00000500", "1582905486.767461"],
["0.04965", "0.00000500", "1582905481.767528"],
["0.04960", "0.00000500", "1582905487.378907"],
["0.04955", "0.00000500", "1582905483.626664"],
["0.04950", "0.00000500", "1582905488.509872"]]
for a in asks:
ob.asks[Decimal(a[0])] = Decimal(a[1])
for b in bids:
ob.bids[Decimal(b[0])] = Decimal(b[1])
assert ob.checksum() == 974947235
def test_okcoin_checksum():
ob = OrderBook(checksum_format='OKCOIN')
asks = {
Decimal("3366.8"): Decimal("9"),
Decimal("3368"): Decimal("8"),
Decimal("3372"): Decimal("8")
}
bids = {Decimal("3366.1"): Decimal("7")}
expected = 831078360
ob.bids = bids
ob.asks = asks
assert ob.checksum() == expected
def test_minimum_depth_kraken():
ob = OrderBook(max_depth=9, checksum_format='KRAKEN')
with pytest.raises(ValueError):
ob.checksum()
def main():
ob = OrderBook(checksum_format='KRAKEN')
asks = {
Decimal("0.05005"): Decimal("0.00000500"),
Decimal("0.05010"): Decimal("0.00000500"),
Decimal("0.05015"): Decimal("0.00000500"),
Decimal("0.05020"): Decimal("0.00000500"),
Decimal("0.05025"): Decimal("0.00000500"),
Decimal("0.05030"): Decimal("0.00000500"),
Decimal("0.05035"): Decimal("0.00000500"),
Decimal("0.05040"): Decimal("0.00000500"),
Decimal("0.05045"): Decimal("0.00000500"),
Decimal("0.05050"): Decimal("0.00000500")
}
bids = {
Decimal("0.05000"): Decimal("0.00000500"),
Decimal("0.04995"): Decimal("0.00000500"),
Decimal("0.04990"): Decimal("0.00000500"),
Decimal("0.04980"): Decimal("0.00000500"),
Decimal("0.04975"): Decimal("0.00000500"),
Decimal("0.04970"): Decimal("0.00000500"),
Decimal("0.04965"): Decimal("0.00000500"),
Decimal("0.04960"): Decimal("0.00000500"),
Decimal("0.04955"): Decimal("0.00000500"),
Decimal("0.04950"): Decimal("0.00000500")
}
ob.asks = asks
ob.bids = bids
book = {BID: sd(bids), ASK: sd(asks)}
start = time.time()
checksum = calc_checksum(book)
end = time.time()
assert checksum == 974947235
print("Kraken")
print("Depth 10")
print(f"Python: {(end - start) * 1000000} microseconds")
start = time.time()
checksum = ob.checksum()
end = time.time()
assert checksum == 974947235
print(f"C: {(end - start) * 1000000} microseconds")
print("\nDepth 1000")
book = {BID: sd({Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['bids']}),
ASK: sd({Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['asks']})
}
ob.bids = {Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['bids']}
ob.asks = {Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['asks']}
start = time.time()
checksum1 = calc_checksum(book)
end = time.time()
print(f"Python: {(end - start) * 1000000} microseconds")
start = time.time()
checksum2 = ob.checksum()
end = time.time()
print(f"C: {(end - start) * 1000000} microseconds")
assert checksum1 == checksum2
print("\n\nFTX")
ob = OrderBook(checksum_format='FTX')
book = {BID: sd({Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['bids']}),
ASK: sd({Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['asks']})
}
ob.bids = {Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['bids']}
ob.asks = {Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['asks']}
start = time.time()
checksum1 = ftx_checksum(book)
end = time.time()
print(f"Python: {(end - start) * 1000000} microseconds")
start = time.time()
checksum2 = ob.checksum()
end = time.time()
print(f"C: {(end - start) * 1000000} microseconds")
assert checksum1 == checksum2
def test_checksum_raises():
with pytest.raises(ValueError):
ob = OrderBook()
ob.checksum()