def __init__(self):
self.matches = deque(maxlen=100)
self.bids = Tree()
self.asks = Tree()
self.level3_sequence = 0
self.first_sequence = 0
self.last_sequence = 0
self.last_time = datetime.now(tzlocal())
def __init__(self):
self.matches = deque(maxlen=100)
self.bids = Tree()
self.asks = Tree()
self.level3_sequence = 0
self.first_sequence = 0
self.last_sequence = 0
self.last_time = datetime.now(tzlocal())
self.average_rate = 0.0
self.fastest_rate = 0.0
self.slowest_rate = 0.0
class Book(object):
def __init__(self):
self.matches = deque(maxlen=100)
self.bids = Tree()
self.asks = Tree()
self.level3_sequence = 0
self.first_sequence = 0
self.last_sequence = 0
self.last_time = datetime.now(tzlocal())
def get_level3(self):
level_3 = requests.get('http://api.exchange.coinbase.com/products/BTC-USD/book', params={'level': 3}).json()
[self.bids.insert_order(bid[2], Decimal(bid[1]), Decimal(bid[0]), initial=True) for bid in level_3['bids']]
[self.asks.insert_order(ask[2], Decimal(ask[1]), Decimal(ask[0]), initial=True) for ask in level_3['asks']]
self.level3_sequence = level_3['sequence']
class Book(object):
def __init__(self):
self.matches = deque(maxlen=100)
self.bids = Tree()
self.asks = Tree()
self.level3_sequence = 0
self.first_sequence = 0
self.last_sequence = 0
self.last_time = datetime.now(tzlocal())
self.average_rate = 0.0
self.fastest_rate = 0.0
self.slowest_rate = 0.0
def get_level3(self, json_doc=None):
if not json_doc:
json_doc = requests.get(
"http://api.exchange.coinbase.com/products/BTC-USD/book", params={"level": 3}
).json()
[self.bids.insert_order(bid[2], Decimal(bid[1]), Decimal(bid[0]), initial=True) for bid in json_doc["bids"]]
[self.asks.insert_order(ask[2], Decimal(ask[1]), Decimal(ask[0]), initial=True) for ask in json_doc["asks"]]
self.level3_sequence = json_doc["sequence"]
def process_message(self, message):
new_sequence = int(message["sequence"])
if new_sequence <= self.level3_sequence:
return True
if not self.first_sequence:
self.first_sequence = new_sequence
self.last_sequence = new_sequence
assert new_sequence - self.level3_sequence == 1
else:
if (new_sequence - self.last_sequence) != 1:
file_logger.error("sequence gap: {0}".format(new_sequence - self.last_sequence))
return False
self.last_sequence = new_sequence
if "order_type" in message and message["order_type"] == "market":
return True
message_type = message["type"]
message_time = parse(message["time"])
self.last_time = message_time
side = message["side"]
if message_type == "received" and side == "buy":
self.bids.receive(message["order_id"], message["size"])
return True
elif message_type == "received" and side == "sell":
self.asks.receive(message["order_id"], message["size"])
return True
elif message_type == "open" and side == "buy":
self.bids.insert_order(message["order_id"], Decimal(message["remaining_size"]), Decimal(message["price"]))
return True
elif message_type == "open" and side == "sell":
self.asks.insert_order(message["order_id"], Decimal(message["remaining_size"]), Decimal(message["price"]))
return True
elif message_type == "match" and side == "buy":
self.bids.match(message["maker_order_id"], Decimal(message["size"]))
self.matches.appendleft((message_time, side, Decimal(message["size"]), Decimal(message["price"])))
return True
elif message_type == "match" and side == "sell":
self.asks.match(message["maker_order_id"], Decimal(message["size"]))
self.matches.appendleft((message_time, side, Decimal(message["size"]), Decimal(message["price"])))
return True
elif message_type == "done" and side == "buy":
self.bids.remove_order(message["order_id"])
return True
elif message_type == "done" and side == "sell":
self.asks.remove_order(message["order_id"])
return True
elif message_type == "change" and side == "buy":
self.bids.change(message["order_id"], Decimal(message["new_size"]))
return True
elif message_type == "change" and side == "sell":
self.asks.change(message["order_id"], Decimal(message["new_size"]))
return True
else:
file_logger.error("Unhandled message: {0}".format(pformat(message)))
return False
class Book(object):
def __init__(self):
self.matches = deque(maxlen=100)
self.bids = Tree()
self.asks = Tree()
self.level3_sequence = 0
self.first_sequence = 0
self.last_sequence = 0
self.last_time = datetime.now(tzlocal())
self.average_rate = 0.0
self.fastest_rate = 0.0
self.slowest_rate = 0.0
def get_level3(self, json_doc=None):
if not json_doc:
json_doc = requests.get(
'http://api.exchange.coinbase.com/products/BTC-USD/book',
params={
'level': 3
}).json()
[
self.bids.insert_order(bid[2],
Decimal(bid[1]),
Decimal(bid[0]),
initial=True) for bid in json_doc['bids']
]
[
self.asks.insert_order(ask[2],
Decimal(ask[1]),
Decimal(ask[0]),
initial=True) for ask in json_doc['asks']
]
self.level3_sequence = json_doc['sequence']
def process_message(self, message):
new_sequence = int(message['sequence'])
if new_sequence <= self.level3_sequence:
return True
if not self.first_sequence:
self.first_sequence = new_sequence
self.last_sequence = new_sequence
assert new_sequence - self.level3_sequence == 1
else:
if (new_sequence - self.last_sequence) != 1:
file_logger.error(
'sequence gap: {0}'.format(new_sequence -
self.last_sequence))
return False
self.last_sequence = new_sequence
if 'order_type' in message and message['order_type'] == 'market':
return True
message_type = message['type']
message_time = parse(message['time'])
self.last_time = message_time
side = message['side']
if message_type == 'received' and side == 'buy':
self.bids.receive(message['order_id'], message['size'])
return True
elif message_type == 'received' and side == 'sell':
self.asks.receive(message['order_id'], message['size'])
return True
elif message_type == 'open' and side == 'buy':
self.bids.insert_order(message['order_id'],
Decimal(message['remaining_size']),
Decimal(message['price']))
return True
elif message_type == 'open' and side == 'sell':
self.asks.insert_order(message['order_id'],
Decimal(message['remaining_size']),
Decimal(message['price']))
return True
elif message_type == 'match' and side == 'buy':
self.bids.match(message['maker_order_id'],
Decimal(message['size']))
self.matches.appendleft(
(message_time, side, Decimal(message['size']),
Decimal(message['price'])))
return True
elif message_type == 'match' and side == 'sell':
self.asks.match(message['maker_order_id'],
Decimal(message['size']))
self.matches.appendleft(
(message_time, side, Decimal(message['size']),
Decimal(message['price'])))
return True
elif message_type == 'done' and side == 'buy':
self.bids.remove_order(message['order_id'])
return True
elif message_type == 'done' and side == 'sell':
self.asks.remove_order(message['order_id'])
return True
elif message_type == 'change' and side == 'buy':
self.bids.change(message['order_id'], Decimal(message['new_size']))
return True
elif message_type == 'change' and side == 'sell':
self.asks.change(message['order_id'], Decimal(message['new_size']))
return True
else:
file_logger.error('Unhandled message: {0}'.format(
pformat(message)))
return False
