orderbook | A fast L2/L3 orderbook data structure , in C , for Python | Cryptography library
kandi X-RAY | orderbook Summary
kandi X-RAY | orderbook Summary
A fast L2/L3 orderbook data structure, in C, for Python.
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orderbook Examples and Code Snippets
from decimal import Decimal
import requests
from order_book import OrderBook
ob = OrderBook()
# get some orderbook data
data = requests.get("https://api.pro.coinbase.com/products/BTC-USD/book?level=2").json()
ob.bids = {Decimal(price): size for p
Community Discussions
Trending Discussions on orderbook
QUESTION
ANSWER
Answered 2022-Mar-31 at 13:15your Orderbook
is a form, you cant save a form, you need to save its data
QUESTION
Sorry I cannot give all the code. Basically, I am retrieving the OrderBook of a few hundred cryptocurrencies every second. Every time I retrieve it I need to add it into an excel readable file for another department. Every excel will save all the data in one day. The retrieved order book record will be something that looks like this.
time | exchange | price | quantity | side
unit time| BINANCE | 1.00 | 90925 | ask
I have tried pd.excelwriter append, read_csv combine write_csv and appending to pre-saved pandaframe.
However, all these options are too slow to get under 1 second even I boosted the code with cython. Websocket with thread only takes 0.2s to retrieve the data so we have 0.8s to append. Something is fixed: Python should be the language, my co-worker only knows python, the saving format must be any file extension that excel can read as the other department doesn't know coding.
Can someone help me with some ideas? I can do the implementation myself. Just want some idea.
...ANSWER
Answered 2022-Mar-22 at 19:10A slightly different approach could be to write an Excel add-in in Python to get the data into Excel. That should be much faster than writing out a workbook each time the data changes.
You can do that using PyXLL (https://www.pyxll.com), which is a commercial (paid for) product. Using PyXLL you could write RTD (real time data) functions to stream real time data directly into Excel.
Your colleagues would also need the PyXLL add-in installed, configured to load your Python code - then they would be able to access your functions and macros etc to get the real time data. PyXLL is commonly used in finance for this type of application so it might just be what you're looking for...
This post shows how to get real time prices in Excel from BitMEX. I know you're using Binance but it might be interesting for you anyway :) https://towardsdatascience.com/live-streaming-crypto-prices-in-excel-aaa41628bc53
QUESTION
I'm trying to parse a JSON blob that looks like this:
...ANSWER
Answered 2022-Mar-02 at 14:46The key is present, but it's wrapped inside another nested object, so you have to unwrap the outer object before you can parse the keys.
The smallest-diff way to do this is probably just inline:
QUESTION
I'm trying to wrap an API using rust, so long no problems but one endpoint is giving me a big pain in the head.
the endpoint returns a valid JSON as the other endpoints from this API.
The problem is when I try to work with the response I get the following error:
...ANSWER
Answered 2022-Jan-26 at 21:21Your problem boils down to matching your rust struct
with the response structure. I'm using the example with String
from your playground link.
QUESTION
Forgive me if this is an obvious fix as I am very much a novice when it comes to C++.
For my assignment, we were given some starter code that simulates a command-line crypto trading platform. Originally, you would be prompted to type in commands 1 to 6 to do things like print exchange stats, make an offer, print the wallet and such. For my assignment, I've been asked to create an advisor bot that takes in string commands such as 'help' and processes this to return the appropriate output.
Naturally, since there was already a system in place to do this with integers as inputs, I tried to tweak the functions (I didn't do a lot yet) so they take string commands instead and output accordingly.
Before anything else, I would like to know why the function getUserOption and input is underlined red in the while loop of the init function, but in the actual function there are no errors:
This is the contents of the header file
...ANSWER
Answered 2022-Jan-15 at 04:40Your getUserOption()
function returns a std::string
. This means when you wrote:
QUESTION
Im using a mutation observer to observe the changes that happen to an
- element. when observing, i get the following output:
...
ANSWER
Answered 2021-Dec-23 at 07:10Assuming mutation.addedNodes[0] is an html collection, you could do
QUESTION
I have an app getting data from a websocket connection that is really fast and is causing errors with the data in state. I'm. passing an array of just 15 items into a child component, however it is an array of tuples. When I map it, I need to deconstruct each tuple to render each item. However, every 30 seconds or so the component is receiving data that is corrupted and causing the erorr:
TypeError: Cannot read properties of undefined (reading '0')
At the line item[0] because item is undefined. I have tried several types of logic to make this mapping conditional based on the contents of the property. Below is Array.isArray(topAsks[0]), i have also tried topAsks.length > 2. However it is still going past and trying to map the undefined array.
Is there a better way to do this? That is being able to check that it is not undefined before mapping?
Also above commented out I was thinking of doing this with a for loop and then mapping each single array (bypassing the need to access an inner array), seems weird, but perhaps that is an effective way of doing this?
...ANSWER
Answered 2021-Oct-13 at 21:54The error you're facing is about reading item[0]
when item is undefined.
A simple solution could be filter the truthy values inside topAsks
For instance do something like:
QUESTION
I'm looking for a solution for a performance optimisation I'm trying to get in place for some code I've got consuming a financial market orderbook, basically the JSON object I'm getting back has an array type property containing hundreds/thousands of order objects however I'm only interested in the top 10 to 20 of these (needs to be dynamically determined). From a performance perspective I'd prefer to just skip deserializing & adding every item in the array after I've added the ones I need. To clarify it's always the FIRST 10 to 20 items in the array I actually need, everything after this can be excluded.
Is there any way to achieve this in Json.NET? I've been looking at JsonConverters but can't figure it out.
...ANSWER
Answered 2021-Oct-11 at 17:22You can create the following JsonConverter
that will skip array entries beyond a certain count:
QUESTION
My main issue might be not understanding some conventions in the Camel documents.
https://camel.apache.org/components/latest/mongodb-component.html#_delete_operations
They have a camel route commented out, and two Java objects being defined, which are not commented out. What are they trying to indicate? Where are these objects at in a project?
Anyway, I'm subscribed to a JMS queue that I have another camel route publishing to. The message is a JSON string, which I save to a Mongo DB. But what I'd like to do is remove any current documents (based on criteria) and replace it with the new message.
...ANSWER
Answered 2021-Jul-27 at 01:13Does your orderbook have an ID? If so, you can enrich the JSON with an _id
field (MongoDB default representation for identifiers) whose value would be that ID. Thus you'll be "upserting" that orderbook.
Obs.: Sure the Camel docs could be better.
But if you really feel you'd have to perform a remove
operation before saving an orderbook, another option would be to extract its type from the current JSON string and use it as a filter when removing. Something like:
QUESTION
The cryptofeed is a python library that uses asyncio library to get real-time prices of different Crypto Exchanges. In this short program, we try to run the cryptofeed FeedHandler in an independent thread. An example of the code is shown below:
...ANSWER
Answered 2021-Jul-18 at 21:44You have to manually set an event loop for your thread through asyncio
. You can do it by wrapping your function in a sort of loop setter:
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