Adds checksum orderbook validation

bfxapi/models/OrderBook.py

@@ -0,0 +1,84 @@
+import zlib
+
+def preparePrice(price):
+  # convert to 4 significant figures
+  prepPrice = '{0:.4f}'.format(price)
+  # remove decimal place if zero float
+  return '{0:g}'.format(float(prepPrice))
+
+class OrderBook:
+
+  def __init__(self):
+    self.asks = []
+    self.bids = []
+
+  def updateFromSnapshot(self, data):
+    # [[4642.3, 1, 4.192], [4641.5, 1, 1]]
+    for order in data:
+      if len(order) is 4:
+        if order[3] < 0:
+          self.bids += [order]
+        else:
+          self.asks += [order]
+      else:
+        if order[2] < 0:
+          self.asks += [order]
+        else:
+          self.bids += [order]
+
+  def updateWith(self, order):
+    if len(order) is 4:
+      amount = order[3]
+      count = order[2]
+      side = self.bids if amount < 0 else self.asks
+    else:
+      amount = order[2]
+      side = self.asks if amount < 0 else self.bids
+      count = order[1]
+    price = order[0]
+
+    # if first item in ordebook
+    if len(side) is 0:
+      side += [order]
+      return
+
+    # match price level
+    for index, sOrder in enumerate(side):
+      sPrice = sOrder[0]
+      if sPrice == price:
+        if count is 0:
+          del side[index]
+          return
+        else:
+          # remove but add as new below
+          del side[index]
+    
+    # if ob is initialised w/o all price levels
+    if count is 0:
+      return
+    
+    # add to book and sort lowest to highest
+    side += [order]
+    side.sort(key=lambda x: x[0], reverse=not amount < 0)
+    return
+
+  def checksum(self):
+    data = []
+    # take set of top 25 bids/asks
+    for index in range(0, 25):
+      if index < len(self.bids):
+        bid = self.bids[index]
+        price = bid[0]
+        amount = bid[3] if len(bid) is 4 else bid[2]
+        data += [preparePrice(price)]
+        data += [str(amount)]
+      if index < len(self.asks):
+        ask = self.asks[index]
+        price = ask[0]
+        amount = ask[3] if len(ask) is 4 else ask[2]
+        data += [preparePrice(price)]
+        data += [str(amount)]
+    checksumStr = ':'.join(data)
+    # calculate checksum and force signed integer
+    checksum = zlib.crc32(checksumStr.encode('utf8')) & 0xffffffff
+    return checksum