mirror of
https://github.com/aljazceru/bitfinex-api-py.git
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122 lines
3.3 KiB
Python
122 lines
3.3 KiB
Python
"""
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Module used to describe all of the different data types
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"""
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import zlib
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def prepare_price(price):
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"""
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Convert the price to an acceptable format
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"""
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# convert to 4 significant figures
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prep_price = '{0:.4f}'.format(price)
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# remove decimal place if zero float
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return '{0:g}'.format(float(prep_price))
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class OrderBook:
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"""
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Object used to store the state of the orderbook. This can then be used
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in one of two ways. To get the checksum of the book or so get the bids/asks
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of the book
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"""
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def __init__(self):
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self.asks = []
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self.bids = []
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def get_bids(self):
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"""
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Get all of the bids from the orderbook
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@return bids Array
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"""
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return self.bids
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def get_asks(self):
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"""
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Get all of the asks from the orderbook
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@return asks Array
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"""
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return self.asks
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def update_from_snapshot(self, data):
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"""
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Update the orderbook with a raw orderbook snapshot
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"""
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for order in data:
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if len(order) == 4:
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if order[3] < 0:
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self.bids += [order]
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else:
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self.asks += [order]
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else:
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if order[2] < 0:
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self.asks += [order]
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else:
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self.bids += [order]
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def update_with(self, order):
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"""
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Update the orderbook with a single update
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"""
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if len(order) == 4:
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amount = order[3]
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count = order[2]
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side = self.bids if amount < 0 else self.asks
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else:
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amount = order[2]
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side = self.asks if amount < 0 else self.bids
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count = order[1]
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price = order[0]
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# if first item in ordebook
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if len(side) == 0:
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side += [order]
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return
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# match price level
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for index, s_order in enumerate(side):
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s_price = s_order[0]
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if s_price == price:
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if count == 0:
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del side[index]
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return
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# remove but add as new below
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del side[index]
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# if ob is initialised w/o all price levels
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if count == 0:
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return
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# add to book and sort lowest to highest
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side += [order]
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side.sort(key=lambda x: x[0], reverse=not amount < 0)
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return
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def checksum(self):
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"""
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Generate a CRC32 checksum of the orderbook
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"""
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data = []
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# take set of top 25 bids/asks
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for index in range(0, 25):
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if index < len(self.bids):
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bid = self.bids[index]
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price = bid[0]
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amount = bid[3] if len(bid) == 4 else bid[2]
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data += [prepare_price(price)]
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data += [str(amount)]
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if index < len(self.asks):
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ask = self.asks[index]
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price = ask[0]
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amount = ask[3] if len(ask) == 4 else ask[2]
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data += [prepare_price(price)]
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data += [str(amount)]
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checksum_str = ':'.join(data)
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# calculate checksum and force signed integer
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checksum = zlib.crc32(checksum_str.encode('utf8')) & 0xffffffff
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return checksum
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