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https://github.com/aljazceru/bitfinex-api-py.git
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85 lines
2.1 KiB
Python
85 lines
2.1 KiB
Python
import zlib
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def preparePrice(price):
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# convert to 4 significant figures
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prepPrice = '{0:.4f}'.format(price)
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# remove decimal place if zero float
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return '{0:g}'.format(float(prepPrice))
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class OrderBook:
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def __init__(self):
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self.asks = []
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self.bids = []
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def updateFromSnapshot(self, data):
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# [[4642.3, 1, 4.192], [4641.5, 1, 1]]
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for order in data:
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if len(order) is 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 updateWith(self, order):
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if len(order) is 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) is 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, sOrder in enumerate(side):
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sPrice = sOrder[0]
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if sPrice == price:
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if count is 0:
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del side[index]
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return
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else:
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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 is 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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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) is 4 else bid[2]
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data += [preparePrice(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) is 4 else ask[2]
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data += [preparePrice(price)]
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data += [str(amount)]
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checksumStr = ':'.join(data)
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# calculate checksum and force signed integer
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checksum = zlib.crc32(checksumStr.encode('utf8')) & 0xffffffff
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return checksum
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