How to make calculations with Python List imported from JSON?

Question

So I have a stock data that I am trying to calculate the difference of the volume between best ask and best bid price for each time moment.

The time moments are 0-1-2-3-4 shown in both Bid and Ask. And first element in those sublists of 0-1-2-3-4 are the best price with its volume (Second element is the second best price with its volume, third is third and goes on..)

{"Ask":
{"0":[[10.13,30500],[10.14,106456],[10.15,53772],[10.16,58104],[10.17,45589]],
"1":[[10.14,106976],[10.15,53782],[10.16,58104],[10.17,45899],[10.18,31521]],
"2":[[10.14,106986],[10.15,53652],[10.16,58504],[10.17,45589],[10.18,37821]],
"3":[[10.14,106996],[10.15,57872],[10.16,58104],[10.17,45789],[10.18,89721]],
"4":[[10.14,106936],[10.15,53982],[10.16,58154],[10.17,4495],[10.18,2521]]
}
,

"Bid":{
"0":[[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381],[10.08,98178]],
"1":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]],
"2":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]],
"3":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]],
"4":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]]
}
}

I need help calculating

1- The Volume difference between best ask price and best bid price for each time moment

2- The price difference between best ask price and best bid price for each moment.

(First elements like 10.xx decimals are price, Second elements are Volume)


I have read the json formula and trying to print best ask price to get started but failing it.

import json

with open(r"C:\Users\User\Desktop\FILE.json") as BOB:
    data=json.load(BOB)


for x in data['Bid']['0'][0][0]:
    print(x)

'float' object is not iterable

Okay I have updated my code in the answer include where you went wrong — Devesh Kumar Singh, Apr 20 '19 at 09:24

score 1 · Accepted Answer · answered Apr 20 '19 at 09:21

dct['Bid']['0'][0][0] is a float value equalling 10.12, and you cannot iterate over a float.

You should either take dct['Bid']['0'][0] which is the sublist with best price and volume, or take dct['Bid']['0'] which is a list of all price and volume sublists.
For my approach, we start by getting the ask and bid dictionary

dct = {"Ask":
{"0":[[10.13,30500],[10.14,106456],[10.15,53772],[10.16,58104],[10.17,45589]],
"1":[[10.14,106976],[10.15,53782],[10.16,58104],[10.17,45899],[10.18,31521]],
"2":[[10.14,106986],[10.15,53652],[10.16,58504],[10.17,45589],[10.18,37821]],
"3":[[10.14,106996],[10.15,57872],[10.16,58104],[10.17,45789],[10.18,89721]],
"4":[[10.14,106936],[10.15,53982],[10.16,58154],[10.17,4495],[10.18,2521]]
},

"Bid":{
"0":[[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381],[10.08,98178]],
"1":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]],
"2":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]],
"3":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]],
"4":[[10.13,13500],[10.12,198807],[10.11,1110],[10.1,42110],[10.09,84381]]
}
}
ask_dct = dct['Ask']
bid_dct = dct['Bid']

Then we iterate over both dictionaries, pick the best ask and bid which is the first element, and then take a difference between prices and volumes.

result = {}

for k, v in ask_dct.items():
    diff_dct = {}
    #Take best ask and best bid as the first element of list
    best_ask =  v[0]
    best_bid = bid_dct[k][0]
    #Calculate vol and price diff and save it in a dict
    diff_dct['vol_diff'] = best_ask[1]-best_bid[1]
    diff_dct['price_diff'] =  best_ask[0] - best_bid[0]
    #For each moment, make another bigger dict and save diff dct to it
    result[k] = diff_dct

print(result)

#{'0': {'vol_diff': -168307, 'price_diff': 0.010000000000001563}, 
#'1': {'vol_diff': 93476, 'price_diff': 0.009999999999999787}, 
#'2': {'vol_diff': 93486, 'price_diff': 0.009999999999999787}, 
#'3': {'vol_diff': 93496, 'price_diff': 0.009999999999999787}, 
#'4': {'vol_diff': 93436, 'price_diff': 0.009999999999999787}}

This is great I will try it , one thing boggled my mind how can price_diff slightly different than 0.01 ? — Janis Gustavian, Apr 20 '19 at 09:26
That is dependent on the values you have provided in the example. Please upvote and accept my answer if it helped you :) — Devesh Kumar Singh, Apr 20 '19 at 09:27
Done. Thank you very much, I am new in this site. Do you know why people downvoted my post ? — Janis Gustavian, Apr 20 '19 at 09:29
For starters, you did not post the code, and then the code you posted showed almost zero effort towards arriving to a solution. People here correct the errors in your code, and do not write the entire code for you. I did it so that next time you ask a question, you make enough effort towards your question, and then ask people where you went wrong! Don't take it the wrong way but if you just dump your question here without showing an input/output or substantial code, people will downvote you — Devesh Kumar Singh, Apr 20 '19 at 09:32

How to make calculations with Python List imported from JSON?

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