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Questions tagged [orderbook]

16 questions
4
votes
3 answers

Coinex WebSocket market depth channel sometimes does not send message to remove price level

I'm writing a Node.js application which attempts to re-create the Coinex orderbook for ETH-USDT using their Websocket. My application subscribes to the market depth channel and keeps an ongoing, updated local copy of the orderbook stored in…
oliakaoil
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0 answers

Orderbook in time visualization in Python

I have market data of the orders describing the limit order book distribution at each time instant and I'd like to plot it like a kind of heatmap similar to the one of the BookMap Software. Currently my data are stored in a pandas dataframe like the…
Antonio
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vote
2 answers

Python grouping Orderbook (Pandas dataframe)

asks_price asks_qty exchange_name_ask bids_price bids_qty exchange_name_bid 0 20156.51 0.000745 Coinbase 20153.28 0.000200 Coinbase 1 20157.52 0.050000 Coinbase 20152.27 0.051000 …
Nathan
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1
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1 answer

binance orderbook management

I got orderbook history data of BTCUSDT from the binance api. According to binance api on 'how to manage local orderbook', first get and buffer data using websocket and second get orderbook data using the api and use the lastOrderId to get rid of…
KyuSang Jang
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0
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0 answers

I would like to know the rate at which the orderbook index process bar is filled

I would like to know the rate at which the orderbook index process bar shown in red and green is filled. We confirmed that the rate at which index process bar is created is (amount / total amount of the price). The ratio of the XRP/BTC spot and the…
Jun
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Get an error "no close frame received" when running the algorithm to create a local orderbook

i create a local orderbook using websockets on mexc message = {"method": "SUBSCRIPTION", "params": [f"spot@public.increase.depth.v3.api@BTCUSDT"]} try: async with websockets.connect("wss://wbs.mexc.com/ws",…
budick
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What are some ways to implement real-time list processing in vue3 without delay?

What are some ways to implement real-time list processing in vue3 without delay? Is there a simple way to show the order book of the cryptocurrency exchange neatly and coolly without interruption or delay? Output is being made using a normal v-for…
cokeys90
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Sort a DefaultDict by value which is a list and then by key

I'm asking for you help here because i didn't find how to do it on internet and even after trying myself. Here is my concern: I want to create an Order Book for a trading strategy, I created then a dictionary like this : bids = {Price : (size,…
Boulisto
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0
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1 answer

Aggregate the levels of the orderbook

How can I aggregate the levels of the orderbook? Now it gets streamed every 0.05 tick but I need to stream this every 0.50 interval of price. How can I unite the various levels on the orderbook? This is the code: from time import sleep from pybit…
xabe
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0
votes
1 answer

KDB/q orderbook add rows

In a table I try to bring together the rows that have the same price by adding the quantities for an order book all_order_ask:([]ask:();ask_qty:();exchange_name:()) Keep the same ask but when it's the same price add the quantities
Nathan
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0
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0 answers

Circular reference in R data frame not able to trace

I am new to R and have a deadline to complete this project where I am stuck in a circular reference kind of problem. I want to trace the order from Add to execution/cancel, the process include either of following: add -> executed add -> cancel add…
Vikky Saraswat
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1 answer

Nasdaq ITCH order book build -> EOF error when expanding '.gz' file

I'm trying my first steps in ML using Jupter's IPython, I was advised to start with Nasdaq's order book ITCH dataset to create models. I'm following the same steps in this tutorial on github. I can't seem to unzip/expand files from the ITCH dataset,…
sir.isaac.newton
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1 answer

MYSQL query group by and cumulative sum for financial orderbook

Hello i have the following dataset id price amount 1 10 1 2 20 2 3 20 1.5 4 21 1 5 21 2 SELECT amount, price, (@CumulativeSum := @CumulativeSum + amount) AS CumSum FROM orderbook And it is working fine. I would like…
stefano manzi
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1 answer

CCXT fetch_order_book datetime not match

i m using the function kucoin.fetchOrderBook() from ccxt library to get bids and asks but the datetime what results is 2 hours before. why time not match? function argument needs only ohlcvdata e limit. Is a big question for me. Someone can help…
ShaolinRecordz
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1 answer

Binanace get Order Book in C# .Net Core

i'm part of a MarketMaker team and currently need to get crypto Market Data from Binance. Here are the requirements... get public market data, so dont have api keys get order book market depth, at least last 1000 bid/ask prices. use websocket, not…
Zaken
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