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orderbook_monitors.py
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orderbook_monitors.py
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def orderbook_to_df(trim_ob): # converts orderbook to binned ranges.
bids_amount = []
bids_px = []
asks_amount = []
asks_px = []
for i in trim_ob['bids']:
bids_amount.append(i[0])
bids_px.append(i[1])
bids_dict = {'amount': bids_amount, 'px' : bids_px}
for j in trim_ob['asks']:
asks_amount.append(j[0])
asks_px.append(j[1])
asks_dict = {'amount': asks_amount, 'px' : asks_px}
asks_df = pd.DataFrame.from_dict(asks_dict)
bids_df = pd.DataFrame.from_dict(bids_dict)
return [asks_df,bids_df]
def orderbook_tobins(symbol = 'btcusd', price = 6500.0, percent = 0.01, lag = 3.0):
px_before = ticker(symbol)['last_price']
trim_ob = trim_orderbook(symbol = symbol, current_price = float(px_before), percent = percent)
time.sleep(lag)
px_after = ticker(symbol)['last_price']
trim_ob_after = trim_orderbook(symbol = symbol, current_price = float(px_after), percent = percent) #poll orderbook after 2s
asks_df = orderbook_to_df(trim_ob)[0]
bids_df = orderbook_to_df(trim_ob)[1]
asks_df_after = orderbook_to_df(trim_ob_after)[0]
bids_df_after = orderbook_to_df(trim_ob_after)[1]
asks_bins = np.linspace(asks_df.px.min(),asks_df.px.max(),5) # use same bins
bids_bins = np.linspace(bids_df.px.min(),bids_df.px.max(),5) # use same bins
grouped_asks = asks_df.groupby(pd.cut(asks_df.px,asks_bins))
grouped_bids = bids_df.groupby(pd.cut(bids_df.px,bids_bins))
grouped_asks_after = asks_df_after.groupby(pd.cut(asks_df_after.px,asks_bins)) #use same bins
grouped_bids_after = bids_df_after.groupby(pd.cut(bids_df_after.px,bids_bins)) #use same bins
binned_asks = grouped_asks.sum().amount
binned_bids = grouped_bids.sum().amount.sort_index(ascending = False)
binned_asks_after = grouped_asks_after.sum().amount
binned_bids_after = grouped_bids_after.sum().amount.sort_index(ascending = False)
change_asks = (binned_asks_after - binned_asks).sum() # change the return statement to change_asks-change_bids
change_bids = (binned_bids_after - binned_bids).sum() # if you need a simple signal
return [grouped_asks.sum().amount, grouped_bids.sum().amount]