When working with cryptocurrency exchanges, handling tickers, L2/L3 order books, and trades is crucial for developing market data analysis tools, trading bots, or monitoring applications. The cryptofeed library acts as a unified client for streaming data from a variety of cryptocurrency exchanges with these essential features. In this article, we'll explore how to handle tickers, order books, and trades using cryptofeed in Python.
What is Cryptofeed?
Cryptofeed is an open-source Python library designed to interface with a broad range of cryptocurrency exchanges. It provides real-time access to market data such as tickers, order books, and trades across different exchanges via a unified interface. It supports exchanges like Binance, Coinbase, Bitfinex, Kraken, and many more.
Getting Started with Cryptofeed
Before beginning, ensure you have Python installed on your system. Cryptofeed can be easily installed via pip:
pip install cryptofeedNow, let's dive into how you can use cryptofeed to handle tickers, order books, and trades.
Setting Up a Feed Handler
Before subscribing to data from exchanges, we need to initialize a FeedHandler. It is the main object responsible for managing subscriptions and receiving data.
from cryptofeed import FeedHandler
fh = FeedHandler()Subscribing to Tickers
Tickers provide the latest market price and can be utilized in various ways, such as keeping track of price movements. Here's how you can subscribe to ticker data from an exchange like Coinbase:
def ticker_callback(ticker, receipt_timestamp):
print(f"Ticker: {ticker}")
fh.add_feed('COINBASE',
symbols=['BTC-USD'],
channels=['ticker'],
callbacks={'ticker': ticker_callback})In this example, we’ve subscribed to the BTC-USD ticker on Coinbase and defined a callback function to handle the incoming data.
Subscribing to L2/L3 Order Books
Order books are vital for understanding market liquidity and price action. L2 (Level 2) shows a snapshot of the order book, while L3 (Level 3) offers a more detailed view, including order IDs.
def l2_book_callback(book, receipt_timestamp):
print(f"L2 Book: {book}")
fh.add_feed('COINBASE',
symbols=['BTC-USD'],
channels=['book'],
callbacks={'book': l2_book_callback})This snippet subscribes to the L2 order book channel for Coinbase’s BTC-USD trading pair.
Subscribing to Trades
Trades offer a real-time view of market activity, displaying individual buy and sell transactions. To subscribe to trade data:
def trade_callback(trade, receipt_timestamp):
print(f"Trade: {trade}")
fh.add_feed('COINBASE',
symbols=['BTC-USD'],
channels=['trades'],
callbacks={'trades': trade_callback})In this setup, we listen to changes in trade happenings on the exchange.
Running the Feed Handler
Once your subscriptions are set up, you need to start the feed handler, which will control the flow of data and delegate calls to your defined callback functions:
fh.run()By running this command, you activate all defined feeds, and the callbacks will automatically process incoming data.
Integrating Custom Logic
Transforming this data into actionable insights involves implementing custom algorithms or storage mechanisms in your callback functions:
def custom_callback(data, receipt_timestamp):
# Process data or store in a database
process(data)
fh.add_feed('COINBASE',
symbols=['BTC-USD'],
channels=['ticker', 'book', 'trades'],
callbacks={'ticker': custom_callback, 'book': custom_callback, 'trades': custom_callback})In this custom handler, different data types can be processed uniformly, depending on the specific needs of your application.
Conclusion
Handling real-time market data such as tickers, order books, and trades from cryptocurrency exchanges is a powerful feature that cryptofeed simplifies with its comprehensive and easy-to-use API. By leveraging cryptofeed, developers can build sophisticated applications that react to market changes efficiently. As you build out your project, remember that the cryptofeed community is constantly updating support for new exchanges and features, providing a robust tool for developers worldwide.
