When diving into cryptocurrency trading and data analysis, one of the vital components you'll need is an order book. An order book is a list of buy and sell orders in a market, organized by price level. Implementing an order book and trade feeds can be easily managed using cryptofeed, a versatile library designed to handle crypto market data. Let’s explore how you can implement an order book and trade feeds using this powerful tool.
Before getting started, ensure you have Python installed on your machine, since cryptofeed is a Python-based library. You can install it using pip:
pip install cryptofeedSetting Up the Environment
After installing cryptofeed, we import the necessary modules to set up a basic environment for our order book and trade feeds:
from cryptofeed import FeedHandler
from cryptofeed.defines import BID, ASK, TRADES
from cryptofeed.exchanges import Coinbase
Here, we import FeedHandler which is responsible for managing feeds, and defines for specifying the type of data we want, such as bids, asks, and trades. We also import a specific exchange, Coinbase, but cryptofeed supports numerous exchanges like Binance, Bitmex, and more.
Implementing Order Book
We can start by defining a function to handle order book updates. These updates will inform us of changes to the order book as they occur on the exchange:
def book(feed, pair, book, timestamp):
print(f"Feed: {feed}, Pair: {pair}")
print("Order Book Snapshot:")
print("Bid:", sorted([(int(price), size) for price, size in book[BID].items()], reverse=True), end='\n\n')
print("Ask:", sorted([(int(price), size) for price, size in book[ASK].items()]))
The book function utilizes the feed (exchange source), pair (trading pairs like BTC-USD), and the book (current order book state) and prints a snapshot of it. This function is crucial for tracking the order book's current state.
Implementing Trade Feeds
To handle trade feeds, we follow a similar process. Trades refer to the actual transactions that occur in the market. Here’s one way to track trades:
def trade(feed, pair, order_id, timestamp, side, amount, price):
print(f"Trade executed on {feed}:")
print(f"Pair: {pair}, Order ID: {order_id},
Timestamp: {timestamp}, Side: {side},
Amount: {amount}, Price: {price}")
The trade function extracts trade data like the trading pair, order ID, trade timestamp, side (buy/sell), amount, and price, displaying the details of executed trades.
Putting It All Together
With handlers defined for the order book and trades, set up the feed handler:
fh = FeedHandler()
Next, subscribe to the desired data types for the chosen exchange. In this case, we subscribe to both order books and trades for the Coinbase BTC-USD pair:
fh.add_feed(Coinbase(pairs=['BTC-USD'], channels=[TRADES, BID, ASK], callbacks={
BID: book,
ASK: book,
TRADES: trade
}))
Finally, we need to start the feed handler to initiate the data streaming:
fh.run()
That’s it! You now have an operational setup in which cryptofeed will handle both the order book and trade feeds for the specified crypto exchange and trading pair.
Expanding Your Implementation
Cryptofeed is highly flexible and can be customized with additional features to enhance your trading or analytic environment. You can add multiple trading pairs, handle multiple exchanges concurrently, and perform real-time analysis with the incoming data. Additionally, other callback functions can be defined to trigger specific actions based on data patterns.
By implementing these fundamental components—order books and trade feeds—you lay the groundwork for intricate trading bots, analytics dashboards, or decision-making models that leverage real-time market data efficiently.
Utilizing cryptofeed, you can keep your finger on the pulse of cryptocurrency markets, observe trends as they emerge, and make informed decisions in the volatile trading environment. Happy coding and trading!
