orderbook
orderbook copied to clipboard
bmoscon
A fast L2/L3 orderbook data structure, in C, for Python
For Issue #13, add `to_list` method to `SortedDict` and some test cases for it. It takes one optional argument `n_levels` as an input parameter. The method will return a list...
I want to inherit this OrderBook to add some custom functionality. Is that possible? How can it be done and which interfaces I need to implement?
Provide following methods to export data: 1. prices() - returns list of prices for each level (would be called on .bids or .asks) 2. to_list() - like to dict, but...
**Is your feature request related to a problem? Please describe.** currently, this library use python SortedDict to store orderbook data。 when fetch coinbase、btc-usd data, in l2_book/l3_book callback functions, book.book.bids.index(0)/book.book.asks.index(0) will...
allow for iterating on sides in the book with .items()
``` Traceback (most recent call last): File "/home/ubuntu/.pycharm_helpers/pydev/_pydevd_bundle/pydevd_exec2.py", line 3, in Exec exec(exp, global_vars, local_vars) File "", line 1, in AttributeError: 'order_book.SortedDict' object has no attribute 'to_list' self.bid.to_list() Traceback (most...
