Marketdata

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Last updated 8 days ago

Marketdata

L1 book snapshots streaming

L1 book snapshots include the best bid and ask, price and size, for a given market.

async for snap in client.subscribe_l1_book_stream(
    symbols=["BTC Crypto/USD"], 
    venue="COINBASE"
):
    print(snap)

import { L1BookSnapshot } from '@afintech/sdk';
const stream = await L1BookSnapshot.streamL1BookSnapshots(
  {
    market_ids: ['BTC-USDT BINANCE Perpetual/USDT Crypto*BINANCE-FUTURES-USD-M/DIRECT'],
  },
  'binance-futures-usd-m',
);
stream.on('data', console.log);
// to close the stream, call
// stream.cancel();
// stream.destroy();

L2 book snapshots

L2 book snapshots include the aggregated bids and asks at different price levels. Price levels may optionally be aggregated into price bands of a specified width.

from architect_py.graphql_client.fragments import L2BookFields

book: L2BookFields = await client.get_l2_book_snapshot(
  symbol="BTC Crypto/USD",
  venue="COINBASE"
)

from architect_py.graphql_client.fragments import L2BookFields

book: L2BookFields = client.get_l2_book_snapshot(
    symbol="BTC Crypto/USD",
    venue="COINBASE"
)
# book.timestamp
# book.bids 
# book.asks

import { create } from '@afintech/sdk';
const c = create({/* config */});

const book = await c.bookSnapshot([], 10, "BTC Crypto/USD*COINBASE/DIRECT", false, "0.1", 60);
console.log('book', book);

query GetBookSnapshot(
  $market: MarketId!
  $numLevels: Int!
  $precision: Decimal
  $retainSeconds: Int
) {
  bookSnapshot(
    market: $market
    numLevels: $numLevels
    precision: $precision
    retainSubscriptionForNSeconds: $retainSeconds
  ) {
    timestamp
    bids {
      price
      amount
      total
    }
    asks {
      price
      amount
      total
    }
  }
}

L2 book streaming and book building

Use watch_l2_book in one async task to stream book updates and continuously maintain a sorted level book; this method yields on every update. From other tasks, you may lookup the current state of the book in memory at any point in time.

from architect_py.grpc_client.Marketdata.L2BookSnapshot import L2BookSnapshot
from architect_py.scalars import TradableProduct

# subscribe to the book and update it in a background asyncio task
book: L2BookSnapshot = await client.subscribe_l2_book(
  symbol="BTC Crypto/USD",
  venue="COINBASE"
)

# access the up-to-date book anytime
book.bids

# get a new reference to the same up-to-date book
same_book = client.grpc_client.l2_books[TradableProduct("BTC Crypto/USD")]

stream = client.subscribe_l2_book_stream("BTC Crypto/USD", venue="COINBASE") 
async for book in stream:
    print(book)

subscription SubscribeBook($id: MarketId!, $precision: Decimal) {
  book(market: $id, precision: $precision) {
    bids {
      price
      amount
      total
    }
    asks {
      price
      amount
      total
    }
    timestamp
  }
}

Trades streaming

Only available in async

stream = client.subscribe_trades_stream(
    symbol="BTC Crypto/USD",
    venue="COINBASE"
)

async for trade in stream:
    print(trade)

subscription SubscribeTrades($market: MarketId!) {
  trades(market: $market) {
    time
    price
    size
    direction
  }
}

Candles (Klines) streaming

Candles are produced at different fixed periods and include the open, high, low, close, and volumes for that period. Candle widths include:

Not all exchange feeds produce all candle widths.

from architect_py.grpc_client.definitions import CandleWidth

stream = client.subscribe_candles_stream(
  symbol="BTC Crypto/USD", 
  venue="COINBASE",
  candle_widths=[CandleWidth.OneSecond]
)

async for candle in stream:
    print(candle)

subscription SubscribeCandles($id: MarketId!, $width: CandleWidth!) {
  candles(market: $id, candleWidth: $width) {
    ...CandleFields
  }
}

fragment CandleFields on CandleV1 {
  time
  open
  high
  low
  close
  volume
}