Add order book and recent trades data for realtime evaluators

config/__init__.py

@@ -476,6 +476,14 @@ class ExchangeConstantsMarketStatusInfoColumns(Enum):
     MAX_QTY = "maxQty"
 
 
+class ExchangeConstantsOrderBookInfoColumns(Enum):
+    BIDS = "bids"
+    ASKS = "asks"
+    TIMESTAMP = "timestamp"
+    DATETIME = "datetime"
+    NONCE = "nonce"
+
+
 class ExchangeConstantsOrderColumns(Enum):
     INFO = "info"
     ID = "id"

evaluator/RealTime/realtime_evaluator.py

@@ -129,6 +129,12 @@ async def _get_data_from_exchange(self, time_frame, limit=None, return_list=Fals
         return await self.exchange.get_symbol_prices(self.symbol, time_frame,
                                                      limit=limit, return_list=return_list)
 
+    async def _get_order_book_from_exchange(self, limit=None):
+        return await self.exchange.get_order_book(self.symbol, limit=limit)
+
+    async def _get_recent_trades_from_exchange(self, limit=None):
+        return await self.exchange.get_recent_trades(self.symbol, limit=limit)
+
     @staticmethod
     def _compare_data(new_data, old_data):
         try:

evaluator/Strategies/strategies_evaluator.py

@@ -82,3 +82,11 @@ class MixedStrategiesEvaluator(StrategiesEvaluator):
     @abstractmethod
     async def eval_impl(self) -> None:
         raise NotImplementedError("Eval_impl not implemented")
+
+
+class MarketMakingStrategiesEvaluator(StrategiesEvaluator):
+    __metaclass__ = StrategiesEvaluator
+
+    @abstractmethod
+    async def eval_impl(self) -> None:
+        raise NotImplementedError("Eval_impl not implemented")

trading/exchanges/exchange_dispatcher.py

@@ -157,10 +157,15 @@ async def _handle_web_socket_reset(self):
     # return bid and asks on each side of the order book stack
     # careful here => can be for binance limit > 100 has a 5 weight and > 500 a 10 weight !
     async def get_order_book(self, symbol, limit=50):
-        if not self._web_socket_available():
-            await self.exchange.get_order_book(symbol, limit)
+        symbol_data = self.get_symbol_data(symbol)
+
+        if not self._web_socket_available() or not symbol_data.order_book_is_initialized():
+            if not self._web_socket_available() or \
+                    (self._web_socket_available() and self.exchange_web_socket.handles_order_book()):
+                symbol_data.init_order_book()
+            await self.exchange.get_order_book(symbol=symbol, limit=limit)
 
-        return self.get_symbol_data(symbol).get_symbol_order_book(limit)
+        return symbol_data.get_symbol_order_book()
 
     async def get_recent_trades(self, symbol, limit=50):
         symbol_data = self.get_symbol_data(symbol)
@@ -171,7 +176,7 @@ async def get_recent_trades(self, symbol, limit=50):
                 symbol_data.init_recent_trades()
             await self.exchange.get_recent_trades(symbol=symbol, limit=limit)
 
-        return symbol_data.get_symbol_recent_trades(limit)
+        return symbol_data.get_symbol_recent_trades()
 
     # A price ticker contains statistics for a particular market/symbol for some period of time in recent past (24h)
     async def get_price_ticker(self, symbol):

trading/exchanges/exchange_symbol_data.py

@@ -14,12 +14,12 @@
 #  You should have received a copy of the GNU Lesser General Public
 #  License along with this library.
 
-from tools.logging.logging_util import get_logger
 import time
 
 import numpy as np
 
 from config import PriceIndexes, TimeFramesMinutes, MINUTE_TO_SECONDS
+from tools.logging.logging_util import get_logger
 
 
 class SymbolData:
@@ -38,6 +38,7 @@ def __init__(self, symbol):
         self.previous_candle_time = {}
 
         self.are_recent_trades_initialized = False
+        self.is_order_book_initialized = False
         self.logger = get_logger(f"{self.__class__.__name__} - {self.symbol}")
 
     '''
@@ -70,7 +71,7 @@ def ensure_data_validity(self, time_frame):
             # if update time from the previous time frame is greater than this given time frame:
             # data did not get updated => data are invalid
             if current_time - previous_candle_timestamp > \
-                    TimeFramesMinutes[time_frame]*MINUTE_TO_SECONDS*error_allowance:
+                    TimeFramesMinutes[time_frame] * MINUTE_TO_SECONDS * error_allowance:
                 return False
         return True
 
@@ -106,11 +107,11 @@ def get_symbol_ticker(self):
         return self.symbol_ticker
 
     # order book functions
-    def get_symbol_order_book(self, limit=None):
+    def get_symbol_order_book(self):
         return self.order_book
 
     # recent trade functions
-    def get_symbol_recent_trades(self, limit=None):
+    def get_symbol_recent_trades(self):
         return self.recent_trades
 
     # private functions
@@ -143,6 +144,12 @@ def recent_trades_are_initialized(self):
     def init_recent_trades(self):
         self.are_recent_trades_initialized = True
 
+    def order_book_is_initialized(self):
+        return self.is_order_book_initialized
+
+    def init_order_book(self):
+        self.is_order_book_initialized = True
+
 
 class CandleData:
     def __init__(self, all_candles_data):
@@ -209,7 +216,7 @@ def get_symbol_volume_candles(self, limit=None, return_list=False):
             return self.extract_limited_data(self.volume_candles_array, limit)
 
     def get_symbol_prices(self, limit=None, return_list=False):
-        symbol_prices = [None]*len(PriceIndexes)
+        symbol_prices = [None] * len(PriceIndexes)
         symbol_prices[PriceIndexes.IND_PRICE_CLOSE.value] = self.get_symbol_close_candles(limit, return_list)
         symbol_prices[PriceIndexes.IND_PRICE_OPEN.value] = self.get_symbol_open_candles(limit, return_list)
         symbol_prices[PriceIndexes.IND_PRICE_HIGH.value] = self.get_symbol_high_candles(limit, return_list)
@@ -292,12 +299,12 @@ def sanitize_last_candle(close_candle_data, high_candle_data, low_candle_data):
             low_candle_data[-1] = close_last_candle
         if high_candle_data[-1] < close_last_candle:
             high_candle_data[-1] = close_last_candle
-            
+
     @staticmethod
     def set_last_candle_arrays(list_updated, array_to_update):
         if array_to_update is not None:
             array_to_update[-1] = list_updated[-1]
-            
+
     @staticmethod
     def convert_list_to_array(list_to_convert):
         return np.array(list_to_convert)

trading/exchanges/rest_exchanges/rest_exchange.py

@@ -137,8 +137,9 @@ async def get_symbol_prices(self, symbol, time_frame, limit=None, return_list=Tr
         self.get_symbol_data(symbol).update_symbol_candles(time_frame, candles, replace_all=True)
 
     # return up to ten bidasks on each side of the order book stack
-    async def get_order_book(self, symbol, limit=30):
-        self.get_symbol_data(symbol).update_order_book(await self.client.fetch_order_book(symbol, limit))
+    async def get_order_book(self, symbol, limit=5):
+        order_book = await self.client.fetch_order_book(symbol, limit)
+        self.get_symbol_data(symbol).update_order_book(order_book)
 
     async def get_recent_trades(self, symbol, limit=50):
         trades = await self.client.fetch_trades(symbol, limit=limit)