bid_ask_live.ipynb

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     "text": [
      "Bid\\Ask\\Size:\n",
      "1595.66 @ 1595.67, 0.79 by 3.51\n",
      "Spread:0.01\n",
      "\n",
      "50 Bids\\Asks Spread:\n",
      "1.79 | 1.28\n",
      "\n",
      "Avg. Bid\\Ask:\n",
      "1594.69 | 1596.32 | Spread:1.63\n"
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   ],
   "source": [
    "\"\"\"\n",
    "Get 100ms updates to bid/asks on a token from KuCoin exchange\n",
    "@authors: Jimmy Singh \n",
    "\"\"\"\n",
    "\n",
    "import asyncio\n",
    "from IPython.display import clear_output\n",
    "from kucoin.client import WsToken\n",
    "from kucoin.ws_client import KucoinWsClient\n",
    "import nest_asyncio\n",
    "import numpy as np\n",
    "import plotly.graph_objects as go\n",
    "import plotly.express as px\n",
    "import time\n",
    "\n",
    "nest_asyncio.apply()\n",
    "\n",
    "token = 'ETH-USDT'\n",
    "depth = 50\n",
    "\n",
    "async def main():\n",
    "    async def deal_msg(msg):\n",
    "        if msg['topic'] == f'/spotMarket/level2Depth{depth}:{token}':\n",
    "            \n",
    "            # print(f'Get ETH level3:{msg[\"data\"]}\\n')\n",
    "            ab = msg[\"data\"]\n",
    "\n",
    "            asks = {}\n",
    "            for a in ab['asks']:\n",
    "                asks[float(a[0])] = np.round(float(a[1]),3)\n",
    "            bids = {}\n",
    "            for b in ab['bids']:\n",
    "                bids[float(b[0])] = np.round(float(b[1]),3)\n",
    "            \n",
    "            asks_ps = list(asks.keys())\n",
    "            asks_ps_size = list(asks.values())\n",
    "            asks_spread = np.round(asks_ps[-1] - asks_ps[0],3)\n",
    "            bids_ps = list(bids.keys())\n",
    "            bids_ps_size = list(bids.values())\n",
    "            bids_spread = np.round(bids_ps[0] - bids_ps[-1],3)\n",
    "            \n",
    "            bid_ask_spread = np.round(asks_ps[0] - bids_ps[0],3)\n",
    "            avg_ask = np.round(np.sum(np.multiply(asks_ps,asks_ps_size))/np.sum(asks_ps_size),2)\n",
    "            avg_bid = np.round(np.sum(np.multiply(bids_ps,bids_ps_size))/np.sum(bids_ps_size),2)\n",
    "            \n",
    "            fig = go.Figure()\n",
    "            fig.add_trace(go.Bar(x= asks_ps, y=asks_ps_size,\n",
    "                                name = f'asks', marker_color='red'))\n",
    "            fig.add_trace(go.Bar(x= bids_ps, y=bids_ps_size,\n",
    "                                name = f'bids', marker_color='green'))\n",
    "            fig.update_layout(title={'text' : f'50 Bid/Asks Level 2 data of {token}',\n",
    "                                'y':0.92,'x':0.5,'xanchor': 'center','yanchor': 'top'},xaxis_title=\"Price\",yaxis_title= f'Size', \n",
    "                                xaxis = {'rangeslider': {'visible': False}}, yaxis={'side': 'left'}, showlegend=True, width = 1200,height = 500)\n",
    "            fig.show()\n",
    "\n",
    "\n",
    "            print(f'Bid\\Ask\\Size:\\n{np.round(bids_ps[0],2)} @ {np.round(asks_ps[0],2)}, {np.round(bids_ps_size[0],2)} by {np.round(asks_ps_size[0],2)}')\n",
    "            print(f'Spread:{bid_ask_spread}\\n')\n",
    "            print(f'50 Bids\\Asks Spread:\\n{bids_spread} | {asks_spread}\\n')\n",
    "            print(f'Avg. Bid\\Ask:\\n{avg_bid} | {avg_ask} | Spread:{np.abs(np.round(avg_bid-avg_ask,2))}')\n",
    "\n",
    "            # time.sleep(0.25)\n",
    "            clear_output(wait=True)\n",
    "    \n",
    "    client = WsToken()\n",
    "    ws_client = await KucoinWsClient.create(None, client, deal_msg, private = False)\n",
    "    await ws_client.subscribe(f'/spotMarket/level2Depth{depth}:{token}')\n",
    "    \n",
    "    while True:\n",
    "        await asyncio.sleep(60)\n",
    "\n",
    "loop = asyncio.get_event_loop()\n",
    "loop.run_until_complete(main())"
   ]
  }
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