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Added order_book completed orders history update #78

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Added order_book completed orders history update #78

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31 changes: 23 additions & 8 deletions bittrex_websocket/order_book.py
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Original file line number Diff line number Diff line change
Expand Up @@ -6,7 +6,6 @@

from bittrex_websocket.websocket_client import BittrexSocket
from bittrex_websocket.constants import BittrexMethods
from ._queue_events import ConfirmEvent, SyncEvent
import logging
from .constants import EventTypes
from collections import deque
Expand Down Expand Up @@ -102,7 +101,7 @@ def _sync_order_book(self, ticker, order_data):
self.order_books[ticker]['N'] = order_data['N']
# Start syncing
for side in [['Z', True], ['S', False]]:
made_change = False
new_orders_inserted = False
for item in order_data[side[0]]:
# TYPE 0: New order entries at matching price
# -> ADD to order book
Expand All @@ -112,16 +111,14 @@ def _sync_order_book(self, ticker, order_data):
'Q': item['Q'],
'R': item['R']
})
made_change = True
new_orders_inserted = True

# TYPE 1: Cancelled / filled order entries at matching price
# -> DELETE from the order book
elif item['TY'] == 1:
for i, existing_order in enumerate(
self.order_books[ticker][side[0]]):
for i, existing_order in enumerate(self.order_books[ticker][side[0]]):
if existing_order['R'] == item['R']:
del self.order_books[ticker][side[0]][i]
# made_change = True
break

# TYPE 2: Changed order entries at matching price (partial fills, cancellations)
Expand All @@ -130,17 +127,35 @@ def _sync_order_book(self, ticker, order_data):
for existing_order in self.order_books[ticker][side[0]]:
if existing_order['R'] == item['R']:
existing_order['Q'] = item['Q']
# made_change = True
break

if made_change:
if new_orders_inserted:
# Sort by price, with respect to BUY(desc) or SELL(asc)
self.order_books[ticker][side[0]] = sorted(
self.order_books[ticker][side[0]], key=lambda k: k['R'], reverse=side[1])
# Add nounce unix timestamp
self.order_books[ticker]['timestamp'] = time()

new_completed_orders_count = len(order_data['f'])

if new_completed_orders_count != 0:
#saving at least 20 min trade history; 20 mins in mils;
if order_data['f'][0]['T'] - self.order_books[ticker]['f'][-new_completed_orders_count]['T'] > 20*60*1000:
del self.order_books[ticker]['f'][-min(new_completed_orders_count, len(self.order_books[ticker]['f'])):]

#if history has data aged more thatn 120 mins delte all data upon 30 minutes history
for i in range(len(self.order_books[ticker]['f'])):
if order_data['f'][0]['T'] - self.order_books[ticker]['f'][-new_completed_orders_count]['T'] >= 120*60*1000:
if self.order_books[ticker]['f'][i]['T'] > 30*60*1000:
del self.order_books[ticker]['f'][-i:]
break

for new_completed_order in reversed(order_data['f']):
self.order_books[ticker]['f'].insert(0, new_completed_order)

self._on_ping.on_change(ticker)
return True

# The next nounce will trigger a sync.
elif nounce_diff == 0:
return True
Expand Down