Part 1 of OrderBook subscription->processing #3
Conversation
|
This is great: I had no plans to work on orderbook data. I find the backtest orderbook data is harder to come by and the request volume might overload micro instances in live. But I'm happy to help you with this. Unit tests wouldn't hurt (I don't mind helping with these). It's also worthwhile adding a config switch that allows the book subscription to be toggled on/off; I have plans to do this for the trade ticks subscription also. The wss messages are a heavy resource load when you have a few high volume pairs. |
|
Sounds good! I'd continue getting the order book to work, then config switch - maybe you have it for trade then. That might lend itself to a API v2 switch - docs say v1.1 supports only a limited number of pairs (haven't tested). Just installed nunit2, will have a closer look at these unit test. |
|
I could use a hint with the unit tests. Do you know how to get the cases to run that require a live connection? For example Tests.Brokerages.Bitfinex.BitfinexBrokerageIntegrationTests? They seemingly dont reference the new BitfinexBrokerageIntegrationTestsBase.cs I just changed... |
|
If you give me an email I'll invite you to the Slack group. |
|
Great! |
|
of all commits - commit afd828b |
2 participants
Hi James,
subscribed to OrderBook and included some framework for processing Snapshot+L2update. The new file additions are partially taken from gdax with minimal adaptions so far.
just a preliminary PR, in case you'll work on this. Otherwise, will update in next 2 days...
Sidenote: noticed that the ticker updates the QuoteBar every ~10 sec only which lead to run-time errors when requesting Ask/Bid. Thought it would be avoided by fillForward: true.
Since I just started contributing here, any comment / review / note is much appreciated. Cheers