orderbookspeed.py

import websocket
import json
import time
import threading
from colorama import Fore, Style
from decimal import Decimal, ROUND_DOWN

changeCount = 0
pulledBids = 0
pulledAsks = 0
measurementInterval = 3
ticker = 'BTC-USD'

logFile = open('order_book_stats.json', 'a')

timestamps = []
spread_values = []

class DecimalEncoder(json.JSONEncoder):
    def default(self, o):
        if isinstance(o, Decimal):
            return float(str(o.quantize(Decimal('.00'), rounding=ROUND_DOWN)))
        return super().default(o)

def calculate_spread(bid_price, ask_price):
    return ask_price - bid_price

def on_open(ws):
    with open('assets/logo.txt', 'r') as logo_file:
        logo = logo_file.read()
        print(logo)
    print('WebSocket Connection Opened. . . .')

    subscriptionData = {
        'type': 'subscribe',
        'product_ids': ['ticker'],
        'channels': [
            {'name': 'level2', 'product_ids': [ticker]},
            {'name': 'ticker', 'product_ids': [ticker]}
        ]
    }

    ws.send(json.dumps(subscriptionData))

def on_message(ws, message):
    global changeCount, pulledBids, pulledAsks, timestamps, spread_values

    message = json.loads(message)

    if message['type'] == 'snapshot' or message['type'] == 'l2update':
        changeCount += 1

        if message['type'] == 'l2update':
            for change in message['changes']:
                side, price, size = change
                if side == 'buy' and size == '0.00000000':
                    pulledBids += 1
                elif side == 'sell' and size == '0.00000000':
                    pulledAsks += 1

    if message['type'] == 'ticker':
        if 'best_bid' in message and 'best_ask' in message:
            bid_price = float(message['best_bid'])
            ask_price = float(message['best_ask'])
            spread = calculate_spread(bid_price, ask_price)
            timestamps.append(message['time'])
            spread_values.append(spread)
        else:
            print('Best Bid-Ask not found in the Websocket message.')

def on_error(ws, error):
    print('WebSocket error:', error)

def on_close(ws):
    logFile.close()
    print('WebSocket Connection Closed')

def print_statistics():
    global changeCount, pulledBids, pulledAsks, timestamps, spread_values

    previous_speed = 0
    first_interval = True

    while True:
        time.sleep(measurementInterval)
        statistics = {
            'measurementInterval': measurementInterval,
            'totalChanges': Decimal(changeCount),
            'speed': Decimal(changeCount) / Decimal(measurementInterval),
            'velocity': Decimal(changeCount / measurementInterval) - Decimal(previous_speed),
            'symbol': ticker,
            'pulledBids': pulledBids,
            'pulledAsks': pulledAsks
        }

        if not first_interval:
            print('---------------------------')
            print('Symbol:', Fore.MAGENTA + statistics['symbol'] + Style.RESET_ALL)
            print('Interval:', statistics['measurementInterval'], 'seconds')
            print('Total Changes:', Fore.MAGENTA + str(statistics['totalChanges']) + Style.RESET_ALL)
            print('Speed:', Fore.BLUE + f'{statistics["speed"]:.2f}', 'changes per second' + Style.RESET_ALL)

            if spread_values:
                latest_spread = spread_values[-1]
                colored_latest_spread = Fore.BLUE + f'{latest_spread:.2f}' + Style.RESET_ALL
                print('Bid-Ask Spread:', colored_latest_spread)

            if statistics['velocity'] >= 0:
                velocity_str = '+' + format(statistics['velocity'], '.2f')
            else:
                velocity_str = format(statistics['velocity'], '.2f')

            print('Velocity Δ:', Fore.MAGENTA + velocity_str + ' (c/s²)' + Style.RESET_ALL)
            print('Pulled Bids:', Fore.CYAN + str(statistics['pulledBids']) + Style.RESET_ALL)
            print('Pulled Asks:', Fore.CYAN + str(statistics['pulledAsks']) + Style.RESET_ALL)

            print('---------------------------')

            logFile.write(json.dumps(statistics, cls=DecimalEncoder) + '\n')

        if first_interval:
            first_interval = False

        previous_speed = changeCount / measurementInterval
        changeCount = 0
        pulledBids = 0
        pulledAsks = 0

if __name__ == '__main__':
    statistics_thread = threading.Thread(target=print_statistics)
    statistics_thread.start()

    socket = websocket.WebSocketApp('wss://ws-feed.exchange.coinbase.com')
    socket.on_open = on_open
    socket.on_message = on_message
    socket.on_error = on_error
    socket.on_close = on_close

    socket.run_forever()