orderbookmdp.data_all package

Submodules

orderbookmdp.data_all.download_gdax module

orderbookmdp.data_all.download_gdax.save_snapshot(public_client, data_dir)

class orderbookmdp.data_all.download_gdax.DownloadWebsocketClient(data_dir, **kwargs)

Bases: cbpro.websocket_client.WebsocketClient

__init__(data_dir, **kwargs)

Initialize self. See help(type(self)) for accurate signature.

change_file(msg)

on_open()

on_message(msg)

on_close()

on_error(e, data=None)

orderbookmdp.data_all.download_gdax.download(dir, time_delta='1 min', product='BTC-USD')

orderbookmdp.data_all.orderstream module

orderbookmdp.data_all.orderstream.load_orders(path)

Yields orders from a saved feather pandas.DataFrame.

Parameters:path (str) – Path to the saved feather dataframe Yields:order – An external order from the dataframe

orderbookmdp.data_all.orderstream.orderstream(order_paths='../../../data/feather/', snapshot_paths='../../../data/snap_json/', max_sequence_skip=1, random_start=False, **kwargs)

Generates a stream of orders, either a snapshot of the order book is returned when a disruption in the order stream happens or the next order is yielded.

Parameters:

• order_paths (str) – Path to the orders
• snapshot_paths (str) – Path to the snapshots

Yields:

order (list, snapshot: dict) – The first yield will have a snapshot. Then orders will be yielded with the snapshot as None.

orderbookmdp.data_all.reformat_data module

Module contents