Simple Model for High Frequency Orderbook Data

This is a lightweight tool that measures the speed and velocity of the limit orderbook, by using a Websocket to fetch orderbook updates it can track the fluctuation of quotes and return the total changes per second.

• Plot the rate of change for buy and sell orders.
• Added outputs for the Bid-Ask Spread + pulled/removed bids and asks.
• Can be applied to any exchange's websocket connection, simply adjust ws config for the given exchange.

Velocity in Relation to Orderbook Speed

Velocity is a metric for the rate of change in speed, in this script I use velocity to represent the change in speed per unit of time, in order to measure the acceleration and deceleration of aggregated quotes.

In the physical world, velocity is expressed in terms of distance traveled per unit of time and the unit of velocity is meters per second (m/s) .

• However, when velocity is measured in terms of changes in speed per unit of time, it can be described as changes per second squared (c/s²) . (c/s²) means we're measuring the change in the number of quote updates per second, the rate is squared to indicate the acceleration or deceleration of those changes over time.

• The squared unit (s²) indicates the rate of change is measured per unit of time squared.

Pulled Bids & Asks for Altcoin Orderbooks

• To run this script on altcoins, you'll have to update the size property under the for-loop to calculate the pulled orders from the new ticker.
• Note: If you refer to the Coinbase documentation on Websocket channels, a message containing a size property of "0" indicates a previously active order was removed from that price level.

Size Property Variance

• In the case of "BTC-USD" the size property for a pulled order is "0.00000000" .

# BTC-USD
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

• For other tokens the l2update can return a different integer such as "0.00" . Here's "LDO-USD" for example.

# LDO-USD
if side == 'buy' and size == '0.00':
    pulledBids += 1
elif side == 'sell' and size == '0.00':
    pulledAsks += 1

• To find the correct format from the websocket, use a print statement under the on_message function.

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

    message = json.loads(message)
    print('WebSocket Message:', message)