Orderbook Depth Analysis

The repo contains the tools necessary to perform create the output csv files under the output folder which showcase statistics on the depth of an orderbook.

Getting Started

These instructions will get you a copy of the project up and running on your local machine for development. The necessary packages on anaconda would need to be installed (more on that later).

Prerequisites

The code needs miniconda, as all packages were installed and tested on conda v4.9.2. Installation of miniconda can be done by running the following:

wget https://repo.anaconda.com/miniconda/Miniconda3-latest-Linux-x86_64.sh
chmod +x Miniconda3-latest-Linux-x86_64.sh
bash Miniconda3-latest-Linux-x86_64.sh -p $HOME/miniconda3

The user would also need a mysql server to hook on to, on a linux based system the mysql server can be installed with the following:

sudo apt-get install mysql-server

Installing Enviroment

Refer to conda docs.

The enviroment files are available under conda_env folder. Enviroment setup can be done with the below

With the enviroment file

conda env create --name crypto_liquidity --file=environment.yml

Adding API Keys to config/conf.yaml

Binance api and secret needs to be updated. Both needs to be populated and they can be obtained from the following:

• binance

sourceData:
    binance:
        api: 'XXXXXXXXXXXXXXXXXXXXXXXX'
        secret: 'XXXXXXXXXXXXXXXXXXXXXXXX'

Adding Mysql Connection to config/conf.yaml

A mysql database needs to be setup, but in order to connect to the server the required fields such as the user , password and a database name need to be added to the conf file as shown below.

mysql:
    crypto_liquidity:
        user:  "root"
        password:  'XXXXXXXXXXXXXXXXXXXXXXXX'
        host:  "localhost"
        database:  "crypto_liquidity"
        raise_on_warnings:  True

Database Setup

Once the mysql connection configurations set, a database can be created with the required tables by performing the following in an anconda command prompt, pointed to the directory of the repo:

python main.py -r init

Fetching Data

The following command could be run to fetch data for a given pair

python main.py -r data --t ETHUSDT BTCUSDT

Generating Output

The following command could be run to generate the output files for a given currency pair in a given time range:

python main.py -r output --t ETHUSDT BTCUSDT --d 28-Mar-2021 30-mar-2021