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Is0tope / 3D_order_book

Example 3D order book visualiser for crypto markets.
MIT License
78 stars 12 forks source link

subscribe to more channels on binance #4

Open sharpobject opened 1 year ago

sharpobject commented 1 year ago

this adds more details to the book

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Is0tope commented 1 year ago

Thanks for the PR @sharpobject! I just wanted to clarify a few things before merging as I am less familiar with the Binance feed.

  1. I assume the idea here is that the bookTicker feed publishes more frequently (tick by tick I assume) than the depth feed, but only at the top of the book.
  2. If the price for the ticker is worse than TOB, then prices are popped off in order to get to that level at which point the new TOB is added in.
  3. If it is better, it is just added in.

So this is basically an optimisation to get finer granularity data at the top of the book where there is most movement yes?

sharpobject commented 1 year ago

That's correct. My implementation of this in this PR is quite slow though.