Add BBO Reference Data - Githubissues

Keon6 / Dexcellence

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Add BBO Reference Data #5

Open bormanjo opened 2 years ago

bormanjo commented 2 years ago

[x] Determine a BBO (best bid-offer) provider to use in-place of 1Inch reference price
[x] Implement Python code to retrieve the data via an API on-demand

Keon6 commented 2 years ago

Using CCXT it takes about 1.5~2.5 seconds on my local to retrieve the BBO - what's our requirement here?

Keon6 commented 2 years ago

2 more things to be accomplished here - 1) How to reduce this time period? CCXT seems like the most reliable and free version of live orderbook data out there but could this be like a websocket? Also not entirely sure how much we need , 2) Let's define what the stages of this product is for that requires different price improvement/slippage performance - that'll require what we implement here for the exchanges. Complex and dynamic scheme would be a data science work.

Keon6 commented 2 years ago

Using CCXT it takes about 1.5~2.5 seconds on my local to retrieve the BBO - what's our requirement here?

Actually this seems to be a bit inconsistent. Adding a TODO: 3) Figure out how real-time orderbook data stream works on CCXT to see if it could be made faster or perhaps it requires some other data source.