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bmoscon / cryptofeed

Cryptocurrency Exchange Websocket Data Feed Handler
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Enhance Speed of Huobi Spot L2_BOOK #431

Open Jay54520 opened 3 years ago

Jay54520 commented 3 years ago

Is your feature request related to a problem? Please describe. Now cryptofeed is using market-depth which is snapshot at 1 second interval to fetch L2_BOOK.

Describe the solution you'd like Use market-by-price-incremental-update whose latency is below 100ms to fetch delta book and update local cache according to it

Describe alternatives you've considered Use market-by-price-refresh-update which will push full order book below 100ms but it's slower than delta book above.

Additional context Market-by-price-incremental-update in official Python SDK: https://github.com/HuobiRDCenter/huobi_Python/blob/master/huobi/service/market/sub_mbp_increase.py#L8

ghost commented 3 years ago

Can you help me test the incremental version I implemented?