Closed dfogaras closed 1 year ago
ETHUSDT L2 book seems to be stuck at unrealistic prices since yesterday. The code below prints "bid=1400.05 / 6306000000 ask=1680.0 / 61000000", but the real prices are very different.
from cryptofeed import FeedHandler from cryptofeed.defines import L2_BOOK import cryptofeed.exchanges from datetime import datetime,timedelta from cryptofeed.exchanges import Bitmex class BookReader: def __init__(self): self.__last_print = datetime.utcnow() async def book(self, book, receipt_timestamp): if datetime.utcnow() - self.__last_print > timedelta(seconds=1): bid = float(book.book['bid'].index(0)[0]) ask = float(book.book['ask'].index(0)[0]) bidVol = book.book['bid'].index(0)[1] askVol = book.book['ask'].index(0)[1] print(f"bid={bid} / {bidVol} ask={ask} / {askVol}") #print(f"bid array={list(book.book['bid'].items())}") self.__last_print = datetime.utcnow() def main(): config = {'log': {'filename': 'demo.log', 'level': 'DEBUG', 'disabled': False}} f = FeedHandler(config=config) br = BookReader() f.add_feed(Bitmex(max_depth=10, subscription={L2_BOOK: ['ETH-USDT-PERP']}, callbacks={L2_BOOK: br.book}), checksum_validation=True, cross_check=True) f.run() if __name__ == '__main__': main()
I could reproduce this problem with macos and linux and cryptofeed versions 2.3.0 and 2.2.0.
As of now, the entries are updated, but the prices are obviously wrong compared to the Bitmex UI
ETHUSDT L2 book seems to be stuck at unrealistic prices since yesterday. The code below prints "bid=1400.05 / 6306000000 ask=1680.0 / 61000000", but the real prices are very different.
I could reproduce this problem with macos and linux and cryptofeed versions 2.3.0 and 2.2.0.