Describe the bug
The Coinbase implementation in exchanges/coinbase.py does not support Modify Order Requests (MORs), which were put into production by Coinbase as of 2021-Oct-04 (see the announcement at https://docs.cloud.coinbase.com/exchange/docs/changelog#2022-oct-04). This has caused critical issues in maintaining an L3 book.
To Reproduce
Steps to reproduce the behavior:
Run cryptofeed capturing L3_BOOK for Coinbase
Eventually, a KeyError order in self.l3_book in exchanges/coinbase.py will occur, as a trade or done message has been received which references a price level which has been added to the order book by an MOR change message which we did not process.
Expected behavior
It's expected to support this feature. The problem in question is with this line, https://github.com/bmoscon/cryptofeed/blob/master/cryptofeed/exchanges/coinbase.py#L312, which should also check for and handle cases in which the change message has the keys new_price and old_price, and handle them properly wrt the self.l3_book update.
Describe the bug The Coinbase implementation in exchanges/coinbase.py does not support Modify Order Requests (MORs), which were put into production by Coinbase as of 2021-Oct-04 (see the announcement at https://docs.cloud.coinbase.com/exchange/docs/changelog#2022-oct-04). This has caused critical issues in maintaining an L3 book.
To Reproduce Steps to reproduce the behavior:
self.l3_bookin exchanges/coinbase.py will occur, as a trade or done message has been received which references a price level which has been added to the order book by an MOR change message which we did not process.Expected behavior It's expected to support this feature. The problem in question is with this line, https://github.com/bmoscon/cryptofeed/blob/master/cryptofeed/exchanges/coinbase.py#L312, which should also check for and handle cases in which the change message has the keys
new_priceandold_price, and handle them properly wrt theself.l3_bookupdate.Cryptofeed Version Latest from pypi