SorenJ89
commented
6 years ago I have edited my order_book.py example in order to track this. I just save the epoch time of each message when i recieve one and if it is older than the previous message, i print it.
So far i have been running the script for 24+ hours and not caught a single message out of order.
` if name == 'main': import sys import time import datetime as dt from datetime import datetime
class OrderBookConsole(OrderBook):
''' Logs real-time changes to the bid-ask spread to the console '''
def __init__(self, product_id=None):
super(OrderBookConsole, self).__init__(product_id=product_id)
# latest values of bid-ask spread
self._bid = None
self._ask = None
self._bid_depth = None
self._ask_depth = None
self._msg_time = 0
def on_message(self, message):
super(OrderBookConsole, self).on_message(message)
# Calculate newest bid-ask spread
bid = self.get_bid()
bids = self.get_bids(bid)
bid_depth = sum([b['size'] for b in bids])
ask = self.get_ask()
asks = self.get_asks(ask)
ask_depth = sum([a['size'] for a in asks])
if 'time' in message.keys():
epoch_time = (datetime.strptime(message['time'], "%Y-%m-%dT%H:%M:%S.%fZ") - datetime(1970, 1, 1)).total_seconds()
if self._msg_time-epoch_time>0:
print(self._msg_time-epoch_time)
else:
print(message)
#if self._bid == bid and self._ask == ask and self._bid_depth == bid_depth and self._ask_depth == ask_depth:
# If there are no changes to the bid-ask spread since the last update, no need to print
#pass
#else:
# If there are differences, update the cache
#self._bid = bid
#self._ask = ask
#self._bid_depth = bid_depth
#self._ask_depth = ask_depth
#print('{} {} bid: {:.3f} @ {:.2f}\task: {:.3f} @ {:.2f}'.format(
# dt.datetime.now(), self.product_id, bid_depth, bid, ask_depth, ask))
order_book = OrderBookConsole()
order_book.start()
try:
while True:
time.sleep(10)
except KeyboardInterrupt:
order_book.close()
if order_book.error:
sys.exit(1)
else:
sys.exit(0)`
guanm326
I've been collecting data for 3 streaming pairs and noticed that some exchange time stamps being sent out for some pairs happened minutes ago.
Similar to the examples, I have a separate thread that fills up the queue with new book/trade updates. Afterwards, my main thread will pull from the other end and write to storage. The ordering of the data in the queue should be consistent on my end, meaning the data received should be chronological at least from the time I receive them untill i process them. My question is why is the last 2 updates in the above example differ in time from the exchange point of view? Anyone else seeing this?