INNER CODE UNIT · Python
get_bid_size
5ymph0en1x/SyDOM · utils/annihilator.py:65
def get_bid_size(self, k):
list_buy = []
data = self.ws_bmex.market_depth()
for batch in data:
if batch['symbol'] == self.instrument_bmex:
if batch['side'] == 'Buy':
list_buy.append(batch)
list_buy.sort(key=lambda i: i['id'])
if len(list_buy) >= k + 1:
return list_buy[k]['size']
else:
return 0
def annihilator(self, askP, askS, bidP, bidS, size, ts):
resampledDF = pd.DataFrame()
resampledDF['timestamp'] = ts
resampledDF['size'] = size
resampledDF.index = resampledDF['timestamp']