Bryant Moscon
Bryant Moscon
@AlgoTrader5 you can do this with the aggregation callbacks. I can provide an example eventually, but for now see: https://github.com/bmoscon/cryptofeed/blob/master/examples/demo_custom_agg.py
If a PR was proposed, I'd accept it
Some code is in, need to add more perf code in the callbacks, test more, and add some documentation
@tristan-murfitt-elw - their docs indicate that we should use 1000 as the depth, are you sure that the websocket is providing book updates for all 5000 levels?
I did change the code to use the maximum book size for the snapshots. Shouldnt this largely correct this issue?
@nirvana-msu not sure what you are talking about. Are you claiming that when you set max depth to 10 you're getting more than 10 levels in the orderbook? All max_depth...
@nirvana-msu please provide sample code or other information so I can reproduce this (exchange, trading pairs, etc). Also provide the version number you are on.
I'm not even sure you need a new feed, the feedhandler could very easily inject these messages to client supplied callbacks. It might be cleaner to have it as a...
OrderInfo and Fills are supported via websockets already. Position and Balance info are not provided by the exchange, so can be added to the REST integration for FTX.
tradeable asset pairs are available via the exchanges, eg, ```python from cryptofeed.exchanges import Binance pairs = Binance.info()['symbols'] ```