order_book_test.py

import bookmap as bm

alias_to_order_book = {}


def handle_subscribe_instrument(addon, alias, full_name, is_crypto, pips, size_multiplier, instrument_multiplier, supported_features):
 print("Instrument received " + alias, flush=True)
 # create order book for each subscribed instrument
 alias_to_order_book[alias] = bm.create_order_book()
 req_id = 1
 # subscribe to depth update for this instrument
 bm.subscribe_to_depth(addon, alias, req_id)
 print("Data subscribed", flush=True)


def handle_unsubscribe_instrument(addon, alias):
 print("The instrument " + alias + " has been removed", flush=True)


# handler for depth. it receives information about side, price and size.
def handle_depth_info(addon, alias, is_bid, price, size):
 order_book = alias_to_order_book[alias]
 # on_depth method updates internal order book
 bm.on_depth(order_book, is_bid, price, size)
 print("Depth: bid: " + str(is_bid) + ", price: " +
 str(price) + ", size: " + str(size), flush=True)
 # get liquidity for 20 levels from both side from current order book
 bid, ask = bm.get_sum(order_book, 20)
 print("Bid sum: " + str(bid) + ", ask sum: " + str(ask), flush=True)


if __name__ == "__main__":
 addon = bm.create_addon()
 print("Addon created", flush=True)
 bm.add_depth_handler(addon, handle_depth_info)
 bm.start_addon(addon, handle_subscribe_instrument, handle_unsubscribe_instrument)
 bm.wait_until_addon_is_turned_off(addon)