profile_checksum.py

'''
Copyright (C) 2020-2021  Bryant Moscon - bmoscon@gmail.com
Please see the LICENSE file for the terms and conditions
associated with this software.
'''
from decimal import Decimal
import json
import time
import zlib

from sortedcontainers import SortedDict as sd
from order_book import OrderBook
import requests


r = requests.get("https://api.kraken.com/0/public/Depth?pair=XETHZUSD&count=1000")
r.raise_for_status()
data = r.json()


r = requests.get("https://ftx.com/api/markets/BTC-PERP/orderbook?depth=100")
r.raise_for_status()
ftx_data = json.loads(r.text, parse_float=Decimal)


BID = 'bid'
ASK = 'ask'


def calc_checksum(book):
    bid_prices = list(reversed(book[BID].keys()))[:10]
    ask_prices = list(book[ASK].keys())[:10]

    combined = ""
    for d, side in ((ask_prices, ASK), (bid_prices, BID)):
        sizes = [str(book[side][price]).replace('.', '').lstrip('0') for price in d]
        prices = [str(price).replace('.', '').lstrip('0') for price in d]
        combined += ''.join([b for a in zip(prices, sizes) for b in a])

    return zlib.crc32(combined.encode())


def ftx_checksum(book):
    bid_it = reversed(book[BID])
    ask_it = iter(book[ASK])

    bids = [f"{bid}:{book[BID][bid]}" for bid in bid_it]
    asks = [f"{ask}:{book[ASK][ask]}" for ask in ask_it]

    if len(bids) == len(asks):
        combined = [val for pair in zip(bids, asks) for val in pair]
    elif len(bids) > len(asks):
        combined = [val for pair in zip(bids[:len(asks)], asks) for val in pair]
        combined += bids[len(asks):]
    else:
        combined = [val for pair in zip(bids, asks[:len(bids)]) for val in pair]
        combined += asks[len(bids):]

    computed = ":".join(combined).encode()
    return zlib.crc32(computed)


def main():
    ob = OrderBook(checksum_format='KRAKEN')

    asks = {
        Decimal("0.05005"): Decimal("0.00000500"),
        Decimal("0.05010"): Decimal("0.00000500"),
        Decimal("0.05015"): Decimal("0.00000500"),
        Decimal("0.05020"): Decimal("0.00000500"),
        Decimal("0.05025"): Decimal("0.00000500"),
        Decimal("0.05030"): Decimal("0.00000500"),
        Decimal("0.05035"): Decimal("0.00000500"),
        Decimal("0.05040"): Decimal("0.00000500"),
        Decimal("0.05045"): Decimal("0.00000500"),
        Decimal("0.05050"): Decimal("0.00000500")
    }

    bids = {
        Decimal("0.05000"): Decimal("0.00000500"),
        Decimal("0.04995"): Decimal("0.00000500"),
        Decimal("0.04990"): Decimal("0.00000500"),
        Decimal("0.04980"): Decimal("0.00000500"),
        Decimal("0.04975"): Decimal("0.00000500"),
        Decimal("0.04970"): Decimal("0.00000500"),
        Decimal("0.04965"): Decimal("0.00000500"),
        Decimal("0.04960"): Decimal("0.00000500"),
        Decimal("0.04955"): Decimal("0.00000500"),
        Decimal("0.04950"): Decimal("0.00000500")
    }

    ob.asks = asks
    ob.bids = bids
    book = {BID: sd(bids), ASK: sd(asks)}

    start = time.time()
    checksum = calc_checksum(book)
    end = time.time()
    assert checksum == 974947235

    print("Kraken")
    print("Depth 10")
    print(f"Python: {(end - start) * 1000000} microseconds")

    start = time.time()
    checksum = ob.checksum()
    end = time.time()

    assert checksum == 974947235

    print(f"C: {(end - start) * 1000000} microseconds")

    print("\nDepth 1000")

    book = {BID: sd({Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['bids']}),
            ASK: sd({Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['asks']})
            }

    ob.bids = {Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['bids']}
    ob.asks = {Decimal(update[0]): Decimal(update[1]) for update in data['result']['XETHZUSD']['asks']}

    start = time.time()
    checksum1 = calc_checksum(book)
    end = time.time()

    print(f"Python: {(end - start) * 1000000} microseconds")

    start = time.time()
    checksum2 = ob.checksum()
    end = time.time()

    print(f"C: {(end - start) * 1000000} microseconds")

    assert checksum1 == checksum2

    print("\n\nFTX")

    ob = OrderBook(checksum_format='FTX')

    book = {BID: sd({Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['bids']}),
            ASK: sd({Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['asks']})
            }
    ob.bids = {Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['bids']}
    ob.asks = {Decimal(update[0]): Decimal(update[1]) for update in ftx_data['result']['asks']}

    start = time.time()
    checksum1 = ftx_checksum(book)
    end = time.time()

    print(f"Python: {(end - start) * 1000000} microseconds")

    start = time.time()
    checksum2 = ob.checksum()
    end = time.time()

    print(f"C: {(end - start) * 1000000} microseconds")
    assert checksum1 == checksum2


if __name__ == '__main__':
    main()