Qubx 0.6.25__cp312-cp312-manylinux_2_39_x86_64.whl → 0.6.27__cp312-cp312-manylinux_2_39_x86_64.whl

qubx/connectors/ccxt/data.py

@@ -574,9 +574,13 @@ class CcxtDataProvider(IDataProvider):
             ob = ccxt_convert_orderbook(ccxt_ob, instrument, levels=depth, tick_size_pct=tick_size_pct)
             if ob is None:
                 return
+
             self._health_monitor.record_data_arrival(sub_type, dt_64(ob.time, "ns"))
-            quote = ob.to_quote()
-            self._last_quotes[instrument] = quote
+
+            if not self.has_subscription(instrument, DataType.QUOTE):
+                quote = ob.to_quote()
+                self._last_quotes[instrument] = quote
+
             channel.send((instrument, sub_type, ob, False))
 
         async def un_watch_orderbook(instruments: list[Instrument]):

qubx/connectors/ccxt/exchanges/binance/exchange.py

@@ -32,7 +32,8 @@ class BinanceQV(cxp.binance):
                 "options": {
                     "watchTrades": {
                         "name": "aggTrade",
-                    }
+                    },
+                    "localOrderBookLimit": 10_000,  # set a large limit to avoid cutting off the orderbook
                 }
             },
         )
@@ -210,6 +211,22 @@ class BinanceQV(cxp.binance):
         self.trades[symbol] = tradesArray
         client.resolve(tradesArray, messageHash)
 
+    def handle_order_book_subscription(self, client: Client, message, subscription):
+        defaultLimit = self.safe_integer(self.options, "localOrderBookLimit", 4000)
+        # messageHash = self.safe_string(subscription, 'messageHash')
+        symbolOfSubscription = self.safe_string(subscription, "symbol")  # watchOrderBook
+        symbols = self.safe_value(subscription, "symbols", [symbolOfSubscription])  # watchOrderBookForSymbols
+        limit = self.safe_integer(subscription, "limit", defaultLimit)
+        # handle list of symbols
+        for i in range(0, len(symbols)):
+            symbol = symbols[i]
+            if symbol in self.orderbooks:
+                del self.orderbooks[symbol]
+            self.orderbooks[symbol] = self.order_book({}, limit)
+            subscription = self.extend(subscription, {"symbol": symbol})
+            # fetch the snapshot in a separate async call
+            self.spawn(self.fetch_order_book_snapshot, client, message, subscription)
+
 
 class BinanceQVUSDM(cxp.binanceusdm, BinanceQV):
     """

qubx/connectors/tardis/data.py

@@ -687,7 +687,7 @@ class TardisDataProvider(IDataProvider):
         elif data_type == DataType.QUOTE:
             return "quote"
         elif data_type == DataType.ORDERBOOK:
-            return "book_snapshot_1000_100ms"  # Default depth and interval
+            return "book_snapshot_2000_100ms"  # Default depth and interval
         elif data_type == DataType.OHLC:
             return "trade_bar_1m"  # Default timeframe
         else:

{qubx-0.6.25.dist-info → qubx-0.6.27.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.25
+Version: 0.6.27
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.25.dist-info → qubx-0.6.27.dist-info}/RECORD

@@ -20,17 +20,17 @@ qubx/cli/release.py,sha256=JYdNt_ZM9jarmYiRDtKqbRqqllzm2Qwi6VggokB2j8A,28167
 qubx/connectors/ccxt/__init__.py,sha256=HEQ7lM9HS8sED_zfsAHrhFT7F9E7NFGAecwZwNr-TDE,65
 qubx/connectors/ccxt/account.py,sha256=HILqsSPfor58NrlP0qYwO5lkNZzUBG-SR5Hy1OSa7_M,24308
 qubx/connectors/ccxt/broker.py,sha256=UMAytmDCwELUv4-R4WmrEQdPnZjjF89XlgJst15WVSs,15305
-qubx/connectors/ccxt/data.py,sha256=jd6jeygq_3j5D3JkzQu_D-6ft0O5X-hRF6_RBTgl_as,29970
+qubx/connectors/ccxt/data.py,sha256=-5ysiERXC6Ip5Hp9N6Lq4bTQVyMZvFFMMPcS6RfwmYk,30051
 qubx/connectors/ccxt/exceptions.py,sha256=OfZc7iMdEG8uLorcZta2NuEuJrSIqi0FG7IICmwF54M,262
 qubx/connectors/ccxt/exchanges/__init__.py,sha256=2Po4YfvLOcpXHCS9Q2SSy3TMUejkcd9RhQ-oyGaxcEc,1504
 qubx/connectors/ccxt/exchanges/binance/broker.py,sha256=BB2V82zaOm1EjP3GrsOqQQMeGpml6-w23iv7goKrjyU,2111
-qubx/connectors/ccxt/exchanges/binance/exchange.py,sha256=tJLGwkhH93-7aV9mVn600eKjnFhqnWefyT90TY7k-s8,23350
+qubx/connectors/ccxt/exchanges/binance/exchange.py,sha256=7r4Y1-4NOMjnhz_Sdg6mjazUHtJPc1jOIPT_d8sxuBs,24444
 qubx/connectors/ccxt/exchanges/bitfinex/bitfinex.py,sha256=C0ZtM2MmLI_LJyUFSbww9qon7od57iAKoJJZ_3KUgNM,1150
 qubx/connectors/ccxt/exchanges/kraken/kraken.py,sha256=RFrnvr1L1NZYoKYWR5_L8vVkpMXtY7UDkWRnHeoasDU,351
 qubx/connectors/ccxt/factory.py,sha256=mfWjIJhoTAREkL--WiCGpD7ptDC7mHRc19s0hI2ShKM,2957
 qubx/connectors/ccxt/reader.py,sha256=qaZIaOZkRf3Rz31ZrEqqAv4kATk5zDlSq-LK1jziBs8,8314
 qubx/connectors/ccxt/utils.py,sha256=hNy7jmNau6SKgztVCV-HNTRRphfVREmPCvpxKkKwPzY,11575
-qubx/connectors/tardis/data.py,sha256=w3oHCXPzZsWgt0QwAzz189Jl64DOsn74mVhsjDbY-G0,30752
+qubx/connectors/tardis/data.py,sha256=VJJXSe6xb4jsa88VVj1lwI7VkEYknIXuM4End3t852M,30752
 qubx/connectors/tardis/utils.py,sha256=epThu9DwqbDb7BgScH6fHa_FVpKUaItOqp3JwtKGc5g,9092
 qubx/core/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/core/account.py,sha256=4_XskMLR9Uh-rpJBDYMrceYiGMvAZw56k1ve-unIW8w,19417
@@ -51,11 +51,11 @@ qubx/core/mixins/processing.py,sha256=dqehukrfqcLy5BeILKnkpHCvva4SbLKj1ZbQdnByu1
 qubx/core/mixins/subscription.py,sha256=V_g9wCPQ8S5SHkU-qOZ84cV5nReAUrV7DoSNAGG0LPY,10372
 qubx/core/mixins/trading.py,sha256=6XK712ZHECZnI-lleJfQ8taXfaBagPQBVqNoBxAkEyM,7204
 qubx/core/mixins/universe.py,sha256=L3s2Jw46_J1iDh4622Gk_LvCjol4W7mflBwEHrLfZEw,9899
-qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=bqJvlxi68V0rBU2fL_iZo8T36eNLO7oXfJZC2itR0QY,978280
+qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=wDjtXBOulP3qXrO3zJASMpjv_D15D3mZIRi4LiJCBtI,978280
 qubx/core/series.pxd,sha256=jBdMwgO8J4Zrue0e_xQ5RlqTXqihpzQNu6V3ckZvvpY,3978
 qubx/core/series.pyi,sha256=RaHm_oHHiWiNUMJqVfx5FXAXniGLsHxUFOUpacn7GC0,4604
 qubx/core/series.pyx,sha256=7cM3zZThW59waHiYcZmMxvYj-HYD7Ej_l7nKA4emPjE,46477
-qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=F6rvr0qj0R0CDr3ysek7KdCZz8QNL-0fbuvrkGRQUTw,86568
+qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=wqA5jyTpB6KEEcTJ8dFvGNq5hSuZVbIVQemehpCj2F4,86568
 qubx/core/utils.pyi,sha256=a-wS13V2p_dM1CnGq40JVulmiAhixTwVwt0ah5By0Hc,348
 qubx/core/utils.pyx,sha256=k5QHfEFvqhqWfCob89ANiJDKNG8gGbOh-O4CVoneZ8M,1696
 qubx/data/__init__.py,sha256=ELZykvpPGWc5rX7QoNyNQwMLgdKMG8MACOByA4pM5hA,549
@@ -116,7 +116,7 @@ qubx/restorers/signal.py,sha256=DBLqA7vDhoMTAzUC4N9UerrO0GbjeHdTeMoCz7U7iI8,6621
 qubx/restorers/state.py,sha256=duXyEHQhS1zdNdo3VKscMhieZ5sYNlfE4S_pPXQ1Tuw,4109
 qubx/restorers/utils.py,sha256=We2gfqwQKWziUYhuUnjb-xo-5tSlbuHWpPQn0CEMTn0,1155
 qubx/ta/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=lVJu6JxBLhYMT4gPXcRE17VXxBRx1FbOGz-nraw70MQ,654440
+qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=vLcvhGptN0rr6srZzIzoxwYYmzPlBYBShFmamFpMn0A,654440
 qubx/ta/indicators.pxd,sha256=Goo0_N0Xnju8XGo3Xs-3pyg2qr_0Nh5C-_26DK8U_IE,4224
 qubx/ta/indicators.pyi,sha256=19W0uERft49In5bf9jkJHkzJYEyE9gzudN7_DJ5Vdv8,1963
 qubx/ta/indicators.pyx,sha256=Xgpew46ZxSXsdfSEWYn3A0Q35MLsopB9n7iyCsXTufs,25969
@@ -153,8 +153,8 @@ qubx/utils/runner/factory.py,sha256=vQ2dBTbrQE9YH__-TvuFzGF-E1li-vt_qQum9GHa11g,
 qubx/utils/runner/runner.py,sha256=iJsxTU9ne43Seh5rMfZLrXnV-RtA4BwzZYsjHeXajLs,29067
 qubx/utils/time.py,sha256=J0ZFGjzFL5T6GA8RPAel8hKG0sg2LZXeQ5YfDCfcMHA,10055
 qubx/utils/version.py,sha256=e52fIHyxzCiIuH7svCF6pkHuDlqL64rklqz-2XjWons,5309
-qubx-0.6.25.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
-qubx-0.6.25.dist-info/METADATA,sha256=mjOUxG8gi09VJoA6au3UBwdG-yP5I1ZwxUazBZEsNLk,4444
-qubx-0.6.25.dist-info/WHEEL,sha256=XjdW4AGUgFDhpG9b3b2KPhtR_JLZvHyfemLgJJwcqOI,110
-qubx-0.6.25.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
-qubx-0.6.25.dist-info/RECORD,,
+qubx-0.6.27.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
+qubx-0.6.27.dist-info/METADATA,sha256=tFx0cP_UixMg-uUlI28BHrp4McZhRPR7t82YUQZDodo,4444
+qubx-0.6.27.dist-info/WHEEL,sha256=XjdW4AGUgFDhpG9b3b2KPhtR_JLZvHyfemLgJJwcqOI,110
+qubx-0.6.27.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
+qubx-0.6.27.dist-info/RECORD,,