Qubx 0.6.25__tar.gz → 0.6.27__tar.gz

{qubx-0.6.25 → qubx-0.6.27}/PKG-INFO

@@ -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 → qubx-0.6.27}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "poetry.core.masonry.api"
 
 [tool.poetry]
 name = "Qubx"
-version = "0.6.25"
+version = "0.6.27"
 description = "Qubx - Quantitative Trading Framework"
 authors = [ "Dmitry Marienko <dmitry.marienko@xlydian.com>", "Yuriy Arabskyy <yuriy.arabskyy@xlydian.com>",]
 readme = "README.md"

{qubx-0.6.25 → qubx-0.6.27}/src/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-0.6.25 → qubx-0.6.27}/src/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-0.6.25 → qubx-0.6.27}/src/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: