EF_exchange_rates

Home coding task for Efficient Frontier

Explanation of the solution and task description can be found in EXPLANATION.md

This app subscribes to public WebSockets of exchanges Binance and FTX in order to print orders bids and asks price/size every second. The sources of data and update interval can be configured using the command line parameters.

To execute app: python exchangerates.py

Command line possible arguments:

Argument	Description
-h --help	Display arguments description
--raw	Print raw data received from exchanges
--delay DELAY	Specify custom delay for output in seconds (default: 1.0 second)
EXCHANGE	Positional argument (can be multiple) - specify data sources. If not provided - all are used

Used libraries:

websocket-client

Simple easy-to-use low-level client for WebSocket. Other options are Flask, Django or websockets (not chosen since for Django/Flask application becomes heavy, websockets requires async programming and more complicated to maintain)

maya

Single purpose - parse datetime timestamp from trades channel to print it in required format

PrettyTable

Used for formatting output as a table

requests

For getting historical data for mid_price from REST API of exchanges

Solution concept:

The main thread of application fires up concurrent threads per each data-channel (i.e. exchange). Each thread subscribes to a dedicated channel (via WebSocket) and continuously gets data from it. Each portion of data is serialized and printed to console

Modules structure:

class Subscribe - responsible for subscription and unsubscription to a certain exchange
class Exchange - abstract class for definition of the necessary structures/methods to subscribe and print data
- class Binance - contains data to subscribe to Binance orderbook and logic to print data from it
- class FTX - contains data to subscribe to FTX orderbook and logic to print data from it
  - class FTX_trades - contains data to subscribe to FTX trades and logic to print data from it
class Serializer - responsible for serializing and printing formatted or raw data with the given delay in console
class ConnectToWS - connector for establishing WebSocket connection

Luckykarter/EF_exchange_rates