Aggregating Orderbook levels in Python

Published: 10 November 2022
on channel: Chad Thackray

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We take an orderbook snapshot from Binance, and aggregate it to various levels of price granularity using python. We take special measure to avoid problems created by floating point numbers, and provide an alternative using only integers at the end.

⭐ Code:
https://github.com/ChadThackray/order...

Binance API docs:
https://binance-docs.github.io/apidoc...

Timestamps:
00:00 - Intro
02:06 - Pulling our market depth snapshot
06:42 - Aggregating using Floats
33:19 - Using Integers to reduce floating-point errors

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