Possible to stream the entire orderbook?

[jclangner]

I have used the order book websocket on FTX before and it is possible to get the top 100 levels of the orderbook. Is this possible yet through Nautilus ?

[limx0]

Hey @jclangner, yes Nautilus will handle any arbitrary depth of order book.

[jclangner]

ah thanks man, was missing the depth param on subscribe_order_book_deltas

[limx0]

Although just looking at the FTX adapter, we don't appear to be passing through the depth param in the FTX adapter.

The FTX adapter receives the subscribe request here and then sends off a subscribe to FTX via websocket here but we don't use the depth. It might be okay though because quickly looking at the FTX docs, it seems like the default is to subscribe to all levels?

Give it a try and let us know if you're not getting the full depth and we can investigate further.

[jclangner]

Seems like the right way to do this is to just subscribe to order book deltas which initially gives you the full orderbook and then just apply the deltas onto that orderbook to get continuous full order book updates. Im still having troubles when using subscribe_order_book_snapshots (for example if i only need an orderbook snapshot every 1 second). Using BookType.L2_MBP, i can't seem to get more than three order book levels when getting snapshots.

[limx0]

Copy @jclangner - this should work, but let us do some testing and come back to you. Thanks for the extra detail.

[cjdsellers]

Hi @jclangner

Thanks for your interest in the project!
After a little investigation we figured out that we only print the top 3 levels by default with a repr, or by calling pprint() on the book.

    def __repr__(self) -> str:
        return (
            f"{type(self).__name__}\n"
            f"instrument: {self.instrument_id}\n"
            f"timestamp: {pd.Timestamp(self.ts_last)}\n\n"
            f"{self.pprint()}"
        )

cpdef str pprint(self, int num_levels=3, show="size")

A quick test with the following in the logs for on_order_book:

self.log.info("asks = " + str(len(order_book.asks.levels)), LogColor.CYAN)
self.log.info("bids = " + str(len(order_book.bids.levels)), LogColor.CYAN)

Shows this:

2022-06-04 06:11:13.999888659 UTC [INF] TESTER-001.VolatilityMarketMaker-000: asks = 100
2022-06-04 06:11:13.999892047 UTC [INF] TESTER-001.VolatilityMarketMaker-000: bids = 100

It looks like FTX have no depth param for their subscribe message, so we're getting the default 100 per side.

Hope this helps!