Implement generic solution for l2 limited limit

This commit is contained in:
Matthias
2020-10-13 20:02:47 +02:00
parent 886abe36c9
commit 077374ac42
3 changed files with 47 additions and 14 deletions

View File

@@ -20,20 +20,9 @@ class Binance(Exchange):
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
}
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""
get order book level 2 from exchange
20180619: binance support limits but only on specific range
"""
limit_range = [5, 10, 20, 50, 100, 500, 1000]
# get next-higher step in the limit_range list
limit = min(list(filter(lambda x: limit <= x, limit_range)))
return super().fetch_l2_order_book(pair, limit)
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)