arbitrage_tools.py 文件源码

def kraken_order_book(book_type: str, currency_code: str = 'EUR', coin_code: str = 'XBT'):
    """Kraken specific orderbook retrieval

    """
    import krakenex

    kraken_api = krakenex.API(key=KRAKEN_API_KEY, secret=KRAKEN_PRIVATE_KEY, conn=krakenex.Connection())

    pair = f'X{coin_code}Z{currency_code}'
    orders = kraken_api.query_public('Depth', {'pair': pair})

    df = pd.DataFrame(
        orders['result'][pair][book_type],
        columns=['price', 'volume', 'timestamp'])

    return df