[#4] Added Poloniex order book query.

libcryptomarket/api/poloniex_api.py

@@ -14,8 +14,9 @@ def get_return_chart_data(currency_pair, period, start, end=None):
     :param end: End time in unix timestamp. Optional.
     """
 
-    assert period in VALID_PERIODS, (
+    if period not in VALID_PERIODS:
-        "Period is not in the valid periods (%s)" % VALID_PERIODS)
+        raise ValueError(
+            "Period is not in the valid periods (%s)" % VALID_PERIODS)
 
     url = (API_URL + "returnChartData" +
            "&currencyPair={0}".format(currency_pair) +
@@ -32,3 +33,28 @@ def get_return_chart_data(currency_pair, period, start, end=None):
         raise ValueError("Query error from Poloniex API ({0})".format(rjson))
 
     return r.json()
+
+
+def get_return_order_book(currency_pair, depth=10):
+    """Return returnOrderBook.
+
+    :param currency_pair: Currency pair. Specify "all" if requesting for all
+                          symbols.
+    :param depth: Number of depth. Default is 10.
+    """
+    if currency_pair is None:
+        raise ValueError("Currency pair cannot be None.")
+
+    params = {}
+    params["currencyPair"] = currency_pair
+    params["depth"] = depth
+
+    url = API_URL + "returnOrderBook"
+
+    r = requests.get(url, params=params)
+    r.raise_for_status()
+    rjson = r.json()
+    if isinstance(rjson, dict) and 'error' in rjson.keys():
+        raise ValueError("Query error from Poloniex API ({0})".format(rjson))
+
+    return r.json()

libcryptomarket/price.py

@@ -0,0 +1,43 @@
+import pandas as pd
+
+
+def get_order_book(source, symbol, depth=5):
+    """Return the order book.
+
+    :param source: Data source name.
+    :param symbol: Symbol.
+    :param depth: Depth of the order book.
+    """
+    source = source.lower()
+
+    if source == 'poloniex':
+        from libcryptomarket.api.poloniex_api import get_return_order_book
+
+        # Get the raw data
+        symbol = symbol.replace("/", "_")
+        data = get_return_order_book(currency_pair=symbol, depth=depth)
+
+        # Align the format as symbol="all"
+        if symbol == "all":
+            # Convert it into a multiindex dataframe with symbol at the first
+            # level of the columns
+            data = [[pd.DataFrame(
+                data[symbol][side],
+                columns=pd.MultiIndex.from_product(
+                    [[symbol], [side], ['price', 'quantity']]),
+                index=range(1, depth + 1)) for side in ['bids', 'asks']]
+                for symbol, prices in data.items()]
+            data = pd.concat(sum(data, []), axis=1)
+        else:
+            # Convert it into a dataframe where bid and ask at the columns
+            data = [pd.DataFrame(
+                data[side],
+                columns=pd.MultiIndex.from_product(
+                    [[side], ['price', 'quantity']]),
+                index=range(1, depth + 1)) for side in ['bids', 'asks']]
+            data = pd.concat(data, axis=1)
+
+        return data.astype('float64')
+    else:
+        raise ValueError("Source ({0}) is not yet implemented.".format(
+                         source))

tests/test_poloniex_api.py

@@ -6,6 +6,7 @@ from pandas.util.testing import assert_frame_equal
 import pytest
 
 from libcryptomarket.historical import get_historical_prices
+from libcryptomarket.price import get_order_book
 
 
 def test_get_historical_prices_poloniex(monkeypatch):
@@ -24,7 +25,7 @@ def test_get_historical_prices_poloniex(monkeypatch):
                         "close": 0.00435873,
                         "volume": 44.34555992,
                         "quoteVolume": 10311.88079097,
-                        "weightedAverage":0.00430043
+                        "weightedAverage": 0.00430043
                     },
                     {
                         "date": 1405713600,
@@ -52,27 +53,27 @@ def test_get_historical_prices_poloniex(monkeypatch):
                                    from_time=datetime(2014, 7, 18, 16, 0, 0))
 
     expected_result = pd.DataFrame([
-            {
+        {
-                "r_date": datetime(2014, 7, 18, 16, 0, 0),
+            "r_date": datetime(2014, 7, 18, 16, 0, 0),
-                "r_high": 0.0045388,
+            "r_high": 0.0045388,
-                "r_low": 0.00403001,
+            "r_low": 0.00403001,
-                "r_open": 0.00404545,
+            "r_open": 0.00404545,
-                "r_close": 0.00435873,
+            "r_close": 0.00435873,
-                "r_volume": 44.34555992,
+            "r_volume": 44.34555992,
-                "r_quotevolume": 10311.88079097,
+            "r_quotevolume": 10311.88079097,
-                "r_weightedaverage":0.00430043
+            "r_weightedaverage": 0.00430043
-            },
+        },
-            {
+        {
-                "r_date": datetime(2014, 7, 18, 20, 0, 0),
+            "r_date": datetime(2014, 7, 18, 20, 0, 0),
-                "r_high": 0.00435,
+            "r_high": 0.00435,
-                "r_low": 0.00412,
+            "r_low": 0.00412,
-                "r_open": 0.00428012,
+            "r_open": 0.00428012,
-                "r_close": 0.00412,
+            "r_close": 0.00412,
-                "r_volume": 19.12271662,
+            "r_volume": 19.12271662,
-                "r_quotevolume": 4531.85801066,
+            "r_quotevolume": 4531.85801066,
-                "r_weightedaverage": 0.00421961
+            "r_weightedaverage": 0.00421961
-            }
+        }
-        ]).set_index(['r_date'])
+    ]).set_index(['r_date'])
     expected_result.index.name = 'datetime'
 
     assert_frame_equal(result, expected_result)
@@ -80,12 +81,12 @@ def test_get_historical_prices_poloniex(monkeypatch):
 
 def test_get_historical_prices_poloniex_invalid_period(monkeypatch):
     with pytest.raises(ValueError):
-        result = get_historical_prices(
+        get_historical_prices(
             source='Poloniex',
             period='29m',
             symbol='BTC/XMR',
             from_time=datetime(2014, 7, 18, 16, 0, 0))
-            
+
 
 def test_get_historical_prices_poloniex_invalid_instrument(monkeypatch):
     def mockreturn(url, *args, **kwargs):
@@ -94,7 +95,7 @@ def test_get_historical_prices_poloniex_invalid_instrument(monkeypatch):
             @classmethod
             def json(cls):
                 # Query all symbols
-                return {"error":"Invalid currency pair."}
+                return {"error": "Invalid currency pair."}
 
             @classmethod
             def raise_for_status(cls):
@@ -106,9 +107,90 @@ def test_get_historical_prices_poloniex_invalid_instrument(monkeypatch):
 
     # Test to get historical prices
     with pytest.raises(ValueError):
-        result = get_historical_prices(
+        get_historical_prices(
             source='Poloniex',
             period='4h',
             symbol='BTC/XXX',
             from_time=datetime(2014, 7, 18, 16, 0, 0))
-    
+
+
+def test_get_order_book_poloniex_all_symbols(monkeypatch):
+    def mockreturn(url, *args, **kwargs):
+        # The result is from request.get(...).json()
+        class MockReturnClass:
+            @classmethod
+            def json(cls):
+                # Query all symbols
+                import json
+                return json.loads(
+                    """
+{"BTC_AMP": {"asks": [["0.00002755", 16.03393139],
+   ["0.00002756", 20.24556409]],
+  "bids": [["0.00002739", 20.23199043], ["0.00002723", 20.30358806]],
+  "isFrozen": "0",
+  "seq": 44422443},
+ "BTC_ARDR": {"asks": [["0.00003331", 62.49465571], ["0.00003332", 6567.629]],
+  "bids": [["0.00003285", 25], ["0.00003277", 44.83974499]],
+  "isFrozen": "0",
+  "seq": 27008837}}
+"""
+                )
+
+            @classmethod
+            def raise_for_status(cls):
+                pass
+
+        return MockReturnClass()
+
+    monkeypatch.setattr(requests, 'get', mockreturn)
+
+    expected_df = pd.DataFrame([
+        [0.00002739, 20.231990, 0.00002755, 16.033931,
+            0.00003285, 25.000000, 0.00003331, 62.494656],
+        [0.00002723, 20.303588, 0.00002756, 20.245564,
+            0.00003277, 44.839745, 0.00003332, 6567.629000]],
+        columns=pd.MultiIndex.from_product(
+            [['BTC_AMP', 'BTC_ARDR'],
+             ['bids', 'asks'],
+             ['price', 'quantity']]),
+        index=[1, 2])
+
+    df = get_order_book(source="Poloniex", symbol="all", depth=2)
+    assert_frame_equal(expected_df.sort_index(axis=1),
+                       df.sort_index(axis=1))
+
+
+def test_get_order_book_poloniex_one_symbol(monkeypatch):
+    def mockreturn(url, *args, **kwargs):
+        # The result is from request.get(...).json()
+        class MockReturnClass:
+            @classmethod
+            def json(cls):
+                # Query all symbols
+                import json
+                return json.loads(
+                    """
+{"asks": [["0.00002755", 16.03393139],
+   ["0.00002756", 20.24556409]],
+  "bids": [["0.00002739", 20.23199043], ["0.00002723", 20.30358806]]}
+"""
+                )
+
+            @classmethod
+            def raise_for_status(cls):
+                pass
+
+        return MockReturnClass()
+
+    monkeypatch.setattr(requests, 'get', mockreturn)
+
+    expected_df = pd.DataFrame([
+        [0.00002739, 20.231990, 0.00002755, 16.033931],
+        [0.00002723, 20.303588, 0.00002756, 20.245564]],
+        columns=pd.MultiIndex.from_product([['bids', 'asks'],
+                                            ['price', 'quantity']]),
+        index=[1, 2])
+
+    df = get_order_book(source="Poloniex", symbol="BTC_AMP", depth=2)
+    assert_frame_equal(expected_df,
+                       df)