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This commit is contained in:
Dobromir Popov
2025-07-28 12:10:52 +03:00
parent 9219b78241
commit fb72c93743
8 changed files with 207 additions and 53 deletions
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18
core/multi_exchange_cob_provider.py
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@ -1062,10 +1062,11 @@ class MultiExchangeCOBProvider:
consolidated_bids[price].exchange_breakdown[exchange_name] = level
# Update dominant exchange based on volume
if level.volume_usd > consolidated_bids[price].exchange_breakdown.get(
consolidated_bids[price].dominant_exchange,
type('obj', (object,), {'volume_usd': 0})()
).volume_usd:
current_dominant = consolidated_bids[price].exchange_breakdown.get(
consolidated_bids[price].dominant_exchange
)
current_volume = current_dominant.volume_usd if current_dominant else 0
if level.volume_usd > current_volume:
consolidated_bids[price].dominant_exchange = exchange_name
# Process merged asks (similar logic)
@ -1088,10 +1089,11 @@ class MultiExchangeCOBProvider:
consolidated_asks[price].total_orders += level.orders_count
consolidated_asks[price].exchange_breakdown[exchange_name] = level
if level.volume_usd > consolidated_asks[price].exchange_breakdown.get(
consolidated_asks[price].dominant_exchange,
type('obj', (object,), {'volume_usd': 0})()
).volume_usd:
current_dominant = consolidated_asks[price].exchange_breakdown.get(
consolidated_asks[price].dominant_exchange
)
current_volume = current_dominant.volume_usd if current_dominant else 0
if level.volume_usd > current_volume:
consolidated_asks[price].dominant_exchange = exchange_name
logger.debug(f"Consolidated {len(consolidated_bids)} bids and {len(consolidated_asks)} asks for {symbol}")