import asyncio import logging import time from collections import deque from datetime import datetime, timedelta import matplotlib.pyplot as plt import numpy as np import pandas as pd from matplotlib.colors import LogNorm from core.data_provider import DataProvider, MarketTick from core.config import get_config # Configure logging logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s') logger = logging.getLogger(__name__) class COBStabilityTester: def __init__(self, symbol='ETHUSDT', duration_seconds=10): self.symbol = symbol self.duration = timedelta(seconds=duration_seconds) self.ticks = deque() # Set granularity (buckets) based on symbol if 'ETH' in symbol.upper(): self.price_granularity = 1.0 # 1 USD for ETH elif 'BTC' in symbol.upper(): self.price_granularity = 10.0 # 10 USD for BTC else: self.price_granularity = 1.0 # Default 1 USD logger.info(f"Using price granularity: ${self.price_granularity} for {symbol}") # Initialize DataProvider the same way as clean_dashboard logger.info("Initializing DataProvider like in clean_dashboard...") self.data_provider = DataProvider() # Use default constructor like clean_dashboard # Initialize COB data collection like clean_dashboard does self.cob_data_received = 0 self.latest_cob_data = {} # Store all COB snapshots for heatmap generation self.cob_snapshots = deque() self.price_data = [] # For price line chart self.start_time = None self.subscriber_id = None self.last_log_time = None def _tick_callback(self, tick: MarketTick): """Callback function to receive ticks from the DataProvider.""" if self.start_time is None: self.start_time = datetime.now() logger.info(f"Started collecting ticks at {self.start_time}") # Store all ticks self.ticks.append(tick) def _cob_data_callback(self, symbol: str, cob_data: dict): """Callback function to receive COB data from the DataProvider.""" # Debug: Log first few callbacks to see what symbols we're getting if self.cob_data_received < 5: logger.info(f"DEBUG: Received COB data for symbol '{symbol}' (target: '{self.symbol}')") # Filter to only our requested symbol - handle both formats (ETH/USDT and ETHUSDT) normalized_symbol = symbol.replace('/', '') normalized_target = self.symbol.replace('/', '') if normalized_symbol != normalized_target: if self.cob_data_received < 5: logger.info(f"DEBUG: Skipping symbol '{symbol}' (normalized: '{normalized_symbol}' vs target: '{normalized_target}')") return self.cob_data_received += 1 self.latest_cob_data[symbol] = cob_data # Store the complete COB snapshot for heatmap generation if 'bids' in cob_data and 'asks' in cob_data: # Debug: Log structure of first few COB snapshots if len(self.cob_snapshots) < 3: logger.info(f"DEBUG: COB data structure - bids: {len(cob_data['bids'])} items, asks: {len(cob_data['asks'])} items") if cob_data['bids']: logger.info(f"DEBUG: First bid: {cob_data['bids'][0]}") if cob_data['asks']: logger.info(f"DEBUG: First ask: {cob_data['asks'][0]}") # Use current time for timestamp consistency current_time = datetime.now() snapshot = { 'timestamp': current_time, 'bids': cob_data['bids'], 'asks': cob_data['asks'], 'stats': cob_data.get('stats', {}) } self.cob_snapshots.append(snapshot) # Log bucketed COB data every second now = datetime.now() if self.last_log_time is None or (now - self.last_log_time).total_seconds() >= 1.0: self.last_log_time = now self._log_bucketed_cob_data(cob_data) # Convert COB data to tick-like format for analysis if 'stats' in cob_data and 'mid_price' in cob_data['stats']: mid_price = cob_data['stats']['mid_price'] if mid_price > 0: # Filter out extreme price movements (±10% of recent average) if len(self.price_data) > 5: recent_prices = [p['price'] for p in self.price_data[-5:]] avg_recent_price = sum(recent_prices) / len(recent_prices) price_deviation = abs(mid_price - avg_recent_price) / avg_recent_price if price_deviation > 0.10: # More than 10% deviation logger.warning(f"Filtering out extreme price: ${mid_price:.2f} (deviation: {price_deviation:.1%} from avg ${avg_recent_price:.2f})") return # Skip this data point # Store price data for line chart with consistent timestamp current_time = datetime.now() self.price_data.append({ 'timestamp': current_time, 'price': mid_price }) # Create a synthetic tick from COB data with consistent timestamp current_time = datetime.now() synthetic_tick = MarketTick( symbol=symbol, timestamp=current_time, price=mid_price, volume=cob_data.get('stats', {}).get('total_volume', 0), quantity=0, # Not available in COB data side='unknown', # COB data doesn't have side info trade_id=f"cob_{self.cob_data_received}", is_buyer_maker=False, raw_data=cob_data ) self.ticks.append(synthetic_tick) if self.cob_data_received % 10 == 0: # Log every 10th update logger.info(f"COB update #{self.cob_data_received}: {symbol} @ ${mid_price:.2f}") def _log_bucketed_cob_data(self, cob_data: dict): """Log bucketed COB data every second""" try: if 'bids' not in cob_data or 'asks' not in cob_data: logger.info("COB-1s: No order book data available") return if 'stats' not in cob_data or 'mid_price' not in cob_data['stats']: logger.info("COB-1s: No mid price available") return mid_price = cob_data['stats']['mid_price'] if mid_price <= 0: return # Bucket the order book data bid_buckets = {} ask_buckets = {} # Process bids (top 10) for bid in cob_data['bids'][:10]: try: if isinstance(bid, dict): price = float(bid['price']) size = float(bid['size']) elif isinstance(bid, (list, tuple)) and len(bid) >= 2: price = float(bid[0]) size = float(bid[1]) else: continue bucketed_price = round(price / self.price_granularity) * self.price_granularity bid_buckets[bucketed_price] = bid_buckets.get(bucketed_price, 0) + size except (ValueError, TypeError, IndexError): continue # Process asks (top 10) for ask in cob_data['asks'][:10]: try: if isinstance(ask, dict): price = float(ask['price']) size = float(ask['size']) elif isinstance(ask, (list, tuple)) and len(ask) >= 2: price = float(ask[0]) size = float(ask[1]) else: continue bucketed_price = round(price / self.price_granularity) * self.price_granularity ask_buckets[bucketed_price] = ask_buckets.get(bucketed_price, 0) + size except (ValueError, TypeError, IndexError): continue # Format for log output bid_str = ", ".join([f"${p:.0f}:{s:.3f}" for p, s in sorted(bid_buckets.items(), reverse=True)]) ask_str = ", ".join([f"${p:.0f}:{s:.3f}" for p, s in sorted(ask_buckets.items())]) logger.info(f"COB-1s @ ${mid_price:.2f} | BIDS: {bid_str} | ASKS: {ask_str}") except Exception as e: logger.warning(f"Error logging bucketed COB data: {e}") async def run_test(self): """Run the data collection and plotting test.""" logger.info(f"Starting COB stability test for {self.symbol} for {self.duration.total_seconds()} seconds...") # Initialize COB collection like clean_dashboard does try: logger.info("Starting COB collection in data provider...") self.data_provider.start_cob_collection() logger.info("Started COB collection in data provider") # Subscribe to COB updates logger.info("Subscribing to COB data updates...") self.data_provider.subscribe_to_cob(self._cob_data_callback) logger.info("Subscribed to COB data updates from data provider") except Exception as e: logger.error(f"Failed to start COB collection or subscribe: {e}") # Subscribe to ticks as fallback try: self.subscriber_id = self.data_provider.subscribe_to_ticks(self._tick_callback, symbols=[self.symbol]) logger.info("Subscribed to tick data as fallback") except Exception as e: logger.warning(f"Failed to subscribe to ticks: {e}") # Start the data provider's real-time streaming try: await self.data_provider.start_real_time_streaming() logger.info("Started real-time streaming") except Exception as e: logger.error(f"Failed to start real-time streaming: {e}") # Collect data for the specified duration self.start_time = datetime.now() while datetime.now() - self.start_time < self.duration: await asyncio.sleep(1) logger.info(f"Collected {len(self.ticks)} ticks so far...") # Stop streaming and unsubscribe await self.data_provider.stop_real_time_streaming() self.data_provider.unsubscribe_from_ticks(self.subscriber_id) logger.info(f"Finished collecting data. Total ticks: {len(self.ticks)}") # Plot the results if self.price_data and self.cob_snapshots: self.create_price_heatmap_chart() elif self.ticks: self._create_simple_price_chart() else: logger.warning("No data was collected. Cannot generate plot.") def create_price_heatmap_chart(self): """Create a visualization with price chart and order book scatter plot.""" if not self.price_data or not self.cob_snapshots: logger.warning("Insufficient data to plot.") return logger.info(f"Creating price and order book chart...") logger.info(f"Data summary: {len(self.price_data)} price points, {len(self.cob_snapshots)} COB snapshots") # Prepare price data price_df = pd.DataFrame(self.price_data) price_df['timestamp'] = pd.to_datetime(price_df['timestamp']) logger.info(f"Price data time range: {price_df['timestamp'].min()} to {price_df['timestamp'].max()}") logger.info(f"Price range: ${price_df['price'].min():.2f} to ${price_df['price'].max():.2f}") # Create figure with subplots fig, (ax1, ax2) = plt.subplots(2, 1, figsize=(16, 12), height_ratios=[3, 2]) # Top plot: Price chart with order book levels ax1.plot(price_df['timestamp'], price_df['price'], 'yellow', linewidth=2, label='Mid Price', zorder=10) # Plot order book levels as scatter points bid_times, bid_prices, bid_sizes = [], [], [] ask_times, ask_prices, ask_sizes = [], [], [] # Calculate average price for filtering avg_price = price_df['price'].mean() if not price_df.empty else 3500 # Fallback price price_lower = avg_price * 0.9 # -10% price_upper = avg_price * 1.1 # +10% logger.info(f"Filtering order book data to price range: ${price_lower:.2f} - ${price_upper:.2f} (±10% of ${avg_price:.2f})") for snapshot in list(self.cob_snapshots)[-50:]: # Use last 50 snapshots for clarity timestamp = pd.to_datetime(snapshot['timestamp']) # Process bids (top 10) for order in snapshot.get('bids', [])[:10]: try: if isinstance(order, dict): price = float(order['price']) size = float(order['size']) elif isinstance(order, (list, tuple)) and len(order) >= 2: price = float(order[0]) size = float(order[1]) else: continue # Filter out prices outside ±10% range if price < price_lower or price > price_upper: continue bid_times.append(timestamp) bid_prices.append(price) bid_sizes.append(size) except (ValueError, TypeError, IndexError): continue # Process asks (top 10) for order in snapshot.get('asks', [])[:10]: try: if isinstance(order, dict): price = float(order['price']) size = float(order['size']) elif isinstance(order, (list, tuple)) and len(order) >= 2: price = float(order[0]) size = float(order[1]) else: continue # Filter out prices outside ±10% range if price < price_lower or price > price_upper: continue ask_times.append(timestamp) ask_prices.append(price) ask_sizes.append(size) except (ValueError, TypeError, IndexError): continue # Plot order book data as scatter with size indicating volume if bid_times: bid_sizes_normalized = np.array(bid_sizes) * 3 # Scale for visibility ax1.scatter(bid_times, bid_prices, s=bid_sizes_normalized, c='green', alpha=0.3, label='Bids') logger.info(f"Plotted {len(bid_times)} bid levels") if ask_times: ask_sizes_normalized = np.array(ask_sizes) * 3 # Scale for visibility ax1.scatter(ask_times, ask_prices, s=ask_sizes_normalized, c='red', alpha=0.3, label='Asks') logger.info(f"Plotted {len(ask_times)} ask levels") ax1.set_title(f'Real-time Price and Order Book - {self.symbol}\nGranularity: ${self.price_granularity} | Duration: {self.duration.total_seconds()}s') ax1.set_ylabel('Price (USDT)') ax1.legend() ax1.grid(True, alpha=0.3) # Set proper time range (X-axis) - use actual data collection period time_min = price_df['timestamp'].min() time_max = price_df['timestamp'].max() actual_duration = (time_max - time_min).total_seconds() logger.info(f"Actual data collection duration: {actual_duration:.1f} seconds") ax1.set_xlim(time_min, time_max) # Set tight price range (Y-axis) - use ±2% of price range for better visibility price_min = price_df['price'].min() price_max = price_df['price'].max() price_center = (price_min + price_max) / 2 price_range = price_max - price_min # If price range is very small, use a minimum range of $5 if price_range < 5: price_range = 5 # Add 20% padding to the price range for better visualization y_padding = price_range * 0.2 y_min = price_min - y_padding y_max = price_max + y_padding ax1.set_ylim(y_min, y_max) logger.info(f"Chart Y-axis range: ${y_min:.2f} - ${y_max:.2f} (center: ${price_center:.2f}, range: ${price_range:.2f})") # Bottom plot: Order book depth over time (aggregated) time_buckets = [] bid_depths = [] ask_depths = [] # Create time buckets (every few snapshots) snapshots_list = list(self.cob_snapshots) bucket_size = max(1, len(snapshots_list) // 20) # ~20 buckets for i in range(0, len(snapshots_list), bucket_size): bucket_snapshots = snapshots_list[i:i+bucket_size] if not bucket_snapshots: continue # Use middle timestamp of bucket mid_snapshot = bucket_snapshots[len(bucket_snapshots)//2] time_buckets.append(pd.to_datetime(mid_snapshot['timestamp'])) # Calculate average depths total_bid_depth = 0 total_ask_depth = 0 snapshot_count = 0 for snapshot in bucket_snapshots: bid_depth = sum([float(order[1]) if isinstance(order, (list, tuple)) else float(order.get('size', 0)) for order in snapshot.get('bids', [])[:10]]) ask_depth = sum([float(order[1]) if isinstance(order, (list, tuple)) else float(order.get('size', 0)) for order in snapshot.get('asks', [])[:10]]) total_bid_depth += bid_depth total_ask_depth += ask_depth snapshot_count += 1 if snapshot_count > 0: bid_depths.append(total_bid_depth / snapshot_count) ask_depths.append(total_ask_depth / snapshot_count) else: bid_depths.append(0) ask_depths.append(0) if time_buckets: ax2.plot(time_buckets, bid_depths, 'green', linewidth=2, label='Bid Depth', alpha=0.7) ax2.plot(time_buckets, ask_depths, 'red', linewidth=2, label='Ask Depth', alpha=0.7) ax2.fill_between(time_buckets, bid_depths, alpha=0.3, color='green') ax2.fill_between(time_buckets, ask_depths, alpha=0.3, color='red') ax2.set_title('Order Book Depth Over Time') ax2.set_xlabel('Time') ax2.set_ylabel('Depth (Volume)') ax2.legend() ax2.grid(True, alpha=0.3) # Set same time range for bottom chart ax2.set_xlim(time_min, time_max) # Format time axes fig.autofmt_xdate() plt.tight_layout() plot_filename = f"price_heatmap_chart_{self.symbol.replace('/', '_')}_{datetime.now():%Y%m%d_%H%M%S}.png" plt.savefig(plot_filename, dpi=150, bbox_inches='tight') logger.info(f"Price and order book chart saved to {plot_filename}") plt.show() def _create_simple_price_chart(self): """Create a simple price chart as fallback""" logger.info("Creating simple price chart as fallback...") prices = [] times = [] for tick in self.ticks: if tick.price > 0: prices.append(tick.price) times.append(tick.timestamp) if not prices: logger.warning("No price data to plot") return fig, ax = plt.subplots(figsize=(15, 8)) ax.plot(pd.to_datetime(times), prices, 'cyan', linewidth=1) ax.set_title(f'Price Chart - {self.symbol}') ax.set_xlabel('Time') ax.set_ylabel('Price (USDT)') fig.autofmt_xdate() plot_filename = f"cob_price_chart_{self.symbol.replace('/', '_')}_{datetime.now():%Y%m%d_%H%M%S}.png" plt.savefig(plot_filename) logger.info(f"Price chart saved to {plot_filename}") plt.show() async def main(symbol='ETHUSDT', duration_seconds=10): """Main function to run the COB test with configurable parameters. Args: symbol: Trading symbol (default: ETHUSDT) duration_seconds: Test duration in seconds (default: 10) """ logger.info(f"Starting COB test with symbol={symbol}, duration={duration_seconds}s") tester = COBStabilityTester(symbol=symbol, duration_seconds=duration_seconds) await tester.run_test() if __name__ == "__main__": import sys # Parse command line arguments symbol = 'ETHUSDT' # Default duration = 10 # Default if len(sys.argv) > 1: symbol = sys.argv[1] if len(sys.argv) > 2: try: duration = int(sys.argv[2]) except ValueError: logger.warning(f"Invalid duration '{sys.argv[2]}', using default 10 seconds") logger.info(f"Configuration: Symbol={symbol}, Duration={duration}s") logger.info(f"Granularity: {'1 USD for ETH' if 'ETH' in symbol.upper() else '10 USD for BTC' if 'BTC' in symbol.upper() else '1 USD default'}") try: asyncio.run(main(symbol, duration)) except KeyboardInterrupt: logger.info("Test interrupted by user.")