Regular snapshots of the full orderbook in cryptofeed 2.0

[agijsberts]

Feeds in cryptofeed 1.9.x accepted a book_interval argument that would ensure that a full book snapshot was sent after a certain number of delta updates. These snapshots were useful in my usecase, as it allows to start replaying the order book stream from any intermediate point in time (at a granularity of book_interval of course).

Commit 592cffe removed this functionality as part of the order book reorganization. Am I correct to assume that we now need to implement this feature in our backends?

[bmoscon]

@agijsberts I added the snapshot_interval kwarg to the book backends

[agijsberts]

Thanks for your quick response, I implemented a similar strategy in my custom backend.

Just for completeness, but unless I'm mistaking your current implementation deviates slightly from the old behavior. Cryptofeed 1.9 would send the delta update followed by the snapshot of the full book (with identical timestamps), whereas the present implementation sends a full orderbook instead of a delta update. So to track the orderflow the consumer would have to recalculate the delta manually.

[bmoscon]

@agijsberts - ok I changed it so it mirrors the old behavior. Deltas then snapshot when book interval is hit

[agijsberts]

Wonderful, thank you!

[k-d-l]

Could you please give an example of using BackendBookCallback with snapshot_interval parameter

[bmoscon]

one exists: https://github.com/bmoscon/cryptofeed/blob/master/examples/demo_zmq.py#L40

That is for the ZMQ bookcallback.

There isn't one for BackendBookCallback because that is an interface. You'd never use that directly, you'd define a child class of it that defined its own write method.

[k-d-l]

How can I use it with Arctic backend?
I don't see there book callback

[bmoscon]

you can't - orderbooks arent supported on arctic

[k-d-l]

Ok, thanks