Gauge activity of market takers based on snapshots of the order book.
This program works by looking for the difference between two snapshots in the order book.
Caution: Exchanges engaged in wash trading will give unreal figures.
Example format of input data (ON CSV): ORDER_BOOK.tar.xz contains a 14.5 hours log (545Mb) of two order books belonging to cryptocurrency exchanges. Values belong to the pair BRL/BTC (Brazilian Real / Bitcoin).
{'timestamp': 1592726830.0367844,
'exchange': 'EX1',
'bids': [['49779.15', '0.02'],
['49779.14', '0.00380661'],
['49759.14', '0.00380963'],
['49720.83', '0.16510258'],
['49718.25', '0.32428376'],
['49716.18', '0.22748933'],
['49714.91', '0.0019994'],
['49707.3', '0.17932908'],
['49686.75', '0.29004787'],
['49675.23', '0.26706538'],
['49671.52', '0.15056393'],
['49665.48', '0.13145351'],
['49661.09', '0.27345399'],
['49655.16', '0.20296668'],
['49652.71', '0.29826925'],
['49642.89', '0.16180376'],
['49619.15', '0.13235956'],
['49617.07', '0.30968902'],
['49614.59', '0.25003382'],
['49600', '0.00259258']],
'asks': [['49860.31', '0.23061707'],
['49921.6', '0.25193795'],
['49965.46', '0.31090523'],
['50005.14', '0.00380017'],
['50008.43', '0.24043453'],
['50032.48', '0.32876983'],
['50037.12', '0.0101191'],
['50038.36', '0.28787255'],
['50039.21', '0.3342539'],
['50049.99', '0.15989852'],
['50051.43', '0.1498161'],
['50051.98', '0.28642627'],
['50056.4', '0.14088338'],
['50072.39', '0.32642855'],
['50076.07', '0.29134438'],
['50077.25', '0.12779206'],
['50088.02', '0.17363693'],
['50088.08', '0.22554298'],
['50091.16', '0.33404024'],
['50091.75', '0.23736112']]}