{"repo":"orderbooktools/crobat","free":true,"listed":false,"github":"https://github.com/orderbooktools/crobat","clone":"git clone https://github.com/orderbooktools/crobat.git","description":"Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.","language":"Jupyter Notebook","stars":55,"topics":["cryptocurrency","limit-order-book","market-microstructure","market-microstructure-theory","statistics","quantitative-finance"],"license":"AGPL-3.0","category":"trading","readme_excerpt":"[![Contributors][contributors-shield]][contributors-url] [![Forks][forks-shield]][forks-url] [![Stargazers][stars-shield]][stars-url] [![Issues][issues-shield]][issues-url] [![GNU GPLv3][license-shield]][license-url] crobat Cryptocurrency Order Book Analysis Tool Explore the docs » · Report Bug · Request Feature Table of Contents - About - Getting Started - Usage - Output Format - Roadmap - Contributing - License - Contact - References About crobat is a Python library for recording live Level 2 order book data from the Coinbase Advanced Trade WebSocket feed. It captures limit order insertions (LO), cancellations (CO), and market orders (MO) in real time and saves them as structured time series files. The project grew out of research on CUSUM statistics applied to Bitcoin transactions, and the output formats are designed to be compatible with conventions from the market microstructure literature (see References). Getting Started Prerequisites - Python 3.10+ - A Coinbase Advanced Trade account with API credentials ( cdp api key.json ) Installation Place your cdp api key.json in the project root. Configure defaults in config.ini : Note: On busy pairs like BTC-USD, consider recording outside NYSE and LSE trading hours to reduce message volume. XRP-USD is a good starting point. Usage CLI Python API Output Format Each session produces up to 9 files in the output directory (default: runs/ ), named with a UTC timestamp suffix. File Side Description ------ ------ ------------- L2 orde","default_branch":null,"files":null,"tree":[],"storefront":"/r/orderbooktools","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/orderbooktools/crobat/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}