Order Book Snapshot Aggregator This project connects to real-time WebSocket feeds from multiple cryptocurrency exchanges — Binance, Coinbase, Kraken, and Bitfinex — and aggregates the live BTC order book into fixed price bins. The system weights each exchange’s liquidity and outputs a consolidated snapshot in CSV format, updating every 30 seconds.

Additionally, the repository includes a GitHub Actions workflow (snapshot-once) that allows automated snapshots on a schedule (e.g., every 5 minutes) and commits the output to the repo.

What This Does Streams live order book data from:

Binance (btcusdt)

Coinbase (BTC-USD)

Kraken (XBT/USD)

Bitfinex (tBTCUSD)

Aggregates bids and asks into price buckets of configurable size (default: $10).

Applies weightings per exchange (to reflect estimated liquidity share).

Outputs a CSV file (agg_snapshot.csv) with total buy and sell quantities per bucket.

GitHub Actions workflow runs the script and commits fresh CSV snapshots on a schedule.

Output Format (agg_snapshot.csv) The snapshot file contains three columns:

python-repl Copy Edit price,buy_qty,sell_qty 61000,4.32,5.21 61010,2.87,3.11 … Each row shows the total weighted quantity of buy and sell orders for that price level (rounded to nearest bucket size).

How to Run Locally Install dependencies:

bash Copy Edit pip install websockets Run the script:

bash Copy Edit python snapshot_once.py This will begin streaming and aggregating order book data in real time. A new CSV file will be written every 30 seconds.

GitHub Actions: Scheduled Snapshots The workflow file snapshot-once.yml enables automatic snapshot generation and commit via GitHub Actions.

Schedule Runs every 5 minutes (*/5 * * * *)

You can also trigger it manually via the “Run workflow” button on GitHub.

What It Does Checks out the repo

Runs snapshot_once.py

If the agg_snapshot.csv file has changed, commits the updated snapshot back to the main branch

Customization Options You can modify the following parameters inside the script:

python Copy Edit PAIRS = { “binance”: “btcusdt”, “coinbase”: “BTC-USD”, “kraken”: “XBT/USD”, “bitfinex”: “tBTCUSD” }

BIN_SIZE = 10 # price bucket size in USD DUMP_SEC = 30 # interval to write CSV file OUTFILE = “agg_snapshot.csv” Adjust BIN_SIZE or DUMP_SEC based on how granular or frequent you want the snapshots to be.

Notes The script uses asynchronous WebSocket connections and a queue to collect and aggregate order book messages.

Each exchange has its own message format and subscription mechanism, which is handled in a separate helper function.

WebSocket ping intervals are set to prevent disconnections.