WIP: Trying other variations for GDAX

Author: snth

numismatic/exchanges/gdax.py

@@ -123,13 +123,13 @@ def _handle_packet(self, packet, symbol):
                     volume = float(size) if side=='buy' else -float(size)
                     event = LimitOrder(exchange=self.exchange, symbol=symbol,
                                        timestamp=timestamp, price=float(price),
-                                       volume=volume, id=float(price))
+                                       volume=volume, id=price)
                 else:
                     # this is actually removing a level
                     # make up a fake volume to indicate bid or ask
                     volume = 1.0 if side=='buy' else -1.0
                     event = CancelOrder(exchange=self.exchange, symbol=symbol,
-                                        timestamp=timestamp, id=float(price))
+                                        timestamp=timestamp, id=price)
                 self.output_stream.emit(event)
         elif isinstance(msg, dict):
             event = msg

numismatic/orderbooks.py

@@ -12,22 +12,22 @@ class OrderBook:
     asks = attr.ib(default=attr.Factory(PriorityQueue))
 
     def update(self, order):
-        try:
-            if isinstance(order, LimitOrder):
-                side = self.bids if order.volume>0 else self.asks
-                price = -order.price if order.volume>0 else order.price
-                side.add(order.id, price)
-                self.orders[order.id] = order
-            elif isinstance(order, CancelOrder):
+        if isinstance(order, LimitOrder):
+            side = self.bids if order.volume>0 else self.asks
+            price = -order.price if order.volume>0 else order.price
+            side.add(order.id, price)
+            self.orders[order.id] = order
+        elif isinstance(order, CancelOrder):
+            try:
                 order = self.orders[order.id]
-                side = self.bids if order.volume>0 else self.asks
-                side.remove(order.id)
-                del self.orders[order.id]
-            else:
-                raise NotImplementedError(type(order))
-        except KeyError as e:
-            print(order)
-            print(e)
+            except KeyError:
+                # Cancelling an order that doesn't exist
+                return self
+            side = self.bids if order.volume>0 else self.asks
+            side.remove(order.id)
+            del self.orders[order.id]
+        else:
+            raise NotImplementedError(type(order))
         return self
 
     @property