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Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.

Home Page: https://pypi.org/project/crobat/

License: GNU Affero General Public License v3.0

Python 26.26% Makefile 0.05% Batchfile 0.06% Jupyter Notebook 73.63%
cryptocurrency limit-order-book market-microstructure market-microstructure-theory statistics quantitative-finance

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crobat's Issues

Web Socket Issue

While trying to establish a websocket connection, i get the below errors:

Exception in callback WebSocketAdapterProtocol.connection_lost(None)
handle: <Handle WebSocketAdapterProtocol.connection_lost(None)>
Traceback (most recent call last):
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\xlsxwriter\workbook.py", line 324, in close
self._store_workbook()
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\xlsxwriter\workbook.py", line 659, in _store_workbook
raise e
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\xlsxwriter\workbook.py", line 657, in _store_workbook
allowZip64=self.allow_zip64)
File "c:\users\user\appdata\local\programs\python\python36\lib\zipfile.py", line 1113, in init
self.fp = io.open(file, filemode)
OSError: [Errno 22] Invalid argument: 'L2_orderbook_volm_bid2022-07-12 04:09:33.215766.xlsx'

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
File "c:\users\user\appdata\local\programs\python\python36\lib\asyncio\events.py", line 145, in _run
self._callback(*self._args)
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\autobahn\asyncio\websocket.py", line 85, in connection_lost
self._connectionLost(exc)
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\autobahn\websocket\protocol.py", line 3414, in _connectionLost
WebSocketProtocol._connectionLost(self, reason)
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\autobahn\websocket\protocol.py", line 1129, in _connectionLost
self._onClose(self.wasClean, self.remoteCloseCode, self.remoteCloseReason)
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\autobahn\asyncio\websocket.py", line 166, in _onClose
res = self.onClose(wasClean, code, reason)
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\copra\websocket\client.py", line 53, in onClose
self.factory.on_close(wasClean, code, reason)
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\crobat\crobat\recorder.py", line 219, in on_close
filetype=self.recording_settings.filetype)
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\crobat\crobat\filesave.py", line 319, in filesaver
pd_excel_save(list_to_convert[i][m][1], list_to_convert[i][m][0]) # o for data, 1 for title
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\crobat\crobat\filesave.py", line 228, in pd_excel_save
writer.save()
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\pandas\io\excel_xlsxwriter.py", line 193, in save
return self.book.close()
File "c:\users\user\appdata\local\programs\python\python36\lib\site-packages\xlsxwriter\workbook.py", line 326, in close
raise FileCreateError(e)
xlsxwriter.exceptions.FileCreateError: [Errno 22] Invalid argument: 'L2_orderbook_volm_bid2022-07-12 04:09:33.215766.xlsx'

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