How can I use 'fetch_order_book' and pass optional params?

Thanks so much for publishing your library! I’ve learned a lot by studying your code.

I’m able to retrieve order book data from CEX with a code like so:

import ccxt
ex = CexExchange()
results = ex.fetch_order_book(symbol='BTC/USD')

The results contain all of the order book ask and bid offers, works great. But, I only want to fetch the first 10 asks and bids (i.e. depth = 10). According to CEX’s api docs, a url like the following does the trick:

https://cex.io/api/order_book/BTC/USD/?depth=10

Which raises the question, “How do I do this using the CCXT library?” Having RTFM 😊, it is my understanding the params argument can be used “to pass a custom setting or an optional parameter to your unified query.” (ref: https://github.com/ccxt-dev/ccxt/wiki/Manual#api-methods–endpoints, end of sub-section Unified API). I have tried the following code, but it raises an error:

import ccxt
ex = CexExchange()
results = ex.fetch_order_book(symbol='BTC/USD', params={'depth': 10})

The exception raised is:

Error
Traceback (most recent call last):
  File "/usr/local/lib/python3.6/unittest/case.py", line 59, in testPartExecutor
    yield
  File "/usr/local/lib/python3.6/unittest/case.py", line 601, in run
    testMethod()
  File "/home/mellertson/Documents/Development_Projects/Money_Maker/Python_Code/MoneyMaker/tests/Exchanges/test_Exchange_classes.py", line 668, in test_fetch_order_book____1_as_depth
    aResult = ex.fetch_order_book(symbol=iSymbol, params={'depth': 10})
  File "/home/mellertson/Documents/python_virtual_envs/python3.6/lib/python3.6/site-packages/ccxt/exchanges.py", line 7235, in fetch_order_book
    timestamp = orderbook['timestamp'] * 1000
KeyError: 'timestamp'

I also tried modifying ccxt.cex.fetch_order_book method, but to no avail. I made the following modifications:

def fetch_order_book(self, symbol, params={}):
    self.load_markets()
    orderbook =  self.publicGetOrderBookPairDepth(self.extend({
        'pair': self.market_id(symbol),
    }, params))
    timestamp = orderbook['timestamp'] * 1000
    return self.parse_order_book(orderbook, timestamp)

And of modified the string in the params dictionary to read ‘order_book/{pair}{depth}’.

Perhaps I am misunderstanding the docs. But, I’m at a loss for how to get this to work. Any help would be greatly appreciated!

[mellertson]

I ran all tests for the exchange “cex” before making any changes to the code. I noted, there is a problem with the metod ccxt.cex.fetch_balance, but that seems unrelated to this issue.

I then made the fix, and ran tests for all languages, but again only for the exchange “cex”. All tests passed, except for the one noted above regarding ccxt.cex.fetch_balance. It looks like the code fix worked, and didn’t break anything.

[kroitor]

I also added examples on this to the Manual here.

And uploaded the following examples into the repo:

• examples/js/order-book-extra-level-depth-param.js
• examples/py/order-book-extra-level-depth-param.py
• examples/php/order-book-extra-level-depth-param.php

Thanks for pointing this out!