How to get real time bid / ask / price from GDAX websocket feed - coinbase-api

Question

The API doc discourages polling on /ticker endpoint, and recommend to use the websocket stream to listen for match message
But the match response only provide a price and a side (sell / buy)
How can I recreate the ticker data (price, ask and bid) from the websocket feed ?
{
“price”: “333.99”,
“size”: “0.193”,
“bid”: “333.98”,
“ask”: “333.99”,
“volume”: “5957.11914015”,
“time”: “2015-11-14T20:46:03.511254Z”
}
The ticker endpoint and the websocket feed both return a 'price', but I guess that it's not the same. Is the price from the ticker endpoint some sort of average over time ?
How can I compute Bid value, Ask value ?

Answer 1

If I use these parameters in the subscribe message:
params = {
"type": "subscribe",
"channels": [{"name": "ticker", "product_ids": ["BTC-EUR"]}]
}
Each time a new trade is executed (and visible on http://www.gdax.com), I get this kind of message from the web socket:
{
u'best_ask': u'3040.01',
u'best_bid': u'3040',
u'last_size': u'0.10000000',
u'price': u'3040.00000000',
u'product_id': u'BTC-EUR',
u'sequence': 2520531767,
u'side': u'sell',
u'time': u'2017-09-16T16:16:30.089000Z',
u'trade_id': 4138962,
u'type': u'ticker'
}
Just after this particular message, I did a get on https://api.gdax.com/products/BTC-EUR/ticker, and I got this:
{
"trade_id": 4138962,
"price": "3040.00000000",
"size": "0.10000000",
"bid": "3040",
"ask": "3040.01",
"volume": "4121.15959844",
"time": "2017-09-16T16:16:30.089000Z"
}
Present data are the same from web socket compared to the get request.
Please find below a complete test script implementing a web socket with this ticker.
#!/usr/bin/env python
# -*- coding: utf-8 -*-
"""Test for websockets."""
from websocket import WebSocketApp
from json import dumps, loads
from pprint import pprint
URL = "wss://ws-feed.gdax.com"
def on_message(_, message):
"""Callback executed when a message comes.
Positional argument:
message -- The message itself (string)
"""
pprint(loads(message))
print
def on_open(socket):
"""Callback executed at socket opening.
Keyword argument:
socket -- The websocket itself
"""
params = {
"type": "subscribe",
"channels": [{"name": "ticker", "product_ids": ["BTC-EUR"]}]
}
socket.send(dumps(params))
def main():
"""Main function."""
ws = WebSocketApp(URL, on_open=on_open, on_message=on_message)
ws.run_forever()
if __name__ == '__main__':
main()