I am trying to create a bot that collects order book data (best bid and ask options, depth 1; prices and volumes) for multiple symbols from a single exchange, like Binance. CCXT is almost capable of doing that with 1 line of code, but it does not return the "volume" for some exchanges like Bitfinex. For those exchanges, the only option in CCXT is to call the order book individually for each symbol, which takes enormous amounts of time. Is there any unified API that is capable of doing that for all exchanges in reasonable time?
Submitted October 18, 2020 at 07:04AM by donuz