feat: add support for depth parameter in orderbook query #6
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jordy25519
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Feb 29, 2024
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This commit adds new method to DLOBClient, which allows to request orderbook with a required depth. To handle cases when depth is not provided, default constant can be used, which is set to value of 10. Motivation: currently DLOBClient requests the entirety of orderbook, which contains around 50 levels. Sometimes this can be unecessary, for example if we are only interested in best bid/ask, which is why it can be useful to have an option to control the depth of requested orderbook.
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This commit adds new method to DLOBClient, which allows to request orderbook with a required depth. To handle cases when depth is not provided, default constant can be used, which is set to value of 10.
Motivation: currently DLOBClient requests the entirety of orderbook, which contains around 50 levels. Sometimes this can be unecessary, for example if we are only interested in best bid/ask, which is why it can be useful to have an option to control the depth of requested orderbook.
The change shouldn't break anything, except for cases, when more than 10 levels of orderbook are expected.