I went through the APIs of both exchanges and identified a few challenges we need to address moving forward. Specifically, we need to design a system where we can define all trading symbols, order book (OB) depth, and upload speed for recordings through the configuration file.

BINANCE

For Binance, this process is relatively straightforward. We can use a structure like this in the configuration file:

{
    "binance_streams": {
        "wss_ob": "wss://stream.binance.com:9443/{symbol}@depth{depth_level}"
    },

    "symbols": ["btcusdt"], 
    // List of trading pairs for which data streams are subscribed.
    // This will change as different exchanges use different symbols for the same trading pairs.
    // We need a simple way to update and add symbols through the configuration file.

    "wss_callback": {
        "terminal_callback": true 
        // Enable or disable printing WebSocket data to the terminal. 
        // This is essential for development and testing. 
        // Later, we will implement a logging system for production.
    },

    "ob_stream_settings": {
        "depth_level": 20, 
        // Binance allows adjustable OB depths (5, 10, or 20), so we will use this settings for benchmark also for Bitstamp and other exhcanges (if needed) in future 


        "upload_speed": 100 
        // We'll use 100ms as the benchmark. 
        // While Binance allows upload speeds between 100ms and 1000ms
        // maintaining 100ms as our benchmark ensures consistency.
    }
}


BITSTAMP

We need to modify the Bitstamp order book stream to match our benchmarks:

Upload Speed: Bitstamp's real-time updates already align with a 100ms benchmark (as shown in the demo file you sent).

Order Book Depth:

We'll need to modify the system to allow selecting between depths of 5, 10, and 20, similar to Binance, For analytical purposes, having flexibility with OB depth is critical. For example, depth 5 might suffice for certain use cases. 

Next Steps for minor updates!

Implement a unified configuration file that allows adding and modifying symbols, depth, and upload speeds for both exchanges.

- Establish consistent benchmarks (upload speed 100 (super, this is done already), let's make flexibility in depth levels as wel. We will use Binance as example, we only have to implement this for Bitstamp!
- Develop functionality to enable or disable terminal outputs for WebSocket data during development.
- Explore ways to dynamically manage symbol mapping between exchanges since asset pair names vary (e.g., "BTC/USD" vs. "BTCUSDT") - This would be chellange, I didn't figured out myself, what should be the best and most flexibla approch to met this without hardcoding!
in short, we have to modify bitsmap ob stream, so it fetch data similar to Binance (and we can change depth 5,10 or 20) and unified syatem, so we can control and add diferent symbols through the config file! MAKE THESE CHANGES PERFECTLY. CURRENT CODE : # collector.py
import yaml
import threading
import time
from datetime import datetime, timedelta
from redis_client import RedisClient
from exchanges import handle_binance, handle_bitstamp

def load_config(config_path='config.yaml'):
    with open(config_path, 'r') as file:
        return yaml.safe_load(file)

def main():
    config = load_config()

    # Initialize Redis client
    redis_conf = config['redis']
    redis_client = RedisClient(
        host=redis_conf.get('host', 'localhost'),
        port=redis_conf.get('port', 6379),
        db=redis_conf.get('db', 0)
    )

    # Define threads for each exchange
    threads = []

    if 'binance' in config['exchanges']:
        thread_binance = threading.Thread(target=handle_binance, args=(redis_client,))
        threads.append(thread_binance)

    if 'bitstamp' in config['exchanges']:
        thread_bitstamp = threading.Thread(target=handle_bitstamp, args=(redis_client,))
        threads.append(thread_bitstamp)

    # Start all threads
    for thread in threads:
        thread.start()

    # Run for the specified duration
    duration = config['collection'].get('duration_seconds', 604800)  # Default to 1 week
    print(f"Data collection started. Running for {duration} seconds.")
    end_time = time.time() + duration
    try:
        while time.time() < end_time:
            time.sleep(1)
    except KeyboardInterrupt:
        print("Data collection interrupted by user.")
    finally:
        print("Data collection completed. Stopping threads.")
        # Threads will close when their WebSocket connections are closed

if __name__ == "__main__":
    main() # config.yaml
exchanges:
  binance:
    ws_url: "wss://stream.binance.com:9443/ws/btcusdt@depth"
  bitstamp:
    ws_url: "wss://ws.bitstamp.net"

redis:
  host: "localhost"
  port: 6379
  db: 0

collection:
  duration_seconds: 100  # 1 week in seconds # exchanges.py
import json
import threading
import time
from websocket import create_connection

def handle_binance(redis_client):
    exchange = "binance"
    symbol = "BTCUSDT"
    ws_url = "wss://stream.binance.com:9443/ws/btcusdt@depth"

    try:
        ws = create_connection(ws_url)
        print(f"[{exchange}] Connected to WebSocket.")
        while True:
            message = ws.recv()
            data = json.loads(message)
            order_book = {
                'bids': data.get('bids', []),
                'asks': data.get('asks', []),
                'timestamp': data.get('E', int(time.time() * 1000))
            }
            redis_client.store_order_book(exchange, symbol, order_book)
            print(f"[{exchange}] Order book stored at {order_book['timestamp']}")
    except Exception as e:
        print(f"[{exchange}] Error: {e}")
    finally:
        ws.close()
        print(f"[{exchange}] WebSocket connection closed.")

def handle_bitstamp(redis_client):
    exchange = "bitstamp"
    symbol = "btcusd"
    ws_url = "wss://ws.bitstamp.net"

    try:
        ws = create_connection(ws_url)
        print(f"[{exchange}] Connected to WebSocket.")
        # Subscribe to the order book channel
        subscribe_message = json.dumps({
            "event": "bts:subscribe",
            "data": {
                "channel": f"order_book_{symbol}"
            }
        })
        ws.send(subscribe_message)
        print(f"[{exchange}] Subscription message sent.")

        while True:
            message = ws.recv()
            
            data = json.loads(message)

            if data.get('event') == 'data':
                order_data = data.get('data', {})
                order_book = {
                    'bids': order_data.get('bids', []),
                    'asks': order_data.get('asks', []),
                    'timestamp': order_data.get('microtimestamp', int(time.time() * 1000))
                }
                #print(order_book)
                redis_client.store_order_book(exchange, symbol, order_book)
                print(f"[{exchange}] Order book stored at {order_book['timestamp']}")
    except Exception as e:
        print(f"[{exchange}] Error: {e}")
    finally:
        ws.close()
        print(f"[{exchange}] WebSocket connection closed.") 
from datetime import datetime
import redis
import json
import time
class RedisClient:
    def __init__(self, host='localhost', port=6379, db=0):
        try:
            self.client = redis.Redis(host=host, port=port, db=db)
            # Test the connection
            self.client.ping()
            print(f"Connected to Redis at {host}:{port}, DB: {db}")
        except redis.exceptions.ConnectionError as e:
            print(f"Failed to connect to Redis: {e}")
            exit(1)

    def store_order_book(self, exchange, symbol, data):
        try:
            timestamp = datetime.fromtimestamp( (int(data.get('timestamp')) ) /1000000)
            key = f"orderbook:{exchange}:{symbol}:{timestamp}"
            # Convert the order book to a JSON string for storage
            value = json.dumps(data)
            self.client.set(key, value)
            print(f"Stored {exchange} order book at {timestamp}")
        except TypeError as e:
            print(f"[{exchange}] Error: {e}")
        except Exception as e:
            print(f"[{exchange}] Unexpected error: {e}")