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Fix QuestDB BookQuest IndexError when depth exceeds book levels (#1042) #1110

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Fix QuestDB BookQuest IndexError when depth exceeds book levels (#1042) #1110

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6 changes: 5 additions & 1 deletion cryptofeed/backends/quest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -75,7 +75,11 @@ def __init__(self, *args, depth=10, **kwargs):
self.depth = depth

async def __call__(self, book, receipt_timestamp: float):
vals = ','.join([f"bid_{i}_price={book.book.bids.index(i)[0]},bid_{i}_size={book.book.bids.index(i)[1]}" for i in range(self.depth)] + [f"ask_{i}_price={book.book.asks.index(i)[0]},ask_{i}_size={book.book.asks.index(i)[1]}" for i in range(self.depth)])
bid_depth = min(self.depth, len(book.book.bids))
ask_depth = min(self.depth, len(book.book.asks))
bid_vals = [f"bid_{i}_price={book.book.bids.index(i)[0]},bid_{i}_size={book.book.bids.index(i)[1]}" for i in range(bid_depth)]
ask_vals = [f"ask_{i}_price={book.book.asks.index(i)[0]},ask_{i}_size={book.book.asks.index(i)[1]}" for i in range(ask_depth)]
vals = ','.join(bid_vals + ask_vals)
timestamp = book.timestamp
receipt_timestamp_int = int(receipt_timestamp * 1_000_000)
timestamp_int = int(timestamp * 1_000_000_000) if timestamp is not None else receipt_timestamp_int * 1000
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