Aggregating Orderbook Depth to Create Liquidity Metrics

A liquid order book (the collection of outstanding bids and asks for a market) is a necessary component of a mature financial asset. The ability to quickly enter and exit large positions with a small degree of price impact, or slippage, is a desirable feature for institutional market participants. Coin Metrics has been collecting order book snapshots for major crypto assets since 2019, and recently launched new liquidity metrics as part of our Market Data Feed offering to further enhance institutions’ view of the crypto markets. In this demo, we explore how these metrics can be used to quantify and aggregate order book depth across some of the most actively-traded BTC markets.

Resources

This notebook demonstrates basic functionality offered by the Coin Metrics Python API Client and Market Data Feed.

Coin Metrics offers a vast assortment of data for hundreds of cryptoassets. The Python API Client allows for easy access to this data using Python without needing to create your own wrappers using requests and other such libraries.

To understand the data that Coin Metrics offers, feel free to peruse the resources below.

• The Coin Metrics API v4 website contains the full set of endpoints and data offered by Coin Metrics.
• The Coin Metrics Product Documentation gives detailed, conceptual explanations of the data that Coin Metrics offers.
• The API Spec contains a full list of functions.

File Download

Download the entire notebook as either a jupyter notebook to run yourself or as a pdf from the two links below

26KB

MDF_orderbook_depth.ipynb

6MB

MDF_orderbook_depth.pdf

pdf

Notebook Setup

from os import environ
import sys
import pandas as pd
import seaborn as sns
import logging
from datetime import date, datetime, timedelta
from coinmetrics.api_client import CoinMetricsClient
import json
import logging
from pytz import timezone as timezone_conv
from datetime import timezone as timezone_info
import matplotlib
import matplotlib.dates as mdates
import matplotlib.ticker as ticker
from matplotlib.dates import MonthLocator, DateFormatter, YearLocator, AutoDateLocator
from matplotlib.ticker import NullFormatter
import matplotlib.pyplot as plt
import numpy as np
import plotly.express as px 
import matplotlib.ticker as mticker
import matplotlib as mpl
from matplotlib.offsetbox import OffsetImage, AnnotationBbox
import matplotlib.image as mpimg
%matplotlib inline

sns.set_theme()
sns.set(rc={'figure.figsize':(14,8)})

logging.basicConfig(
    format='%(asctime)s %(levelname)-8s %(message)s',
    level=logging.INFO,
    datefmt='%Y-%m-%d %H:%M:%S'
)

# We recommend privately storing your API key in your local environment.
try:
    api_key = environ["CM_API_KEY"]
    logging.info("Using API key found in environment")
except KeyError:
    api_key = ""
    logging.info("API key not found. Using community client")

client = CoinMetricsClient(api_key)

2024-10-03 17:14:45 INFO     Using API key found in environment

asset = 'btc'

asset_markets = client.reference_data_markets(base=asset,type='spot').to_dataframe()

asset_markets

	market	exchange	base	quote	pair	symbol	type	size_asset	margin_asset	strike	...	order_amount_min	order_amount_max	order_price_increment	order_price_min	order_price_max	order_size_min	order_taker_fee	order_maker_fee	margin_trading_enabled	experimental
0	bibox-btc-gusd-spot	bibox	btc	gusd	btc-gusd	BTC_GUSD	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
1	bibox-btc-sai-spot	bibox	btc	sai	btc-sai	BTC_SAI	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
2	bibox-btc-usdc-spot	bibox	btc	usdc	btc-usdc	BTC_USDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
3	bibox-btc-usdt-spot	bibox	btc	usdt	btc-usdt	BTC_USDT	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
4	binance-btc-aeur-spot	binance	btc	aeur	btc-aeur	BTCAEUR	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
393	upbit-btc-usdt-spot	upbit	btc	usdt	btc-usdt	USDT-BTC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
394	zb.com-btc-pax-spot	zb.com	btc	pax	btc-pax	btc_pax	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
395	zb.com-btc-qc-spot	zb.com	btc	qc	btc-qc	btc_qc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
396	zb.com-btc-usdc-spot	zb.com	btc	usdc	btc-usdc	btc_usdc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
397	zb.com-btc-usdt-spot	zb.com	btc	usdt	btc-usdt	btc_usdt	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>

398 rows × 37 columns

selected_markets = asset_markets.loc[(asset_markets['base']==asset)]

selected_markets

	market	exchange	base	quote	pair	symbol	type	size_asset	margin_asset	strike	...	order_amount_min	order_amount_max	order_price_increment	order_price_min	order_price_max	order_size_min	order_taker_fee	order_maker_fee	margin_trading_enabled	experimental
0	bibox-btc-gusd-spot	bibox	btc	gusd	btc-gusd	BTC_GUSD	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
1	bibox-btc-sai-spot	bibox	btc	sai	btc-sai	BTC_SAI	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
2	bibox-btc-usdc-spot	bibox	btc	usdc	btc-usdc	BTC_USDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
3	bibox-btc-usdt-spot	bibox	btc	usdt	btc-usdt	BTC_USDT	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
4	binance-btc-aeur-spot	binance	btc	aeur	btc-aeur	BTCAEUR	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
393	upbit-btc-usdt-spot	upbit	btc	usdt	btc-usdt	USDT-BTC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
394	zb.com-btc-pax-spot	zb.com	btc	pax	btc-pax	btc_pax	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
395	zb.com-btc-qc-spot	zb.com	btc	qc	btc-qc	btc_qc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
396	zb.com-btc-usdc-spot	zb.com	btc	usdc	btc-usdc	btc_usdc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
397	zb.com-btc-usdt-spot	zb.com	btc	usdt	btc-usdt	btc_usdt	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>

398 rows × 37 columns

selected_quote_assets = ['usd', 'usdc', 'usdt', 'busd']
selected_quote_markets = selected_markets.loc[selected_markets['quote'].isin(selected_quote_assets)]

selected_quote_markets

	market	exchange	base	quote	pair	symbol	type	size_asset	margin_asset	strike	...	order_amount_min	order_amount_max	order_price_increment	order_price_min	order_price_max	order_size_min	order_taker_fee	order_maker_fee	margin_trading_enabled	experimental
2	bibox-btc-usdc-spot	bibox	btc	usdc	btc-usdc	BTC_USDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
3	bibox-btc-usdt-spot	bibox	btc	usdt	btc-usdt	BTC_USDT	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
10	binance-btc-busd-spot	binance	btc	busd	btc-busd	BTCBUSD	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	10.0	<NA>	<NA>	<NA>	<NA>
27	binance-btc-usdc-spot	binance	btc	usdc	btc-usdc	BTCUSDC	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
30	binance-btc-usdt-spot	binance	btc	usdt	btc-usdt	BTCUSDT	spot	<NA>	<NA>	<NA>	...	0.00001	9000.0	0.01	0.01	1000000	5.0	<NA>	<NA>	<NA>	<NA>
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
389	therocktrading-btc-usdc-spot	therocktrading	btc	usdc	btc-usdc	BTCUSDC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
390	therocktrading-btc-usdt-spot	therocktrading	btc	usdt	btc-usdt	BTCUSDT	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
393	upbit-btc-usdt-spot	upbit	btc	usdt	btc-usdt	USDT-BTC	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
396	zb.com-btc-usdc-spot	zb.com	btc	usdc	btc-usdc	btc_usdc	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>
397	zb.com-btc-usdt-spot	zb.com	btc	usdt	btc-usdt	btc_usdt	spot	<NA>	<NA>	<NA>	...	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>	<NA>

81 rows × 37 columns

selected_btc_usd_market_list = selected_quote_markets['market'].to_list()

market_metrics = client.catalog_market_metrics_v2(markets=selected_btc_usd_market_list).to_dataframe()

market_metrics

	market	metrics
0	binance-btc-busd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
1	binance-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
2	binance-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
3	binance.us-btc-busd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
4	binance.us-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
5	binance.us-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
6	binance.us-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
7	bitfinex-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
8	bitfinex-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
9	bitflyer-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
10	bitstamp-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
11	bitstamp-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
12	bitstamp-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
13	bittrex-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
14	bittrex-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
15	bittrex-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
16	bullish-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
17	bullish-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
18	bullish-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
19	bybit-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
20	bybit-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
21	cex.io-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
22	cex.io-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
23	coinbase-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
24	coinbase-btc-usdc-spot	[{'metric': 'liquidity_depth_0_1_percent_ask_v...
25	coinbase-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
26	crypto.com-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
27	crypto.com-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
28	erisx-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
29	ftx-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
30	ftx-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
31	ftx.us-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
32	ftx.us-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
33	gate.io-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
34	gate.io-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
35	gate.io-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
36	gemini-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
37	gemini-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
38	hitbtc-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
39	hitbtc-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
40	huobi-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
41	huobi-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
42	itbit-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
43	kraken-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
44	kraken-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
45	kraken-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
46	kucoin-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
47	kucoin-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
48	liquid-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
49	liquid-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
50	liquid-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
51	lmax-btc-usd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
52	mexc-btc-busd-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
53	mexc-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
54	mexc-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
55	okex-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
56	okex-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
57	poloniex-btc-usdc-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...
58	poloniex-btc-usdt-spot	[{'metric': 'liquidity_bid_ask_spread_percent_...

available_btc_markets = list(set(market_metrics['market'].to_list()))

available_btc_markets

['bittrex-btc-usdc-spot',
 'bullish-btc-usdc-spot',
 'bitfinex-btc-usd-spot',
 'binance.us-btc-usdc-spot',
 'ftx-btc-usd-spot',
 'kucoin-btc-usdt-spot',
 'bullish-btc-usd-spot',
 'binance.us-btc-usdt-spot',
 'cex.io-btc-usdt-spot',
 'mexc-btc-busd-spot',
 'coinbase-btc-usdc-spot',
 'hitbtc-btc-usdc-spot',
 'huobi-btc-usdt-spot',
 'okex-btc-usdc-spot',
 'binance-btc-busd-spot',
 'poloniex-btc-usdt-spot',
 'huobi-btc-usdc-spot',
 'kraken-btc-usdc-spot',
 'bitstamp-btc-usdt-spot',
 'binance-btc-usdc-spot',
 'coinbase-btc-usd-spot',
 'hitbtc-btc-usdt-spot',
 'kucoin-btc-usdc-spot',
 'coinbase-btc-usdt-spot',
 'mexc-btc-usdc-spot',
 'mexc-btc-usdt-spot',
 'kraken-btc-usdt-spot',
 'kraken-btc-usd-spot',
 'itbit-btc-usd-spot',
 'bittrex-btc-usd-spot',
 'crypto.com-btc-usd-spot',
 'lmax-btc-usd-spot',
 'bullish-btc-usdt-spot',
 'bitflyer-btc-usd-spot',
 'ftx-btc-usdt-spot',
 'binance.us-btc-busd-spot',
 'gemini-btc-usd-spot',
 'liquid-btc-usd-spot',
 'erisx-btc-usd-spot',
 'ftx.us-btc-usd-spot',
 'crypto.com-btc-usdt-spot',
 'bybit-btc-usdc-spot',
 'gate.io-btc-usdt-spot',
 'liquid-btc-usdt-spot',
 'okex-btc-usdt-spot',
 'poloniex-btc-usdc-spot',
 'binance.us-btc-usd-spot',
 'ftx.us-btc-usdt-spot',
 'binance-btc-usdt-spot',
 'bittrex-btc-usdt-spot',
 'bitfinex-btc-usdt-spot',
 'gate.io-btc-usdc-spot',
 'liquid-btc-usdc-spot',
 'bybit-btc-usdt-spot',
 'gemini-btc-usdt-spot',
 'bitstamp-btc-usd-spot',
 'gate.io-btc-usd-spot',
 'cex.io-btc-usd-spot',
 'bitstamp-btc-usdc-spot']

start = '2023-01-01'

metrics = ['liquidity_depth_1_percent_bid_volume_usd','liquidity_depth_1_percent_ask_volume_usd']

df = client.get_market_metrics(
    markets=available_btc_markets,
    metrics=metrics,
    start_time=start,
    end_time='2023-01-08',
    frequency='1h'
).to_dataframe()

for metric in metrics:
    df[metric] = pd.to_numeric(df[metric], errors='coerce')

df

	market	time	liquidity_depth_1_percent_ask_volume_usd	liquidity_depth_1_percent_bid_volume_usd
0	binance-btc-busd-spot	2023-01-01 00:00:00+00:00	6573748.305412	5605136.435418
1	binance-btc-busd-spot	2023-01-01 01:00:00+00:00	6913394.853095	6332381.748353
2	binance-btc-busd-spot	2023-01-01 02:00:00+00:00	7214380.809388	6274423.20817
3	binance-btc-busd-spot	2023-01-01 03:00:00+00:00	7523209.589182	5912474.16043
4	binance-btc-busd-spot	2023-01-01 04:00:00+00:00	7449126.92636	6227347.505593
...	...	...	...	...
6345	poloniex-btc-usdt-spot	2023-01-08 19:00:00+00:00	<NA>	<NA>
6346	poloniex-btc-usdt-spot	2023-01-08 20:00:00+00:00	170301.788236	<NA>
6347	poloniex-btc-usdt-spot	2023-01-08 21:00:00+00:00	<NA>	<NA>
6348	poloniex-btc-usdt-spot	2023-01-08 22:00:00+00:00	<NA>	<NA>
6349	poloniex-btc-usdt-spot	2023-01-08 23:00:00+00:00	<NA>	<NA>

6350 rows × 4 columns

df['liquidity_depth_1_percent_ask_volume_usd'] = df['liquidity_depth_1_percent_ask_volume_usd'] * -1
df = df.rename(columns={"liquidity_depth_1_percent_ask_volume_usd": "ASKS", "liquidity_depth_1_percent_bid_volume_usd": "BIDS"})

df

	market	time	ASKS	BIDS
0	binance-btc-busd-spot	2023-01-01 00:00:00+00:00	-6573748.305412	5605136.435418
1	binance-btc-busd-spot	2023-01-01 01:00:00+00:00	-6913394.853095	6332381.748353
2	binance-btc-busd-spot	2023-01-01 02:00:00+00:00	-7214380.809388	6274423.20817
3	binance-btc-busd-spot	2023-01-01 03:00:00+00:00	-7523209.589182	5912474.16043
4	binance-btc-busd-spot	2023-01-01 04:00:00+00:00	-7449126.92636	6227347.505593
...	...	...	...	...
6345	poloniex-btc-usdt-spot	2023-01-08 19:00:00+00:00	<NA>	<NA>
6346	poloniex-btc-usdt-spot	2023-01-08 20:00:00+00:00	-170301.788236	<NA>
6347	poloniex-btc-usdt-spot	2023-01-08 21:00:00+00:00	<NA>	<NA>
6348	poloniex-btc-usdt-spot	2023-01-08 22:00:00+00:00	<NA>	<NA>
6349	poloniex-btc-usdt-spot	2023-01-08 23:00:00+00:00	<NA>	<NA>

6350 rows × 4 columns

sum_bids = df.groupby('time')['BIDS'].sum()
sum_asks = df.groupby('time')['ASKS'].sum()

sum_asks

time
2023-01-01 00:00:00+00:00     -51711674.3155
2023-01-01 01:00:00+00:00   -45829606.793167
2023-01-01 02:00:00+00:00   -45264924.078603
2023-01-01 03:00:00+00:00   -49672194.152268
2023-01-01 04:00:00+00:00   -45360291.558192
                                  ...       
2023-01-08 19:00:00+00:00   -48736064.951989
2023-01-08 20:00:00+00:00   -42514146.912984
2023-01-08 21:00:00+00:00   -48193752.138421
2023-01-08 22:00:00+00:00   -46457643.168556
2023-01-08 23:00:00+00:00   -43813017.641122
Name: ASKS, Length: 192, dtype: Float64

average_df = pd.DataFrame(sum_bids).resample('24H').mean()
average_df

	BIDS
time
2023-01-01 00:00:00+00:00	40685734.237508
2023-01-02 00:00:00+00:00	44553368.623749
2023-01-03 00:00:00+00:00	45840972.696663
2023-01-04 00:00:00+00:00	46945175.243779
2023-01-05 00:00:00+00:00	47693943.93807
2023-01-06 00:00:00+00:00	50556717.234057
2023-01-07 00:00:00+00:00	47568723.68365
2023-01-08 00:00:00+00:00	51038802.179323

# Create the figure and axes
plt.rcParams['font.family'] = 'arial'

fig, ax = plt.subplots(figsize=(15, 9))
ax.set_facecolor('white')

# # Add logo image
# logo_path = './cm-logo.png'
# logo_img = mpimg.imread(logo_path)
# logo_offset = OffsetImage(logo_img, zoom=0.1)
# logo_annotation = AnnotationBbox(logo_offset, xy=(0.1, 1.05), xycoords='axes fraction', 
#                                  bboxprops={'facecolor': 'white', 'edgecolor': 'none'})
# ax.add_artist(logo_annotation)

# Plot the area chart for BIDS (above x-axis) in green
ax.fill_between(sum_bids.index, sum_bids.astype(float), color='green', alpha=0.5)

# Plot the area chart for ASKS (below x-axis) in red
ax.fill_between(sum_asks.index, sum_asks.astype(float), color='red', alpha=0.5)

ax.set_xlabel('')
ax.set_ylabel('ASKS                                                   BIDS\n',fontweight='bold',fontsize=16)

ax.set_title(str(asset).upper() + ' Market Depth (\u00B11%)\n', fontsize=24)
plt.suptitle('       USD & Stablecoin Pairs (USDC, USDT, BUSD)', fontsize=13.5)

formatter = mticker.FuncFormatter(lambda x, pos: f'${x/1e6:.1f}M' if x >= 0 else f'-$ {abs(x)/1e6:.1f}M')

ax.yaxis.set_major_formatter(formatter)
ax.yaxis.grid(color='gray', linestyle='dashed', alpha=0.2)
ax.xaxis.set_major_formatter(mdates.DateFormatter('%b %Y'))
ax.xaxis.set_major_locator(mdates.MonthLocator(interval=1))

plt.xticks(rotation=0)
ax.set_xlim(df['time'].min(), df['time'].max())
plt.subplots_adjust(top=0.95, bottom=0.1)

plt.savefig('./' + str(asset).upper() + '-Market-Depth-1-Percent.png', dpi=300, bbox_inches='tight',pad_inches=0.5,facecolor='white')

plt.show()