This project contains the code to plot the full order book tick by tick.
More information in this blog post
Also on Reddit
The sample data contains 30 minutes of raw tick-by-tick updates of the Level II orderbook in Coinbase Pro for the pair BTC-GBP on December 3rd 2019 during 9:06 am and 9:36am GMT. It contains 183542 lines, which means an average update each 10 ms.
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Unzip the data under data/raw_socket_capture_sample.zip
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Install requirements (pip -r requirements.txt) for python 3.7
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Run main.py
You should get something similar to the following image, showing the evolution of the order book for each price level along time.
