Compare liquidity between Kraken and Binance

liquidity.py

import requests

def list_common_pairs(kraken, binance):
    common = []
    for bcurr in binance["symbols"]:
        # REMOVE THIS LINE IF YOU DON'T WANT ANY FILTER.
        # HERE, ONLY RETAINS EUR PAIRS
        if "EUR" not in bcurr["symbol"]:
            continue
        for kcurr in [*kraken["result"]]:
            if bcurr["symbol"] == kraken["result"][kcurr]["altname"]:
                common.append(bcurr["symbol"])
    return common

def get_kraken_liquidity(pair, depths):
    ob = requests.get("https://api.kraken.com/0/public/Depth?pair="+pair)
    if(ob.status_code != 200):
        print("Failed to fetch order book for kraken, probably rate limited !")
        print(ob)
        return
    ob = ob.json()
    depth_res = {"asks": {}, "bids": {}}
    key = [*ob["result"]][0]
    for direction in ["asks", "bids"]:
        total = 0
        for order in ob["result"][key][direction]:
            total += float(order[0]) * float(order[1])
            for index, depth in enumerate(depths):
                if not depth in [*depth_res[direction]]:
                    depth_res[direction][depth] = 0
                if total > depth and depth_res[direction][depth] == 0:
                    depth_res[direction][depth] = float(order[0])
                    if(index == len(depths) - 1):
                        break
    return depth_res

def get_binance_liquidity(pair, depths):
    ob = requests.get("https://www.binance.com/api/v3/depth?symbol="+pair)
    if(ob.status_code != 200):
        print("Failed to fetch order book for binance, probably rate limited !")
        print(ob)
        return
    ob = ob.json()
    depth_res = {"asks": {}, "bids": {}}
    for direction in ["asks", "bids"]:
        total = 0
        for order in ob[direction]:
            total += float(order[0]) * float(order[1])
            for index, depth in enumerate(depths):
                if not depth in [*depth_res[direction]]:
                    depth_res[direction][depth] = 0
                if total > depth and depth_res[direction][depth] == 0:
                    depth_res[direction][depth] = float(order[0])
                    if(index == len(depths) - 1):
                        break
    return depth_res

def main():
    kraken_pairs = requests.get("https://api.kraken.com/0/public/AssetPairs")
    binance_pairs = requests.get("https://api.binance.com/api/v3/exchangeInfo")
    if(kraken_pairs.status_code != 200 or binance_pairs.status_code != 200):
        print("{}", kraken_pairs if kraken_pairs.status_code != 200 else binance_pairs)
        print("Failed to fetch assets")
        return
    pairs = list_common_pairs(kraken_pairs.json(), binance_pairs.json())
    depths = [100, 1000, 10000]
    total_better = {"binance": {}, "kraken": {}}
    for depth in depths:
        total_better["binance"][str(depth)] = 0
        total_better["kraken"][str(depth)] = 0
    for pair in pairs:
        kraken_liq = get_kraken_liquidity(pair, depths)
        binance_liq = get_binance_liquidity(pair, depths)
        print(pair + ":")
        print(kraken_liq)
        print(binance_liq)
        for depth in depths:
            if(not kraken_liq["bids"][depth] or not binance_liq["bids"] or not kraken_liq["asks"][depth] or not binance_liq["bids"][depth]):
                print(f"Error on the {pair} pair, orderbook probably too stretched or pair is deactivated")
                continue
            perc_diff_bids = (max(kraken_liq["bids"][depth], binance_liq["bids"][depth]) / min(kraken_liq["bids"][depth], binance_liq["bids"][depth]) - 1) * 100
            perc_diff_asks = (1 - min(kraken_liq["bids"][depth], binance_liq["bids"][depth]) / max(kraken_liq["bids"][depth], binance_liq["bids"][depth])) * 100
            if kraken_liq["bids"][depth] > binance_liq["bids"][depth]:
                print(f"For €{depth} Kraken has a better selling price by {perc_diff_bids} %")
                total_better["kraken"][str(depth)]+=1
            else:
                print(f"For €{depth} Binance has a better selling price by {perc_diff_bids} %")
                total_better["binance"][str(depth)]+=1
            if kraken_liq["asks"][depth] > binance_liq["asks"][depth]:
                print(f"For €{depth} Kraken has a better buying price by {perc_diff_asks} %")
                total_better["kraken"][str(depth)]+=1
            else:
                print(f"For €{depth} Binance has a better buying price by {perc_diff_asks} %")
                total_better["binance"][str(depth)]+=1
    sum_binance = sum_kraken = 0
    for depth in depths:
        print(f"For €{depth} Binance order book was better in {total_better['binance'][str(depth)]} cases")
        print(f"For €{depth} Kraken order book was better in {total_better['kraken'][str(depth)]} cases")
        sum_binance += total_better["binance"][str(depth)]
        sum_kraken += total_better["kraken"][str(depth)]
    print(f"Binance order book was better in {sum_binance} cases")
    print(f"Kraken order book was better in {sum_kraken} cases")

main()