I'd like someone to write a python script which will query the API of several exchanges and convert the JSON output in the API to variables every 5 seconds.. I'd like the script to be able to run non-stop on one of my laptops.
I have already implemented something in VBA in excel which contains all the API links and some JSON parsing, I will provide this.
I'd also like to have the python code be logical, with each record indexed by an ID #, exchange, ticker, time, bid and ask prices and volumes, for the top 10 levels, and to have it store days in memory and then dump the finished days into CSV.
I'd also like the script to send me an email if the variables in the python script meet certain thresholds for the intra-day records in memory.
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