def __init__(self):
""" Initializes trader by order books for the asset from different markets
"""
MultiAssetStrategy.__init__(self)
from blist import sorteddict
# order queues ordered by their best asks and bids
# something like std::map<Ticks, OrderQueue>[2]
self._bests = [sorteddict(), sorteddict()]
self._oldBests = {}
def bind_impl(self, context):
MultiAssetStrategy.bind_impl(self, context)
self._traders = [t for t in self._trader.traders]
self._books = [t.orderBook for t in self._trader.traders]
def regSide(side):
for book in self._books:
queue = book.queue(side)
event.subscribe(queue.bestPrice,
_(self, side)._schedule,
self, {})
if not queue.empty:
self._bests[side.id][queue.best.signedPrice] = queue
self._oldBests[queue] = queue.best.signedPrice
regSide(Side.Buy)
regSide(Side.Sell)
