def parse_trade(cls, instmt, raws):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trades = []
for item in raws:
trade = Trade()
today = datetime.today().date()
time = item[3]
#trade.date_time = datetime.utcfromtimestamp(date_time/1000.0).strftime("%Y%m%d %H:%M:%S.%f")
#Convert local time as to UTC.
date_time = datetime(today.year, today.month, today.day,
*list(map(lambda x: int(x), time.split(':'))),
tzinfo=pytz.timezone('Asia/Shanghai')
)
#trade.date_time = date_time.astimezone(pytz.utc).strftime('%Y%m%d %H:%M:%S.%f')
trade.date_time = date_time.astimezone(pytz.utc).strftime('%Y%m%d %H:%M:%S.%f')
# Trade side
# Buy = 0
# Side = 1
trade.trade_side = Trade.parse_side(item[4])
# Trade id
trade.trade_id = str(item[0])
# Trade price
trade.trade_price = item[1]
# Trade volume
trade.trade_volume = item[2]
trades.append(trade)
return trades
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
# Trade price
trade.trade_price = float(str(raw[0]))
# Trade volume
trade.trade_volume = float(str(raw[1]))
# Timestamp
date_time = float(raw[2])
trade.date_time = datetime.utcfromtimestamp(date_time).strftime(
"%Y%m%d %H:%M:%S.%f")
# Trade side
trade.trade_side = Trade.parse_side(raw[3])
# Trade id
trade.trade_id = trade.date_time + '-' + str(
instmt.get_exch_trade_id())
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
keys = list(raw.keys())
# print(raw)
if cls.get_trade_id_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
trade.date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
# Trade side
trade.trade_side = Trade.parse_side(str(raw[cls.get_trade_side_field_name()]))
# Trade id
trade.trade_id = str(int(time.time()*1000))
# Trade price
trade.trade_price = float(str(raw[cls.get_trade_price_field_name()]))
# Trade volume
trade.trade_volume = float(str(raw[cls.get_trade_volume_field_name()]))
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
date_time = float(raw[cls.get_trades_timestamp_field_name()])
date_time = date_time / cls.get_timestamp_offset()
trade.date_time = datetime.utcfromtimestamp(date_time).strftime("%Y%m%d %H:%M:%S.%f")
# Trade side
trade.trade_side = Trade.parse_side(raw[cls.get_trade_side_field_name()])
# Trade price
trade.trade_price = float(str(raw[cls.get_trade_price_field_name()]))
# Trade volume
trade.trade_volume = float(str(raw[cls.get_trade_volume_field_name()]))
# Trade id
trade.trade_id = trade.date_time + '-P' + str(trade.trade_price) + '-V' + str(trade.trade_volume)
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
# Trade price
trade.trade_price = float(str(raw[0]))
# Trade volume
trade.trade_volume = float(str(raw[1]))
# Timestamp
date_time = float(raw[2])
trade.date_time = datetime.utcfromtimestamp(date_time).strftime("%Y%m%d %H:%M:%S.%f")
# Trade side
trade.trade_side = Trade.parse_side(raw[3])
# Trade id
trade.trade_id = trade.date_time + '-' + str(instmt.get_exch_trade_id())
return trade
def insert_order_book(self, instmt):
"""
Insert order book row into the database client
:param instmt: Instrument
"""
# If local timestamp indicator is on, assign the local timestamp again
if self.is_local_timestamp:
instmt.get_l2_depth().date_time = datetime.utcnow().strftime(
"%Y%m%d %H:%M:%S.%f")
# Update the snapshot
if instmt.get_l2_depth() is not None:
l2_depth = instmt.get_l2_depth()
assert (len(l2_depth.asks) == 5)
assert (len(l2_depth.bids) == 5)
id = self.get_instmt_snapshot_id(instmt)
for db_client in self.db_clients:
if self.is_allowed_snapshot(db_client):
print('insert snapshot')
db_client.insert(
table=self.get_snapshot_table_name(),
columns=Snapshot.columns(),
types=Snapshot.types(),
values=Snapshot.values(
instmt.get_exchange_name(),
instmt.get_instmt_name(), instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else
instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
primary_key_index=[0, 1],
is_orreplace=True,
is_commit=True)
if self.is_allowed_instmt_record(db_client):
db_client.insert(
table=instmt.get_instmt_snapshot_table_name(),
columns=['id'] + Snapshot.columns(False),
types=['int'] + Snapshot.types(False),
values=[id] + Snapshot.values(
'', '', instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else
instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
is_commit=True)
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trade_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
date_time = float(raw[cls.get_trade_timestamp_field_name()])
trade.date_time = datetime.utcfromtimestamp(date_time).strftime("%Y%m%d %H:%M:%S.%f")
# Trade side
trade.trade_side = 1
# Trade id
trade.trade_id = str(raw[cls.get_trade_id_field_name()])
# Trade price
trade.trade_price = float(str(raw[cls.get_trade_price_field_name()]))
# Trade volume
trade.trade_volume = float(str(raw[cls.get_trade_volume_field_name()]))
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
date_time = raw[cls.get_trades_timestamp_field_name()]
try:
trade.date_time = datetime.strptime(
date_time,
'%Y-%m-%dT%H:%M:%S.%f').strftime('%Y%m%d %H:%M:%S.%f')
except Exception as e:
trade.date_time = datetime.strptime(
date_time,
'%Y-%m-%dT%H:%M:%S').strftime('%Y%m%d %H:%M:%S.%f')
# Trade side
trade.trade_side = Trade.parse_side(
raw[cls.get_trade_side_field_name()])
# Trade id
trade.trade_id = str(raw[cls.get_trade_id_field_name()])
# Trade price
trade.trade_price = float(
str(raw[cls.get_trade_price_field_name()]))
# Trade volume
trade.trade_volume = float(
str(raw[cls.get_trade_volume_field_name()]))
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raws):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trades = []
for raw in raws:
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_side_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
date_time = float(raw[cls.get_trades_timestamp_field_name()])
trade.date_time = datetime.utcfromtimestamp(
date_time / 1000.0).strftime("%Y%m%d %H:%M:%S.%f")
# Trade side
# Buy = 0
# Side = 1
trade.trade_side = Trade.parse_side(
raw[cls.get_trade_side_field_name()])
# Trade id
trade.trade_id = str(raw[cls.get_trade_id_field_name()])
# Trade price
trade.trade_price = raw[cls.get_trade_price_field_name()]
# Trade volume
trade.trade_volume = raw[cls.get_trade_volume_field_name()]
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
trades.append(trade)
return trades
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
"""
[{"date":1525079378,"date_ms":1525079378512,"amount":139.8153,"price":0.00197428,"type":"buy","tid":129688817},
{"date":1525079378,"date_ms":1525079378564,"amount":0.7217,"price":0.00197428,"type":"buy","tid":129688818}]
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_side_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
# date_time = raw[cls.get_trades_timestamp_field_name()]
timestamp = float(
raw[cls.get_order_book_timestamp_field_name()]) / 1000.0
trade.date_time = datetime.utcfromtimestamp(timestamp).strftime(
"%Y%m%d %H:%M:%S.%f")
# Trade side
trade.trade_side = 1 if raw[
cls.get_trade_side_field_name()] == 'buy' else 2
# Trade id
trade.trade_id = str(raw[cls.get_trade_id_field_name()])
# Trade price
trade.trade_price = float(
str(raw[cls.get_trade_price_field_name()]))
# Trade volume
trade.trade_volume = float(
str(raw[cls.get_trade_volume_field_name()]))
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
"""
{'id': 17592355736499, 'amount': 0.0972, 'price': 13802.66, 'direction': 'buy', 'ts': 1515800691239}
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_side_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
# date_time = raw[cls.get_trades_timestamp_field_name()]
timestamp = float(
raw[cls.get_order_book_timestamp_field_name()]) / 1000.0
trade.date_time = datetime.utcfromtimestamp(timestamp).strftime(
"%Y%m%d %H:%M:%S.%f")
# Trade side
trade.trade_side = 1 if raw[
cls.get_trade_side_field_name()] == 'buy' else 2
# Trade id
trade.trade_id = str(raw[cls.get_trade_id_field_name()])
# Trade price
trade.trade_price = float(
str(raw[cls.get_trade_price_field_name()]))
# Trade volume
trade.trade_volume = float(
str(raw[cls.get_trade_volume_field_name()]))
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_side_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
timestamp = raw[cls.get_trades_timestamp_field_name()]
timestamp = timestamp.replace('T',
' ').replace('Z',
'').replace('-', '')
trade.date_time = timestamp
# Trade side
trade.trade_side = Trade.parse_side(
raw[cls.get_trade_side_field_name()])
# Trade id
trade.trade_id = raw[cls.get_trade_id_field_name()]
# Trade price
trade.trade_price = raw[cls.get_trade_price_field_name()]
# Trade volume
trade.trade_volume = raw[cls.get_trade_volume_field_name()]
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
date_time = raw[cls.get_trades_timestamp_field_name()]
date_time = datetime.strptime(date_time,
cls.get_trades_timestamp_format())
trade.date_time = date_time.strftime("%Y%m%d %H:%M:%S.%f")
trade.update_date_time = calendar.timegm(date_time.utctimetuple())
# Trade side
trade.trade_side = 1 if raw[
cls.get_trade_side_field_name()] == 'buy' else 2
# Trade id
trade.trade_id = str(raw[cls.get_trade_id_field_name()])
# Trade price
trade.trade_price = float(
str(raw[cls.get_trade_price_field_name()]))
# Trade volume
trade.trade_volume = float(
str(raw[cls.get_trade_volume_field_name()]))
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
trade_id = raw[0]
trade_price = float(raw[1])
trade_volume = float(raw[2])
timestamp = raw[3]
trade_side = raw[4]
trade.trade_id = trade_id + timestamp
trade.trade_price = trade_price
trade.trade_volume = trade_volume
trade.trade_side = Trade.parse_side(trade_side)
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
trade_id = raw[0]
timestamp = raw[1]
trade_price = raw[2]
trade_volume = raw[3]
trade.date_time = datetime.utcfromtimestamp(timestamp).strftime(
"%Y%m%d %H:%M:%S.%f")
trade.trade_side = Trade.Side.BUY if trade_volume > 0 else Trade.Side.SELL
trade.trade_volume = abs(trade_volume)
trade.trade_id = str(trade_id)
trade.trade_price = trade_price
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
trade_id = raw[0]
timestamp = raw[1]
trade_price = raw[2]
trade_volume = raw[3]
trade.date_time = datetime.utcfromtimestamp(timestamp).strftime("%Y%m%d %H:%M:%S.%f")
trade.trade_side = Trade.Side.BUY if trade_volume > 0 else Trade.Side.SELL
trade.trade_volume = abs(trade_volume)
trade.trade_id = str(trade_id)
trade.trade_price = trade_price
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
trade_id = raw[0]
trade_price = float(raw[1])
trade_volume = float(raw[2])
timestamp = raw[3]
trade_side = raw[4]
trade.trade_id = trade_id + timestamp
trade.trade_price = trade_price
trade.trade_volume = trade_volume
trade.trade_side = Trade.parse_side(trade_side)
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
keys = list(raw.keys())
if cls.get_trades_timestamp_field_name() in keys and \
cls.get_trade_id_field_name() in keys and \
cls.get_trade_side_field_name() in keys and \
cls.get_trade_price_field_name() in keys and \
cls.get_trade_volume_field_name() in keys:
# Date time
timestamp = raw[cls.get_trades_timestamp_field_name()]
timestamp = timestamp.replace('T', ' ').replace('Z', '').replace('-' , '')
trade.date_time = timestamp
# Trade side
trade.trade_side = Trade.parse_side(raw[cls.get_trade_side_field_name()])
# Trade id
trade.trade_id = raw[cls.get_trade_id_field_name()]
# Trade price
trade.trade_price = raw[cls.get_trade_price_field_name()]
# Trade volume
trade.trade_volume = raw[cls.get_trade_volume_field_name()]
else:
raise Exception('Does not contain trade keys in instmt %s-%s.\nOriginal:\n%s' % \
(instmt.get_exchange_name(), instmt.get_instmt_name(), \
raw))
return trade
def parse_trade(cls, instmt, raw):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trade = Trade()
trade_id = raw['order_id']
trade_price = float(raw['counter']) / float(raw['base'])
trade_volume = float(raw['base'])
timestamp = float(raw[cls.get_trades_timestamp_field_name()]) / 1000.0
trade.date_time = datetime.utcfromtimestamp(timestamp).strftime(
"%Y%m%d %H:%M:%S.%f")
trade.trade_volume = trade_volume
trade.trade_id = trade_id
trade.trade_price = trade_price
return trade
