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 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()
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()
# 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())
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, 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, 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:
"""
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()
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).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()] + 1)
# 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))
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
