def __init__(self):
handlers = [(r'/market_data', MdGatewayHandler)]
settings = dict(cookie_secret=config.cookie_secret)
self.order_matcher_client = OrderMatcherClient(
'wss://localhost:8449/trade', 'rodrigo', 'abc123', ['BTCBRL'])
self.order_matcher_client.start()
tornado.web.Application.__init__(self, handlers, **settings)
self.buy_orders = []
self.sell_orders = []
self.aggregate_buy_orders = []
self.aggregate_sell_orders = []
self.last_published_buy_orders = []
self.last_published_offer_orders = []
self.orders_by_id = {}
self.trades = []
self.order_matcher_client.signal_recv.connect(self.slot_receive_msg)
self.order_matcher_client.signal_trade_clear.connect(
self.on_trade_clear)
self.order_matcher_client.signal_trade.connect(self.on_trade)
self.order_matcher_client.signal_book_bid_clear.connect(
self.on_book_bid_clear)
self.order_matcher_client.signal_book_bid_new_order.connect(
self.on_book_bid_new_order)
self.order_matcher_client.signal_book_bid_update_order.connect(
self.on_book_bid_update_order)
self.order_matcher_client.signal_book_bid_delete_order.connect(
self.on_book_bid_delete_order)
self.order_matcher_client.signal_book_bid_delete_thru.connect(
self.on_book_bid_delete_thru)
self.order_matcher_client.signal_book_offer_clear.connect(
self.on_book_offer_clear)
self.order_matcher_client.signal_book_offer_new_order.connect(
self.on_book_offer_new_order)
self.order_matcher_client.signal_book_offer_update_order.connect(
self.on_book_offer_update_order)
self.order_matcher_client.signal_book_offer_delete_order.connect(
self.on_book_offer_delete_order)
self.order_matcher_client.signal_book_offer_delete_thru.connect(
self.on_book_offer_delete_thru)
tornado.ioloop.IOLoop.instance().add_timeout(
timedelta(seconds=1), self.cron_check_md_updates)
def __init__(self):
handlers = [
(r'/market_data', MdGatewayHandler)
]
settings = dict(
cookie_secret=config.cookie_secret
)
self.order_matcher_client = OrderMatcherClient( 'wss://localhost:8449/trade', 'rodrigo', 'abc123', ['BTCBRL'] )
self.order_matcher_client.start()
tornado.web.Application.__init__(self, handlers, **settings)
self.buy_orders = []
self.sell_orders = []
self.aggregate_buy_orders = []
self.aggregate_sell_orders = []
self.last_published_buy_orders = []
self.last_published_offer_orders = []
self.orders_by_id = {}
self.trades = []
self.order_matcher_client.signal_recv.connect( self.slot_receive_msg )
self.order_matcher_client.signal_trade_clear.connect(self.on_trade_clear)
self.order_matcher_client.signal_trade.connect(self.on_trade)
self.order_matcher_client.signal_book_bid_clear.connect(self.on_book_bid_clear)
self.order_matcher_client.signal_book_bid_new_order.connect(self.on_book_bid_new_order)
self.order_matcher_client.signal_book_bid_update_order.connect(self.on_book_bid_update_order)
self.order_matcher_client.signal_book_bid_delete_order.connect(self.on_book_bid_delete_order)
self.order_matcher_client.signal_book_bid_delete_thru.connect(self.on_book_bid_delete_thru)
self.order_matcher_client.signal_book_offer_clear.connect(self.on_book_offer_clear)
self.order_matcher_client.signal_book_offer_new_order.connect(self.on_book_offer_new_order)
self.order_matcher_client.signal_book_offer_update_order.connect(self.on_book_offer_update_order)
self.order_matcher_client.signal_book_offer_delete_order.connect(self.on_book_offer_delete_order)
self.order_matcher_client.signal_book_offer_delete_thru.connect(self.on_book_offer_delete_thru)
tornado.ioloop.IOLoop.instance().add_timeout(timedelta(seconds=1), self.cron_check_md_updates)
class MdGatewayApplication(tornado.web.Application):
def __init__(self):
handlers = [
(r'/market_data', MdGatewayHandler)
]
settings = dict(
cookie_secret=config.cookie_secret
)
self.order_matcher_client = OrderMatcherClient( 'wss://localhost:8449/trade', 'rodrigo', 'abc123', ['BTCBRL'] )
self.order_matcher_client.start()
tornado.web.Application.__init__(self, handlers, **settings)
self.buy_orders = []
self.sell_orders = []
self.aggregate_buy_orders = []
self.aggregate_sell_orders = []
self.last_published_buy_orders = []
self.last_published_offer_orders = []
self.orders_by_id = {}
self.trades = []
self.order_matcher_client.signal_recv.connect( self.slot_receive_msg )
self.order_matcher_client.signal_trade_clear.connect(self.on_trade_clear)
self.order_matcher_client.signal_trade.connect(self.on_trade)
self.order_matcher_client.signal_book_bid_clear.connect(self.on_book_bid_clear)
self.order_matcher_client.signal_book_bid_new_order.connect(self.on_book_bid_new_order)
self.order_matcher_client.signal_book_bid_update_order.connect(self.on_book_bid_update_order)
self.order_matcher_client.signal_book_bid_delete_order.connect(self.on_book_bid_delete_order)
self.order_matcher_client.signal_book_bid_delete_thru.connect(self.on_book_bid_delete_thru)
self.order_matcher_client.signal_book_offer_clear.connect(self.on_book_offer_clear)
self.order_matcher_client.signal_book_offer_new_order.connect(self.on_book_offer_new_order)
self.order_matcher_client.signal_book_offer_update_order.connect(self.on_book_offer_update_order)
self.order_matcher_client.signal_book_offer_delete_order.connect(self.on_book_offer_delete_order)
self.order_matcher_client.signal_book_offer_delete_thru.connect(self.on_book_offer_delete_thru)
tornado.ioloop.IOLoop.instance().add_timeout(timedelta(seconds=1), self.cron_check_md_updates)
def slot_receive_msg(self, sender, data):
print 'receiving :', data
for o in reversed(self.sell_orders):
print o
print '------------------------'
for o in self.buy_orders:
print o
def on_trade_clear(self,sender):
self.trades = []
def on_trade(self,sender, msg):
pass
def on_book_bid_clear(self,sender):
self.buy_orders = []
def on_book_bid_new_order(self, sender, msg):
index = msg['MDEntryPositionNo']
price = msg['MDEntryPx']
qty = msg['MDEntrySize']
username = msg['Username']
orderId = msg['OrderID']
self.buy_orders.insert( index-1, [ price, qty, username, orderId ] )
# TODO:
def on_book_bid_update_order(self, sender,msg):
index = msg['MDEntryPositionNo']
qty = msg['MDEntrySize']
self.buy_orders[index-1][1] = qty
def on_book_bid_delete_order(self,sender, msg):
index = msg['MDEntryPositionNo']
del self.buy_orders[index-1]
def on_book_bid_delete_thru(self,sender, msg):
delete_thru = msg['MDEntryPositionNo']
self.buy_orders = self.buy_orders[delete_thru:]
def on_book_offer_clear(self,sender):
self.sell_orders = []
def on_book_offer_new_order(self,sender, msg):
index = msg['MDEntryPositionNo']
price = msg['MDEntryPx']
qty = msg['MDEntrySize']
username = msg['Username']
orderId = msg['OrderID']
self.sell_orders.insert( index-1, [ price, qty, username, orderId ] )
def on_book_offer_update_order(self,sender, msg):
index = msg['MDEntryPositionNo']
qty = msg['MDEntrySize']
self.sell_orders[index-1][1] = qty
def on_book_offer_delete_order(self,sender, msg):
index = msg['MDEntryPositionNo']
del self.sell_orders[index-1]
def on_book_offer_delete_thru(self, sender,msg):
delete_thru = msg['MDEntryPositionNo']
self.sell_orders = self.sell_orders[delete_thru:]
def cron_check_md_updates(self):
import copy
for order in self.buy_orders:
if order in self.orders_by_id:
if self.orders_by_id[order][1] != order[1]:
#TODO: Generate an Update Record
pass
else:
# TODO: Generate an insert record
pass
last_published_buy_orders = copy.deepcopy( self.sell_orders)
# run it again 5 seconds later...
tornado.ioloop.IOLoop.instance().add_timeout(timedelta(milliseconds=500), self.cron_check_md_updates)
class MdGatewayApplication(tornado.web.Application):
def __init__(self):
handlers = [(r'/market_data', MdGatewayHandler)]
settings = dict(cookie_secret=config.cookie_secret)
self.order_matcher_client = OrderMatcherClient(
'wss://localhost:8449/trade', 'rodrigo', 'abc123', ['BTCBRL'])
self.order_matcher_client.start()
tornado.web.Application.__init__(self, handlers, **settings)
self.buy_orders = []
self.sell_orders = []
self.aggregate_buy_orders = []
self.aggregate_sell_orders = []
self.last_published_buy_orders = []
self.last_published_offer_orders = []
self.orders_by_id = {}
self.trades = []
self.order_matcher_client.signal_recv.connect(self.slot_receive_msg)
self.order_matcher_client.signal_trade_clear.connect(
self.on_trade_clear)
self.order_matcher_client.signal_trade.connect(self.on_trade)
self.order_matcher_client.signal_book_bid_clear.connect(
self.on_book_bid_clear)
self.order_matcher_client.signal_book_bid_new_order.connect(
self.on_book_bid_new_order)
self.order_matcher_client.signal_book_bid_update_order.connect(
self.on_book_bid_update_order)
self.order_matcher_client.signal_book_bid_delete_order.connect(
self.on_book_bid_delete_order)
self.order_matcher_client.signal_book_bid_delete_thru.connect(
self.on_book_bid_delete_thru)
self.order_matcher_client.signal_book_offer_clear.connect(
self.on_book_offer_clear)
self.order_matcher_client.signal_book_offer_new_order.connect(
self.on_book_offer_new_order)
self.order_matcher_client.signal_book_offer_update_order.connect(
self.on_book_offer_update_order)
self.order_matcher_client.signal_book_offer_delete_order.connect(
self.on_book_offer_delete_order)
self.order_matcher_client.signal_book_offer_delete_thru.connect(
self.on_book_offer_delete_thru)
tornado.ioloop.IOLoop.instance().add_timeout(
timedelta(seconds=1), self.cron_check_md_updates)
def slot_receive_msg(self, sender, data):
print 'receiving :', data
for o in reversed(self.sell_orders):
print o
print '------------------------'
for o in self.buy_orders:
print o
def on_trade_clear(self, sender):
self.trades = []
def on_trade(self, sender, msg):
pass
def on_book_bid_clear(self, sender):
self.buy_orders = []
def on_book_bid_new_order(self, sender, msg):
index = msg['MDEntryPositionNo']
price = msg['MDEntryPx']
qty = msg['MDEntrySize']
username = msg['Username']
orderId = msg['OrderID']
self.buy_orders.insert(index - 1, [price, qty, username, orderId])
# TODO:
def on_book_bid_update_order(self, sender, msg):
index = msg['MDEntryPositionNo']
qty = msg['MDEntrySize']
self.buy_orders[index - 1][1] = qty
def on_book_bid_delete_order(self, sender, msg):
index = msg['MDEntryPositionNo']
del self.buy_orders[index - 1]
def on_book_bid_delete_thru(self, sender, msg):
delete_thru = msg['MDEntryPositionNo']
self.buy_orders = self.buy_orders[delete_thru:]
def on_book_offer_clear(self, sender):
self.sell_orders = []
def on_book_offer_new_order(self, sender, msg):
index = msg['MDEntryPositionNo']
price = msg['MDEntryPx']
qty = msg['MDEntrySize']
username = msg['Username']
orderId = msg['OrderID']
self.sell_orders.insert(index - 1, [price, qty, username, orderId])
def on_book_offer_update_order(self, sender, msg):
index = msg['MDEntryPositionNo']
qty = msg['MDEntrySize']
self.sell_orders[index - 1][1] = qty
def on_book_offer_delete_order(self, sender, msg):
index = msg['MDEntryPositionNo']
del self.sell_orders[index - 1]
def on_book_offer_delete_thru(self, sender, msg):
delete_thru = msg['MDEntryPositionNo']
self.sell_orders = self.sell_orders[delete_thru:]
def cron_check_md_updates(self):
import copy
for order in self.buy_orders:
if order in self.orders_by_id:
if self.orders_by_id[order][1] != order[1]:
#TODO: Generate an Update Record
pass
else:
# TODO: Generate an insert record
pass
last_published_buy_orders = copy.deepcopy(self.sell_orders)
# run it again 5 seconds later...
tornado.ioloop.IOLoop.instance().add_timeout(
timedelta(milliseconds=500), self.cron_check_md_updates)