def recalcBar(bar: Bar):
if "trades" not in bar.bot_data or len(bar.bot_data['trades']) == 0:
return
lastTstamp = 0
firstTstamp = bar.last_tick_tstamp
bar.volume = 0
bar.buyVolume = 0
bar.sellVolume = 0
bar.high = bar.low = list(bar.bot_data['trades'].values())[0][3]
for data in bar.bot_data['trades'].values():
tstamp = int(data[1]) / 1000
price = data[3]
volume = abs(data[2])
isBuy = data[2] > 0
if tstamp > lastTstamp:
bar.close = price
lastTstamp = tstamp
if tstamp <= firstTstamp:
bar.open = price
firstTstamp = tstamp
bar.low = min(bar.low, price)
bar.high = max(bar.high, price)
bar.volume += volume
bar.last_tick_tstamp = tstamp
if isBuy:
bar.buyVolume += volume
else:
bar.sellVolume += volume
def socket_callback(self, topic):
try:
data = self.ws.get_data(topic)
gotTick = False
while len(data) > 0:
if topic == 'trade':
tstamp = int(data['ts'])/1000
bar_time = math.floor(tstamp / 60) * 60
price = data['price']
volume = data['amount']
isBuy= data['direction'] == "buy"
if len(self.m1_bars) > 0 and self.m1_bars[-1].tstamp == bar_time:
last_bar = self.m1_bars[-1]
else:
last_bar = Bar(tstamp=bar_time, open=price, high=price, low=price, close=price, volume=0)
self.m1_bars.append(last_bar)
gotTick = True
last_bar.close = price
last_bar.low = min(last_bar.low, price)
last_bar.high = max(last_bar.high, price)
last_bar.volume += volume
last_bar.last_tick_tstamp = tstamp
if isBuy:
last_bar.buyVolume += volume
else:
last_bar.sellVolume += volume
data = self.ws.get_data(topic)
# new bars is handling directly in the messagecause we get a new one on each tick
if gotTick and self.on_tick_callback is not None:
self.on_tick_callback(fromAccountAction=False)
except Exception as e:
self.logger.error("error in socket data(%s): %s " % (topic, str(e)))
def socket_callback(self, topic):
try:
data = self.ws.get_data(topic)
gotTick = False
while len(data) > 0:
if topic == 'trade':
tstamp = int(data[1]) / 1000
bar_time = math.floor(tstamp / 60) * 60
price = data[3]
volume = abs(data[2])
isBuy = data[2] > 0
if len(self.m1_bars
) > 0 and self.m1_bars[-1].tstamp == bar_time:
last_bar = self.m1_bars[-1]
else:
if len(self.m1_bars) > 0:
self.recalcBar(self.m1_bars[-1])
for bar in self.m1_bars[-5:-2]:
if "trades" in bar.bot_data:
del bar.bot_data['trades']
last_bar = Bar(tstamp=bar_time,
open=price,
high=price,
low=price,
close=price,
volume=0)
last_bar.bot_data['trades'] = {}
self.m1_bars.append(last_bar)
gotTick = True
last_bar.close = price
last_bar.low = min(last_bar.low, price)
last_bar.high = max(last_bar.high, price)
last_bar.volume += volume
last_bar.last_tick_tstamp = tstamp
last_bar.bot_data['trades'][data[0]] = data
if isBuy:
last_bar.buyVolume += volume
else:
last_bar.sellVolume += volume
if topic == 'tradeupdate':
tstamp = int(data[1]) / 1000
bar_time = math.floor(tstamp / 60) * 60
found = False
for i in range(len(self.m1_bars)):
bar = self.m1_bars[-i - 1]
if bar_time == bar.tstamp:
found = True
if "trades" in bar.bot_data:
if data[0] not in bar.bot_data['trades']:
self.logger.warn(
"got trade update before trade entry")
bar.bot_data['trades'][data[0]] = data
else:
self.logger.error(
"wanted to update trade but no trades in bar at index -"
+ str(i + 1))
if i > 0:
# need to recalc, cause wasn't last bar that changed
self.recalcBar(bar)
break
if not found:
self.logger.error(
"didn't find bar for trade to update! " +
str(data))
data = self.ws.get_data(topic)
# new bars is handling directly in the messagecause we get a new one on each tick
if gotTick and self.on_tick_callback is not None:
self.on_tick_callback(fromAccountAction=False)
except Exception as e:
self.logger.error("error in socket data(%s): %s " %
(topic, str(e)))
