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_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()]
if len(date_time) == 19:
date_time += '.'
date_time += '0' * (26 - len(date_time))
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 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]
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['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
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 and \
cls.get_trade_side_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 = 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_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