def rfab2_ots_to_csv(self, mm1_db: str, mm2_db: str, mm1_fee: float,
mm2_fee: float, target_currency: str, start_time: int,
end_time: int, depth: int):
mm1_orderbook_col = self.mongo_client[mm1_db][target_currency +
"_orderbook"]
mm2_orderbook_col = self.mongo_client[mm2_db][target_currency +
"_orderbook"]
mm1_orderbook_cursor = mm1_orderbook_col.find({
"requestTime": {
"$gte": start_time,
"$lte": end_time
}
}).sort([("requestTime", 1)])
mm2_orderbook_cursor = mm2_orderbook_col.find({
"requestTime": {
"$gte": start_time,
"$lte": end_time
}
}).sort([("requestTime", 1)])
csv_writer = CsvWriter(
"stat", "%s-%s_%s_OTS_in_CSV_%d_%d_%d_max-index" %
(mm1_db, mm2_db, target_currency, start_time, end_time, depth),
("requestTime", "Trade type", "Spread in unit", "Buy Price",
"Buy Index", "Sell Price", "Sell index", "Tradable Spread",
"Tradable Qty"))
mm1_count = mm1_orderbook_cursor.count()
mm2_count = mm2_orderbook_cursor.count()
if mm1_count != mm2_count:
Global.request_time_validation_on_cursor_count_diff(
mm1_orderbook_cursor, mm2_orderbook_cursor)
else:
print("number of 'mm1 and mm2 requestTime' matched perfectly!!")
for mm1_ob, mm2_ob in zip(mm1_orderbook_cursor, mm2_orderbook_cursor):
requesttime = mm1_ob["requestTime"]
(new_unit_spread, rev_unit_spread, opt_new_spread, opt_rev_spread,
opt_new_buy_price, opt_new_buy_index, opt_new_sell_price, opt_new_sell_index, new_traded_qty,
opt_rev_buy_price, opt_rev_buy_index, opt_rev_sell_price, opt_rev_sell_index, rev_traded_qty) = \
BasicAnalyzer.optimized_tradable_spread_strategy(mm1_ob, mm2_ob, mm1_fee, mm2_fee, depth)
result = [requesttime]
if opt_new_spread >= 0:
result.extend([
"NEW", new_unit_spread, opt_new_buy_price,
opt_new_buy_index, opt_new_sell_price, opt_new_sell_index,
opt_new_spread, new_traded_qty
])
csv_writer.write_joinable(result)
elif opt_rev_spread >= 0:
result.extend([
"REV", rev_unit_spread, opt_rev_buy_price,
opt_rev_buy_index, opt_rev_sell_price, opt_rev_sell_index,
opt_rev_spread, rev_traded_qty
])
csv_writer.write_joinable(result)
csv_writer.close()
def save_processed_info(self, target_db: str, target_currency: str,
start_time: int, end_time: int):
ticker_col = self.mongo_client[target_db][target_currency + "_ticker"]
orderbook_col = self.mongo_client[target_db][target_currency +
"_orderbook"]
ticker_cursor = ticker_col.find({
"requestTime": {
"$gte": start_time,
"$lte": end_time
}
}).sort([("requestTime", 1)])
orderbook_cursor = orderbook_col.find({
"requestTime": {
"$gte": start_time,
"$lte": end_time
}
}).sort([("requestTime", 1)])
ticker_count = ticker_cursor.count()
orderbook_count = orderbook_cursor.count()
csv_writer = CsvWriter(
"stat", "%s_%s_processed_%d_%d" %
(target_db, target_currency, start_time, end_time),
("requestTime", "ticker", "midPrice", "minAsk", "maxBid"))
if ticker_count != orderbook_count:
Global.request_time_validation_on_cursor_count_diff(
ticker_cursor, orderbook_cursor)
for ticker, orderbook in zip(ticker_cursor, orderbook_cursor):
request_time = int(ticker["requestTime"])
last = int(ticker["last"].to_decimal())
mid_price, minask, maxbid = BasicAnalyzer.get_orderbook_mid_price(
orderbook)
csv_writer.write_joinable(
(request_time, last, mid_price, minask, maxbid))
csv_writer.close()
