def historicalTicksBidAsk(self, reqId, ticks, done):
self._results[reqId] += [
HistoricalTickBidAsk(
datetime.datetime.fromtimestamp(t.time, datetime.timezone.utc),
TickAttribBidAsk(**t.tickAttribBidAsk.__dict__), t.priceBid,
t.priceAsk, t.sizeBid, t.sizeAsk) for t in ticks
]
if done:
self._endReq(reqId)
def tickByTickBidAsk(self, reqId, time, bidPrice, askPrice, bidSize,
askSize, tickAttribBidAsk):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
self._logger.error(f'tickByTickBidAsk: Unknown reqId: {reqId}')
return
attribs = TickAttribBidAsk(**tickAttribBidAsk.__dict__)
tick = TickByTickBidAsk(self.lastTime, bidPrice, askPrice, bidSize,
askSize, attribs)
ticker.tickByTicks.append(tick)
self.pendingTickers.add(ticker)
def tickByTickBidAsk(self, reqId, time, bidPrice, askPrice, bidSize,
askSize, tickAttribBidAsk):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
self._logger.error(f'tickByTickBidAsk: Unknown reqId: {reqId}')
return
if bidPrice != ticker.bid:
ticker.prevBid = ticker.bid
ticker.bid = bidPrice
if bidSize != ticker.bidSize:
ticker.prevBidSize = ticker.bidSize
ticker.bidSize = bidSize
if askPrice != ticker.ask:
ticker.prevAsk = ticker.ask
ticker.ask = askPrice
if askSize != ticker.askSize:
ticker.prevAskSize = ticker.askSize
ticker.askSize = askSize
attribs = TickAttribBidAsk(**tickAttribBidAsk.__dict__)
tick = TickByTickBidAsk(self.lastTime, bidPrice, askPrice, bidSize,
askSize, attribs)
ticker.tickByTicks.append(tick)
self.pendingTickers.add(ticker)