class Instrument:
"""
Instrument
"""
def __init__(self, name, info):
self.name = name
self.info = info
self.prev_l2_depth = L2Depth()
self.l2_depth = L2Depth()
self.last_trade = Trade()
self.trade_history = []
self.trade_history_max_sec = datetime.timedelta(seconds=60)
def update_depth(self, row):
self.prev_l2_depth = self.l2_depth.copy()
self.l2_depth.update(row)
def update_trade(self, row):
self.last_trade.update(row)
self.trade_history.append(self.last_trade.copy())
index = -1
for i in range(len(self.trade_history)-1, 0, -1):
if self.last_trade.date_time - self.trade_history[i].date_time > self.trade_history_max_sec:
index = i
break
if index > -1:
del self.trade_history[0:index+1]
def __init__(self, name, info):
self.name = name
self.info = info
self.prev_l2_depth = L2Depth()
self.l2_depth = L2Depth()
self.last_trade = Trade()
self.trade_history = []
self.trade_history_max_sec = datetime.timedelta(seconds=60)
def init_trades_table(self, instmt):
if self.data_mode & ExchangeGateway.DataMode.TRADES_ONLY:
table_name = self.get_trades_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name())
self.db_client.create(table_name,
['id'] + Trade.columns(),
['int'] + Trade.types(),
[0])
def parse_trade(cls, instmt, raws):
"""
:param instmt: Instrument
:param raw: Raw data in JSON
:return:
"""
trades = []
for item in raws:
trade = Trade()
today = datetime.today().date()
time = item[3]
#trade.date_time = datetime.utcfromtimestamp(date_time/1000.0).strftime("%Y%m%d %H:%M:%S.%f")
#Convert local time as to UTC.
date_time = datetime(today.year,
today.month,
today.day,
*list(map(lambda x: int(x), time.split(':'))),
tzinfo=get_localzone())
trade.date_time = date_time.astimezone(
pytz.utc).strftime('%Y%m%d %H:%M:%S.%f')
# Trade side
# Buy = 0
# Side = 1
trade.trade_side = Trade.parse_side(item[4])
# Trade id
trade.trade_id = str(item[0])
# Trade price
trade.trade_price = item[1]
# Trade volume
trade.trade_volume = item[2]
trades.append(trade)
return trades
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:
# Date time
date_time = float(raw[cls.get_trades_timestamp_field_name()])
trade.date_time = datetime.utcfromtimestamp(date_time).strftime(
'%Y%m%d %H:%M:%S.%f')
# Trade side
#trade.trade_side = 1
trade.trade_side = Trade.parse_side(
raw[cls.get_trade_side_field_name()])
# 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 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 insert_order_book(self, instmt):
"""
Insert order book row into the database client
:param instmt: Instrument
"""
# If local timestamp indicator is on, assign the local timestamp again
if self.is_local_timestamp:
instmt.get_l2_depth().date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
# Update the snapshot
if self.data_mode & ExchangeGateway.DataMode.SNAPSHOT_ONLY and \
instmt.get_l2_depth() is not None:
self.db_client.insert(table=self.get_snapshot_table_name(),
columns=Snapshot.columns(),
types=Snapshot.types(),
values=Snapshot.values(instmt.get_exchange_name(),
instmt.get_instmt_name(),
instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
primary_key_index=[0,1],
is_orreplace=True,
is_commit=not(self.data_mode & ExchangeGateway.DataMode.ORDER_BOOK_ONLY))
# Update its order book table
if self.data_mode & ExchangeGateway.DataMode.ORDER_BOOK_ONLY:
self.db_client.insert(table=instmt.get_order_book_table_name(),
columns=['id'] + L2Depth.columns(),
types=['int'] + L2Depth.types(),
values=[instmt.get_order_book_id()] + instmt.get_l2_depth().values())
def insert_order_book(self, instmt):
"""
Insert order book row into the database client
:param instmt: Instrument
"""
# If local timestamp indicator is on, assign the local timestamp again
if self.is_local_timestamp:
instmt.get_l2_depth().date_time = datetime.utcnow().strftime(
"%Y-%m-%d %H:%M:%S.%f")
# Update the snapshot
if instmt.get_l2_depth() is not None:
id = self.get_instmt_snapshot_id(instmt)
for db_client in self.db_clients:
if self.is_allowed_snapshot(db_client):
db_client.insert(
table=self.get_snapshot_table_name(),
columns=Snapshot.columns(),
types=Snapshot.types(),
values=Snapshot.values(
instmt.get_exchange_name(),
instmt.get_instmt_name(), instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else
instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
primary_key_index=[0, 1],
is_orreplace=
True, # maybe I could change this one to get a history
is_commit=True)
if self.is_allowed_instmt_record(db_client):
db_client.insert(
table=instmt.get_instmt_snapshot_table_name(),
columns=['id'] + Snapshot.columns(),
types=['int'] + Snapshot.types(),
values=[id] + Snapshot.values(
instmt.get_exchange_name(),
instmt.get_instmt_name(), instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else
instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
primary_key_index=[0, 1, 2],
is_commit=True)
def insert_trade(self, instmt, trade):
"""
Insert trade row into the database client
:param instmt: Instrument
"""
# If the instrument is not recovered, skip inserting into the table
if not instmt.get_recovered():
return
# If local timestamp indicator is on, assign the local timestamp again
if self.is_local_timestamp:
trade.date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
# Set the last trade to the current one
instmt.set_last_trade(trade)
# Update the snapshot
if self.data_mode & ExchangeGateway.DataMode.SNAPSHOT_ONLY and \
instmt.get_l2_depth() is not None and \
instmt.get_last_trade() is not None:
self.db_client.insert(table=self.get_snapshot_table_name(),
columns=Snapshot.columns(),
values=Snapshot.values(instmt.get_exchange_name(),
instmt.get_instmt_name(),
instmt.get_l2_depth(),
instmt.get_last_trade(),
Snapshot.UpdateType.TRADES),
types=Snapshot.types(),
primary_key_index=[0,1],
is_orreplace=True,
is_commit=not(self.data_mode & ExchangeGateway.DataMode.TRADES_ONLY))
# Update its trade table
if self.data_mode & ExchangeGateway.DataMode.TRADES_ONLY:
self.db_client.insert(table=instmt.get_trades_table_name(),
columns=['id']+Trade.columns(),
types=['int']+Trade.types(),
values=[instmt.get_trade_id()]+trade.values())
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
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]
trade_price = float(raw[1])
trade_volume = float(raw[2])
timestamp = raw[3]
trade_side = raw[4]
trade.trade_id = trade_id + timestamp
trade.trade_price = trade_price
trade.trade_volume = trade_volume
trade.trade_side = Trade.parse_side(trade_side)
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:
"""
keys = list(raw.keys())
ret = []
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:
tradeTime = raw[cls.get_trades_timestamp_field_name()]
tradeId = raw[cls.get_trade_id_field_name()]
tradeSide = raw[cls.get_trade_side_field_name()]
tradePrice = raw[cls.get_trade_price_field_name()]
tradeQty = raw[cls.get_trade_volume_field_name()]
for i in range(0, len(tradeTime)):
trade = Trade()
# Date time
# timestamp = tradeTime[i]
# timestamp = datetime.utcfromtimestamp(timestamp).strftime("%Y%m%d %H:%M:%S.%f")
# trade.date_time = timestamp
# Trade side
if tradeSide[i] == 3:
trade.trade_side = Trade.parse_side(1)
elif tradeSide[i] == 4:
trade.trade_side = Trade.parse_side(2)
else:
trade.trade_side = Trade.parse_side(tradeSide[i])
# Trade id
trade.trade_id = str(tradeId[i])
# Trade price
trade.trade_price = tradePrice[i]
# Trade volume
trade.trade_volume = tradeQty[i]
ret.append(trade)
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 ret