def parse_diff_depth_stream_ws(
instrument_id: InstrumentId,
data: BinanceOrderBookData,
ts_init: int,
) -> OrderBookDeltas:
ts_event: int = millis_to_nanos(
data.T) if data.T is not None else millis_to_nanos(data.E)
bid_deltas: List[OrderBookDelta] = [
parse_book_delta_ws(instrument_id, OrderSide.BUY, d, ts_event, ts_init,
data.u) for d in data.b
]
ask_deltas: List[OrderBookDelta] = [
parse_book_delta_ws(instrument_id, OrderSide.SELL, d, ts_event,
ts_init, data.u) for d in data.a
]
return OrderBookDeltas(
instrument_id=instrument_id,
book_type=BookType.L2_MBP,
deltas=bid_deltas + ask_deltas,
ts_event=ts_event,
ts_init=ts_init,
update_id=data.u,
)
def parse_line(d):
if "status" in d:
return {}
elif "close_price" in d:
# return {'timestamp': d['remote_timestamp'], "close_price": d['close_price']}
return {}
if "trade" in d:
return {
"timestamp":
d["remote_timestamp"],
"op":
"trade",
"trade":
TradeTick(
instrument_id=InstrumentId(Symbol("TEST"),
Venue("BETFAIR")),
price=Price(d["trade"]["price"], 4),
size=Quantity(d["trade"]["volume"], 4),
aggressor_side=d["trade"]["side"],
match_id=TradeMatchId(d["trade"]["trade_id"]),
timestamp_origin_ns=millis_to_nanos(
pd.Timestamp(d["remote_timestamp"]).timestamp()),
timestamp_ns=millis_to_nanos(
pd.Timestamp(d["remote_timestamp"]).timestamp(
) # TODO(cs): Hardcoded identical for now
),
),
}
elif "level" in d and d["level"]["orders"][0]["volume"] == 0:
op = "delete"
else:
op = "update"
order_like = d["level"]["orders"][0] if op != "trade" else d[
"trade"]
return {
"timestamp":
d["remote_timestamp"],
"op":
op,
"order":
Order(
price=Price(order_like["price"], precision=6),
volume=Quantity(abs(order_like["volume"]), precision=4),
# Betting sides are reversed
side={
2: OrderSide.BUY,
1: OrderSide.SELL
}[order_like["side"]],
id=str(order_like["order_id"]),
),
}
def build_market_update_messages(
instrument_provider, raw
) -> List[
Union[OrderBookDelta, TradeTick, InstrumentStatusEvent, InstrumentClosePrice]
]:
updates = []
book_updates = []
timestamp_origin_ns = millis_to_nanos(raw["pt"])
timestamp_ns = millis_to_nanos(
raw["pt"]
) # TODO(bm): Could call self._clock.timestamp_ns()
for market in raw.get("mc", []):
updates.extend(
_handle_market_runners_status(
instrument_provider=instrument_provider,
market=market,
timestamp_ns=timestamp_ns,
)
)
for runner in market.get("rc", []):
kw = dict(
market_id=market["id"],
selection_id=str(runner["id"]),
handicap=str(runner.get("hc") or "0.0"),
)
instrument = instrument_provider.get_betting_instrument(**kw)
if instrument is None:
continue
# Delay appending book updates until we can merge at the end
book_updates.extend(
_handle_book_updates(
runner=runner,
instrument=instrument,
timestamp_origin_ns=timestamp_origin_ns,
timestamp_ns=timestamp_ns,
)
)
if "trd" in runner:
updates.extend(
_handle_market_trades(
runner=runner,
instrument=instrument,
timestamp_origin_ns=timestamp_origin_ns,
timestamp_ns=timestamp_ns,
)
)
if book_updates:
updates.extend(_merge_order_book_deltas(book_updates))
return updates
def parse_trade_report_http(
account_id: AccountId,
instrument_id: InstrumentId,
data: BinanceFuturesAccountTrade,
report_id: UUID4,
ts_init: int,
) -> TradeReport:
return TradeReport(
account_id=account_id,
instrument_id=instrument_id,
venue_order_id=VenueOrderId(str(data.orderId)),
venue_position_id=PositionId(
f"{instrument_id}-{data.positionSide.value}"),
trade_id=TradeId(str(data.id)),
order_side=OrderSide[data.side.value],
last_qty=Quantity.from_str(data.qty),
last_px=Price.from_str(data.price),
commission=Money(data.commission,
Currency.from_str(data.commissionAsset)),
liquidity_side=LiquiditySide.MAKER
if data.maker else LiquiditySide.TAKER,
report_id=report_id,
ts_event=millis_to_nanos(data.time),
ts_init=ts_init,
)
def _handle_account_update(self, msg: BinanceFuturesAccountUpdateMsg):
self.generate_account_state(
balances=parse_account_balances_ws(raw_balances=msg.a.B),
margins=[],
reported=True,
ts_event=millis_to_nanos(msg.T),
)
async def generate_trades_list(
self,
venue_order_id: VenueOrderId,
symbol: Symbol,
since: datetime = None) -> List[ExecutionReport]:
filled = self.client().betting.list_cleared_orders(
bet_ids=[venue_order_id], )
if not filled["clearedOrders"]:
self._log.warn(f"Found no existing order for {venue_order_id}")
return []
fill = filled["clearedOrders"][0]
timestamp_ns = millis_to_nanos(
pd.Timestamp(fill["lastMatchedDate"]).timestamp())
return [
ExecutionReport(
client_order_id=self.
venue_order_id_to_client_order_id[venue_order_id],
venue_order_id=VenueOrderId(fill["betId"]),
execution_id=ExecutionId(fill["lastMatchedDate"]),
last_qty=Decimal(fill["sizeSettled"]),
last_px=Decimal(fill["priceMatched"]),
commission_amount=None, # Can be None
commission_currency=None, # Can be None
liquidity_side=LiquiditySide.NONE,
execution_ns=timestamp_ns,
timestamp_ns=timestamp_ns,
)
]
def test_millis_to_nanos(self, value, expected):
# Arrange
# Act
result = millis_to_nanos(value)
# Assert
assert result == expected
def parse_ticker_24hr_ws(
instrument_id: InstrumentId,
data: BinanceTickerData,
ts_init: int,
) -> BinanceTicker:
return BinanceTicker(
instrument_id=instrument_id,
price_change=Decimal(data.p),
price_change_percent=Decimal(data.P),
weighted_avg_price=Decimal(data.w),
prev_close_price=Decimal(data.x) if data.x is not None else None,
last_price=Decimal(data.c),
last_qty=Decimal(data.Q),
bid_price=Decimal(data.b),
bid_qty=Decimal(data.B),
ask_price=Decimal(data.a),
ask_qty=Decimal(data.A),
open_price=Decimal(data.o),
high_price=Decimal(data.h),
low_price=Decimal(data.l),
volume=Decimal(data.v),
quote_volume=Decimal(data.q),
open_time_ms=data.O,
close_time_ms=data.C,
first_id=data.F,
last_id=data.L,
count=data.n,
ts_event=millis_to_nanos(data.E),
ts_init=ts_init,
)
def parse_ticker_ws(instrument_id: InstrumentId, msg: Dict,
ts_init: int) -> BinanceTicker:
return BinanceTicker(
instrument_id=instrument_id,
price_change=Decimal(msg["p"]),
price_change_percent=Decimal(msg["P"]),
weighted_avg_price=Decimal(msg["w"]),
prev_close_price=Decimal(msg["x"]),
last_price=Decimal(msg["c"]),
last_qty=Decimal(msg["Q"]),
bid_price=Decimal(msg["b"]),
ask_price=Decimal(msg["a"]),
open_price=Decimal(msg["o"]),
high_price=Decimal(msg["h"]),
low_price=Decimal(msg["l"]),
volume=Decimal(msg["v"]),
quote_volume=Decimal(msg["q"]),
open_time_ms=msg["O"],
close_time_ms=msg["C"],
first_id=msg["F"],
last_id=msg["L"],
count=msg["n"],
ts_event=millis_to_nanos(msg["E"]),
ts_init=ts_init,
)
def _handle_account_update(self, data: Dict[str, Any]):
self.generate_account_state(
balances=parse_account_balances_ws(raw_balances=data["B"]),
margins=[],
reported=True,
ts_event=millis_to_nanos(data["u"]),
)
async def load_all_async(self, filters: Optional[Dict] = None) -> None:
"""
Load the latest instruments into the provider asynchronously, optionally
applying the given filters.
Parameters
----------
filters : Dict, optional
The venue specific instrument loading filters to apply.
"""
filters_str = "..." if not filters else f" with filters {filters}..."
self._log.info(f"Loading all instruments{filters_str}")
# Get current commission rates
try:
fee_res: List[BinanceSpotTradeFees] = await self._wallet.trade_fees()
fees: Dict[str, BinanceSpotTradeFees] = {s.symbol: s for s in fee_res}
except BinanceClientError:
self._log.error(
"Cannot load instruments: API key authentication failed "
"(this is needed to fetch the applicable account fee tier).",
)
return
# Get exchange info for all assets
exchange_info: BinanceSpotExchangeInfo = await self._market.exchange_info()
for symbol_info in exchange_info.symbols:
self._parse_instrument(
symbol_info=symbol_info,
fees=fees[symbol_info.symbol],
ts_event=millis_to_nanos(exchange_info.serverTime),
)
def build_market_snapshot_messages(
instrument_provider,
raw) -> List[Union[OrderBookSnapshot, InstrumentStatusEvent]]:
updates = []
timestamp_ns = millis_to_nanos(raw["pt"])
for market in raw.get("mc", []):
# Instrument Status
updates.extend(
_handle_market_runners_status(
instrument_provider=instrument_provider,
market=market,
timestamp_ns=timestamp_ns,
))
# OrderBook snapshots
if market.get("img") is True:
market_id = market["id"]
for (selection_id, handicap), selections in itertools.groupby(
market.get("rc", []), lambda x: (x["id"], x.get("hc"))):
for selection in list(selections):
kw = dict(
market_id=market_id,
selection_id=str(selection_id),
handicap=str(handicap or "0.0"),
)
instrument = instrument_provider.get_betting_instrument(
**kw)
updates.extend(
_handle_market_snapshot(
selection=selection,
instrument=instrument,
timestamp_ns=timestamp_ns,
))
return updates
def test_set_two_repeating_timers(self):
# Arrange
start_time = self.clock.utc_now()
interval = timedelta(milliseconds=100)
# Act
self.clock.set_timer(
name="TEST_TIMER1",
interval=interval,
start_time=self.clock.utc_now(),
stop_time=None,
)
self.clock.set_timer(
name="TEST_TIMER2",
interval=interval,
start_time=self.clock.utc_now(),
stop_time=None,
)
events = self.clock.advance_time(to_time_ns=millis_to_nanos(500))
# Assert
assert len(events) == 10
assert self.clock.utc_now() == start_time + timedelta(milliseconds=500)
assert self.clock.timestamp_ns() == 500_000_000
async def load_ids_async(
self,
instrument_ids: List[InstrumentId],
filters: Optional[Dict] = None,
) -> None:
"""
Load the instruments for the given IDs into the provider, optionally
applying the given filters.
Parameters
----------
instrument_ids: List[InstrumentId]
The instrument IDs to load.
filters : Dict, optional
The venue specific instrument loading filters to apply.
Raises
------
ValueError
If any `instrument_id.venue` is not equal to `self.venue`.
"""
if not instrument_ids:
self._log.info("No instrument IDs given for loading.")
return
# Check all instrument IDs
for instrument_id in instrument_ids:
PyCondition.equal(instrument_id.venue, self.venue,
"instrument_id.venue", "self.venue")
filters_str = "..." if not filters else f" with filters {filters}..."
self._log.info(f"Loading instruments {instrument_ids}{filters_str}.")
# # Get current commission rates
# try:
# fees: Optional[Dict[str, Dict[str, str]]] = None
# except BinanceClientError:
# self._log.error(
# "Cannot load instruments: API key authentication failed "
# "(this is needed to fetch the applicable account fee tier).",
# )
# return
# Extract all symbol strings
symbols: List[str] = [
instrument_id.symbol.value for instrument_id in instrument_ids
]
# Get exchange info for all assets
exchange_info: BinanceFuturesExchangeInfo = await self._market.exchange_info(
symbols=symbols)
for symbol_info in exchange_info.symbols:
self._parse_instrument(
symbol_info=symbol_info,
fees=None,
ts_event=millis_to_nanos(exchange_info.serverTime),
)
def make_news_event(df, state=None):
for _, row in df.iterrows():
yield NewsEvent(
name=row["Name"],
impact=row["Impact"],
currency=row["Currency"],
ts_event_ns=millis_to_nanos(
pd.Timestamp(row["Start"]).timestamp()),
)
def parse_trade_tick_ws(instrument_id: InstrumentId, msg: Dict,
ts_init: int) -> TradeTick:
return TradeTick(
instrument_id=instrument_id,
price=Price.from_str(msg["p"]),
size=Quantity.from_str(msg["q"]),
aggressor_side=AggressorSide.SELL if msg["m"] else AggressorSide.BUY,
trade_id=str(msg["t"]),
ts_event=millis_to_nanos(msg["T"]),
ts_init=ts_init,
)
async def generate_order_status_report(self, order) -> Optional[OrderStatusReport]:
return [
OrderStatusReport(
client_order_id=ClientOrderId(),
venue_order_id=VenueOrderId(),
order_state=OrderState(),
filled_qty=Quantity.zero(),
timestamp_ns=millis_to_nanos(),
)
for order in self.client().betting.list_current_orders()["currentOrders"]
]
def parse_trade_tick_http(instrument_id: InstrumentId, msg: Dict,
ts_init: int) -> TradeTick:
return TradeTick(
instrument_id=instrument_id,
price=Price.from_str(msg["price"]),
size=Quantity.from_str(msg["qty"]),
aggressor_side=AggressorSide.SELL
if msg["isBuyerMaker"] else AggressorSide.BUY,
trade_id=TradeId(str(msg["id"])),
ts_event=millis_to_nanos(msg["time"]),
ts_init=ts_init,
)
def test_set_timer_with_immediate_start_time(self):
# Arrange
name = "TEST_TIMER"
# Act
self.clock.set_timer(
name=name,
interval=timedelta(milliseconds=100),
start_time=None,
stop_time=None,
)
events = self.clock.advance_time(to_time_ns=millis_to_nanos(400))
# Assert
assert self.clock.timer_names() == [name]
assert len(events) == 4
assert events[0].event.event_timestamp_ns == 100_000_000
assert events[1].event.event_timestamp_ns == 200_000_000
assert events[2].event.event_timestamp_ns == 300_000_000
assert events[3].event.event_timestamp_ns == 400_000_000
assert events[0].event.event_timestamp == datetime(1970,
1,
1,
0,
0,
0,
100000,
tzinfo=pytz.utc)
assert events[1].event.event_timestamp == datetime(1970,
1,
1,
0,
0,
0,
200000,
tzinfo=pytz.utc)
assert events[2].event.event_timestamp == datetime(1970,
1,
1,
0,
0,
0,
300000,
tzinfo=pytz.utc)
assert events[3].event.event_timestamp == datetime(1970,
1,
1,
0,
0,
0,
400000,
tzinfo=pytz.utc)
def test_set_multiple_time_alerts(self):
# Arrange
alert_time1 = self.clock.utc_now() + timedelta(milliseconds=200)
alert_time2 = self.clock.utc_now() + timedelta(milliseconds=300)
# Act
self.clock.set_time_alert("TEST_ALERT1", alert_time1)
self.clock.set_time_alert("TEST_ALERT2", alert_time2)
events = self.clock.advance_time(to_time_ns=millis_to_nanos(300))
# Assert
assert self.clock.timer_names() == []
assert len(events) == 2
def test_set_time_alert(self):
# Arrange
name = "TEST_ALERT"
alert_time = self.clock.utc_now() + timedelta(milliseconds=100)
# Act
self.clock.set_time_alert(name, alert_time)
events = self.clock.advance_time(to_time_ns=millis_to_nanos(200))
# Assert
assert self.clock.timer_names() == []
assert len(events) == 1
assert type(events[0]) == TimeEventHandler
def parse_csv_tick(df, instrument_id, state=None):
for _, r in df.iterrows():
ts = millis_to_nanos(pd.Timestamp(r["timestamp"]).timestamp())
tick = QuoteTick(
instrument_id=instrument_id,
bid=Price.from_str(str(r["bid"])),
ask=Price.from_str(str(r["ask"])),
bid_size=Quantity.from_int(1_000_000),
ask_size=Quantity.from_int(1_000_000),
ts_event_ns=ts,
ts_recv_ns=ts,
)
yield tick
def parse_order_report_http(
account_id: AccountId,
instrument_id: InstrumentId,
data: BinanceFuturesOrder,
report_id: UUID4,
ts_init: int,
) -> OrderStatusReport:
price = Decimal(data.price)
trigger_price = Decimal(data.stopPrice)
avg_px = Decimal(data.avgPrice)
time_in_force = BinanceFuturesTimeInForce(data.timeInForce.upper())
return OrderStatusReport(
account_id=account_id,
instrument_id=instrument_id,
client_order_id=ClientOrderId(data.clientOrderId)
if data.clientOrderId != "" else None,
venue_order_id=VenueOrderId(str(data.orderId)),
order_side=OrderSide[data.side.upper()],
order_type=parse_order_type(data.type),
time_in_force=parse_time_in_force(time_in_force),
order_status=parse_order_status(data.status),
price=Price.from_str(data.price) if price is not None else None,
quantity=Quantity.from_str(data.origQty),
filled_qty=Quantity.from_str(data.executedQty),
avg_px=avg_px if avg_px > 0 else None,
post_only=time_in_force == BinanceFuturesTimeInForce.GTX,
reduce_only=data.reduceOnly,
report_id=report_id,
ts_accepted=millis_to_nanos(data.time),
ts_last=millis_to_nanos(data.updateTime),
ts_init=ts_init,
trigger_price=Price.from_str(str(trigger_price))
if trigger_price > 0 else None,
trigger_type=parse_trigger_type(data.workingType),
trailing_offset=Decimal(data.priceRate) *
100 if data.priceRate is not None else None,
offset_type=TrailingOffsetType.BASIS_POINTS
if data.priceRate is not None else TrailingOffsetType.NONE,
)
def _handle_stream_executable_order_update(self, update: Dict) -> None:
"""
Handle update containing "E" (executable) order update
"""
venue_order_id = VenueOrderId(update["id"])
client_order_id = self.venue_order_id_to_client_order_id[
venue_order_id]
order = self._cache.order(client_order_id)
instrument = self._cache.instrument(order.instrument_id)
# Check if this is the first time seeing this order (backtest or replay)
if venue_order_id in self.venue_order_id_to_client_order_id:
# We've already sent an accept for this order in self._submit_order
self._log.debug(
f"Skipping order_accept as order exists: venue_order_id={update['id']}"
)
else:
raise RuntimeError()
# self.generate_order_accepted(
# strategy_id=order.strategy_id,
# instrument_id=instrument.id,
# client_order_id=client_order_id,
# venue_order_id=venue_order_id,
# ts_event=millis_to_nanos(order_update["pd"]),
# )
# Check for any portion executed
if update["sm"] > 0 and update["sm"] > order.filled_qty:
trade_id = create_trade_id(update)
if trade_id not in self.published_executions[client_order_id]:
fill_qty = update["sm"] - order.filled_qty
fill_price = self._determine_fill_price(update=update,
order=order)
self.generate_order_filled(
strategy_id=order.strategy_id,
instrument_id=order.instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
venue_position_id=None, # Can be None
trade_id=trade_id,
order_side=B2N_ORDER_STREAM_SIDE[update["side"]],
order_type=OrderType.LIMIT,
last_qty=Quantity(fill_qty, instrument.size_precision),
last_px=price_to_probability(str(fill_price)),
# avg_px=Decimal(order['avp']),
quote_currency=instrument.quote_currency,
commission=Money(0, self.base_currency),
liquidity_side=LiquiditySide.NONE,
ts_event=millis_to_nanos(update["md"]),
)
self.published_executions[client_order_id].append(trade_id)
def build_market_snapshot_messages(
raw, instrument_provider: BetfairInstrumentProvider
) -> List[OrderBookSnapshot]:
updates = []
for market in raw.get("mc", []):
# Market status events
# market_definition = market.get("marketDefinition", {})
# TODO - Need to handle instrument status = CLOSED here
# Orderbook snapshots
if market.get("img") is True:
market_id = market["id"]
for (selection_id, handicap), selections in itertools.groupby(
market.get("rc", []), lambda x: (x["id"], x.get("hc"))):
for selection in list(selections):
kw = dict(
market_id=market_id,
selection_id=str(selection_id),
handicap=str(handicap or "0.0"),
)
instrument = instrument_provider.get_betting_instrument(
**kw)
# Check we only have one of [best bets / depth bets / all bets]
bid_keys = [k for k in B_BID_KINDS if k in selection
] or ["atb"]
ask_keys = [k for k in B_ASK_KINDS if k in selection
] or ["atl"]
assert len(bid_keys) <= 1
assert len(ask_keys) <= 1
# TODO Clean this crap up
if bid_keys[0] == "atb":
bids = selection.get("atb", [])
else:
bids = [(p, v)
for _, p, v in selection.get(bid_keys[0], [])]
if ask_keys[0] == "atl":
asks = selection.get("atl", [])
else:
asks = [(p, v)
for _, p, v in selection.get(ask_keys[0], [])]
snapshot = OrderBookSnapshot(
level=OrderBookLevel.L2,
instrument_id=instrument.id,
bids=[(price_to_probability(p, OrderSide.BUY), v)
for p, v in asks],
asks=[(price_to_probability(p, OrderSide.SELL), v)
for p, v in bids],
timestamp_ns=millis_to_nanos(raw["pt"]),
)
updates.append(snapshot)
return updates
def parse_book_snapshot(
instrument_id: InstrumentId,
data: BinanceOrderBookData,
ts_init: int,
) -> OrderBookSnapshot:
return OrderBookSnapshot(
instrument_id=instrument_id,
book_type=BookType.L2_MBP,
bids=[[float(o[0]), float(o[1])] for o in data.bids],
asks=[[float(o[0]), float(o[1])] for o in data.asks],
ts_event=millis_to_nanos(data.T),
ts_init=ts_init,
update_id=data.u,
)
def parse_trade_tick_ws(
instrument_id: InstrumentId,
data: BinanceTradeData,
ts_init: int,
) -> TradeTick:
return TradeTick(
instrument_id=instrument_id,
price=Price.from_str(data.p),
size=Quantity.from_str(data.q),
aggressor_side=AggressorSide.SELL if data.m else AggressorSide.BUY,
trade_id=TradeId(str(data.t)),
ts_event=millis_to_nanos(data.T),
ts_init=ts_init,
)
def parse_order_report_http(
account_id: AccountId,
instrument_id: InstrumentId,
data: Dict[str, Any],
report_id: UUID4,
ts_init: int,
) -> OrderStatusReport:
client_id_str = data.get("clientOrderId")
order_type = data["type"].upper()
price = data.get("price")
trigger_price = Decimal(data["stopPrice"])
avg_px = Decimal(data["price"])
return OrderStatusReport(
account_id=account_id,
instrument_id=instrument_id,
client_order_id=ClientOrderId(client_id_str)
if client_id_str is not None else None,
venue_order_id=VenueOrderId(str(data["orderId"])),
order_side=OrderSide[data["side"].upper()],
order_type=parse_order_type(order_type),
time_in_force=parse_time_in_force(data["timeInForce"].upper()),
order_status=TimeInForce(data["status"].upper()),
price=Price.from_str(price) if price is not None else None,
quantity=Quantity.from_str(data["origQty"]),
filled_qty=Quantity.from_str(data["executedQty"]),
avg_px=avg_px if avg_px > 0 else None,
post_only=order_type == "LIMIT_MAKER",
reduce_only=False,
report_id=report_id,
ts_accepted=millis_to_nanos(data["time"]),
ts_last=millis_to_nanos(data["updateTime"]),
ts_init=ts_init,
trigger_price=Price.from_str(str(trigger_price))
if trigger_price > 0 else None,
trigger_type=TriggerType.LAST
if trigger_price > 0 else TriggerType.NONE,
)
def _handle_kline(self, data: Dict[str, Any]):
kline = data["k"]
if data["E"] < kline["T"]:
return # Bar has not closed yet
instrument_id = InstrumentId(
symbol=Symbol(kline["s"]),
venue=BINANCE_VENUE,
)
bar: BinanceBar = parse_bar_ws(
instrument_id=instrument_id,
kline=kline,
ts_event=millis_to_nanos(data["E"]),
ts_init=self._clock.timestamp_ns(),
)
self._handle_data(bar)
def parse_bar(bar_type: BarType, values: List, ts_init: int) -> BinanceBar:
return BinanceBar(
bar_type=bar_type,
open=Price.from_str(values[1]),
high=Price.from_str(values[2]),
low=Price.from_str(values[3]),
close=Price.from_str(values[4]),
volume=Quantity.from_str(values[5]),
quote_volume=Quantity.from_str(values[7]),
count=values[8],
taker_buy_base_volume=Quantity.from_str(values[9]),
taker_buy_quote_volume=Quantity.from_str(values[10]),
ts_event=millis_to_nanos(values[0]),
ts_init=ts_init,
)
