def on_trade_session_open(self, msg):
"""
On start, trade session is opened. Now we can request data and set orders
"""
self._logger.debug(f"Trade session opened. Requesting feeds for subscribers: {self._feed_subscribers}")
for asset in filter(lambda a: a != Asset.any_asset(), self._feed_subscribers):
self._request_feed(asset)
def _on_level2(self, data: dict):
"""
Level 2 data handler. Quik sends us full level2 snapshot.
"""
# Sample of level2. {'msgid': 21014, 'quotes': {'QJSIM¦SBER': {'lines': {'22806':
# {'b': 234, 's': 0, 'by': 0, 'sy': 0}, '22841': {'b': 437, 's': 0, 'by': 0, 'sy': 0},
# '22853': {'b': 60, 's': 0, 'by': 0, 'sy': 0}, '22878': {'b': 82, 's': 0, 'by': 0, 'sy': 0},
# '22886': {'b': 138, 's': 0, 'by': 0, 'sy': 0}, '22895': {'b': 1, 's': 0, 'by': 0, 'sy': 0},...
# Go through all assets in level2 message
# Todo: get rid of nested check
for asset_str in data['quotes']:
# asset_class, asset_code = self._connector.asset2tuple(asset_str)
asset = WebQuikFeed._asset_of(asset_str)
if asset not in self._feed_subscribers:
continue
# {'22806': {'b': 234, 's': 0, 'by': 0, 'sy': 0}, ..}
level2_quik: dict = data['quotes'][asset_str]['lines']
# level2 = {}
# Level2(datetime.now())
# Fill in level2 items
items = []
for key in level2_quik.keys():
price = int(key)
bid = level2_quik[key]['b']
if bid == 0:
bid = None
ask = level2_quik[key]['s']
if ask == 0:
ask = None
items.append(Level2Item(price, bid, ask))
level2 = Level2.of(datetime.now(),asset, items)
# If somebody subscribed to level2 of this asset, send her this data.
subscribers = self._feed_subscribers[asset] + self._feed_subscribers[Asset.any_asset()]
for subscriber in filter(lambda s: s.on_level2, subscribers):
subscriber.on_level2(level2)
def _on_quotes(self, data: dict):
"""
Bid/ask spreads callback
Msg sample: {"msgid":21011,"dataResult":{"CETS\u00A6BYNRUBTODTOM":{"bid":0, "ask":10, last":0,"lastchange":...
"""
self._logger.debug('Got bid/ask quotes: %s', data)
for quik_asset in data['dataResult'].keys():
asset = WebQuikFeed._asset_of(quik_asset)
if asset in self._feed_subscribers.keys():
quote = WebQuikFeed._quote_of(quik_asset, data['dataResult'][quik_asset])
# Send to subscriber
for subscriber in self._feed_subscribers[asset] + self._feed_subscribers[Asset.any_asset()]:
subscriber.on_quote(quote)