async def tick(
self) -> AsyncGenerator[Any, Event]: # type: ignore[override]
now = self._start
for i in range(1000):
if self._client_order:
self._client_order.filled = self._client_order.volume
t = Trade(
self._client_order.volume,
i,
taker_order=self._client_order,
maker_orders=[],
)
t.taker_order.timestamp = now
self._client_order = None
yield Event(type=EventType.TRADE, target=t)
continue
o = Order(
1,
i,
Side.BUY,
self._instrument,
self.exchange(),
timestamp=now,
filled=1,
)
t = Trade(1, i, o, [])
yield Event(type=EventType.TRADE, target=t)
now += timedelta(minutes=30)
async def tick(self):
'''return data from exchange'''
while True:
# clear order events
while self._order_event_queue.qsize() > 0:
order_data = self._order_event_queue.get()
status = order_data['status']
order = self._orders[order_data['orderId']]
if status in ('ApiPending', 'PendingSubmit', 'PendingCancel',
'PreSubmitted', 'ApiCancelled', 'Inactive'):
# ignore
continue
elif status in ('Submitted', ):
# TODO more granular order events api?
# ignore
pass
elif status in ('Cancelled', ):
e = Event(type=EventType.REJECTED, target=order)
yield e
elif status in ('Filled', ):
t = Trade(volume=order_data['filled'],
price=order_data['avgFillPrice'],
maker_orders=[],
taker_order=order)
t.my_order = order
e = Event(type=EventType.TRADE, target=t)
yield e
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
while True:
# clear order events
while self._order_event_queue.qsize() > 0:
order_data = self._order_event_queue.get()
status = order_data['status']
order = self._orders[order_data['orderId']]
if status in ('ApiPending', 'PendingSubmit', 'PendingCancel', 'PreSubmitted', 'ApiCancelled', 'Inactive'):
# ignore
continue
elif status in ('Submitted',):
e = Event(type=EventType.RECEIVED, target=order)
yield e
elif status in ('Cancelled',):
e = Event(type=EventType.CANCELED, target=order)
yield e
elif status in ('Filled',):
# this is the filled from orderStatus, but we
# want to use the one from execDetails
# From the IB Docs:
# "There are not guaranteed to be orderStatus
# callbacks for every change in order status"
# It is recommended to use execDetails
# ignore
pass
elif status in ('Execution',):
# set filled
order.filled = order_data['filled']
# create trade object
t = Trade(volume=order_data['filled'], price=order_data['avgFillPrice'], maker_orders=[], taker_order=order)
# set my order
t.my_order = order
e = Event(type=EventType.TRADE, target=t)
yield e
# clear market data events
while self._market_data_queue.qsize() > 0:
market_data = self._market_data_queue.get()
instrument = market_data['instrument']
price = market_data['price']
o = Order(volume=1, price=price, side=Side.BUY, instrument=instrument, exchange=self.exchange())
t = Trade(volume=1, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
while True:
# clear order events
while self._order_event_queue.qsize() > 0:
order_data = self._order_event_queue.get()
status = order_data['status']
order = self._orders[order_data['orderId']]
if status in ('ApiPending', 'PendingSubmit', 'PendingCancel',
'PreSubmitted', 'ApiCancelled', 'Inactive'):
# ignore
continue
elif status in ('Submitted', ):
# TODO more granular order events api?
# ignore
pass
elif status in ('Cancelled', ):
e = Event(type=EventType.CANCELED, target=order)
yield e
elif status in ('Filled', ):
# set filled
order.filled = order_data['filled']
# create trade object
t = Trade(volume=order_data['filled'],
price=order_data['avgFillPrice'],
maker_orders=[],
taker_order=order)
# set my order
t.my_order = order
e = Event(type=EventType.TRADE, target=t)
yield e
# clear market data events
while self._market_data_queue.qsize() > 0:
market_data = self._market_data_queue.get()
instrument = market_data['instrument']
price = market_data['price']
o = Order(volume=1,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange())
t = Trade(volume=1,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def connect(self) -> None:
with open(self._filename) as csvfile:
self._reader = csv.DictReader(csvfile, delimiter=",")
for row in self._reader:
order = Order(
volume=float(row["volume"]),
price=float(row["close"]),
side=Side.BUY,
exchange=self.exchange(),
instrument=Instrument(
row["symbol"].split("-")[0],
InstrumentType(row["symbol"].split("-")[1].upper()),
),
filled=float(row["volume"]),
)
if "time" in row:
order.timestamp = datetime.fromtimestamp(float(
row["time"]))
elif "date" in row:
order.timestamp = datetime.fromisoformat(row["date"])
elif "datetime" in row:
order.timestamp = datetime.fromisoformat(row["datetime"])
self._data.append(
Trade(
volume=float(row["volume"]),
price=float(row["close"]),
maker_orders=[],
taker_order=order,
))
async def connect(self):
with open(self._filename) as csvfile:
self._reader = csv.DictReader(csvfile, delimiter=',')
for row in self._reader:
order = Order(volume=float(row['volume']),
price=float(row['close']),
side=Side.BUY,
exchange=self.exchange(),
instrument=Instrument(
row['symbol'].split('-')[0],
InstrumentType(row['symbol'].split('-')[1].upper())
)
)
order.filled = float(row['volume'])
if 'time' in row:
order.timestamp = datetime.fromtimestamp(float(row['time']))
elif 'date' in row:
order.timestamp = datetime.fromisoformat(row['date'])
elif 'datetime' in row:
order.timestamp = datetime.fromisoformat(row['datetime'])
self._data.append(Trade(volume=float(row['volume']),
price=float(row['close']),
maker_orders=[],
taker_order=order))
def restore(self, filename_prefix):
with open('{}.prices.json'.format(filename_prefix), 'r') as fp:
jsn = json.load(fp)
self._prices = {
Instrument.fromJson(json.loads(k)):
[(p1, datetime.fromtimestamp(p2)) for p1, p2 in v]
for k, v in jsn.items()
}
with open('{}.trades.json'.format(filename_prefix), 'r') as fp:
jsn = json.load(fp)
self._trades = {
Instrument.fromJson(json.loads(k)):
[Trade.fromJson(x) for x in v]
for k, v in jsn.items()
}
with open('{}.active_by_inst.json'.format(filename_prefix), 'r') as fp:
jsn = json.load(fp)
self._active_positions_by_instrument = {
Instrument.fromJson(json.loads(k)):
[Position.fromJson(vv) for vv in v]
for k, v in jsn.items()
}
with open('{}.active_by_strat.json'.format(filename_prefix),
'r') as fp:
jsn = json.load(fp)
self._active_positions_by_strategy = {
k: {
Instrument.fromJson(json.loads(kk)): Position.fromJson(vv)
for kk, vv in v.items()
}
for k, v in jsn.items()
}
async def tick(self):
now = self._start
for i in range(1000):
if self._client_order:
self._client_order.filled = self._client_order.volume
t = Trade(self._client_order.volume, i, [], self._client_order)
t.taker_order.timestamp = now
self._client_order = None
yield Event(type=EventType.TRADE, target=t)
continue
o = Order(1, i, Side.BUY, self._instrument, self.exchange())
o.filled = 1
o.timestamp = now
t = Trade(1, i, [], o)
yield Event(type=EventType.TRADE, target=t)
now += timedelta(minutes=30)
def test_maker_orders_validation(self):
if not os.environ.get('AAT_USE_CPP'):
with pytest.raises(Exception):
o = Order(volume=0.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
exchange=ExchangeType(''),
instrument=_INSTRUMENT)
Trade(maker_orders=deque(), taker_order=o)
async def tick(self):
'''return data from exchange'''
dfs = []
for i in self._subscriptions:
df = self._client.chartDF(i.name, timeframe='6m')
df = df[['close', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
dfs.append(df)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
o = Order(volume=volume, price=price, side=Side.BUY, instrument=i, exchange=self.exchange())
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
t = Trade(volume=order.volume, price=order.price, taker_order=order, maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
def test_maker_orders_validation(self):
if not os.environ.get('AAT_USE_CPP'):
with pytest.raises(pydantic.ValidationError):
o = Order(id=1,
timestamp=datetime.now(),
volume=0.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
exchange=ExchangeType(''),
instrument=_INSTRUMENT)
Trade(id=1,
timestamp=datetime.now(),
volume=0.0,
price=0.0,
side=Order.Sides.SELL,
exchange=ExchangeType(''),
instrument=_INSTRUMENT,
maker_orders=deque(),
taker_order=o)
async def tick(self):
for item in self._data:
yield Event(EventType.TRADE, item)
await asyncio.sleep(0)
# save timestamp
timestamp = item.timestamp
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = timestamp
order.filled = order.volume
t = Trade(
volume=order.volume,
price=order.price,
taker_order=order,
maker_orders=[],
my_order=order,
)
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(
self) -> AsyncGenerator[Any, Event]: # type: ignore[override]
"""return data from exchange"""
while True:
# clear order events
while self._order_event_queue.qsize() > 0:
order_data = self._order_event_queue.get()
status = order_data["status"]
order = self._orders[str(order_data["orderId"])]
if status in (
"ApiPending",
"PendingSubmit",
"PendingCancel",
"PreSubmitted",
"ApiCancelled",
"Inactive",
):
# ignore
continue
elif status in ("Submitted", ):
self._order_received_res[order.id] = True
self._order_received_map[order.id].set()
await asyncio.sleep(0)
elif status in ("Cancelled", ):
self._order_cancelled_res[order.id] = True
self._order_cancelled_map[order.id].set()
await asyncio.sleep(0)
elif status in ("Filled", ):
# this is the filled from orderStatus, but we
# want to use the one from execDetails
# From the IB Docs:
# "There are not guaranteed to be orderStatus
# callbacks for every change in order status"
# It is recommended to use execDetails
# ignore
pass
elif status in ("Execution", ):
# set filled
order.filled = order_data["filled"]
# create trade object
t = Trade(
volume=order_data["filled"], # type: ignore
price=order_data["avgFillPrice"], # type: ignore
maker_orders=[],
taker_order=order,
)
# set my order
t.my_order = order
e = Event(type=EventType.TRADE, target=t)
yield e
# clear market data events
while self._market_data_queue.qsize() > 0:
market_data = self._market_data_queue.get()
instrument: Instrument = market_data[
"instrument"] # type: ignore
price: float = market_data["price"] # type: ignore
o = AATOrder(
volume=1,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange(),
)
t = Trade(volume=1,
price=float(price),
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
if self._timeframe == 'live':
data = deque()
def _callback(record):
data.append(record)
self._client.tradesSSE(symbols=",".join(
[i.name for i in self._subscriptions]),
on_data=_callback)
while True:
while data:
record = data.popleft()
volume = record['volume']
price = record['price']
instrument = Instrument(record['symbol'],
InstrumentType.EQUITY)
o = Order(volume=volume,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange())
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
insts = set()
if self._timeframe != '1d':
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs('_aat_data', exist_ok=True)
data_filename = os.path.join(
'_aat_data', 'iex_{}_{}_{}_{}.pkl'.format(
i.name, self._timeframe,
datetime.now().strftime('%Y%m%d'),
'sand' if self._is_sandbox else ''))
if os.path.exists(data_filename):
print('using cached IEX data for {}'.format(
i.name))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name, timeframe=self._timeframe)
df.to_pickle(data_filename)
else:
df = self._client.chartDF(i.name,
timeframe=self._timeframe)
df = df[['close', 'volume']]
df.columns = [
'close:{}'.format(i.name), 'volume:{}'.format(i.name)
]
dfs.append(df)
insts.add(i.name)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
date = self._start_date
subdfs = []
while date <= self._end_date:
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs('_aat_data', exist_ok=True)
data_filename = os.path.join(
'_aat_data', 'iex_{}_{}_{}_{}.pkl'.format(
i.name, self._timeframe, date,
'sand' if self._is_sandbox else ''))
if os.path.exists(data_filename):
print(
'using cached IEX data for {} - {}'.format(
i.name, date))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe='1d',
date=date.strftime('%Y%m%d'))
df.to_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe='1d',
date=date.strftime('%Y%m%d'))
if not df.empty:
df = df[['average', 'volume']]
df.columns = [
'close:{}'.format(i.name),
'volume:{}'.format(i.name)
]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
insts.add(i.name)
data = pd.concat(dfs, axis=1)
data.index = [
x + timedelta(hours=int(y.split(':')[0]),
minutes=int(y.split(':')[1]))
for x, y in data.index
]
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
if volume == 0:
continue
o = Order(volume=volume,
price=price,
side=Side.BUY,
instrument=i,
exchange=self.exchange())
o.filled = volume
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
order.filled = order.volume
t = Trade(volume=order.volume,
price=order.price,
taker_order=order,
maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(
self) -> AsyncGenerator[Any, Event]: # type: ignore[override]
"""return data from exchange"""
while True:
# clear order events
while self._order_event_queue.qsize() > 0:
try:
order_data = self._order_event_queue.get_nowait()
except Empty:
await asyncio.sleep(0.1)
continue
status = order_data["status"]
order = self._orders[str(order_data["orderId"])]
if status in (
"ApiPending",
"PendingSubmit",
"PendingCancel",
"PreSubmitted",
"ApiCancelled",
):
# ignore
continue
elif status in ("Inactive", ):
self._finished_orders.add(order.id)
self._send_order_received(order.id, False)
self._send_cancel_received(order.id, False)
elif status in ("Rejected", ):
self._finished_orders.add(order.id)
self._send_order_received(order.id, False)
await asyncio.sleep(0)
elif status in ("Submitted", ):
self._send_order_received(order.id, True)
await asyncio.sleep(0)
elif status in ("Cancelled", ):
self._finished_orders.add(order.id)
self._send_cancel_received(order.id, True)
await asyncio.sleep(0)
elif status in ("Filled", ):
# this is the filled from orderStatus, but we
# want to use the one from execDetails
# From the IB Docs:
# "There are not guaranteed to be orderStatus
# callbacks for every change in order status"
# It is recommended to use execDetails
# ignore
pass
elif status in ("Execution", ):
# set filled
order.filled = order_data["filled"]
# finish order if fully filled
if order.finished():
self._finished_orders.add(order.id)
# if it was cancelled but already executed, clear out the wait
self._send_cancel_received(order.id, False)
# create trade object
t = Trade(
volume=order_data["filled"], # type: ignore
price=order_data["avgFillPrice"], # type: ignore
maker_orders=[],
taker_order=order,
)
# set my order
t.my_order = order
e = Event(type=EventType.TRADE, target=t)
# if submitted was skipped, clear out the wait
self._send_order_received(order.id, True)
yield e
# clear market data events
while self._market_data_queue.qsize() > 0:
try:
market_data = self._market_data_queue.get_nowait()
except Empty:
await asyncio.sleep(0.1)
continue
instrument: Instrument = market_data[
"instrument"] # type: ignore
price: float = market_data["price"] # type: ignore
o = AATOrder(
volume=1,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange(),
filled=1,
)
t = Trade(volume=1,
price=float(price),
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(
self) -> AsyncGenerator[Any, Event]: # type: ignore[override]
"""return data from exchange"""
if self._timeframe == "live":
data: Deque[dict] = deque()
def _callback(record: dict) -> None:
data.append(record)
self._client.tradesSSE(
symbols=",".join([i.name for i in self._subscriptions]),
on_data=_callback,
)
while True:
while data:
record = data.popleft()
volume = record["volume"]
price = record["price"]
instrument = Instrument(record["symbol"],
InstrumentType.EQUITY)
o = Order(
volume=volume,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange(),
)
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
insts = set()
if self._timeframe != "1d":
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs("_aat_data", exist_ok=True)
data_filename = os.path.join(
"_aat_data",
"iex_{}_{}_{}_{}.pkl".format(
i.name,
self._timeframe,
datetime.now().strftime("%Y%m%d"),
"sand" if self._is_sandbox else "",
),
)
if os.path.exists(data_filename):
print("using cached IEX data for {}".format(
i.name))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name, timeframe=self._timeframe)
df.to_pickle(data_filename)
else:
df = self._client.chartDF(i.name,
timeframe=self._timeframe)
df = df[["close", "volume"]]
df.columns = [
"close:{}".format(i.name), "volume:{}".format(i.name)
]
dfs.append(df)
insts.add(i.name)
data_frame = pd.concat(dfs, axis=1)
data_frame.sort_index(inplace=True)
data_frame = data_frame.groupby(data_frame.index).last()
data_frame.drop_duplicates(inplace=True)
data_frame.fillna(method="ffill", inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
date = self._start_date
subdfs = []
while date <= self._end_date:
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs("_aat_data", exist_ok=True)
data_filename = os.path.join(
"_aat_data",
"iex_{}_{}_{}_{}.pkl".format(
i.name,
self._timeframe,
date,
"sand" if self._is_sandbox else "",
),
)
if os.path.exists(data_filename):
print(
"using cached IEX data for {} - {}".format(
i.name, date))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe="1d",
date=date.strftime("%Y%m%d"))
df.to_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe="1d",
date=date.strftime("%Y%m%d"))
if not df.empty:
df = df[["average", "volume"]]
df.columns = [
"close:{}".format(i.name),
"volume:{}".format(i.name),
]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
insts.add(i.name)
data_frame = pd.concat(dfs, axis=1)
data_frame.index = [
x + timedelta(hours=int(y.split(":")[0]),
minutes=int(y.split(":")[1]))
for x, y in data_frame.index
]
data_frame = data_frame.groupby(data_frame.index).last()
data_frame.drop_duplicates(inplace=True)
data_frame.fillna(method="ffill", inplace=True)
for index in data_frame.index:
for i in self._subscriptions:
volume = data_frame.loc[index]["volume:{}".format(i.name)]
price = data_frame.loc[index]["close:{}".format(i.name)]
if volume == 0:
continue
o = Order(
volume=volume,
price=price,
side=Side.BUY,
instrument=i,
exchange=self.exchange(),
filled=volume,
timestamp=index.to_pydatetime(),
)
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
order.filled = order.volume
t = Trade(
volume=order.volume,
price=order.price,
taker_order=order,
maker_orders=[],
my_order=order,
)
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
if self._timeframe == 'live':
data = deque()
def _callback(record):
data.append(record)
self._client.tradesSSE(symbols=",".join([i.name for i in self._subscriptions]),
on_data=_callback)
while True:
while data:
record = data.popleft()
volume = record['volume']
price = record['price']
instrument = Instrument(record['symbol'], InstrumentType.EQUITY)
o = Order(volume=volume, price=price, side=Side.BUY, instrument=instrument, exchange=self.exchange())
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
if self._timeframe != '1d':
for i in tqdm(self._subscriptions, desc="Fetching data..."):
df = self._client.chartDF(i.name, timeframe=self._timeframe)
df = df[['close', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
dfs.append(df)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
date = self._start_date
subdfs = []
while date <= self._end_date:
df = self._client.chartDF(i.name, timeframe='1d', date=date.strftime('%Y%m%d'))
if not df.empty:
df = df[['average', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
data = pd.concat(dfs, axis=1)
data.index = [x + timedelta(hours=int(y.split(':')[0]), minutes=int(y.split(':')[1])) for x, y in data.index]
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
if volume == 0:
continue
o = Order(volume=volume, price=price, side=Side.BUY, instrument=i, exchange=self.exchange())
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
t = Trade(volume=order.volume, price=order.price, taker_order=order, maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
