async def on_orderbook_update_callback(self, orderbook: Orderbook):
""" 订单薄更新
"""
if self.native_to_system:
orderbook.symbol = self.native_to_system[
orderbook.symbol] #'交易所原始符号'转换成'量化平台通用符号'
await self._original_on_orderbook_update_callback(orderbook)
async def publish_orderbook(self, symbol):
ob = self._orderbooks[symbol]
if not ob["asks"] or not ob["bids"]:
logger.warn("symbol:",
symbol,
"asks:",
ob["asks"],
"bids:",
ob["bids"],
caller=self)
return
ask_keys = sorted(list(ob["asks"].keys()))
bid_keys = sorted(list(ob["bids"].keys()), reverse=True)
if ask_keys[0] <= bid_keys[0]:
logger.warn("symbol:",
symbol,
"ask1:",
ask_keys[0],
"bid1:",
bid_keys[0],
caller=self)
return
asks = []
for k in ask_keys[:self._orderbook_length]:
price = k
quantity = ob["asks"].get(k)
asks.append([price, quantity])
bids = []
for k in bid_keys[:self._orderbook_length]:
price = k
quantity = ob["bids"].get(k)
bids.append([price, quantity])
info = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": ob["timestamp"]
}
ob = Orderbook(**info)
SingleTask.run(self.cb.on_orderbook_update_callback, ob)
async def feed(self, row):
""" 通过历史数据驱动策略进行回测
"""
drive_type = row["drive_type"] #数据驱动方式
if drive_type == "kline" and self.cb.on_kline_update_callback:
kw = row.to_dict()
del kw["drive_type"]
del kw["gw"]
del kw["dt"]
kw["platform"] = self._platform
kw["timestamp"] = int(kw["begin_dt"])
kw["kline_type"] = MARKET_TYPE_KLINE
kline = Kline(**kw)
await self.cb.on_kline_update_callback(kline)
elif drive_type == "trade" and self.cb.on_trade_update_callback:
kw = {
"platform": self._platform,
"symbol": row["symbol"],
"action": row["direction"],
"price": row["tradeprice"],
"quantity": row["volume"],
"timestamp": int(row["tradedt"])
}
trade = Trade(**kw)
await self.cb.on_trade_update_callback(trade)
elif drive_type == "orderbook" and self.cb.on_orderbook_update_callback:
asks = []
bids = []
for i in range(1, 20 + 1):
asks.append([row[f'askprice{i}'], row[f'asksize{i}']])
bids.append([row[f'bidprice{i}'], row[f'bidsize{i}']])
kw = {
"platform": self._platform,
"symbol": row["symbol"],
"asks": asks,
"bids": bids,
"timestamp": int(row["pubdt"])
}
ob = Orderbook(**kw)
await self.cb.on_orderbook_update_callback(ob)
def parse(self):
orderbook = Orderbook(**self.data)
return orderbook
def parse(self):
""" 解析self._data数据
"""
orderbook = Orderbook(**self.data)
return orderbook
def _update_orderbook(self, orderbook_info):
""" orderbook update.
Args:
orderbook_info: orderbook information.
Returns:
"""
market = orderbook_info['market']
data = orderbook_info['data']
if data['action'] == 'partial':
self._reset_orderbook(market)
for side in {'bids', 'asks'}:
book = self._orderbooks[market][side]
for price, size in data[side]:
if size:
book[price] = size
else:
del book[price]
#end for
checksum = data['checksum']
orderbook = self._get_orderbook(market)
checksum_data = [
':'.join([
f'{float(order[0])}:{float(order[1])}'
for order in (bid, offer) if order
]) for (bid, offer) in zip_longest(orderbook['bids'][:100],
orderbook['asks'][:100])
]
computed_result = int(zlib.crc32(':'.join(checksum_data).encode()))
if computed_result != checksum:
#校验和不对就需要重新订阅深度信息
if self.cb.on_orderbook_update_callback != None:
@async_method_locker("FTXTrader._re_subscribe.locker")
async def _re_subscribe(self):
await self.ws.send_json({
'op': 'unsubscribe',
'channel': 'orderbook',
'market': market
})
await self.ws.send_json({
'op': 'subscribe',
'channel': 'orderbook',
'market': market
})
SingleTask.run(self._re_subscribe)
#校验和不对就退出
return
logger.debug("orderbook:", json.dumps(orderbook), caller=self)
ts = int(float(data['time']) * 1000) #转变为毫秒
p = {
"platform": self._platform,
"symbol": market,
"asks": orderbook['asks'],
"bids": orderbook['bids'],
"timestamp": ts
}
ob = Orderbook(**p)
SingleTask.run(self.cb.on_orderbook_update_callback, ob)