def get_marks(self, instrument: ExchangeInstrument) -> Signal:
if self.mark_type == MarkType.LAST:
trades = self.mds.get_trades(instrument)
return Map(self.network, trades, lambda x: Mark(instrument.get_instrument(), x.get_price()))
else:
books = self.mds.get_order_books(instrument)
return Map(self.network, books, lambda x: Mark(instrument.get_instrument(), x.get_mid()))
def get_marks(self, instrument: ExchangeInstrument) -> Signal:
economics = instrument.get_instrument().get_economics()
if isinstance(economics, FutureContract):
economics = economics.get_underlier().get_economics()
if isinstance(economics, CurrencyPair):
ccy_code = economics.get_base_currency().get_currency_code()
symbol = f'.M{ccy_code}'
cash_instrument = self.instrument_cache.get_or_create_cash_instrument(
ccy_code)
else:
raise ValueError(
'Unable to get marks: expected CurrencyPair or FutureContract on CurrencyPair'
)
network = self.scheduler.get_network()
marks = self.instrument_marks.get(symbol)
if marks is None:
marks = MutableSignal()
network.attach(marks)
self.instrument_marks[symbol] = marks
subscribe_msg = {
'id': 1,
'method': 'tick.subscribe',
'params': [symbol]
}
messages = MutableSignal()
json_messages = Map(network, messages, lambda x: json.loads(x))
tick_messages = Filter(network, json_messages,
lambda x: 'tick' in x)
ticks = Map(
network, tick_messages, lambda x: self.__extract_tick(
x, cash_instrument.get_instrument()))
Pipe(self.scheduler, ticks, marks)
asyncio.ensure_future(
websocket_subscribe_with_retry(self.ws_uri, self.timeout,
self.logger, subscribe_msg,
self.scheduler, messages,
symbol, 'ticks'))
return marks