self.get_instmt_snapshot_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name()))
self.init_instmt_snapshot_table(instmt)
instmt.set_recovered(False)
t1 = threading.Thread(
target=partial(self.get_order_book_worker, instmt))
t1.start()
t2 = threading.Thread(target=partial(self.get_trades_worker, instmt))
t2.start()
return [t1, t2]
if __name__ == '__main__':
Logger.init_log()
exchange_name = 'Gatecoin'
instmt_name = 'BTCHKD'
instmt_code = 'BTCHKD'
instmt = Instrument(exchange_name, instmt_name, instmt_code)
db_client = SqlClientTemplate()
exch = ExchGwGatecoin([db_client])
instmt.set_l2_depth(L2Depth(5))
instmt.set_prev_l2_depth(L2Depth(5))
instmt.set_order_book_table_name(
exch.get_order_book_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name()))
instmt.set_trades_table_name(
exch.get_trades_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name()))
instmt.set_recovered(False)
# exch.get_order_book_worker(instmt)
exch.get_trades_worker(instmt)
def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
def get_order_info(data):
return (data['price'] if 'price' in data.keys() else None,
(0 if data['side'] == "Buy" else 1), data['id'],
data['size'] if 'size' in data.keys() else None)
if raw['action'] in ('partial', 'insert'):
# Order book initialization or insertion
for data in raw['data']:
if data['symbol'] != instmt.get_instmt_code():
continue
price, side, id, volume = get_order_info(data)
instmt.realtime_order_book_ids[side][id] = price
if price not in instmt.realtime_order_book_prices[side].keys():
instmt.realtime_order_book_prices[side][price] = {
id: volume
}
else:
instmt.realtime_order_book_prices[side][price][id] = volume
elif raw['action'] == 'update':
# Order book update
for data in raw['data']:
if data['symbol'] != instmt.get_instmt_code():
continue
_, side, id, volume = get_order_info(data)
price = instmt.realtime_order_book_ids[side][id]
instmt.realtime_order_book_ids[side][id] = price
instmt.realtime_order_book_prices[side][price][id] = volume
elif raw['action'] == 'delete':
# Order book delete
for data in raw['data']:
if data['symbol'] != instmt.get_instmt_code():
continue
_, side, id, _ = get_order_info(data)
price = instmt.realtime_order_book_ids[side][id]
del instmt.realtime_order_book_prices[side][price][id]
if len(instmt.realtime_order_book_prices[side][price]) == 0:
del instmt.realtime_order_book_prices[side][price]
# return l2_depth
l2_depth = L2Depth()
l2_depth.date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
bids_px = sorted(list(instmt.realtime_order_book_prices[0].keys()),
reverse=True)[:5]
asks_px = sorted(list(instmt.realtime_order_book_prices[1].keys()))[:5]
bids_qty = [
sum(instmt.realtime_order_book_prices[0][px].values())
for px in bids_px
]
asks_qty = [
sum(instmt.realtime_order_book_prices[1][px].values())
for px in asks_px
]
for i in range(0, 5):
l2_depth.bids[i].price = bids_px[i]
l2_depth.bids[i].volume = bids_qty[i]
l2_depth.asks[i].price = asks_px[i]
l2_depth.asks[i].volume = asks_qty[i]
return l2_depth
