def insert_order_book(self, instmt):
"""
Insert order book row into the database client
:param instmt: Instrument
"""
# If local timestamp indicator is on, assign the local timestamp again
if self.is_local_timestamp:
instmt.get_l2_depth().date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
# Update the snapshot
if self.data_mode & ExchangeGateway.DataMode.SNAPSHOT_ONLY and \
instmt.get_l2_depth() is not None:
self.db_client.insert(table=self.get_snapshot_table_name(),
columns=Snapshot.columns(),
types=Snapshot.types(),
values=Snapshot.values(instmt.get_exchange_name(),
instmt.get_instmt_name(),
instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
primary_key_index=[0,1],
is_orreplace=True,
is_commit=not(self.data_mode & ExchangeGateway.DataMode.ORDER_BOOK_ONLY))
# Update its order book table
if self.data_mode & ExchangeGateway.DataMode.ORDER_BOOK_ONLY:
self.db_client.insert(table=instmt.get_order_book_table_name(),
columns=['id'] + L2Depth.columns(),
types=['int'] + L2Depth.types(),
values=[instmt.get_order_book_id()] + instmt.get_l2_depth().values())
def init_order_book_table(self, instmt):
if self.data_mode & ExchangeGateway.DataMode.ORDER_BOOK_ONLY:
table_name = self.get_order_book_table_name(instmt.get_exchange_name(),
instmt.get_instmt_name())
self.db_client.create(table_name,
['id'] + L2Depth.columns(),
['int'] + L2Depth.types(),
[0])
