def process(self, symbol):
data = self.services.bus.get_market_data()
pretty(data) #display market data
l = list()
for item1 in data.items():
if type(item1[1]) is not datetime and type(item1[1]) is not str:
for item2 in item1[1].items():
if (item2[0][:3] == 'ask' and str(self.parameters["side"]).lower() == "buy") or (item2[0][:3] == 'bid' and str(self.parameters["side"]).lower() == "sell") :
l.append((item2[1]["price"], item1[0]))
if str(self.parameters["side"]).lower() == "buy":
l.sort(key=lambda x: x[0])
else:
l.sort(key=lambda x: -x[0])
print(l) #display list of prices by market ordered by prices
self.current_size = self.parameters["size"]
i = 0
for pair in l:
if self.current_size == 0: #stop if no more deals
break
o = Order()
o.side = 1 if str(self.parameters["side"]).lower() == "buy" else -1
o.price = pair[0]
#dont buy / sell if the price is too high or too low
if o.price < self.parameters["price"] and o.side == -1:
break
if o.price > self.parameters["price"] and o.side == 1:
break
o.size = self.current_size
o.leaves = o.size
o.symbol = pair[1]
o.id = "MyOrder_" + str(i)
o.timeinforce = "ioc"
o.parent = self.parameters["id"]
self.services.logger.info("Sending Order " + str(i))
self.services.order_dispatcher.new_order(o)
i = i +1
def process(self, symbol):
data = self.services.bus.get_market_data()
self.services.logger.info("Market data received %s" % (data))
self.services.logger.info("Sending Order Now:")
o = Order()
o.side = 1 if str(self.parameters["side"]).lower() == "buy" else -1
o.price = self.parameters["price"]
o.size = self.parameters["size"]
o.leaves = o.size
o.symbol = "Euronext"
o.id = "MyOrder"
o.timeinforce = "ioc"
o.parent = self.parameters["id"]
self.services.order_dispatcher.new_order(o)
