def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._market_to_subchain_id_to_time = NDeepDict(
depth=2, default_factory=list
) # this a list of tuples (start_time, end_time)
self._market_to_side_to_prev_tob_subchain_ids = NDeepDict(
depth=2, default_factory=set)
def __init__(self, logger, handle_market_orders=False):
OrderLevelBookListener.__init__(self, logger)
OrderEventListener.__init__(self, logger)
self._market_to_order_book = {}
self._market_to_event_to_priority = NDeepDict(depth=2)
self._market_to_event_to_priority_before = NDeepDict(depth=2)
self._handle_market_orders = handle_market_orders
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
OrderEventListener.__init__(self, logger)
self._market_to_side_prev_price = NDeepDict(depth=2)
self._market_side_price_time = NDeepDict(depth=3) # market to side to price to last time it was top of book
self._market_side_best_price = NDeepDict(depth=2)
self._event_id_to_last_time_crossed = {}
self._event_id_to_last_time_tob = {}
def __init__(self, market, logger, component_books=None, name=None):
assert component_books is None or isinstance(component_books,
(list, tuple, set))
OrderLevelBook.__init__(self, market, logger, name)
OrderLevelBookListener.__init__(self, logger)
self._component_books = set()
self._market_to_component_book = {}
if component_books is not None:
for component_book in component_books:
self.add_component_book(component_book)
self._name = "AggregateOrderLevelOrderBook %s@%s" % (market.product(
).name(), market.endpoint().name()) if name is None else name
def __init__(self, logger, period, start_time=None, stop_time=None, type = LAST_TRADE_TYPE):
OrderLevelBookListener.__init__(self, logger)
assert start_time is None or (stop_time is None or start_time <= stop_time - period), "If start time is None and stop time is not None, then start time must be less than or equal to the stop time minus one period."
self._start_time = start_time
self._previous_time = start_time
self._stop_time = stop_time
self._period = period
self._market_to_bars = {}
self._market_to_volume = {}
self._market_to_current_tracker = {}
self._type = type
self._price_func = self.TYPE_TO_FUNCTION[type]
self._next_stop_time = start_time + period
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._market_to_subchain_id_to_time = NDeepDict(depth=2,
default_factory=list)
self._market_to_side_to_prev_tob_subchain_id = NDeepDict(depth=2)
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._event_id_to_tob = {}
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._event_id_to_tob = {}
self._market_to_previous_tob = {}
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._market_chain_id_ticks = NDeepDict(2)
self._market_side_tob = {}
self._market_side_tob[BID_SIDE] = defaultdict()
self._market_side_tob[ASK_SIDE] = defaultdict()
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
OrderEventListener.__init__(self, logger)
self._market_event_id_aggressive_act = NDeepDict(depth=2)
self._market_to_orderbook = defaultdict(lambda: None)
self._market_to_agg_acts_to_close = defaultdict(set)
