def subscribe_by_symbol(self, symbol: str) -> None:
""""""
# Create tick data buffer
tick = TickData(
symbol=symbol,
name=symbol_name_map.get(symbol, ""),
exchange=Exchange.HUOBI,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[symbol] = tick
bar = BarData(symbol=symbol,
exchange=Exchange.HUOBI,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
interval=Interval.MINUTE)
self.bars[symbol] = bar
# Subscribe to market depth update
self.req_id += 1
req = {"sub": f"market.{symbol}.depth.step0", "id": str(self.req_id)}
self.send_packet(req)
# Subscribe to market detail update
self.req_id += 1
req = {"sub": f"market.{symbol}.detail", "id": str(self.req_id)}
self.send_packet(req)
# Subscribe to market kline update
self.req_id += 1
req = {"sub": f"market.{symbol}.kline.1min", "id": str(self.req_id)}
self.send_packet(req)
def to_tick(self):
""""""
tick = TickData(symbol=self.name,
exchange=Exchange.LOCAL,
datetime=self.datetime,
name=self.name,
last_price=(self.bid_price + self.ask_price) / 2,
bid_price_1=self.bid_price,
ask_price_1=self.ask_price,
bid_volume_1=self.bid_volume,
ask_volume_1=self.ask_volume,
gateway_name="SPREAD")
return tick
def subscribe(self, req: SubscribeRequest) -> None:
""""""
# buf = [i for i in req.symbol if not i.isdigit()]
# symbol = "".join(buf)
# ws_symbol = f"{symbol}"
# Create tick data buffer
tick = TickData(
symbol=req.symbol,
name=req.symbol,
exchange=Exchange.HUOBI,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[req.symbol] = tick
self.subscribe_data(req.symbol)
def subscribe(self, req: SubscribeRequest):
""""""
contract_type = symbol_type_map.get(req.symbol, "")
if not contract_type:
return
buf = [i for i in req.symbol if not i.isdigit()]
symbol = "".join(buf)
ws_contract_type = CONTRACT_TYPE_MAP[contract_type]
ws_symbol = f"{symbol}_{ws_contract_type}"
# Create tick data buffer
tick = TickData(
symbol=req.symbol,
name=req.symbol,
exchange=Exchange.HUOBI,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[ws_symbol] = tick
self.subscribe_data(ws_symbol)
def to_tick(self):
"""
Generate TickData object from DbTickData.
"""
tick = TickData(
symbol=self.symbol,
exchange=Exchange(self.exchange),
datetime=DB_TZ.localize(self.datetime),
name=self.name,
volume=self.volume,
open_interest=self.open_interest,
last_price=self.last_price,
last_volume=self.last_volume,
limit_up=self.limit_up,
limit_down=self.limit_down,
open_price=self.open_price,
high_price=self.high_price,
low_price=self.low_price,
pre_close=self.pre_close,
bid_price_1=self.bid_price_1,
ask_price_1=self.ask_price_1,
bid_volume_1=self.bid_volume_1,
ask_volume_1=self.ask_volume_1,
gateway_name="DB",
)
if self.bid_price_2:
tick.bid_price_2 = self.bid_price_2
tick.bid_price_3 = self.bid_price_3
tick.bid_price_4 = self.bid_price_4
tick.bid_price_5 = self.bid_price_5
tick.ask_price_2 = self.ask_price_2
tick.ask_price_3 = self.ask_price_3
tick.ask_price_4 = self.ask_price_4
tick.ask_price_5 = self.ask_price_5
tick.bid_volume_2 = self.bid_volume_2
tick.bid_volume_3 = self.bid_volume_3
tick.bid_volume_4 = self.bid_volume_4
tick.bid_volume_5 = self.bid_volume_5
tick.ask_volume_2 = self.ask_volume_2
tick.ask_volume_3 = self.ask_volume_3
tick.ask_volume_4 = self.ask_volume_4
tick.ask_volume_5 = self.ask_volume_5
return tick