def __init__(self, symbol="ALL", application=None):
self.symbol = str(symbol)
self.buy_side = []
self.sell_side = []
self.volume_dict = {}
self.inst_status = InstrumentStatusHelper(symbol)
self.md_pub_socket = None
self.md_pub_socket_stream = None
self.is_ready = False
self.process_later = []
self.application = application
self.db_session = application.db_session
def __init__(self, symbol = "ALL", application = None):
self.symbol = str(symbol)
self.buy_side = []
self.sell_side = []
self.volume_dict = {}
self.inst_status = InstrumentStatusHelper(symbol)
self.md_pub_socket = None
self.md_pub_socket_stream = None
self.is_ready = False
self.process_later = []
self.application = application
self.db_session = application.db_session
class MarketDataSubscriber(object):
"""" MarketDataSubscriber. """
@classmethod
def instance(cls):
if not hasattr(cls, "_instance"):
cls._instance = cls()
return cls._instance
def __init__(self, symbol = "ALL", application = None):
self.symbol = str(symbol)
self.buy_side = []
self.sell_side = []
self.volume_dict = {}
self.inst_status = InstrumentStatusHelper(symbol)
self.md_pub_socket = None
self.md_pub_socket_stream = None
self.is_ready = False
self.process_later = []
self.application = application
self.db_session = application.db_session
def subscribe(self,zmq_context,trade_pub_connection_string,trade_client):
"""" subscribe. """
self.md_pub_socket = zmq_context.socket(zmq.SUB)
self.md_pub_socket.connect(trade_pub_connection_string)
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE,"MD_FULL_REFRESH_" +self.symbol)
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE, "MD_TRADE_" + self.symbol)
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE,"MD_INCREMENTAL_" +self.symbol +".0")
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE,"MD_INCREMENTAL_" +self.symbol +".1")
self.md_pub_socket_stream = ZMQStream(self.md_pub_socket)
self.md_pub_socket_stream.on_recv(self.on_md_publish)
md_subscription_msg = {
'MsgType': 'V',
'MDReqID': '0', # not important.
'SubscriptionRequestType': '0',
'MarketDepth': 0,
'TradeDate': time.strftime("%Y%m%d", time.localtime()),
'MDUpdateType': '0',
'MDEntryTypes': ['0', '1', '2'],
'Instruments': [self.symbol]
}
return trade_client.sendJSON(md_subscription_msg)
def ready(self):
self.is_ready = True
for trade in self.process_later:
self.on_trade(trade)
self.process_later = []
@staticmethod
def get(symbol, application=None):
"""" get. """
global MDSUBSCRIBEDICT
if symbol not in MDSUBSCRIBEDICT:
MDSUBSCRIBEDICT[symbol] = MarketDataSubscriber(symbol, application)
return MDSUBSCRIBEDICT[symbol]
def get_last_trades(self):
"""" get_last_trades. """
return Trade.get_last_trades(self.db_session)
def get_trades(self, symbol, since):
"""" get_trades. """
return Trade.get_trades(self.db_session, symbol, since)
def on_md_publish(self, publish_msg):
"""" on_md_publish. """
topic = publish_msg[0]
raw_message = publish_msg[1]
self.application.log('IN', 'TRADE_PUB', raw_message )
msg = JsonMessage(raw_message)
if msg.type == 'W': # Full Refresh
self.on_md_full_refresh(msg)
elif msg.type == 'X': # Incremental
self.on_md_incremental(msg)
def on_md_full_refresh(self, msg):
"""" on_md_full_refresh. """
# TODO: Check if our current order book is sync with the full refresh
if msg.get('MarketDepth') != 1: # Has Market Depth
self.on_book_clear()
self.on_trade_clear()
group = msg.get('MDFullGrp')
for entry in group:
entry_type = entry.get('MDEntryType')
if entry_type == '0' or entry_type == '1':
self.on_book_new_order(entry)
elif entry_type == '2':
self.on_trade(entry)
def on_md_incremental(self, msg):
"""" on_md_incremental. """
if msg.get('MDBkTyp') == '3': # Order Depth
group = msg.get('MDIncGrp')
for entry in group:
entry_type = entry.get('MDEntryType')
signal_order_depth_entry(
self.symbol +
'.3.' +
entry_type,
entry)
if entry_type == '0' or entry_type == '1':
update_action = entry.get('MDUpdateAction')
if update_action == '0':
self.on_book_new_order(entry)
elif update_action == '1':
self.on_book_update_order(entry)
elif update_action == '2':
self.on_book_delete_order(entry)
elif update_action == '3':
self.on_book_delete_orders_thru(entry)
elif entry_type == '2':
self.on_trade(entry)
signal_publish_md_order_depth_incremental(
self.symbol + '.3', {"MsgType": "X"})
def on_book_clear(self):
"""" on_book_clear. """
self.buy_side = []
self.sell_side = []
def on_trade_clear(self):
"""" on_trade_clear. """
self.volume_dict = {}
def on_book_delete_orders_thru(self, msg):
"""" on_book_delete_orders_thru. """
index = msg.get('MDEntryPositionNo')
side = msg.get('MDEntryType')
if side == '0':
self.buy_side = self.buy_side[index:]
if self.buy_side:
self.inst_status.set_best_bid(self.buy_side[0]['price'])
else:
self.inst_status.set_best_bid(None)
elif side == '1':
self.sell_side = self.sell_side[index:]
if self.sell_side:
self.inst_status.set_best_ask(self.sell_side[0]['price'])
else:
self.inst_status.set_best_ask(None)
def on_book_delete_order(self, msg):
"""" on_book_delete_order. """
index = msg.get('MDEntryPositionNo') - 1
side = msg.get('MDEntryType')
if side == '0':
del self.buy_side[index]
if index == 0:
if self.buy_side:
self.inst_status.set_best_bid(self.buy_side[0]['price'])
else:
self.inst_status.set_best_bid(None)
elif side == '1':
del self.sell_side[index]
if index == 0:
if self.sell_side:
self.inst_status.set_best_ask(self.sell_side[0]['price'])
else:
self.inst_status.set_best_ask(None)
def on_book_new_order(self, msg):
"""" on_book_new_order. """
index = msg.get('MDEntryPositionNo') - 1
order = {
'price': msg.get('MDEntryPx'),
'qty': msg.get('MDEntrySize'),
'username': msg.get('Username'),
'user_id': msg.get('UserID'),
'broker': msg.get('Broker'),
'order_id': msg.get('OrderID'),
'side': msg.get('MDEntryType'),
'order_time': msg.get('MDEntryTime'),
'order_date': msg.get('MDEntryDate')
}
if msg.get('MDEntryType') == '0': # buy
self.buy_side.insert(index, order)
if index == 0:
self.inst_status.set_best_bid(msg.get('MDEntryPx'))
elif msg.get('MDEntryType') == '1': # sell
self.sell_side.insert(index, order)
if index == 0:
self.inst_status.set_best_ask(msg.get('MDEntryPx'))
def on_book_update_order(self, msg):
"""" on_book_new_order. """
index = msg.get('MDEntryPositionNo') - 1
order = {
'price': msg.get('MDEntryPx'),
'qty': msg.get('MDEntrySize'),
'username': msg.get('Username'),
'user_id': msg.get('UserID'),
'broker': msg.get('Broker'),
'order_id': msg.get('OrderID'),
'side': msg.get('MDEntryType'),
'order_time': msg.get('MDEntryTime'),
'order_date': msg.get('MDEntryDate')
}
if msg.get('MDEntryType') == '0': # sell
self.buy_side[index] = order
if index == 0:
self.inst_status.set_best_bid(msg.get('MDEntryPx'))
elif msg.get('MDEntryType') == '1': # sell
self.sell_side[index] = order
if index == 0:
self.inst_status.set_best_ask(msg.get('MDEntryPx'))
def on_trade(self, msg):
if not self.is_ready:
self.process_later.append(msg)
return
trade = {
"price": msg.get('MDEntryPx'),
"symbol": msg.get('Symbol'),
"size": msg.get('MDEntrySize'),
"trade_date": msg.get('MDEntryDate'),
"trade_time": msg.get('MDEntryTime'),
"order_id": msg.get('OrderID'),
"side": msg.get('Side'),
"counter_order_id": msg.get('SecondaryOrderID'),
"id": msg.get('TradeID'),
"buyer_id": msg.get('MDEntryBuyerID'),
"seller_id": msg.get('MDEntrySellerID'),
"buyer_username": msg.get('MDEntryBuyer'),
"seller_username": msg.get('MDEntrySeller'),
}
Trade.create(self.db_session, trade)
# BTC BRL
price_currency = self.symbol[3:]
size_currency = self.symbol[:3]
if price_currency not in self.volume_dict:
self.volume_dict[price_currency] = 0
if size_currency not in self.volume_dict:
self.volume_dict[size_currency] = 0
volume_price = int(
msg.get('MDEntryPx') *
msg.get('MDEntrySize') /
1.e8)
volume_size = msg.get('MDEntrySize')
self.volume_dict[price_currency] += volume_price
self.volume_dict[size_currency] += volume_size
self.volume_dict['MDEntryType'] = '4'
signal_publish_md_status('MD_STATUS', self.volume_dict)
self.inst_status.push_trade(trade)
class MarketDataSubscriber(object):
"""" MarketDataSubscriber. """
@classmethod
def instance(cls):
if not hasattr(cls, "_instance"):
cls._instance = cls()
return cls._instance
def __init__(self, symbol="ALL", application=None):
self.symbol = str(symbol)
self.buy_side = []
self.sell_side = []
self.volume_dict = {}
self.inst_status = InstrumentStatusHelper(symbol)
self.md_pub_socket = None
self.md_pub_socket_stream = None
self.is_ready = False
self.process_later = []
self.application = application
self.db_session = application.db_session
def subscribe(self, zmq_context, trade_pub_connection_string,
trade_client):
"""" subscribe. """
self.md_pub_socket = zmq_context.socket(zmq.SUB)
self.md_pub_socket.connect(trade_pub_connection_string)
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE,
"MD_FULL_REFRESH_" + self.symbol)
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE, "MD_TRADE_" + self.symbol)
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE,
"MD_INCREMENTAL_" + self.symbol + ".0")
self.md_pub_socket.setsockopt(zmq.SUBSCRIBE,
"MD_INCREMENTAL_" + self.symbol + ".1")
self.md_pub_socket_stream = ZMQStream(self.md_pub_socket)
self.md_pub_socket_stream.on_recv(self.on_md_publish)
md_subscription_msg = {
'MsgType': 'V',
'MDReqID': '0', # not important.
'SubscriptionRequestType': '0',
'MarketDepth': 0,
'TradeDate': time.strftime("%Y%m%d", time.localtime()),
'MDUpdateType': '0',
'MDEntryTypes': ['0', '1', '2'],
'Instruments': [self.symbol]
}
return trade_client.sendJSON(md_subscription_msg)
def ready(self):
self.is_ready = True
for trade in self.process_later:
self.on_trade(trade)
self.process_later = []
@staticmethod
def get(symbol, application=None):
"""" get. """
global MDSUBSCRIBEDICT
if symbol not in MDSUBSCRIBEDICT:
MDSUBSCRIBEDICT[symbol] = MarketDataSubscriber(symbol, application)
return MDSUBSCRIBEDICT[symbol]
def get_last_trades(self):
"""" get_last_trades. """
return Trade.get_last_trades()
def get_trades(self, symbol, since):
"""" get_trades. """
return Trade.get_trades(self.db_session, symbol, since)
def on_md_publish(self, publish_msg):
"""" on_md_publish. """
topic = publish_msg[0]
raw_message = publish_msg[1]
self.application.log('IN', 'TRADE_PUB', raw_message)
msg = JsonMessage(raw_message)
if msg.type == 'W': # Full Refresh
self.on_md_full_refresh(msg)
elif msg.type == 'X': # Incremental
self.on_md_incremental(msg)
def on_md_full_refresh(self, msg):
"""" on_md_full_refresh. """
# TODO: Check if our current order book is sync with the full refresh
if msg.get('MarketDepth') != 1: # Has Market Depth
self.on_book_clear()
self.on_trade_clear()
group = msg.get('MDFullGrp')
for entry in group:
entry_type = entry.get('MDEntryType')
if entry_type == '0' or entry_type == '1':
self.on_book_new_order(entry)
elif entry_type == '2':
self.on_trade(entry)
def on_md_incremental(self, msg):
"""" on_md_incremental. """
if msg.get('MDBkTyp') == '3': # Order Depth
group = msg.get('MDIncGrp')
for entry in group:
entry_type = entry.get('MDEntryType')
signal_order_depth_entry(self.symbol + '.3.' + entry_type,
entry)
if entry_type == '0' or entry_type == '1':
update_action = entry.get('MDUpdateAction')
if update_action == '0':
self.on_book_new_order(entry)
elif update_action == '1':
self.on_book_update_order(entry)
elif update_action == '2':
self.on_book_delete_order(entry)
elif update_action == '3':
self.on_book_delete_orders_thru(entry)
elif entry_type == '2':
self.on_trade(entry)
signal_publish_md_order_depth_incremental(self.symbol + '.3',
{"MsgType": "X"})
def on_book_clear(self):
"""" on_book_clear. """
self.buy_side = []
self.sell_side = []
def on_trade_clear(self):
"""" on_trade_clear. """
self.volume_dict = {}
def on_book_delete_orders_thru(self, msg):
"""" on_book_delete_orders_thru. """
index = msg.get('MDEntryPositionNo')
side = msg.get('MDEntryType')
if side == '0':
self.buy_side = self.buy_side[index:]
if self.buy_side:
self.inst_status.set_best_bid(self.buy_side[0]['price'])
else:
self.inst_status.set_best_bid(None)
elif side == '1':
self.sell_side = self.sell_side[index:]
if self.sell_side:
self.inst_status.set_best_ask(self.sell_side[0]['price'])
else:
self.inst_status.set_best_ask(None)
def on_book_delete_order(self, msg):
"""" on_book_delete_order. """
index = msg.get('MDEntryPositionNo') - 1
side = msg.get('MDEntryType')
if side == '0':
del self.buy_side[index]
if index == 0:
if self.buy_side:
self.inst_status.set_best_bid(self.buy_side[0]['price'])
else:
self.inst_status.set_best_bid(None)
elif side == '1':
del self.sell_side[index]
if index == 0:
if self.sell_side:
self.inst_status.set_best_ask(self.sell_side[0]['price'])
else:
self.inst_status.set_best_ask(None)
def on_book_new_order(self, msg):
"""" on_book_new_order. """
index = msg.get('MDEntryPositionNo') - 1
order = {
'price': msg.get('MDEntryPx'),
'qty': msg.get('MDEntrySize'),
'username': msg.get('Username'),
'broker': msg.get('Broker'),
'order_id': msg.get('OrderID'),
'side': msg.get('MDEntryType'),
'order_time': msg.get('MDEntryTime'),
'order_date': msg.get('MDEntryDate')
}
if msg.get('MDEntryType') == '0': # buy
self.buy_side.insert(index, order)
if index == 0:
self.inst_status.set_best_bid(msg.get('MDEntryPx'))
elif msg.get('MDEntryType') == '1': # sell
self.sell_side.insert(index, order)
if index == 0:
self.inst_status.set_best_ask(msg.get('MDEntryPx'))
def on_book_update_order(self, msg):
"""" on_book_new_order. """
index = msg.get('MDEntryPositionNo') - 1
order = {
'price': msg.get('MDEntryPx'),
'qty': msg.get('MDEntrySize'),
'username': msg.get('Username'),
'broker': msg.get('Broker'),
'order_id': msg.get('OrderID'),
'side': msg.get('MDEntryType'),
'order_time': msg.get('MDEntryTime'),
'order_date': msg.get('MDEntryDate')
}
if msg.get('MDEntryType') == '0': # sell
self.buy_side[index] = order
if index == 0:
self.inst_status.set_best_bid(msg.get('MDEntryPx'))
elif msg.get('MDEntryType') == '1': # sell
self.sell_side[index] = order
if index == 0:
self.inst_status.set_best_ask(msg.get('MDEntryPx'))
def on_trade(self, msg):
if not self.is_ready:
self.process_later.append(msg)
return
trade = {
"price": msg.get('MDEntryPx'),
"symbol": msg.get('Symbol'),
"size": msg.get('MDEntrySize'),
"trade_date": msg.get('MDEntryDate'),
"trade_time": msg.get('MDEntryTime'),
"order_id": msg.get('OrderID'),
"side": msg.get('Side'),
"counter_order_id": msg.get('SecondaryOrderID'),
"id": msg.get('TradeID'),
"buyer_username": msg.get('MDEntryBuyer'),
"seller_username": msg.get('MDEntrySeller'),
}
Trade.create(self.db_session, trade)
# BTC BRL
price_currency = self.symbol[3:]
size_currency = self.symbol[:3]
if price_currency not in self.volume_dict:
self.volume_dict[price_currency] = 0
if size_currency not in self.volume_dict:
self.volume_dict[size_currency] = 0
volume_price = int(
msg.get('MDEntryPx') * msg.get('MDEntrySize') / 1.e8)
volume_size = msg.get('MDEntrySize')
self.volume_dict[price_currency] += volume_price
self.volume_dict[size_currency] += volume_size
self.volume_dict['MDEntryType'] = '4'
signal_publish_md_status('MD_STATUS', self.volume_dict)
self.inst_status.push_trade(trade)
