def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
# No order book mapping from config. Need to decode here.
l2_depth = instmt.get_l2_depth()
l2_depth.date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
if isinstance(raw[0], list):
# Start subscription
for i in range(0, 25):
bid = raw[i]
ask = raw[25 + i]
l2_depth.bids[i] = L2Depth.Depth(price=bid[0],
count=bid[1],
volume=bid[2])
l2_depth.asks[i] = L2Depth.Depth(price=ask[0],
count=ask[1],
volume=-ask[2])
else:
price = raw[1]
count = raw[2]
volume = raw[3]
found = False
if count == 0:
# Deletion
if volume > 0:
for i in range(0, len(l2_depth.bids)):
if price == l2_depth.bids[i].price:
found = True
del l2_depth.bids[i]
break
else:
for i in range(0, len(l2_depth.asks)):
if price == l2_depth.asks[i].price:
found = True
del l2_depth.asks[i]
break
if not found:
depth_text = ""
for i in range(0, l2_depth.depth):
if i < len(l2_depth.bids):
depth_text += "%.4f,%d,%.4f" % \
(l2_depth.bids[i].volume, \
l2_depth.bids[i].count, \
l2_depth.bids[i].price)
else:
depth_text += " "
depth_text += "<--->"
if i < len(l2_depth.asks):
depth_text += "%.4f,%d,%.4f" % \
(l2_depth.asks[i].volume, \
l2_depth.asks[i].count, \
l2_depth.asks[i].price)
else:
depth_text += " "
depth_text += "\n"
Logger.info(cls.__name__, "Cannot find the deletion of the message: %s\nDepth:\n%s\n" % \
(raw, depth_text))
else:
# Insertion/Update
if volume > 0:
# Update
for i in range(0, len(l2_depth.bids)):
if price == l2_depth.bids[i].price:
l2_depth.bids[i].count = count
l2_depth.bids[i].volume = volume
found = True
break
if not found:
# Insertion
l2_depth.bids.append(
L2Depth.Depth(price=price,
count=count,
volume=volume))
l2_depth.sort_bids()
if len(l2_depth.bids) > l2_depth.depth * 2:
del l2_depth.bids[l2_depth.depth:]
else:
for i in range(0, len(l2_depth.asks)):
# Update
if price == l2_depth.asks[i].price:
l2_depth.asks[i].count = count
l2_depth.asks[i].volume = -volume
found = True
break
if not found:
# Insertion
l2_depth.asks.append(
L2Depth.Depth(price=price,
count=count,
volume=-volume))
l2_depth.sort_asks()
if len(l2_depth.asks) > l2_depth.depth * 2:
del l2_depth.asks[l2_depth.depth:]
return l2_depth
def parse_l2_depth(cls, instmt, raw):
"""
Parse raw data to L2 depth
:param instmt: Instrument
:param raw: Raw data in JSON
"""
l2_depth = instmt.get_l2_depth()
keys = list(raw.keys())
bids_field = cls.get_bids_field_name()
asks_field = cls.get_asks_field_name()
if bids_field in keys and asks_field in keys:
# Date time
l2_depth.date_time = datetime.utcnow().strftime(
"%Y%m%d %H:%M:%S.%f")
# Bids
bids = raw[bids_field]
bids_len = min(l2_depth.depth, len(bids))
for i in range(0, bids_len):
l2_depth.bids[i].price = float(bids[i]['price']) \
if not isinstance(bids[i]['price'], float) else bids[i][0]
l2_depth.bids[i].volume = float(bids[i]['volume']) \
if not isinstance(bids[i]['volume'], float) else bids[i][1]
l2_depth.bids[i].id = bids[i]['id']
# Asks
asks = raw[asks_field]
asks_len = min(l2_depth.depth, len(asks))
for i in range(0, asks_len):
l2_depth.asks[i].price = float(asks[i]['price']) \
if not isinstance(asks[i]['price'], float) else asks[i][0]
l2_depth.asks[i].volume = float(asks[i]['volume']) \
if not isinstance(asks[i]['volume'], float) else asks[i][1]
l2_depth.asks[i].id = asks[i]['id']
elif "order_id" in keys:
if 'type' in keys:
# Insertion
order_id = raw['order_id']
price = float(raw['price'])
volume = float(raw['volume'])
update_type = raw['type']
if update_type == "BID":
l2_depth.bids.append(
L2Depth.Depth(price=price, volume=volume))
l2_depth.bids[-1].id = order_id
l2_depth.sort_bids()
if len(l2_depth.bids) > l2_depth.depth * 2:
del l2_depth.bids[l2_depth.depth:]
elif update_type == "ASK":
l2_depth.asks.append(
L2Depth.Depth(price=price, volume=volume))
l2_depth.asks[-1].id = order_id
l2_depth.sort_asks()
if len(l2_depth.asks) > l2_depth.depth * 2:
del l2_depth.asks[l2_depth.depth:]
elif 'base' in keys:
# Update
order_id = raw['order_id']
volume = float(raw['base'])
price = float(raw['counter']) / float(raw['base'])
for i in range(0, len(l2_depth.bids)):
if l2_depth.bids[i].id == order_id:
if l2_depth.bids[i].price == price:
l2_depth.bids[i].volume -= volume
break
else:
# Deletion
order_id = raw['order_id']
found = False
for i in range(0, len(l2_depth.bids)):
if l2_depth.bids[i].id == order_id:
found = True
del l2_depth.bids[i]
break
if not found:
for i in range(0, len(l2_depth.asks)):
if l2_depth.asks[i].id == order_id:
del l2_depth.asks[i]
break
else:
raise Exception(
'Does not contain order book keys in instmt %s-%s.\nOriginal:\n%s'
% (instmt.get_exchange_name(), instmt.get_instmt_name(), raw))
return l2_depth