async def on_trade_update_callback(self, trade: Trade):
""" 市场最新成交更新
"""
if self.native_to_system:
trade.symbol = self.native_to_system[
trade.symbol] #'交易所原始符号'转换成'量化平台通用符号'
await self._original_on_trade_update_callback(trade)
async def process_trade(self, data):
symbol = data.get("instrument_id")
if symbol not in self._symbols:
return
action = ORDER_ACTION_BUY if data[
"side"] == "buy" else ORDER_ACTION_SELL
price = float(data["price"])
quantity = float(data["size"])
timestamp = tools.utctime_str_to_mts(data["timestamp"])
info = {
"platform": self._platform,
"symbol": symbol,
"action": action,
"price": price,
"quantity": quantity,
"timestamp": timestamp
}
trade = Trade(**info)
SingleTask.run(self.cb.on_trade_update_callback, trade)
async def feed(self, row):
""" 通过历史数据驱动策略进行回测
"""
drive_type = row["drive_type"] #数据驱动方式
if drive_type == "kline" and self.cb.on_kline_update_callback:
kw = row.to_dict()
del kw["drive_type"]
del kw["gw"]
del kw["dt"]
kw["platform"] = self._platform
kw["timestamp"] = int(kw["begin_dt"])
kw["kline_type"] = MARKET_TYPE_KLINE
kline = Kline(**kw)
await self.cb.on_kline_update_callback(kline)
elif drive_type == "trade" and self.cb.on_trade_update_callback:
kw = {
"platform": self._platform,
"symbol": row["symbol"],
"action": row["direction"],
"price": row["tradeprice"],
"quantity": row["volume"],
"timestamp": int(row["tradedt"])
}
trade = Trade(**kw)
await self.cb.on_trade_update_callback(trade)
elif drive_type == "orderbook" and self.cb.on_orderbook_update_callback:
asks = []
bids = []
for i in range(1, 20 + 1):
asks.append([row[f'askprice{i}'], row[f'asksize{i}']])
bids.append([row[f'bidprice{i}'], row[f'bidsize{i}']])
kw = {
"platform": self._platform,
"symbol": row["symbol"],
"asks": asks,
"bids": bids,
"timestamp": int(row["pubdt"])
}
ob = Orderbook(**kw)
await self.cb.on_orderbook_update_callback(ob)
def _update_trades(self, trades_info):
""" trades update.
Args:
trades_info: trades information.
Returns:
"""
#{"channel": "trades", "market": "BTC-PERP", "type": "update", "data": [{"id": 2616562, "price": 9333.25, "size": 0.2143, "side": "sell", "liquidation": false, "time": "2019-11-06T05:19:51.187372+00:00"}]}
for t in trades_info["data"]:
ts = tools.utctime_str_to_mts(t["time"],
"%Y-%m-%dT%H:%M:%S.%f+00:00")
p = {
"platform": self._platform,
"symbol": trades_info["market"],
"action":
ORDER_ACTION_BUY if t["side"] == "buy" else ORDER_ACTION_SELL,
"price": t["price"],
"quantity": t["size"],
"timestamp": ts
}
trade = Trade(**p)
SingleTask.run(self.cb.on_trade_update_callback, trade)
def parse(self):
trade = Trade(**self.data)
return trade
def parse(self):
""" 解析self._data数据
"""
trade = Trade(**self.data)
return trade
