def process_tick(self, tick):
timestamp, value = tick.timestamp, tick.value
self.current = self.current or [tick_boundaries(timestamp, self.period),
value, value, value, value]
if timestamp <= self.current[0]:
self.current_ticks.append((timestamp, value))
self.current[4] = value # reset close
if value > self.current[2]: # compare with high
self.current[2] = value # update high
elif value < self.current[3]: # compare with low
self.current[3] = value # update low
else:
self.append(tuple(self.current))
self.current_ticks = [] # reset the current_ticks list
# TODO: think about this roll-over
if (datetime.utcfromtimestamp(timestamp).date() >
datetime.utcfromtimestamp(self.current[0]).date()):
# next UTC day, do not fill gap
self.current = [tick_boundaries(timestamp, self.period), value,
value, value, value]
else:
# same day, fill gaps if needed
candle_time = self.current[0] + (self.period * 60)
while timestamp > candle_time: # fill gaps
close = self.current[4]
self.append((candle_time, close, close, close, close))
candle_time += self.period * 60
self.current = [candle_time, value, value, value, value]
def process_tick(self, tick):
timestamp, value = tick.timestamp, tick.value
a = self.array
ci = self.current_index
c_row = a[ci]
if ci is None:
first_values = [tick_boundaries(timestamp, self.period),
value, value, value, value]
self.__init_array(first_values)
if timestamp <= c_row[0]:
self.current_ticks.append((timestamp, value))
c_row[4] = value # close
if value > c_row[2]: c_row[2] = value # update high
elif value < c_row[3]: c_row[3] = value # update low
else:
last_close = c_row[4]
self.current_index += 1
self.current_ticks = []
while timestamp > a[self.current_index][0]:
a[self.current_index][1:] = [last_close] * 4
self.current_index += 1
a[self.current_index][1:] = [value] * 4
