def market_data_refresh_handler(self, message: BaseMessage):
results = message.get_group(Field.Groups.MDEntry_Refresh)
actions = {'0': 'New', '2': 'Delete'}
types = {'0': 'BID', '1': 'ASK'}
message = "Price Update:"
for r in results:
if actions[r[Field.MDUpdateAction]] == 'New':
if Field.MDEntryPx in r:
name = self.session.symbol_table[int(r[Field.Symbol])]['name']
message += "\n\t\t\tSymbol: {0: <7}, Type: {1}, ID: {2}, Price: {3: <10}, Size: {4}, Action: {5}".format(
name, types[r[Field.MDEntryType]], r[Field.MDEntryID], r[Field.MDEntryPx], r[Field.MDEntrySize],
actions[r[Field.MDUpdateAction]]
)
else:
message += "\n\t\t\tSymbol: {0: <7}, ID: {1}, Action: {2}".format(
'none', r[Field.MDEntryID], actions[r[Field.MDUpdateAction]]
)
self.logger.info(message)
def market_data_snapshot_handler(self, message: BaseMessage):
prices = message.get_group(Field.Groups.MDEntry_Snapshot)
if len(prices) < 2 or Field.MDEntryPx not in prices[0] or Field.MDEntryPx not in prices[1]:
self.logger.warn("No ask or bid in price update.")
return
ask_idx = 1 if prices[0][Field.MDEntryType] == '0' else 0
bid_idx = (ask_idx + 1) % 2
spread = calculate_spread(
prices[bid_idx][Field.MDEntryPx],
prices[ask_idx][Field.MDEntryPx],
self.session.symbol_table[int(message.get_field(Field.Symbol))]['pip_position']
)
name = self.session.symbol_table[int(message.get_field(Field.Symbol))]['name']
self.logger.info("Symbol: {0: <7}\tBID: {1: <10}\tASK: {2: <10}\tSPREAD: {3}\t\tBID_VOL: {4}\tASK_VOL: {5}".format(
name,
prices[bid_idx][Field.MDEntryPx],
prices[ask_idx][Field.MDEntryPx],
spread,
int(self.session.symbol_table[int(message.get_field(Field.Symbol))]['bid_volume'] / 1000000),
int(self.session.symbol_table[int(message.get_field(Field.Symbol))]['ask_volume'] / 1000000),
))