def _convert_ticker(self, instrument: str, data: dict) -> Ticker:
return Ticker(timestamp=self._parse_time(data['timestamp']),
instrument=instrument,
ask=data['best_ask'],
bid=data['best_bid'],
last=data['ltp'],
volume_24h=data['volume'],
_data=data)
def _convert_ticker(self, instrument: str, data: dict) -> Ticker:
_ = self
return Ticker(timestamp=data['timestamp'] / 1000,
instrument=instrument,
ask=float(data['sell']),
bid=float(data['buy']),
last=float(data['last']),
volume_24h=float(data['vol']),
_data=data)
def _convert_ticker(self, timestamp: float, instrument: str,
data: dict) -> Ticker:
return Ticker(timestamp=timestamp,
instrument=instrument,
ask=float(data['market_ask']),
bid=float(data['market_bid']),
last=float(data['last_traded_price']),
volume_24h=float(data['volume_24h']),
_data=data)
def _convert_ticker(self, timestamp: float, instrument: str,
data: list) -> Ticker:
return Ticker(timestamp=timestamp,
instrument=instrument,
ask=float(data[2]),
bid=float(data[0]),
last=float(data[6]),
volume_24h=float(data[7]),
_data=data)
def get_ticker(self, instrument: str) -> Ticker:
symbol = self.instruments[instrument].name_id
res = self.public_get('/instrument', symbol=symbol)
x = res[0]
return Ticker(timestamp=self._parse_time(x['timestamp']),
instrument=instrument,
ask=float(x['askPrice']),
bid=float(x['bidPrice']),
last=float(x['lastPrice']),
volume_24h=float(x['volume24h']),
_data=res)
def get_ticker(self, instrument: str) -> Ticker:
symbol = self.instruments[instrument].name_id
res = self.public_get(f'/pubticker/{symbol}')
return Ticker(timestamp=float(res['timestamp']), instrument=instrument,
ask=float(res['ask']), bid=float(res['bid']), last=float(res['last_price']),
volume_24h=float(res['volume']), _data=res)
def convert_raw_data(self, data: StreamData) -> Optional[StreamData]:
key: Tuple[Hashable, ...] = data.key
data: Any = self.MessageData(data.data)
stream_type = key[0]
if stream_type == StreamType.TICKER:
cache = self._channel_data_cache[key[:2]]
instrument: str = key[1]
sub_type: str = key[2]
symbol = self.rinstruments[instrument]
time_str = None
if sub_type == 'quote':
if data.action == 'partial':
cache['quote_partial_received'] = True
if not cache.get('quote_partial_received'):
return
for x in sorted(data.data, key=lambda _: _['timestamp']):
assert x['symbol'] == symbol, data.message
cache['quote'] = x
time_str = x['timestamp']
elif sub_type == 'trade':
if data.action == 'partial':
cache['trade_partial_received'] = True
if not cache.get('trade_partial_received'):
return
for x in sorted(data.data, key=lambda _: _['timestamp']):
assert x['symbol'] == symbol, data.message
cache['trade'] = x
time_str = x['timestamp']
else:
logger.error(f'unknown route {data.message}')
return
quote = cache.get('quote')
trade = cache.get('trade')
if not quote or not trade or not time_str:
return
ticker = Ticker(timestamp=self._parse_time(time_str),
instrument=instrument,
ask=quote['askPrice'],
bid=quote['bidPrice'],
last=trade['price'],
_data=None)
return StreamData(key[:2], ticker)
elif stream_type == StreamType.ORDER_BOOK:
cache = self._channel_data_cache[key]
instrument: str = key[1]
symbol = self.rinstruments[instrument]
if data.action == 'partial':
cache['partial_received'] = True
if not cache.get('partial_received'):
return
id_map = cache.setdefault('id_map', {})
if data.action in ('partial', 'insert'):
for x in data.data:
assert x['symbol'] == symbol, data.message
id_map[x['id']] = x
elif data.action == 'update':
for x in data.data:
assert x['symbol'] == symbol, data.message
if x['id'] not in id_map:
logger.warning(f'{x} not found')
else:
id_map[x['id']].update(x)
elif data.action == 'delete':
for x in data.data:
assert x['symbol'] == symbol, data.message
if x['id'] not in id_map:
logger.warning(f'{x} not found')
else:
del id_map[x['id']]
asks = []
bids = []
for x in id_map.values():
# {'symbol': 'XBTUSD', 'id': 1234567890, 'side': 'Sell', 'size': 100, 'price': 123456}
side = x['side'].lower()
if side == 'sell':
asks.append((float(x['price']), float(x['size']), x['id']))
else:
assert side == 'buy'
bids.append((float(x['price']), float(x['size']), x['id']))
order_book = OrderBook(timestamp=time.time(),
instrument=instrument,
asks=asks,
bids=bids,
_data=None)
return StreamData(key[:2], order_book)
return None