def onRtnDepthMarketData(self, data: dict):
"""
Callback of tick data update.
"""
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f"),
name=symbol_name_map[symbol],
volume=data["Volume"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=data["OpenPrice"],
high_price=data["HighestPrice"],
low_price=data["LowestPrice"],
pre_close=data["PreClosePrice"],
bid_price_1=data["BidPrice1"],
ask_price_1=data["AskPrice1"],
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name
)
self.gateway.on_tick(tick)
def subscribe(self, req: SubscribeRequest):
"""
Subscribe tick data update.
"""
if not self.status:
return
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所{req.exchange}")
return
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
# Get contract data from TWS.
self.reqid += 1
self.client.reqContractDetails(self.reqid, ib_contract)
# Subscribe tick data and create tick object buffer.
self.reqid += 1
self.client.reqMktData(self.reqid, ib_contract, "", False, False, [])
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[self.reqid] = tick
self.tick_exchange[self.reqid] = req.exchange
def subscribe(self, req: SubscribeRequest):
""""""
contract_type = symbol_type_map.get(req.symbol, "")
if not contract_type:
return
buf = [i for i in req.symbol if not i.isdigit()]
symbol = "".join(buf)
ws_contract_type = CONTRACT_TYPE_MAP[contract_type]
ws_symbol = f"{symbol}_{ws_contract_type}"
# Create tick data buffer
tick = TickData(
symbol=req.symbol,
name=req.symbol,
exchange=Exchange.HUOBI,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[ws_symbol] = tick
# Subscribe to market depth update
self.req_id += 1
req = {
"sub": f"market.{ws_symbol}.depth.step0",
"id": str(self.req_id)
}
self.send_packet(req)
# Subscribe to market detail update
self.req_id += 1
req = {"sub": f"market.{ws_symbol}.detail", "id": str(self.req_id)}
self.send_packet(req)
def OnDepthMarketData(self, market_data: XTPMarketDataStruct,
bid1_qty: Sequence[int], bid1_count: int,
max_bid1_count: int, ask1_qty: Sequence[int],
ask1_count: int, max_ask1_count: int) -> Any:
""""""
timestamp = str(market_data.data_time)
dt = datetime.strptime(timestamp, "%Y%m%d%H%M%S%f")
tick = TickData(symbol=market_data.ticker,
exchange=EXCHANGE_XTP2VT[market_data.exchange_id],
datetime=dt,
volume=market_data.qty,
last_price=market_data.last_price,
limit_up=market_data.upper_limit_price,
limit_down=market_data.lower_limit_price,
open_price=market_data.open_price,
high_price=market_data.high_price,
low_price=market_data.low_price,
pre_close=market_data.pre_close_price,
bid_price_1=market_data.bid[0],
bid_price_2=market_data.bid[1],
bid_price_3=market_data.bid[2],
bid_price_4=market_data.bid[3],
bid_price_5=market_data.bid[4],
ask_price_1=market_data.ask[0],
ask_price_2=market_data.ask[1],
ask_price_3=market_data.ask[2],
ask_price_4=market_data.ask[3],
ask_price_5=market_data.ask[4],
bid_volume_1=market_data.bid_qty[0],
bid_volume_2=market_data.bid_qty[1],
bid_volume_3=market_data.bid_qty[2],
bid_volume_4=market_data.bid_qty[3],
bid_volume_5=market_data.bid_qty[4],
ask_volume_1=market_data.ask_qty[0],
ask_volume_2=market_data.ask_qty[1],
ask_volume_3=market_data.ask_qty[2],
ask_volume_4=market_data.ask_qty[3],
ask_volume_5=market_data.ask_qty[4],
gateway_name=self.gateway_name)
tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
self.gateway.on_tick(tick)
def get_tick(self, code):
"""
Get tick buffer.
"""
tick = self.ticks.get(code, None)
symbol, exchange = convert_symbol_futu2vt(code)
if not tick:
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
contract = self.contracts.get(tick.vt_symbol, None)
if contract:
tick.name = contract.name
return tick
def subscribe(self, req: SubscribeRequest):
"""
Subscribe to tick data upate.
"""
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
name=req.symbol,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[req.symbol] = tick
def subscribe(self):
# 初始化
for symbol in self.symbols:
#l.append('ticker.' + symbol)
#l.append('depth.L20.' + symbol)
tick = TickData()
tick.gateway_name = self.gateway_name
tick.symbol = symbol
tick.exchange = EXCHANGE_IDCM
tick.vtSymbol = '.'.join([tick.exchange, tick.symbol])
self.tickDict[symbol] = tick
deal = DealData()
deal.gateway_name = self.gateway_name
deal.symbol = symbol
deal.exchange = EXCHANGE_IDCM
deal.vtSymbol = '.'.join([deal.exchange, deal.symbol])
self.dealDict[symbol] = deal
for symbol in self.symbols:
# 订阅行情深度,支持5，10，20档
channel = "idcm_sub_spot_" + symbol + "_depth_20"
req = {'event': 'addChannel', 'channel': channel}
self.sendReq(req)
# 订阅行情数据
channel = "idcm_sub_spot_" + symbol + "_ticker"
req = {'event': 'addChannel', 'channel': channel}
self.sendReq(req)
# 订阅成交记录
channel = "idcm_sub_spot_" + symbol + "_deals"
req = {'event': 'addChannel', 'channel': channel}
self.sendReq(req)
def subscribe(self, req: SubscribeRequest):
"""
Subscribe to tick data upate.
"""
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
name=req.symbol,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[req.symbol] = tick
channel_ticker = f"futures/ticker:{req.symbol}"
channel_depth = f"futures/depth5:{req.symbol}"
self.callbacks[channel_ticker] = self.on_ticker
self.callbacks[channel_depth] = self.on_depth
req = {"op": "subscribe", "args": [channel_ticker, channel_depth]}
self.send_packet(req)
def subscribe(self, req: SubscribeRequest):
""""""
symbol = req.symbol
# Create tick data buffer
tick = TickData(
symbol=symbol,
name=symbol_name_map.get(symbol, ""),
exchange=Exchange.HUOBI,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[symbol] = tick
# Subscribe to market depth update
self.req_id += 1
req = {"sub": f"market.{symbol}.depth.step0", "id": str(self.req_id)}
self.send_packet(req)
# Subscribe to market detail update
self.req_id += 1
req = {"sub": f"market.{symbol}.detail", "id": str(self.req_id)}
self.send_packet(req)
def to_tick(self):
"""
Generate TickData object from DbTickData.
"""
tick = TickData(
symbol=self.symbol,
exchange=Exchange(self.exchange),
datetime=self.datetime,
name=self.name,
volume=self.volume,
last_price=self.last_price,
last_volume=self.last_volume,
limit_up=self.limit_up,
limit_down=self.limit_down,
open_price=self.open_price,
high_price=self.high_price,
low_price=self.low_price,
pre_close=self.pre_close,
bid_price_1=self.bid_price_1,
ask_price_1=self.ask_price_1,
bid_volume_1=self.bid_volume_1,
ask_volume_1=self.ask_volume_1,
gateway_name="DB",
)
if self.bid_price_2:
tick.bid_price_2 = self.bid_price_2
tick.bid_price_3 = self.bid_price_3
tick.bid_price_4 = self.bid_price_4
tick.bid_price_5 = self.bid_price_5
tick.ask_price_2 = self.ask_price_2
tick.ask_price_3 = self.ask_price_3
tick.ask_price_4 = self.ask_price_4
tick.ask_price_5 = self.ask_price_5
tick.bid_volume_2 = self.bid_volume_2
tick.bid_volume_3 = self.bid_volume_3
tick.bid_volume_4 = self.bid_volume_4
tick.bid_volume_5 = self.bid_volume_5
tick.ask_volume_2 = self.ask_volume_2
tick.ask_volume_3 = self.ask_volume_3
tick.ask_volume_4 = self.ask_volume_4
tick.ask_volume_5 = self.ask_volume_5
return tick
def now():
return datetime.utcnow()
bar = BarData(
gateway_name="DB",
symbol="test_symbol",
exchange=Exchange.BITMEX,
datetime=now(),
interval=Interval.MINUTE,
)
tick = TickData(
gateway_name="DB",
symbol="test_symbol",
exchange=Exchange.BITMEX,
datetime=now(),
name="DB_test_symbol",
)
class TestDatabase(unittest.TestCase):
def connect(self, settings: dict):
from fcs_trade.trader.database.initialize import init # noqa
self.manager = init(settings)
def assertBarCount(self, count, msg):
bars = self.manager.load_bar_data(symbol=bar.symbol,
exchange=bar.exchange,
interval=bar.interval,
def on_data_update(self, data):
""""""
channel_id = data[0]
channel, symbol = self.channelDict[channel_id]
symbol = str(symbol.replace("t", ""))
# Get the Tick object
if symbol in self.tickDict:
tick = self.tickDict[symbol]
else:
tick = TickData(
symbol=symbol,
exchange=Exchange.BITFINEX,
name=symbol,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.tickDict[symbol] = tick
l_data1 = data[1]
# Update general quote
if channel == "ticker":
tick.volume = float(l_data1[-3])
tick.high_price = float(l_data1[-2])
tick.low_price = float(l_data1[-1])
tick.last_price = float(l_data1[-4])
tick.open_price = float(tick.last_price - l_data1[4])
# Update deep quote
elif channel == "book":
bid = self.bidDict.setdefault(symbol, {})
ask = self.askDict.setdefault(symbol, {})
if len(l_data1) > 3:
for price, count, amount in l_data1:
price = float(price)
count = int(count)
amount = float(amount)
if amount > 0:
bid[price] = amount
else:
ask[price] = -amount
else:
price, count, amount = l_data1
price = float(price)
count = int(count)
amount = float(amount)
if not count:
if price in bid:
del bid[price]
elif price in ask:
del ask[price]
else:
if amount > 0:
bid[price] = amount
else:
ask[price] = -amount
try:
# BID
bid_keys = bid.keys()
bidPriceList = sorted(bid_keys, reverse=True)
tick.bid_price_1 = bidPriceList[0]
tick.bid_price_2 = bidPriceList[1]
tick.bid_price_3 = bidPriceList[2]
tick.bid_price_4 = bidPriceList[3]
tick.bid_price_5 = bidPriceList[4]
tick.bid_volume_1 = bid[tick.bid_price_1]
tick.bid_volume_2 = bid[tick.bid_price_2]
tick.bid_volume_3 = bid[tick.bid_price_3]
tick.bid_volume_4 = bid[tick.bid_price_4]
tick.bid_volume_5 = bid[tick.bid_price_5]
# ASK
ask_keys = ask.keys()
askPriceList = sorted(ask_keys, reverse=True)
tick.ask_price_1 = askPriceList[0]
tick.ask_price_2 = askPriceList[1]
tick.ask_price_3 = askPriceList[2]
tick.ask_price_4 = askPriceList[3]
tick.ask_price_5 = askPriceList[4]
tick.ask_volume_1 = ask[tick.ask_price_1]
tick.ask_volume_2 = ask[tick.ask_price_2]
tick.ask_volume_3 = ask[tick.ask_price_3]
tick.ask_volume_4 = ask[tick.ask_price_4]
tick.ask_volume_5 = ask[tick.ask_price_5]
except IndexError:
return
dt = datetime.now()
tick.date = dt.strftime("%Y%m%d")
tick.time = dt.strftime("%H:%M:%S.%f")
tick.datetime = dt
self.gateway.on_tick(copy(tick))