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 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))