def normalize(ticker: Ticker, calc_price: bool = False) -> dict:
# convert named tuples to dicts so we send usable keys
new_ticks = []
for tick in ticker.ticks:
td = tick._asdict()
if td['tickType'] in (48, 77):
td['type'] = 'trade'
new_ticks.append(td)
ticker.ticks = new_ticks
# some contracts don't have volume so we may want to calculate
# a midpoint price based on data we can acquire (such as bid / ask)
if calc_price:
ticker.ticks.append({'type': 'trade', 'price': ticker.marketPrice()})
# serialize for transport
data = asdict(ticker)
# add time stamps for downstream latency measurements
data['brokerd_ts'] = time.time()
if ticker.rtTime:
data['broker_ts'] = data['rtTime_s'] = float(ticker.rtTime) / 1000.
return data
def normalize(ticker: Ticker, calc_price: bool = False) -> dict:
# convert named tuples to dicts so we send usable keys
new_ticks = []
for tick in ticker.ticks:
td = tick._asdict()
td['type'] = tick_types.get(td['tickType'], 'n/a')
new_ticks.append(td)
ticker.ticks = new_ticks
# some contracts don't have volume so we may want to calculate
# a midpoint price based on data we can acquire (such as bid / ask)
if calc_price:
ticker.ticks.append({'type': 'trade', 'price': ticker.marketPrice()})
# serialize for transport
data = asdict(ticker)
# add time stamps for downstream latency measurements
data['brokerd_ts'] = time.time()
# stupid stupid shit...don't even care any more..
# leave it until we do a proper latency study
# if ticker.rtTime is not None:
# data['broker_ts'] = data['rtTime_s'] = float(
# ticker.rtTime.timestamp) / 1000.
data.pop('rtTime')
return data
def startReqMktData(self, reqId, contract):
"""
Start a snapshot or tick subscription that has the
reqId associated with the contract.
"""
self._contractIdentity2ReqId[id(contract)] = reqId
self._reqId2Contract[reqId] = contract
ticker = self.getTicker(contract)
if not ticker:
ticker = Ticker(contract=contract, ticks=[])
self._reqId2Ticker[reqId] = ticker
def startTicker(self, reqId, contract, tickType):
"""
Start a tick request that has the reqId associated with the contract.
Return the ticker.
"""
ticker = self.tickers.get(id(contract))
if not ticker:
ticker = Ticker(contract=contract, ticks=[], tickByTicks=[],
domBids=[], domAsks=[], domTicks=[])
self.tickers[id(contract)] = ticker
self.reqId2Ticker[reqId] = ticker
self.ticker2ReqId[tickType][ticker] = reqId
return ticker
def startTicker(self, reqId, contract, isMktDepth=False):
"""
Start a snapshot, tick stream or market depth stream that has the
reqId associated with the contract. Return the ticker.
"""
ticker = self.tickers.get(id(contract))
if not ticker:
ticker = Ticker(contract=contract, ticks=[],
domBids=[], domAsks=[], domTicks=[])
self.tickers[id(contract)] = ticker
self.reqId2Ticker[reqId] = ticker
if isMktDepth:
self.ticker2MktDepthReqId[ticker] = reqId
else:
self.ticker2MktDataReqId[ticker] = reqId
return ticker
def price_update(ticker: _IBTicker):
contract_ = self._from_ib_contract(ib_contract=ticker.contract)
assert contract_ in self._price_subscriptions
con_subs_ = self._price_subscriptions[contract_]
for func_, func_dict_ in con_subs_.items():
price_type_ = func_dict_["price_type"]
fn_kwargs_ = func_dict_["kwargs"]
if price_type_ == PriceType.MARKET:
price_ = ticker.midpoint()
elif price_type_ == PriceType.ASK:
price_ = ticker.ask
elif price_type_ == PriceType.BID:
price_ = ticker.bid
else:
raise TypeError(f"Unknown price type {price_type_}.")
func_(contract_, price_, **fn_kwargs_)
