def decode_order_book(self, encoded_order_book):
order_book_message = orderbook_pb2.OrderBook()
order_book_message.ParseFromString(encoded_order_book)
order_book = OrderBook(order_book_message.instrument_identifier)
order_book.last_price = order_book_message.statistics.last_price
order_book.high_price = order_book_message.statistics.high_price
order_book.low_price = order_book_message.statistics.low_price
for decoded_order in order_book_message.orders:
order = ServerOrder(identifier=decoded_order.identifier,
way=OrderWay(decoded_order.way),
instrument_identifier=order_book_message.instrument_identifier,
quantity=decoded_order.quantity,
canceled_quantity=decoded_order.canceled_quantity,
executed_quantity=decoded_order.executed_quantity,
price=decoded_order.price,
counterparty=decoded_order.counterparty,
timestamp=decoded_order.timestamp)
order_book.add_order(order)
self.logger.debug(order_book)
return order_book
def decode_order_book(self, encoded_order_book):
tokens = list(filter(None, encoded_order_book.split(self.separator)))
instrument_identifier = int(tokens[0])
order_book = OrderBook(instrument_identifier)
order_book.last_price = float(tokens[1])
order_book.high_price = float(tokens[2])
order_book.low_price = float(tokens[3])
order_tokens = tokens[4:]
for x in range(0, len(order_tokens), 8):
order_book.add_order(
ServerOrder(instrument_identifier=instrument_identifier,
identifier=order_tokens[x],
way=OrderWay(int(order_tokens[x + 1])),
quantity=float(order_tokens[x + 2]),
canceled_quantity=float(order_tokens[x + 3]),
executed_quantity=float(order_tokens[x + 4]),
price=float(order_tokens[x + 5]),
counterparty=order_tokens[x + 6],
timestamp=order_tokens[x + 7]))
return order_book