def _call(self):
if self.events.is_valid():
next_event = self.events.get_value()
if isinstance(next_event, OrderBookSnapshot):
self.order_book = OrderBook(next_event.get_bids(), next_event.get_asks())
else:
self.order_book.apply_order_book_update(next_event)
self._update(self.order_book)
class OrderBookBuilder(Function):
def __init__(self, network: Network, events: Signal):
super().__init__(network, events)
self.events = events
self.order_book = OrderBook([], [])
def _call(self):
if self.events.is_valid():
next_event = self.events.get_value()
if isinstance(next_event, OrderBookSnapshot):
self.order_book = OrderBook(next_event.get_bids(), next_event.get_asks())
else:
self.order_book.apply_order_book_update(next_event)
self._update(self.order_book)
def generate(self, scheduler: NetworkScheduler):
tickstore = AzureBlobTickstore(self.mds.credential, f'{exchange_code_upper}_BOOKS',
timestamp_column='time')
books_df = tickstore.select(symbol, self.mds.start_time, self.mds.end_time)
for row in books_df.itertuples():
at_time = row[0].asm8.astype('int64') / 10**6
best_bid = BookLevel(row[2], row[1])
best_ask = BookLevel(row[4], row[3])
book = OrderBook(bids=[best_bid], asks=[best_ask])
scheduler.schedule_update_at(order_books, book, at_time)
tickstore.close()
def on_book_update(self, book: OrderBook):
self.appender.write_double(datetime.utcnow().timestamp())
if len(book.get_bids()) > 0:
self.appender.write_long(book.get_best_bid().get_qty())
self.appender.write_double(book.get_best_bid().get_px())
else:
self.appender.write_long(0)
self.appender.write_double(0)
if len(book.get_asks()) > 0:
self.appender.write_long(book.get_best_ask().get_qty())
self.appender.write_double(book.get_best_ask().get_px())
else:
self.appender.write_long(0)
self.appender.write_double(0)
def on_book_update(self, book: OrderBook):
book_update_counter.inc()
book_msg = capnp_def.Level1BookUpdateMessage.new_message()
book_msg.time = datetime.utcnow().timestamp()
if len(book.get_bids()) > 0:
book_msg.bestBidQty = book.get_best_bid().get_qty()
book_msg.bestBidPx = book.get_best_bid().get_px()
else:
book_msg.bestBidQty = 0
book_msg.bestBidPx = 0
if len(book.get_asks()) > 0:
book_msg.bestAskQty = book.get_best_ask().get_qty()
book_msg.bestAskPx = book.get_best_ask().get_px()
else:
book_msg.bestAskQty = 0
book_msg.bestAskPx = 0
self.tx_writer.append_msg(book_msg)
def __init__(self, network: Network, events: Signal):
super().__init__(network, events)
self.events = events
self.order_book = OrderBook([], [])