def __init__(self):
self.priceTree = RBTree()
self.priceMap = {} # Map from price -> orderList object
self.orderMap = {} # Order ID to Order object
self.volume = 0 # How much volume on this side?
self.nOrders = 0 # How many orders?
self.lobDepth = 0 # How many different prices on lob?
def shrinkData(filename, symbol, verbose):
symbol = symbol.ljust(6)
try:
if verbose: print "started reading file: {}".format(filename)
reader = open(filename,'r')
except IOError:
sys.exit('Cannot open input file: {}'.format(filename))
else:
if verbose: print "file in memory, opening outfile"
writer = open(filename+'_short','w')
ids = RBTree()
for line in reader:
messageType = line[9]
idNum = line[10:22]
if messageType == 'A':
if line[29:35] == symbol:
ids.insert(idNum, idNum)
writer.write(line)
elif messageType == 'a':
if line[33:39] == symbol:
ids.insert(idNum, idNum)
writer.write(line)
elif messageType == 'E':
if idNum in ids:
writer.write(line)
elif messageType == 'e':
if idNum in ids:
writer.write(line)
elif messageType == 'X':
if idNum in ids:
writer.write(line)
elif messageType == 'x':
if idNum in ids:
writer.write(line)
if verbose: print "done"
reader.close()
writer.close()
# os.chdir('/Users/user/Desktop/BATSCHIX/CXE')
# shrinkData('2013-05-13_EU_pitch', 'DBKd', True)