def init_instmt_snapshot_table(self, instmt):
table_name = self.get_instmt_snapshot_table_name(
instmt.get_exchange_name(), instmt.get_instmt_name())
instmt.set_instmt_snapshot_table_name(table_name)
for db_client in self.db_clients:
db_client.create(table_name, ['id'] + Snapshot.columns(False),
['int'] + Snapshot.types(False), [0],
is_ifnotexists=True)
# if isinstance(db_client, (MysqlClient, SqliteClient)):
if isinstance(db_client, (MysqlClient)):
with self.lock:
r = db_client.execute(
'select max(id) from {};'.format(table_name))
db_client.conn.commit()
if r:
res = db_client.cursor.fetchone()
max_id = res['max(id)'] if isinstance(
db_client, MysqlClient) else res[0]
if max_id:
self.exch_snapshot_id = max_id
else:
self.exch_snapshot_id = 0
def init_instmt_snapshot_table(self, instmt):
table_name = self.get_instmt_snapshot_table_name(
instmt.get_exchange_name(), instmt.get_instmt_name())
for db_client in self.db_clients:
db_client.create(table_name, ['id'] + Snapshot.columns(False),
['int'] + Snapshot.types(False), [0])
def insert_trade(self, instmt, trade):
"""
Insert trade row into the database client
:param instmt: Instrument
"""
# If the instrument is not recovered, skip inserting into the table
if not instmt.get_recovered():
return
# If local timestamp indicator is on, assign the local timestamp again
if self.is_local_timestamp:
trade.date_time = datetime.utcnow().strftime("%Y%m%d %H:%M:%S.%f")
date_time = datetime.strptime(trade.date_time,
"%Y%m%d %H:%M:%S.%f").date()
if date_time != self.date_time:
self.date_time = date_time
self.init_instmt_snapshot_table(instmt)
# Set the last trade to the current one
instmt.set_last_trade(trade)
# Update the snapshot
if instmt.get_l2_depth() is not None and \
instmt.get_last_trade() is not None:
id = self.get_instmt_snapshot_id(instmt)
for db_client in self.db_clients:
is_allowed_snapshot = self.is_allowed_snapshot(db_client)
is_allowed_instmt_record = self.is_allowed_instmt_record(
db_client)
if is_allowed_snapshot:
db_client.insert(table=self.get_snapshot_table_name(),
columns=Snapshot.columns(),
values=Snapshot.values(
instmt.get_exchange_name(),
instmt.get_instmt_name(),
instmt.get_l2_depth(),
instmt.get_last_trade(),
Snapshot.UpdateType.TRADES),
types=Snapshot.types(),
primary_key_index=[0, 1],
is_orreplace=True,
is_commit=not is_allowed_instmt_record)
if is_allowed_instmt_record:
db_client.insert(
table=instmt.get_instmt_snapshot_table_name(),
columns=['id'] + Snapshot.columns(False),
types=['int'] + Snapshot.types(False),
values=[id] +
Snapshot.values('', '', instmt.get_l2_depth(),
instmt.get_last_trade(),
Snapshot.UpdateType.TRADES),
is_commit=True)
def insert_order_book(self, instmt):
"""
Insert order book row into the database client
:param instmt: Instrument
"""
# If local timestamp indicator is on, assign the local timestamp again
if self.is_local_timestamp:
instmt.get_l2_depth().date_time = datetime.utcnow().strftime(
"%Y%m%d %H:%M:%S.%f")
# Update the snapshot
if instmt.get_l2_depth() is not None:
l2_depth = instmt.get_l2_depth()
assert (len(l2_depth.asks) == 5)
assert (len(l2_depth.bids) == 5)
id = self.get_instmt_snapshot_id(instmt)
for db_client in self.db_clients:
if self.is_allowed_snapshot(db_client):
print('insert snapshot')
db_client.insert(
table=self.get_snapshot_table_name(),
columns=Snapshot.columns(),
types=Snapshot.types(),
values=Snapshot.values(
instmt.get_exchange_name(),
instmt.get_instmt_name(), instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else
instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
primary_key_index=[0, 1],
is_orreplace=True,
is_commit=True)
if self.is_allowed_instmt_record(db_client):
db_client.insert(
table=instmt.get_instmt_snapshot_table_name(),
columns=['id'] + Snapshot.columns(False),
types=['int'] + Snapshot.types(False),
values=[id] + Snapshot.values(
'', '', instmt.get_l2_depth(),
Trade() if instmt.get_last_trade() is None else
instmt.get_last_trade(),
Snapshot.UpdateType.ORDER_BOOK),
is_commit=True)
def init_snapshot_table(cls, db_clients):
for db_client in db_clients:
db_client.create(cls.get_snapshot_table_name(),
Snapshot.columns(),
Snapshot.types(), [0, 1],
is_ifnotexists=True)