def tickByTickBidAsk(
self, reqId: int, time: int, bidPrice: float, askPrice: float,
bidSize: float, askSize: float,
tickAttribBidAsk: TickAttribBidAsk):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
self._logger.error(f'tickByTickBidAsk: Unknown reqId: {reqId}')
return
if bidPrice != ticker.bid:
ticker.prevBid = ticker.bid
ticker.bid = bidPrice
if bidSize != ticker.bidSize:
ticker.prevBidSize = ticker.bidSize
ticker.bidSize = bidSize
if askPrice != ticker.ask:
ticker.prevAsk = ticker.ask
ticker.ask = askPrice
if askSize != ticker.askSize:
ticker.prevAskSize = ticker.askSize
ticker.askSize = askSize
tick = TickByTickBidAsk(
self.lastTime, bidPrice, askPrice, bidSize, askSize,
tickAttribBidAsk)
ticker.tickByTicks.append(tick)
self.pendingTickers.add(ticker)
def tickByTickBidAsk(self, reqId, time, bidPrice, askPrice, bidSize,
askSize, attribs):
ticker = self.reqId2Ticker.get(reqId)
if not ticker:
self._logger.error(f'tickByTickBidAsk: Unknown reqId: {reqId}')
return
attribs = TickAttrib(**attribs.__dict__)
tick = TickByTickBidAsk(self.lastTime, bidPrice, askPrice, bidSize,
askSize, attribs)
ticker.tickByTicks.append(tick)
self.pendingTickers.add(ticker)