Пример #1
0
 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)
Пример #2
0
 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)