def get_order_books(self, instrument: ExchangeInstrument) -> Signal:
symbol = instrument.get_exchange_instrument_code()
exchange_code_upper = instrument.get_exchange().get_exchange_code().upper()
order_books = self.book_signal_by_symbol.get(symbol, None)
if order_books is None:
self._maybe_notify_subscription(instrument)
order_books = MutableSignal()
self.scheduler.network.attach(order_books)
self.book_signal_by_symbol[symbol] = order_books
class OrderBookGenerator(SignalGenerator):
def __init__(self, mds):
self.mds = mds
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()
self.scheduler.add_generator(OrderBookGenerator(self))
# workaround: force scheduling of all historic trade events
self.get_trades(instrument)
return order_books
def get_trades(self, instrument: ExchangeInstrument) -> Signal:
trade_symbol = instrument.get_exchange_instrument_code()
exchange_code_upper = instrument.get_exchange().get_exchange_code(
).upper()
self._maybe_notify_subscription(instrument)
trades = self.trade_signal_by_symbol.get(trade_symbol, None)
if trades is None:
trades = MutableSignal()
self.scheduler.network.attach(trades)
self.trade_signal_by_symbol[trade_symbol] = trades
class TradeGenerator(SignalGenerator):
def __init__(self, mds):
self.mds = mds
def generate(self, scheduler: NetworkScheduler):
tickstore = AzureBlobTickstore(
self.mds.azure_connect_str,
f'{exchange_code_upper}_TRADES',
timestamp_column='time')
trades_df = tickstore.select(trade_symbol,
self.mds.start_time,
self.mds.end_time)
for row in trades_df.itertuples():
at_time = row[0].asm8.astype('int64') / 10**6
sequence = row[1]
trade_id = row[2]
side = Side.SELL if row[4] == 'sell' else Side.BUY
qty = row[5]
price = row[6]
trade = Trade(instrument, sequence, trade_id, side,
qty, price)
scheduler.schedule_update_at(trades, trade, at_time)
tickstore.close()
self.scheduler.add_generator(TradeGenerator(self))
# workaround: force scheduling of all historic order book events
self.get_order_books(instrument)
return trades
def route(self, instrument: ExchangeInstrument) -> Optional[MarketdataService]:
if instrument.get_exchange().get_exchange_code() == self.exchange_code:
return self.mds
else:
return None