def onRtnDepthMarketData(self, data: dict):
"""
Callback of tick data update.
"""
# Filter data update with no timestamp
if not data["UpdateTime"]:
return
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{self.current_date} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
dt = CHINA_TZ.localize(dt)
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=dt,
name=symbol_name_map[symbol],
volume=data["Volume"],
open_interest=data["OpenInterest"],
last_price=adjust_price(data["LastPrice"]),
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=adjust_price(data["OpenPrice"]),
high_price=adjust_price(data["HighestPrice"]),
low_price=adjust_price(data["LowestPrice"]),
pre_close=adjust_price(data["PreClosePrice"]),
bid_price_1=adjust_price(data["BidPrice1"]),
ask_price_1=adjust_price(data["AskPrice1"]),
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name
)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = adjust_price(data["BidPrice2"])
tick.bid_price_3 = adjust_price(data["BidPrice3"])
tick.bid_price_4 = adjust_price(data["BidPrice4"])
tick.bid_price_5 = adjust_price(data["BidPrice5"])
tick.ask_price_2 = adjust_price(data["AskPrice2"])
tick.ask_price_3 = adjust_price(data["AskPrice3"])
tick.ask_price_4 = adjust_price(data["AskPrice4"])
tick.ask_price_5 = adjust_price(data["AskPrice5"])
tick.bid_volume_2 = data["BidVolume2"]
tick.bid_volume_3 = data["BidVolume3"]
tick.bid_volume_4 = data["BidVolume4"]
tick.bid_volume_5 = data["BidVolume5"]
tick.ask_volume_2 = data["AskVolume2"]
tick.ask_volume_3 = data["AskVolume3"]
tick.ask_volume_4 = data["AskVolume4"]
tick.ask_volume_5 = data["AskVolume5"]
self.gateway.on_tick(tick)
def OnRtnDepthMarketData(self, data: dict) -> None:
"""
Callback of tick data update.
"""
current_date = data["TradingDay"]
current_time = data["UpdateTime"]
dt = datetime.strptime(
f'{current_date}-{current_time}', "%Y%m%d-%H:%M:%S"
)
dt = CHINA_TZ.localize(dt)
tick = TickData(
symbol=data["SecurityID"],
exchange=EXCHANGE_TORA2VT[bytes.decode(data["ExchangeID"])],
datetime=dt,
name=data["SecurityName"],
volume=0,
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
last_volume=data["Volume"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=data["OpenPrice"],
high_price=data["HighestPrice"],
low_price=data["LowestPrice"],
pre_close=data["PreClosePrice"],
bid_price_1=data["BidPrice1"],
ask_price_1=data["AskPrice1"],
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name
)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = data["BidPrice2"]
tick.bid_price_3 = data["BidPrice3"]
tick.bid_price_4 = data["BidPrice4"]
tick.bid_price_5 = data["BidPrice5"]
tick.ask_price_2 = data["AskPrice2"]
tick.ask_price_3 = data["AskPrice3"]
tick.ask_price_4 = data["AskPrice4"]
tick.ask_price_5 = data["AskPrice5"]
tick.bid_volume_2 = data["BidVolume2"]
tick.bid_volume_3 = data["BidVolume3"]
tick.bid_volume_4 = data["BidVolume4"]
tick.bid_volume_5 = data["BidVolume5"]
tick.ask_volume_2 = data["AskVolume2"]
tick.ask_volume_3 = data["AskVolume3"]
tick.ask_volume_4 = data["AskVolume4"]
tick.ask_volume_5 = data["AskVolume5"]
self.gateway.on_tick(tick)
def onRtnDepthMarketData(self, data: dict):
"""
Callback of tick data update.
"""
# 这个传过来的数据data是什么样子的
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
tick = TickData(symbol=symbol,
exchange=exchange,
datetime=datetime.strptime(timestamp,
"%Y%m%d %H:%M:%S.%f"),
name=symbol_name_map[symbol],
volume=data["Volume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=adjust_price(data["OpenPrice"]),
high_price=adjust_price(data["HighestPrice"]),
low_price=adjust_price(data["LowestPrice"]),
pre_close=adjust_price(data["PreClosePrice"]),
bid_price_1=adjust_price(data["BidPrice1"]),
ask_price_1=adjust_price(data["AskPrice1"]),
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = adjust_price(data["BidPrice2"])
tick.bid_price_3 = adjust_price(data["BidPrice3"])
tick.bid_price_4 = adjust_price(data["BidPrice4"])
tick.bid_price_5 = adjust_price(data["BidPrice5"])
tick.ask_price_2 = adjust_price(data["AskPrice2"])
tick.ask_price_3 = adjust_price(data["AskPrice3"])
tick.ask_price_4 = adjust_price(data["AskPrice4"])
tick.ask_price_5 = adjust_price(data["AskPrice5"])
tick.bid_volume_2 = adjust_price(data["BidVolume2"])
tick.bid_volume_3 = adjust_price(data["BidVolume3"])
tick.bid_volume_4 = adjust_price(data["BidVolume4"])
tick.bid_volume_5 = adjust_price(data["BidVolume5"])
tick.ask_volume_2 = adjust_price(data["AskVolume2"])
tick.ask_volume_3 = adjust_price(data["AskVolume3"])
tick.ask_volume_4 = adjust_price(data["AskVolume4"])
tick.ask_volume_5 = adjust_price(data["AskVolume5"])
# 这个on_tick函数是BaseGateway基类里面定义的
self.gateway.on_tick(tick)
def onRtnDepthMarketData(self, data: dict) -> None:
"""
Callback of tick data update.
"""
symbol = data["InstID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{data['QuoteDate']} {data['QuoteTime']}.{int(data['UpdateMillisec']/100)}"
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
dt = CHINA_TZ.localize(dt)
tick = TickData(symbol=symbol,
exchange=exchange,
datetime=dt,
name=symbol_name_map[symbol],
volume=data["Volume"],
open_interest=data["OpenInt"],
last_price=data["Last"],
limit_up=data["highLimit"],
limit_down=data["lowLimit"],
open_price=adjust_price(data["Open"]),
high_price=adjust_price(data["Highest"]),
low_price=adjust_price(data["Low"]),
pre_close=adjust_price(data["PreClose"]),
bid_price_1=adjust_price(data["Bid1"]),
ask_price_1=adjust_price(data["Ask1"]),
bid_volume_1=data["BidLot1"],
ask_volume_1=data["AskLot1"],
gateway_name=self.gateway_name)
if data["BidLot2"] or data["AskLot2"]:
tick.bid_price_2 = adjust_price(data["Bid2"])
tick.bid_price_3 = adjust_price(data["Bid3"])
tick.bid_price_4 = adjust_price(data["Bid4"])
tick.bid_price_5 = adjust_price(data["Bid5"])
tick.ask_price_2 = adjust_price(data["Ask2"])
tick.ask_price_3 = adjust_price(data["Ask3"])
tick.ask_price_4 = adjust_price(data["Ask4"])
tick.ask_price_5 = adjust_price(data["Ask5"])
tick.bid_volume_2 = adjust_price(data["BidLot2"])
tick.bid_volume_3 = adjust_price(data["BidLot3"])
tick.bid_volume_4 = adjust_price(data["BidLot4"])
tick.bid_volume_5 = adjust_price(data["BidLot5"])
tick.ask_volume_2 = adjust_price(data["AskLot2"])
tick.ask_volume_3 = adjust_price(data["AskLot3"])
tick.ask_volume_4 = adjust_price(data["AskLot4"])
tick.ask_volume_5 = adjust_price(data["AskLot5"])
self.gateway.on_tick(tick)
def onRtnDepthMarketData(self, data: dict) -> None:
"""
Callback of tick data update.
"""
symbol = data["InstrumentID"]
exchange = EXCHANGE_UFT2VT[data["ExchangeID"]]
if not exchange:
return
timestamp = f"{data['TradingDay']} {data['UpdateTime']}000"
dt = datetime.strptime(timestamp, "%Y%m%d %H%M%S%f")
dt = dt.replace(tzinfo=CHINA_TZ)
tick = TickData(symbol=symbol,
exchange=exchange,
datetime=dt,
name=symbol_name_map[symbol],
volume=data["TradeVolume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=adjust_price(data["OpenPrice"]),
high_price=adjust_price(data["HighestPrice"]),
low_price=adjust_price(data["LowestPrice"]),
pre_close=adjust_price(data["PreClosePrice"]),
bid_price_1=adjust_price(data["BidPrice1"]),
ask_price_1=adjust_price(data["AskPrice1"]),
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = adjust_price(data["BidPrice2"])
tick.bid_price_3 = adjust_price(data["BidPrice3"])
tick.bid_price_4 = adjust_price(data["BidPrice4"])
tick.bid_price_5 = adjust_price(data["BidPrice5"])
tick.ask_price_2 = adjust_price(data["AskPrice2"])
tick.ask_price_3 = adjust_price(data["AskPrice3"])
tick.ask_price_4 = adjust_price(data["AskPrice4"])
tick.ask_price_5 = adjust_price(data["AskPrice5"])
tick.bid_volume_2 = adjust_price(data["BidVolume2"])
tick.bid_volume_3 = adjust_price(data["BidVolume3"])
tick.bid_volume_4 = adjust_price(data["BidVolume4"])
tick.bid_volume_5 = adjust_price(data["BidVolume5"])
tick.ask_volume_2 = adjust_price(data["AskVolume2"])
tick.ask_volume_3 = adjust_price(data["AskVolume3"])
tick.ask_volume_4 = adjust_price(data["AskVolume4"])
tick.ask_volume_5 = adjust_price(data["AskVolume5"])
self.gateway.on_tick(tick)
def onRtnDepthMarketData(self, data: dict) -> None:
"""
Callback of tick data update.
"""
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{data['TradingDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f"),
name=symbol_name_map.get(symbol, ""),
volume=data["Volume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=data["OpenPrice"],
high_price=data["HighestPrice"],
low_price=data["LowestPrice"],
pre_close=data["PreClosePrice"],
bid_price_1=data["BidPrice1"],
ask_price_1=data["AskPrice1"],
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name
)
tick.bid_price_2 = data["BidPrice2"]
tick.bid_price_3 = data["BidPrice3"]
tick.bid_price_4 = data["BidPrice4"]
tick.bid_price_5 = data["BidPrice5"]
tick.ask_price_2 = data["AskPrice2"]
tick.ask_price_3 = data["AskPrice3"]
tick.ask_price_4 = data["AskPrice4"]
tick.ask_price_5 = data["AskPrice5"]
tick.bid_volume_2 = data["BidVolume2"]
tick.bid_volume_3 = data["BidVolume3"]
tick.bid_volume_4 = data["BidVolume4"]
tick.bid_volume_5 = data["BidVolume5"]
tick.ask_volume_2 = data["AskVolume2"]
tick.ask_volume_3 = data["AskVolume3"]
tick.ask_volume_4 = data["AskVolume4"]
tick.ask_volume_5 = data["AskVolume5"]
self.gateway.on_tick(tick)
def to_tick(self):
"""
Generate TickData object from DbTickData.
从数据库获取的Tick数据生成 tickData数据对象。
"""
tick = TickData(
symbol=self.symbol,
exchange=Exchange(self.exchange),
# timestamp=self.timestamp,
datetime=self.datetime,
name=self.name,
volume=self.volume,
open_interest=self.open_interest,
last_price=self.last_price,
last_volume=self.last_volume,
limit_up=self.limit_up,
limit_down=self.limit_down,
open_price=self.open_price,
high_price=self.high_price,
low_price=self.low_price,
pre_close=self.pre_close,
bid_price_1=self.bid_price_1,
ask_price_1=self.ask_price_1,
bid_volume_1=self.bid_volume_1,
ask_volume_1=self.ask_volume_1,
gateway_name="DB",
)
if self.bid_price_2:
tick.bid_price_2 = self.bid_price_2
tick.bid_price_3 = self.bid_price_3
tick.bid_price_4 = self.bid_price_4
tick.bid_price_5 = self.bid_price_5
tick.ask_price_2 = self.ask_price_2
tick.ask_price_3 = self.ask_price_3
tick.ask_price_4 = self.ask_price_4
tick.ask_price_5 = self.ask_price_5
tick.bid_volume_2 = self.bid_volume_2
tick.bid_volume_3 = self.bid_volume_3
tick.bid_volume_4 = self.bid_volume_4
tick.bid_volume_5 = self.bid_volume_5
tick.ask_volume_2 = self.ask_volume_2
tick.ask_volume_3 = self.ask_volume_3
tick.ask_volume_4 = self.ask_volume_4
tick.ask_volume_5 = self.ask_volume_5
return tick
def onStockMarketData(self, data: dict) -> None:
""""""
timestamp = str(data["tradingDay"]) + str(data["updateTime"])
dt = datetime.strptime(timestamp, "%Y%m%d%H:%M:%S.%f")
dt = CHINA_TZ.localize(dt)
tick = TickData(symbol=data["securityID"],
exchange=EXCHANGE_SEC2VT[data["exchangeID"]],
datetime=dt,
volume=data["tradeQty"],
last_price=data["latestPrice"],
limit_up=data["upperLimitPrice"],
limit_down=data["lowerLimitPrice"],
open_price=data["openPrice"],
high_price=data["highestPrice"],
low_price=data["lowestPrice"],
pre_close=data["preClosePrice"],
gateway_name=self.gateway_name)
tick.bid_price_1 = data["bidPrice1"]
tick.bid_price_2 = data["bidPrice2"]
tick.bid_price_3 = data["bidPrice3"]
tick.bid_price_4 = data["bidPrice4"]
tick.bid_price_5 = data["bidPrice5"]
tick.ask_price_1 = data["askPrice1"]
tick.ask_price_2 = data["askPrice2"]
tick.ask_price_3 = data["askPrice3"]
tick.ask_price_4 = data["askPrice4"]
tick.ask_price_5 = data["askPrice5"]
tick.bid_volume_1 = data["bidQty1"]
tick.bid_volume_2 = data["bidQty2"]
tick.bid_volume_3 = data["bidQty3"]
tick.bid_volume_4 = data["bidQty4"]
tick.bid_volume_5 = data["bidQty5"]
tick.ask_volume_1 = data["askQty1"]
tick.ask_volume_2 = data["askQty2"]
tick.ask_volume_3 = data["askQty3"]
tick.ask_volume_4 = data["askQty4"]
tick.ask_volume_5 = data["askQty5"]
tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
self.gateway.on_tick(tick)
def qute_stock_QUT(self, code, data):
tick = self.ticks.get(code, None)
if tick is None:
contract = self.code2contract[code]
tick = TickData(
symbol=code,
exchange=Exchange.TSE,
name=f"{contract['name']}{contract['delivery_month']}",
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
tick.bid_price_1 = data["BidPrice"][0]
tick.bid_price_2 = data["BidPrice"][1]
tick.bid_price_3 = data["BidPrice"][2]
tick.bid_price_4 = data["BidPrice"][3]
tick.bid_price_5 = data["BidPrice"][4]
tick.ask_price_1 = data["AskPrice"][0]
tick.ask_price_2 = data["AskPrice"][1]
tick.ask_price_3 = data["AskPrice"][2]
tick.ask_price_4 = data["AskPrice"][3]
tick.ask_price_5 = data["AskPrice"][4]
tick.bid_volume_1 = data["BidVolume"][0]
tick.bid_volume_2 = data["BidVolume"][1]
tick.bid_volume_3 = data["BidVolume"][2]
tick.bid_volume_4 = data["BidVolume"][3]
tick.bid_volume_5 = data["BidVolume"][4]
tick.ask_volume_1 = data["AskVolume"][0]
tick.ask_volume_2 = data["AskVolume"][1]
tick.ask_volume_3 = data["AskVolume"][2]
tick.ask_volume_4 = data["AskVolume"][3]
tick.ask_volume_5 = data["AskVolume"][4]
return tick
def quote_futures_Q(self, data):
code = data.get('Code', None)
if code is None:
return
tick = self.ticks.get(code, None)
if tick is None:
contract = self.code2contract[code]
tick = TickData(
symbol=data['Code'],
exchange=Exchange.TFE,
name=f"{contract['name']}{contract['delivery_month']}",
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
tick.bid_price_1 = data["BidPrice"][0]
tick.bid_price_2 = data["BidPrice"][1]
tick.bid_price_3 = data["BidPrice"][2]
tick.bid_price_4 = data["BidPrice"][3]
tick.bid_price_5 = data["BidPrice"][4]
tick.ask_price_1 = data["AskPrice"][0]
tick.ask_price_2 = data["AskPrice"][1]
tick.ask_price_3 = data["AskPrice"][2]
tick.ask_price_4 = data["AskPrice"][3]
tick.ask_price_5 = data["AskPrice"][4]
tick.bid_volume_1 = data["BidVolume"][0]
tick.bid_volume_2 = data["BidVolume"][1]
tick.bid_volume_3 = data["BidVolume"][2]
tick.bid_volume_4 = data["BidVolume"][3]
tick.bid_volume_5 = data["BidVolume"][4]
tick.ask_volume_1 = data["AskVolume"][0]
tick.ask_volume_2 = data["AskVolume"][1]
tick.ask_volume_3 = data["AskVolume"][2]
tick.ask_volume_4 = data["AskVolume"][3]
tick.ask_volume_5 = data["AskVolume"][4]
return tick
def on_data_update(self, data):
""""""
channel_id = data[0]
channel, symbol = self.channels[channel_id]
symbol = str(symbol.replace("t", ""))
# Get the Tick object
if symbol in self.ticks:
tick = self.ticks[symbol]
else:
tick = TickData(
symbol=symbol,
exchange=Exchange.BITFINEX,
name=symbol,
datetime=datetime.now(UTC_TZ),
gateway_name=self.gateway_name,
)
self.ticks[symbol] = tick
l_data1 = data[1]
# Update general quote
if channel == "ticker":
tick.volume = float(l_data1[-3])
tick.high_price = float(l_data1[-2])
tick.low_price = float(l_data1[-1])
tick.last_price = float(l_data1[-4])
tick.open_price = float(tick.last_price - l_data1[4])
# Update deep quote
elif channel == "book":
bid = self.bids.setdefault(symbol, {})
ask = self.asks.setdefault(symbol, {})
if len(l_data1) > 3:
for price, count, amount in l_data1:
price = float(price)
count = int(count)
amount = float(amount)
if amount > 0:
bid[price] = amount
else:
ask[price] = -amount
else:
price, count, amount = l_data1
price = float(price)
count = int(count)
amount = float(amount)
if not count:
if price in bid:
del bid[price]
elif price in ask:
del ask[price]
else:
if amount > 0:
bid[price] = amount
else:
ask[price] = -amount
try:
# BID
bid_keys = bid.keys()
bidPriceList = sorted(bid_keys, reverse=True)
tick.bid_price_1 = bidPriceList[0]
tick.bid_price_2 = bidPriceList[1]
tick.bid_price_3 = bidPriceList[2]
tick.bid_price_4 = bidPriceList[3]
tick.bid_price_5 = bidPriceList[4]
tick.bid_volume_1 = bid[tick.bid_price_1]
tick.bid_volume_2 = bid[tick.bid_price_2]
tick.bid_volume_3 = bid[tick.bid_price_3]
tick.bid_volume_4 = bid[tick.bid_price_4]
tick.bid_volume_5 = bid[tick.bid_price_5]
# ASK
ask_keys = ask.keys()
askPriceList = sorted(ask_keys)
tick.ask_price_1 = askPriceList[0]
tick.ask_price_2 = askPriceList[1]
tick.ask_price_3 = askPriceList[2]
tick.ask_price_4 = askPriceList[3]
tick.ask_price_5 = askPriceList[4]
tick.ask_volume_1 = ask[tick.ask_price_1]
tick.ask_volume_2 = ask[tick.ask_price_2]
tick.ask_volume_3 = ask[tick.ask_price_3]
tick.ask_volume_4 = ask[tick.ask_price_4]
tick.ask_volume_5 = ask[tick.ask_price_5]
except IndexError:
return
dt = datetime.now(UTC_TZ)
tick.datetime = dt
self.gateway.on_tick(copy(tick))
def to_tick(self):
"""
Generate TickData object from DbTickData.
"""
tick = TickData(
symbol=self.symbol,
exchange=Exchange(self.exchange),
datetime=self.datetime.replace(tzinfo=DB_TZ),
name=self.name,
volume=self.volume,
open_interest=self.open_interest,
last_price=self.last_price,
last_volume=self.last_volume,
limit_up=self.limit_up,
limit_down=self.limit_down,
open_price=self.open_price,
high_price=self.high_price,
low_price=self.low_price,
pre_close=self.pre_close,
bid_price_1=self.bid_price_1,
ask_price_1=self.ask_price_1,
bid_volume_1=self.bid_volume_1,
ask_volume_1=self.ask_volume_1,
gateway_name="DB",
)
if self.bid_price_2:
tick.bid_price_2 = self.bid_price_2
tick.bid_price_3 = self.bid_price_3
tick.bid_price_4 = self.bid_price_4
tick.bid_price_5 = self.bid_price_5
tick.bid_price_6 = self.bid_price_6
tick.bid_price_7 = self.bid_price_7
tick.bid_price_8 = self.bid_price_8
tick.bid_price_9 = self.bid_price_9
tick.bid_price_10 = self.bid_price_10
tick.bid_price_11 = self.bid_price_11
tick.bid_price_12 = self.bid_price_12
tick.bid_price_13 = self.bid_price_13
tick.bid_price_14 = self.bid_price_14
tick.bid_price_15 = self.bid_price_15
tick.bid_price_16 = self.bid_price_16
tick.bid_price_17 = self.bid_price_17
tick.bid_price_18 = self.bid_price_18
tick.bid_price_19 = self.bid_price_19
tick.bid_price_20 = self.bid_price_20
tick.ask_price_2 = self.ask_price_2
tick.ask_price_3 = self.ask_price_3
tick.ask_price_4 = self.ask_price_4
tick.ask_price_5 = self.ask_price_5
tick.ask_price_6 = self.ask_price_6
tick.ask_price_7 = self.ask_price_7
tick.ask_price_8 = self.ask_price_8
tick.ask_price_9 = self.ask_price_9
tick.ask_price_10 = self.ask_price_10
tick.ask_price_11 = self.ask_price_11
tick.ask_price_12 = self.ask_price_12
tick.ask_price_13 = self.ask_price_13
tick.ask_price_14 = self.ask_price_14
tick.ask_price_15 = self.ask_price_15
tick.ask_price_16 = self.ask_price_16
tick.ask_price_17 = self.ask_price_17
tick.ask_price_18 = self.ask_price_18
tick.ask_price_19 = self.ask_price_19
tick.ask_price_20 = self.ask_price_20
tick.bid_volume_2 = self.bid_volume_2
tick.bid_volume_3 = self.bid_volume_3
tick.bid_volume_4 = self.bid_volume_4
tick.bid_volume_5 = self.bid_volume_5
tick.bid_volume_6 = self.bid_volume_6
tick.bid_volume_7 = self.bid_volume_7
tick.bid_volume_8 = self.bid_volume_8
tick.bid_volume_9 = self.bid_volume_9
tick.bid_volume_10 = self.bid_volume_10
tick.bid_volume_11 = self.bid_volume_11
tick.bid_volume_12 = self.bid_volume_12
tick.bid_volume_13 = self.bid_volume_13
tick.bid_volume_14 = self.bid_volume_14
tick.bid_volume_15 = self.bid_volume_15
tick.bid_volume_16 = self.bid_volume_16
tick.bid_volume_17 = self.bid_volume_17
tick.bid_volume_18 = self.bid_volume_18
tick.bid_volume_19 = self.bid_volume_19
tick.bid_volume_20 = self.bid_volume_20
tick.ask_volume_2 = self.ask_volume_2
tick.ask_volume_3 = self.ask_volume_3
tick.ask_volume_4 = self.ask_volume_4
tick.ask_volume_5 = self.ask_volume_5
tick.ask_volume_6 = self.ask_volume_6
tick.ask_volume_7 = self.ask_volume_7
tick.ask_volume_8 = self.ask_volume_8
tick.ask_volume_9 = self.ask_volume_9
tick.ask_volume_10 = self.ask_volume_10
tick.ask_volume_11 = self.ask_volume_11
tick.ask_volume_12 = self.ask_volume_12
tick.ask_volume_13 = self.ask_volume_13
tick.ask_volume_14 = self.ask_volume_14
tick.ask_volume_15 = self.ask_volume_15
tick.ask_volume_16 = self.ask_volume_16
tick.ask_volume_17 = self.ask_volume_17
tick.ask_volume_18 = self.ask_volume_18
tick.ask_volume_19 = self.ask_volume_19
tick.ask_volume_20 = self.ask_volume_20
return tick
def onRtnDepthMarketData(self, data: dict):
"""
Callback of tick data update.
"""
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
# 不处理开盘前的tick数据
if dt.hour in [8, 20] and dt.minute < 59:
return
if exchange is Exchange.CFFEX and dt.hour == 9 and dt.minute < 14:
return
tick = TickData(symbol=symbol,
exchange=exchange,
datetime=dt,
date=dt.strftime('%Y-%m-%d'),
time=dt.strftime('%H:%M:%S.%f'),
trading_day=get_trading_date(dt),
name=symbol_name_map[symbol],
volume=data["Volume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=adjust_price(data["OpenPrice"]),
high_price=adjust_price(data["HighestPrice"]),
low_price=adjust_price(data["LowestPrice"]),
pre_close=adjust_price(data["PreClosePrice"]),
bid_price_1=adjust_price(data["BidPrice1"]),
ask_price_1=adjust_price(data["AskPrice1"]),
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = adjust_price(data["BidPrice2"])
tick.bid_price_3 = adjust_price(data["BidPrice3"])
tick.bid_price_4 = adjust_price(data["BidPrice4"])
tick.bid_price_5 = adjust_price(data["BidPrice5"])
tick.ask_price_2 = adjust_price(data["AskPrice2"])
tick.ask_price_3 = adjust_price(data["AskPrice3"])
tick.ask_price_4 = adjust_price(data["AskPrice4"])
tick.ask_price_5 = adjust_price(data["AskPrice5"])
tick.bid_volume_2 = adjust_price(data["BidVolume2"])
tick.bid_volume_3 = adjust_price(data["BidVolume3"])
tick.bid_volume_4 = adjust_price(data["BidVolume4"])
tick.bid_volume_5 = adjust_price(data["BidVolume5"])
tick.ask_volume_2 = adjust_price(data["AskVolume2"])
tick.ask_volume_3 = adjust_price(data["AskVolume3"])
tick.ask_volume_4 = adjust_price(data["AskVolume4"])
tick.ask_volume_5 = adjust_price(data["AskVolume5"])
self.gateway.on_tick(tick)
