def recalcBar(bar: Bar):
if "trades" not in bar.bot_data or len(bar.bot_data['trades']) == 0:
return
lastTstamp = 0
firstTstamp = bar.last_tick_tstamp
bar.volume = 0
bar.buyVolume = 0
bar.sellVolume = 0
bar.high = bar.low = list(bar.bot_data['trades'].values())[0][3]
for data in bar.bot_data['trades'].values():
tstamp = int(data[1]) / 1000
price = data[3]
volume = abs(data[2])
isBuy = data[2] > 0
if tstamp > lastTstamp:
bar.close = price
lastTstamp = tstamp
if tstamp <= firstTstamp:
bar.open = price
firstTstamp = tstamp
bar.low = min(bar.low, price)
bar.high = max(bar.high, price)
bar.volume += volume
bar.last_tick_tstamp = tstamp
if isBuy:
bar.buyVolume += volume
else:
bar.sellVolume += volume
def read_data_file(self, filename):
try:
with open(filename, 'r') as file:
data = json.load(file)
for entry in data:
d = VolubaData(entry['tstamp'])
for exchange, bar in entry['barsByExchange'].items():
bar = dotdict(bar)
b = Bar(tstamp=bar.tstamp,
open=bar.open,
high=bar.high,
low=bar.low,
close=bar.close,
volume=bar.volume)
b.buyVolume = bar.buyVolume
b.sellVolume = bar.sellVolume
d.barsByExchange[exchange] = b
self.m1Data[entry['tstamp']] = d
except Exception as e:
self.logger.error("Error reading data " + str(e))
