def _handle_market_trades(runner, instrument, timestamp_ns):
trade_ticks = []
for price, volume in runner.get("trd", []):
if volume == 0:
continue
# Betfair doesn't publish trade ids, so we make our own
# TODO - should we use clk here for ID instead of the hash?
trade_id = hash_json(data=(
timestamp_ns,
instrument.market_id,
str(runner["id"]),
str(runner.get("hc", "0.0")),
price,
volume,
))
tick = TradeTick(
instrument_id=instrument.id,
price=Price(price_to_probability(price, force=True)),
size=Quantity(volume, precision=4),
side=OrderSide.BUY,
match_id=TradeMatchId(trade_id),
timestamp_ns=timestamp_ns,
)
trade_ticks.append(tick)
return trade_ticks
def _handle_market_trades(
runner,
instrument,
ts_event_ns,
ts_recv_ns,
):
trade_ticks = []
for price, volume in runner.get("trd", []):
if volume == 0:
continue
# Betfair doesn't publish trade ids, so we make our own
# TODO - should we use clk here for ID instead of the hash?
trade_id = hash_json(data=(ts_event_ns, price, volume))
tick = TradeTick(
instrument_id=instrument.id,
price=price_to_probability(
price, force=True), # Already wrapping in Price
size=Quantity(volume, precision=4),
aggressor_side=AggressorSide.UNKNOWN,
match_id=trade_id,
ts_event_ns=ts_event_ns,
ts_recv_ns=ts_recv_ns,
)
trade_ticks.append(tick)
return trade_ticks
def _handle_market_snapshot(selection, instrument, timestamp_ns):
updates = []
# Check we only have one of [best bets / depth bets / all bets]
bid_keys = [k for k in B_BID_KINDS if k in selection] or ["atb"]
ask_keys = [k for k in B_ASK_KINDS if k in selection] or ["atl"]
assert len(bid_keys) <= 1
assert len(ask_keys) <= 1
# OrderBook Snapshot
# TODO Clean this crap up
if bid_keys[0] == "atb":
bids = selection.get("atb", [])
else:
bids = [(p, v) for _, p, v in selection.get(bid_keys[0], [])]
if ask_keys[0] == "atl":
asks = selection.get("atl", [])
else:
asks = [(p, v) for _, p, v in selection.get(ask_keys[0], [])]
snapshot = OrderBookSnapshot(
level=OrderBookLevel.L2,
instrument_id=instrument.id,
bids=[(price_to_probability(p, OrderSide.BUY), v) for p, v in asks],
asks=[(price_to_probability(p, OrderSide.SELL), v) for p, v in bids],
timestamp_ns=timestamp_ns,
)
updates.append(snapshot)
# Trade Ticks
for price, volume in selection.get("trd", []):
trade_id = hash_json((timestamp_ns, price, volume))
tick = TradeTick(
instrument_id=instrument.id,
price=Price(price_to_probability(price, force=True)),
size=Quantity(volume, precision=4),
side=OrderSide.BUY,
match_id=TradeMatchId(trade_id),
timestamp_ns=timestamp_ns,
)
updates.append(tick)
return updates
def build_market_update_messages( # noqa TODO: cyclomatic complexity 14
raw, instrument_provider: BetfairInstrumentProvider
) -> List[Union[OrderBookOperation, TradeTick]]:
updates = []
for market in raw.get("mc", []):
market_id = market["id"]
for runner in market.get("rc", []):
kw = dict(
market_id=market_id,
selection_id=str(runner["id"]),
handicap=str(runner.get("hc") or "0.0"),
)
instrument = instrument_provider.get_betting_instrument(**kw)
if not instrument:
continue
operations = []
for side in B_SIDE_KINDS:
for upd in runner.get(side, []):
# TODO - Fix this crap
if len(upd) == 3:
_, price, volume = upd
else:
price, volume = upd
operations.append(
OrderBookOperation(
op_type=OrderBookOperationType.DELETE
if volume == 0 else OrderBookOperationType.UPDATE,
order=Order(
price=price_to_probability(
price, side=B2N_MARKET_STREAM_SIDE[side]),
volume=volume,
side=B2N_MARKET_STREAM_SIDE[side],
),
timestamp_ns=millis_to_nanos(raw["pt"]),
))
ob_update = OrderBookOperations(
level=OrderBookLevel.L2,
instrument_id=instrument.id,
ops=operations,
timestamp_ns=millis_to_nanos(raw["pt"]),
)
updates.append(ob_update)
for price, volume in runner.get("trd", []):
# Betfair doesn't publish trade ids, so we make our own
# TODO - should we use clk here?
trade_id = hash_json(data=(
raw["pt"],
market_id,
str(runner["id"]),
str(runner.get("hc", "0.0")),
price,
volume,
))
trade_tick = TradeTick(
instrument_id=instrument.id,
price=Price(price_to_probability(price)),
size=Quantity(volume, precision=4),
side=OrderSide.BUY,
match_id=TradeMatchId(trade_id),
timestamp_ns=millis_to_nanos(raw["pt"]),
)
updates.append(trade_tick)
if market.get("marketDefinition", {}).get("status") == "CLOSED":
for runner in market["marketDefinition"]["runners"]:
kw = dict(
market_id=market_id,
selection_id=str(runner["id"]),
handicap=str(runner.get("hc") or "0.0"),
)
instrument = instrument_provider.get_betting_instrument(**kw)
assert instrument
# TODO - handle market closed
# on_market_status()
if runner["status"] == "LOSER":
# TODO - handle closing valuation = 0
pass
elif runner["status"] == "WINNER":
# TODO handle closing valuation = 1
pass
if (market.get("marketDefinition", {}).get("inPlay")
and not market.get("marketDefinition",
{}).get("status") == "CLOSED"):
for selection in market["marketDefinition"]["runners"]:
kw = dict(
market_id=market_id,
selection_id=str(selection["id"]),
handicap=str(
selection.get("hc", selection.get("handicap"))
or "0.0"),
)
instrument = instrument_provider.get_betting_instrument(**kw)
assert instrument
# TODO - handle instrument status IN_PLAY
return updates