def books_from_lines_v1(lines, debug=False, end=None, drop_out_of_order=False):
currBook = None
# keep track of which side the book starts on,
# if that side repeats we've reached a new book
startSide = None
nLine = 0
nBooks = 0
keep_out_of_order = not drop_out_of_order
maxTimestamp = None
book_list = []
for line in lines:
if end and nBooks > end:
break
nLine += 1
if line[0:9] == "ORDERBOOK":
nBooks += 1
if currBook is not None:
if keep_out_of_order or currBook.lastUpdateTime == maxTimestamp:
book_list.append(currBook)
timestr = line[10:]
lastUpdateTime = parse_datetime_opt(timestr)
if maxTimestamp is None or lastUpdateTime > maxTimestamp:
maxTimestamp = lastUpdateTime
currBook = OB(lastUpdateTime=lastUpdateTime)
else:
row = line.split(',')
side = row[obc.SIDE]
entry = Order(
timestamp=parse_datetime_opt(row[obc.TIMESTAMP]),
side=side,
level=int(row[obc.LEVEL]),
price=float(row[obc.PRICE]),
size=long(row[obc.SIZE]),
#orderdepthcount = int(row[obc.ORDERDEPTHCOUNT])
#ccy = row[obc.CURRENCY]
)
if (side == obc.BID): currBook.add_bid(entry)
elif (side == obc.OFFER): currBook.add_offer(entry)
return book_list
def start_new_orderbook(self, line):
self.at_start_of_file = False
# periodically clear the order cache so it doesn't eat all the memory
if len(self.order_cache) > 5000:
self.order_cache.clear()
if self.currBook:
self.books.append(self.currBook)
_, _, monotonic_time, exchange_time = line.split(',')
monotonic_seconds, _, monotonic_nanoseconds = monotonic_time.partition(
':')
epoch_seconds, _, exchange_nanoseconds = exchange_time.partition(':')
epoch_seconds = long(epoch_seconds)
exchange_seconds = epoch_seconds % self.SECONDS_PER_DAY
exchange_day = epoch_seconds / self.SECONDS_PER_DAY
update_time = exchange_seconds * 1000 + long(exchange_nanoseconds) / (
10**6)
monotonic_time = long(monotonic_seconds) * 1000 + long(
monotonic_nanoseconds) / (10**6)
self.currBook = OB(day=exchange_day,
lastUpdateTime=update_time,
lastUpdateMonotonic=monotonic_time,
actions=self.actions)
self.actions = []
