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 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
