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hummingbot/connector/exchange/coinzoom/coinzoom_active_order_tracker.pxd
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,13 @@ | ||
| # distutils: language=c++ | ||
| cimport numpy as np | ||
|
|
||
| cdef class CoinzoomActiveOrderTracker: | ||
| cdef dict _active_bids | ||
| cdef dict _active_asks | ||
| cdef dict _active_asks_ids | ||
| cdef dict _active_bids_ids | ||
|
|
||
| cdef tuple c_convert_diff_message_to_np_arrays(self, object message) | ||
| cdef tuple c_convert_snapshot_message_to_np_arrays(self, object message) | ||
| # This method doesn't seem to be used anywhere at all | ||
| # cdef np.ndarray[np.float64_t, ndim=1] c_convert_trade_message_to_np_array(self, object message) |
157 changes: 157 additions & 0 deletions
157
hummingbot/connector/exchange/coinzoom/coinzoom_active_order_tracker.pyx
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,157 @@ | ||
| # distutils: language=c++ | ||
| # distutils: sources=hummingbot/core/cpp/OrderBookEntry.cpp | ||
| import logging | ||
| import numpy as np | ||
| from decimal import Decimal | ||
| from typing import Dict | ||
| from hummingbot.logger import HummingbotLogger | ||
| from hummingbot.core.data_type.order_book_row import OrderBookRow | ||
|
|
||
| _logger = None | ||
| s_empty_diff = np.ndarray(shape=(0, 4), dtype="float64") | ||
| CoinzoomOrderBookTrackingDictionary = Dict[Decimal, Dict[str, Dict[str, any]]] | ||
|
|
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| cdef class CoinzoomActiveOrderTracker: | ||
| def __init__(self, | ||
| active_asks: CoinzoomOrderBookTrackingDictionary = None, | ||
| active_bids: CoinzoomOrderBookTrackingDictionary = None): | ||
| super().__init__() | ||
| self._active_asks = active_asks or {} | ||
| self._active_bids = active_bids or {} | ||
| self._active_asks_ids = {} | ||
| self._active_bids_ids = {} | ||
|
|
||
| @classmethod | ||
| def logger(cls) -> HummingbotLogger: | ||
| global _logger | ||
| if _logger is None: | ||
| _logger = logging.getLogger(__name__) | ||
| return _logger | ||
|
|
||
| @property | ||
| def active_asks(self) -> CoinzoomOrderBookTrackingDictionary: | ||
| return self._active_asks | ||
|
|
||
| @property | ||
| def active_bids(self) -> CoinzoomOrderBookTrackingDictionary: | ||
| return self._active_bids | ||
|
|
||
| # TODO: research this more | ||
| def volume_for_ask_price(self, price) -> float: | ||
| return NotImplementedError | ||
|
|
||
| # TODO: research this more | ||
| def volume_for_bid_price(self, price) -> float: | ||
| return NotImplementedError | ||
|
|
||
| def get_rates_and_quantities(self, entry) -> tuple: | ||
| # price, quantity | ||
| return float(entry[0]), float(entry[1]) | ||
|
|
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| def get_rates_and_amts_with_ids(self, entry, id_list) -> tuple: | ||
| if len(entry) > 1: | ||
| price = float(entry[1]) | ||
| amount = float(entry[2]) | ||
| id_list[str(entry[0])] = price | ||
| else: | ||
| price = id_list.get(str(entry[0])) | ||
| amount = 0.0 | ||
| return price, amount | ||
|
|
||
| cdef tuple c_convert_diff_message_to_np_arrays(self, object message): | ||
| cdef: | ||
| dict content = message.content | ||
| list content_keys = list(content.keys()) | ||
| list bid_entries = [] | ||
| list ask_entries = [] | ||
| str order_id | ||
| str order_side | ||
| str price_raw | ||
| object price | ||
| dict order_dict | ||
| double timestamp = message.timestamp | ||
| double amount = 0 | ||
| dict nps = {'bids': s_empty_diff, 'asks': s_empty_diff} | ||
|
|
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| if "b" in content_keys: | ||
| bid_entries = content["b"] | ||
| if "s" in content_keys: | ||
| ask_entries = content["s"] | ||
|
|
||
| for entries, diff_key, id_list in [ | ||
| (bid_entries, 'bids', self._active_bids_ids), | ||
| (ask_entries, 'asks', self._active_asks_ids) | ||
| ]: | ||
| if len(entries) > 0: | ||
| nps[diff_key] = np.array( | ||
| [[timestamp, price, amount, message.update_id] | ||
| for price, amount in [self.get_rates_and_amts_with_ids(entry, id_list) for entry in entries] | ||
| if price is not None], | ||
| dtype="float64", ndmin=2 | ||
| ) | ||
| return nps['bids'], nps['asks'] | ||
|
|
||
| cdef tuple c_convert_snapshot_message_to_np_arrays(self, object message): | ||
| cdef: | ||
| float price | ||
| float amount | ||
| str order_id | ||
| dict order_dict | ||
|
|
||
| # Refresh all order tracking. | ||
| self._active_bids.clear() | ||
| self._active_asks.clear() | ||
| timestamp = message.timestamp | ||
| content = message.content | ||
| content_keys = list(content.keys()) | ||
|
|
||
| if "bids" in content_keys: | ||
| for snapshot_orders, active_orders in [(content["bids"], self._active_bids), (content["asks"], self._active_asks)]: | ||
| for entry in snapshot_orders: | ||
| price, amount = self.get_rates_and_quantities(entry) | ||
| active_orders[price] = amount | ||
| else: | ||
| for snapshot_orders, active_orders, active_order_ids in [ | ||
| (content["b"], self._active_bids, self._active_bids_ids), | ||
| (content["s"], self._active_asks, self._active_asks_ids) | ||
| ]: | ||
| for entry in snapshot_orders: | ||
| price, amount = self.get_rates_and_amts_with_ids(entry, active_order_ids) | ||
| active_orders[price] = amount | ||
|
|
||
| # Return the sorted snapshot tables. | ||
| cdef: | ||
| np.ndarray[np.float64_t, ndim=2] bids = np.array( | ||
| [[message.timestamp, float(price), float(self._active_bids[price]), message.update_id] | ||
| for price in sorted(self._active_bids.keys())], dtype='float64', ndmin=2) | ||
| np.ndarray[np.float64_t, ndim=2] asks = np.array( | ||
| [[message.timestamp, float(price), float(self._active_asks[price]), message.update_id] | ||
| for price in sorted(self._active_asks.keys(), reverse=True)], dtype='float64', ndmin=2) | ||
|
|
||
| if bids.shape[1] != 4: | ||
| bids = bids.reshape((0, 4)) | ||
| if asks.shape[1] != 4: | ||
| asks = asks.reshape((0, 4)) | ||
|
|
||
| return bids, asks | ||
|
|
||
| # This method doesn't seem to be used anywhere at all | ||
| # cdef np.ndarray[np.float64_t, ndim=1] c_convert_trade_message_to_np_array(self, object message): | ||
| # cdef: | ||
| # double trade_type_value = 1.0 if message.content[4] == "BUY" else 2.0 | ||
| # list content = message.content | ||
|
|
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| # return np.array([message.timestamp, trade_type_value, float(content[1]), float(content[2])], | ||
| # dtype="float64") | ||
|
|
||
| def convert_diff_message_to_order_book_row(self, message): | ||
| np_bids, np_asks = self.c_convert_diff_message_to_np_arrays(message) | ||
| bids_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_bids] | ||
| asks_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_asks] | ||
| return bids_row, asks_row | ||
|
|
||
| def convert_snapshot_message_to_order_book_row(self, message): | ||
| np_bids, np_asks = self.c_convert_snapshot_message_to_np_arrays(message) | ||
| bids_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_bids] | ||
| asks_row = [OrderBookRow(price, qty, update_id) for ts, price, qty, update_id in np_asks] | ||
| return bids_row, asks_row |
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