Merge pull request #550 from narumiruna/python/market-data

python: add ticker, kline and trade to market data

python/bbgo/data/__init__.py

@@ -9,4 +9,5 @@ from .kline import KLine
 from .order import Order
 from .submit_order import SubmitOrder
 from .subscription import Subscription
+from .ticker import Ticker
 from .trade import Trade

python/bbgo/data/event.py

@@ -1,15 +1,20 @@
 from __future__ import annotations
 
 from dataclasses import dataclass
+from datetime import datetime
 from typing import List
 
 import bbgo_pb2
 
 from ..enums import ChannelType
 from ..enums import EventType
+from ..utils import parse_time
 from .balance import Balance
 from .depth import Depth
+from .error import ErrorMessage
+from .kline import KLine
 from .order import Order
+from .ticker import Ticker
 from .trade import Trade
 
 
@@ -42,24 +47,42 @@ class UserDataEvent(Event):
 
 @dataclass
 class MarketDataEvent(Event):
+    session: str
     exchange: str
     symbol: str
     channel_type: ChannelType
     event_type: EventType
+    subscribed_at: datetime
+    error: ErrorMessage
     depth: Depth = None
+    kline: KLine = None
+    ticker: Ticker = None
+    trades: List[Trade] = None
 
     @classmethod
     def from_pb(cls, obj: bbgo_pb2.MarketData) -> MarketDataEvent:
         channel_type = ChannelType(obj.channel)
 
         event = cls(
+            session=obj.session,
             exchange=obj.exchange,
             symbol=obj.symbol,
             channel_type=channel_type,
             event_type=EventType(obj.event),
+            subscribed_at=parse_time(obj.subscribed_at),
+            error=ErrorMessage.from_pb(obj.error),
         )
 
         if channel_type == ChannelType.BOOK:
             event.depth = Depth.from_pb(obj.depth)
 
+        if channel_type == ChannelType.KLINE:
+            event.kline = KLine.from_pb(obj.kline)
+
+        if channel_type == ChannelType.TICKER:
+            event.ticker = Ticker.from_pb(obj.ticker)
+
+        if channel_type == ChannelType.TRADE:
+            event.trades = [Trade.from_pb(trade) for trade in obj.trades]
+
         return event

python/bbgo/data/ticker.py

@@ -0,0 +1,30 @@
+from __future__ import annotations
+
+from dataclasses import dataclass
+
+import bbgo_pb2
+
+from ..utils import parse_float
+
+
+@dataclass
+class Ticker:
+    exchange: str
+    symbol: str
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: float
+
+    @classmethod
+    def from_pb(cls, obj: bbgo_pb2.KLine) -> Ticker:
+        return cls(
+            exchange=obj.exchange,
+            symbol=obj.symbol,
+            open=parse_float(obj.open),
+            high=parse_float(obj.high),
+            low=parse_float(obj.low),
+            close=parse_float(obj.close),
+            volume=parse_float(obj.volume),
+        )

python/bbgo/data/trade.py

@@ -6,6 +6,7 @@ from datetime import datetime
 import bbgo_pb2
 
 from ..enums import SideType
+from ..utils import parse_float
 from ..utils import parse_time
 
 
@@ -14,7 +15,7 @@ class Trade:
     session: str
     exchange: str
     symbol: str
-    id: str
+    trade_id: str
     price: float
     quantity: float
     created_at: datetime
@@ -30,11 +31,11 @@ class Trade:
             exchange=obj.exchange,
             symbol=obj.symbol,
             id=obj.id,
-            price=float(obj.price),
+            price=parse_float(obj.price),
-            quantity=float(obj.quantity),
+            quantity=parse_float(obj.quantity),
             created_at=parse_time(obj.created_at),
             side=SideType(obj.side),
             fee_currency=obj.fee_currency,
-            fee=float(obj.fee),
+            fee=parse_float(obj.fee),
             maker=obj.maker,
         )

python/bbgo/utils/convert.py

@@ -2,7 +2,7 @@ from datetime import datetime
 from typing import Union
 
 
-def parse_float(s: str) -> float:
+def parse_float(s: Union[str, float]) -> float:
     if s is None:
         return 0
 

python/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "bbgo"
-version = "0.1.1"
+version = "0.1.3"
 description = ""
 authors = ["なるみ <weaper@gmail.com>"]
 packages = [