Merge pull request #612 from narumiruna/narumi/decimal

python/bbgo/data/balance.py

@@ -1,16 +1,19 @@
 from __future__ import annotations
 
 from dataclasses import dataclass
+from decimal import Decimal
 
 import bbgo_pb2
 
+from ..utils import parse_number
+
 
 @dataclass
 class Balance:
     exchange: str
     currency: str
-    available: float
-    locked: float
+    available: Decimal
+    locked: Decimal
     borrowed: str
 
     @classmethod
@@ -18,10 +21,10 @@ class Balance:
         return cls(
             exchange=obj.exchange,
             currency=obj.currency,
-            available=float(obj.available),
-            locked=float(obj.locked),
+            available=parse_number(obj.available),
+            locked=parse_number(obj.locked),
             borrowed=obj.borrowed,
         )
 
-    def total(self) -> float:
+    def total(self) -> Decimal:
         return self.available + self.locked

python/bbgo/data/depth.py

@@ -1,9 +1,12 @@
 from __future__ import annotations
 
 from dataclasses import dataclass
+from decimal import Decimal
+from typing import List
+
 import bbgo_pb2
 
-from typing import List
+from ..utils import parse_number
 
 
 @dataclass
@@ -25,12 +28,12 @@ class Depth:
 
 @dataclass
 class PriceVolume:
-    price: float
-    volume: float
+    price: Decimal
+    volume: Decimal
 
     @classmethod
     def from_pb(cls, obj: bbgo_pb2.PriceVolume):
         return cls(
-            price=float(obj.price),
-            volume=float(obj.volume),
+            price=parse_number(obj.price),
+            volume=parse_number(obj.volume),
         )

python/bbgo/data/kline.py

@@ -2,10 +2,11 @@ from __future__ import annotations
 
 from dataclasses import dataclass
 from datetime import datetime
+from decimal import Decimal
 
 import bbgo_pb2
 
-from ..utils import parse_float
+from ..utils import parse_number
 from ..utils import parse_time
 
 
@@ -13,15 +14,15 @@ from ..utils import parse_time
 class KLine:
     exchange: str
     symbol: str
-    open: float
-    high: float
-    low: float
-    close: float
-    volume: float
+    open: Decimal
+    high: Decimal
+    low: Decimal
+    close: Decimal
+    volume: Decimal
     session: str = None
     start_time: datetime = None
     end_time: datetime = None
-    quote_volume: float = None
+    quote_volume: Decimal = None
     closed: bool = None
 
     @classmethod
@@ -29,12 +30,12 @@ class KLine:
         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),
-            quote_volume=parse_float(obj.quote_volume),
+            open=parse_number(obj.open),
+            high=parse_number(obj.high),
+            low=parse_number(obj.low),
+            close=parse_number(obj.close),
+            volume=parse_number(obj.volume),
+            quote_volume=parse_number(obj.quote_volume),
             start_time=parse_time(obj.start_time),
             end_time=parse_time(obj.end_time),
             closed=obj.closed,

python/bbgo/data/order.py

@@ -2,12 +2,13 @@ from __future__ import annotations
 
 from dataclasses import dataclass
 from datetime import datetime
+from decimal import Decimal
 
 import bbgo_pb2
 
 from ..enums import OrderType
 from ..enums import SideType
-from ..utils import parse_float
+from ..utils import parse_number
 from ..utils import parse_time
 
 
@@ -18,11 +19,11 @@ class Order:
     order_id: str
     side: SideType
     order_type: OrderType
-    price: float
-    stop_price: float
+    price: Decimal
+    stop_price: Decimal
     status: str
-    quantity: float
-    executed_quantity: float
+    quantity: Decimal
+    executed_quantity: Decimal
     client_order_id: str
     group_id: int
     created_at: datetime
@@ -35,11 +36,11 @@ class Order:
             order_id=obj.id,
             side=SideType(obj.side),
             order_type=OrderType(obj.order_type),
-            price=parse_float(obj.price),
-            stop_price=parse_float(obj.stop_price),
+            price=parse_number(obj.price),
+            stop_price=parse_number(obj.stop_price),
             status=obj.status,
-            quantity=parse_float(obj.quantity),
-            executed_quantity=parse_float(obj.executed_quantity),
+            quantity=parse_number(obj.quantity),
+            executed_quantity=parse_number(obj.executed_quantity),
             client_order_id=obj.client_order_id,
             group_id=obj.group_id,
             created_at=parse_time(obj.created_at),

python/bbgo/data/submit_order.py

@@ -1,6 +1,7 @@
 from __future__ import annotations
 
 from dataclasses import dataclass
+from decimal import Decimal
 
 import bbgo_pb2
 
@@ -14,10 +15,10 @@ class SubmitOrder:
     exchange: str
     symbol: str
     side: SideType
-    quantity: float
+    quantity: Decimal
     order_type: OrderType
-    price: float = None
-    stop_price: float = None
+    price: Decimal = None
+    stop_price: Decimal = None
     client_order_id: str = None
     group_id: int = None
 

python/bbgo/data/ticker.py

@@ -1,30 +1,31 @@
 from __future__ import annotations
 
 from dataclasses import dataclass
+from decimal import Decimal
 
 import bbgo_pb2
 
-from ..utils import parse_float
+from ..utils import parse_number
 
 
 @dataclass
 class Ticker:
     exchange: str
     symbol: str
-    open: float
-    high: float
-    low: float
-    close: float
-    volume: float
+    open: Decimal
+    high: Decimal
+    low: Decimal
+    close: Decimal
+    volume: Decimal
 
     @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),
+            open=parse_number(obj.open),
+            high=parse_number(obj.high),
+            low=parse_number(obj.low),
+            close=parse_number(obj.close),
+            volume=parse_number(obj.volume),
         )

python/bbgo/data/trade.py

@@ -2,11 +2,12 @@ from __future__ import annotations
 
 from dataclasses import dataclass
 from datetime import datetime
+from decimal import Decimal
 
 import bbgo_pb2
 
 from ..enums import SideType
-from ..utils import parse_float
+from ..utils import parse_number
 from ..utils import parse_time
 
 
@@ -16,12 +17,12 @@ class Trade:
     exchange: str
     symbol: str
     trade_id: str
-    price: float
-    quantity: float
+    price: Decimal
+    quantity: Decimal
     created_at: datetime
     side: SideType
     fee_currency: str
-    fee: float
+    fee: Decimal
     maker: bool
 
     @classmethod
@@ -31,11 +32,11 @@ class Trade:
             exchange=obj.exchange,
             symbol=obj.symbol,
             trade_id=obj.id,
-            price=parse_float(obj.price),
-            quantity=parse_float(obj.quantity),
+            price=parse_number(obj.price),
+            quantity=parse_number(obj.quantity),
             created_at=parse_time(obj.created_at),
             side=SideType(obj.side),
             fee_currency=obj.fee_currency,
-            fee=parse_float(obj.fee),
+            fee=parse_number(obj.fee),
             maker=obj.maker,
         )

python/bbgo/utils/__init__.py

@@ -1,4 +1,4 @@
-from .convert import parse_float
+from .convert import parse_number
 from .convert import parse_time
 from .grpc_utils import get_credentials_from_env
 from .grpc_utils import get_grpc_cert_file_from_env

python/bbgo/utils/convert.py

@@ -1,15 +1,16 @@
 from datetime import datetime
+from decimal import Decimal
 from typing import Union
 
 
-def parse_float(s: Union[str, float]) -> float:
+def parse_number(s: Union[str, float]) -> Decimal:
     if s is None:
         return 0
 
     if s == "":
         return 0
 
-    return float(s)
+    return Decimal(s)
 
 
 def parse_time(t: Union[str, int]) -> datetime:

python/tests/test_data.py

@@ -1,3 +1,5 @@
+from decimal import Decimal
+
 import bbgo_pb2
 from bbgo.data import Balance
 from bbgo.data import ErrorMessage
@@ -24,8 +26,8 @@ def test_balance_from_pb():
 
     assert balance.exchange == exchange
     assert balance.currency == currency
-    assert balance.available == float(available)
-    assert balance.locked == float(locked)
+    assert balance.available == Decimal(available)
+    assert balance.locked == Decimal(locked)
     assert balance.borrowed == borrowed
 
 
@@ -58,12 +60,12 @@ def test_kline_from_pb():
 
     assert kline.exchange == exchange
     assert kline.symbol == symbol
-    assert kline.open == float(open)
-    assert kline.high == float(high)
-    assert kline.low == float(low)
-    assert kline.close == float(close)
-    assert kline.volume == float(volume)
-    assert kline.quote_volume == float(quote_volume)
+    assert kline.open == Decimal(open)
+    assert kline.high == Decimal(high)
+    assert kline.low == Decimal(low)
+    assert kline.close == Decimal(close)
+    assert kline.volume == Decimal(volume)
+    assert kline.quote_volume == Decimal(quote_volume)
     assert kline.start_time == parse_time(start_time)
     assert kline.end_time == parse_time(end_time)
     assert closed == closed

python/tests/test_utils.py

@@ -1,4 +1,6 @@
-from bbgo.utils import parse_float
+from decimal import Decimal
+
+from bbgo.utils import parse_number
 from bbgo.utils import parse_time
 
 
@@ -10,9 +12,8 @@ def test_parse_time():
 
 
 def test_parse_float():
-    assert parse_float(None) == 0
-    assert parse_float("") == 0
+    assert parse_number(None) == 0
+    assert parse_number("") == 0
 
     s = "3.14159265358979"
-    f = 3.14159265358979
-    assert parse_float(s) == f
+    assert parse_number(s) == Decimal(s)