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37 lines
752 B
Python
37 lines
752 B
Python
from __future__ import annotations
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from dataclasses import dataclass
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import bbgo_pb2
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from typing import List
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@dataclass
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class Depth:
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exchange: str
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symbol: str
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asks: List[PriceVolume]
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bids: List[PriceVolume]
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@classmethod
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def from_pb(cls, obj: bbgo_pb2.Depth):
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return cls(
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exchange=obj.exchange,
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symbol=obj.symbol,
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asks=[PriceVolume.from_pb(ask) for ask in obj.asks],
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bids=[PriceVolume.from_pb(bid) for bid in obj.bids],
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)
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@dataclass
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class PriceVolume:
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price: float
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volume: float
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@classmethod
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def from_pb(cls, obj: bbgo_pb2.PriceVolume):
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return cls(
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price=float(obj.price),
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volume=float(obj.volume),
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)
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