Re-key ib's 'unreportable trades' (tick 48) as
parent
8fe2bd6614
commit
55cfe6082b
|
@ -1032,7 +1032,11 @@ async def get_client(
|
|||
# https://interactivebrokers.github.io/tws-api/tick_types.html
|
||||
tick_types = {
|
||||
77: 'trade',
|
||||
48: 'utrade',
|
||||
|
||||
# a "utrade" aka an off exchange "unreportable" (dark) vlm:
|
||||
# https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume
|
||||
48: 'dark_trade',
|
||||
|
||||
0: 'bsize',
|
||||
1: 'bid',
|
||||
2: 'ask',
|
||||
|
@ -1046,13 +1050,17 @@ tick_types = {
|
|||
def normalize(
|
||||
ticker: Ticker,
|
||||
calc_price: bool = False
|
||||
|
||||
) -> dict:
|
||||
# convert named tuples to dicts so we send usable keys
|
||||
new_ticks = []
|
||||
for tick in ticker.ticks:
|
||||
if tick and not isinstance(tick, dict):
|
||||
td = tick._asdict()
|
||||
td['type'] = tick_types.get(td['tickType'], 'n/a')
|
||||
td['type'] = tick_types.get(
|
||||
td['tickType'],
|
||||
'n/a',
|
||||
)
|
||||
|
||||
new_ticks.append(td)
|
||||
|
||||
|
|
|
@ -25,14 +25,18 @@ import numpy as np
|
|||
|
||||
def iterticks(
|
||||
quote: dict,
|
||||
types: Tuple[str] = ('trade', 'utrade'),
|
||||
types: Tuple[str] = ('trade', 'dark_trade'),
|
||||
|
||||
) -> AsyncIterator:
|
||||
"""Iterate through ticks delivered per quote cycle.
|
||||
"""
|
||||
'''
|
||||
Iterate through ticks delivered per quote cycle.
|
||||
|
||||
'''
|
||||
# print(f"{quote}\n\n")
|
||||
ticks = quote.get('ticks', ())
|
||||
if ticks:
|
||||
for tick in ticks:
|
||||
# print(f"{quote['symbol']}: {tick}")
|
||||
if tick.get('type') in types:
|
||||
ttype = tick.get('type')
|
||||
if ttype in types:
|
||||
yield tick
|
||||
|
|
Loading…
Reference in New Issue