Add prelim fqsn support into our `Symbol` type
parent
434c340cb8
commit
b16167b8f3
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@ -92,6 +92,28 @@ def ohlc_zeros(length: int) -> np.ndarray:
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return np.zeros(length, dtype=base_ohlc_dtype)
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return np.zeros(length, dtype=base_ohlc_dtype)
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def uncons_fqsn(fqsn: str) -> tuple[str, str, str]:
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'''
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Unpack a fully-qualified-symbol-name to ``tuple``.
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'''
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# TODO: probably reverse the order of all this XD
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tokens = fqsn.split('.')
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if len(tokens) > 3:
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symbol, venue, suffix, broker = tokens
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else:
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symbol, venue, broker = tokens
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suffix = ''
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# head, _, broker = fqsn.rpartition('.')
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# symbol, _, suffix = head.rpartition('.')
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return (
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broker,
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'.'.join([symbol, venue]),
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suffix,
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)
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class Symbol(BaseModel):
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class Symbol(BaseModel):
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"""I guess this is some kinda container thing for dealing with
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"""I guess this is some kinda container thing for dealing with
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all the different meta-data formats from brokers?
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all the different meta-data formats from brokers?
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@ -103,6 +125,7 @@ class Symbol(BaseModel):
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lot_tick_size: float = 0.0 # "volume" precision as min step value
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lot_tick_size: float = 0.0 # "volume" precision as min step value
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tick_size_digits: int = 2
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tick_size_digits: int = 2
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lot_size_digits: int = 0
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lot_size_digits: int = 0
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suffix: str = ''
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broker_info: dict[str, dict[str, Any]] = {}
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broker_info: dict[str, dict[str, Any]] = {}
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# specifies a "class" of financial instrument
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# specifies a "class" of financial instrument
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@ -115,6 +138,7 @@ class Symbol(BaseModel):
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broker: str,
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broker: str,
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symbol: str,
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symbol: str,
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info: dict[str, Any],
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info: dict[str, Any],
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suffix: str = '',
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# XXX: like wtf..
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# XXX: like wtf..
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# ) -> 'Symbol':
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# ) -> 'Symbol':
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@ -129,9 +153,27 @@ class Symbol(BaseModel):
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lot_tick_size=lot_tick_size,
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lot_tick_size=lot_tick_size,
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tick_size_digits=float_digits(tick_size),
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tick_size_digits=float_digits(tick_size),
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lot_size_digits=float_digits(lot_tick_size),
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lot_size_digits=float_digits(lot_tick_size),
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suffix=suffix,
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broker_info={broker: info},
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broker_info={broker: info},
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)
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)
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@classmethod
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def from_fqsn(
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cls,
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fqsn: str,
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info: dict[str, Any],
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# XXX: like wtf..
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# ) -> 'Symbol':
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) -> None:
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broker, key, suffix = uncons_fqsn(fqsn)
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return cls.from_broker_info(
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broker,
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key,
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info=info,
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suffix=suffix,
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)
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@property
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@property
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def type_key(self) -> str:
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def type_key(self) -> str:
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return list(self.broker_info.values())[0]['asset_type']
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return list(self.broker_info.values())[0]['asset_type']
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@ -141,9 +183,10 @@ class Symbol(BaseModel):
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return list(self.broker_info.keys())
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return list(self.broker_info.keys())
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def nearest_tick(self, value: float) -> float:
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def nearest_tick(self, value: float) -> float:
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"""Return the nearest tick value based on mininum increment.
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'''
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Return the nearest tick value based on mininum increment.
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"""
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'''
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mult = 1 / self.tick_size
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mult = 1 / self.tick_size
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return round(value * mult) / mult
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return round(value * mult) / mult
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@ -159,11 +202,25 @@ class Symbol(BaseModel):
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self.key,
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self.key,
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)
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)
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def front_fqsn(self) -> str:
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broker, key = self.front_feed()
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if self.suffix:
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tokens = (key, self.suffix, broker)
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else:
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tokens = (key, broker)
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fqsn = '.'.join(tokens)
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return fqsn
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def iterfqsns(self) -> list[str]:
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def iterfqsns(self) -> list[str]:
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return [
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keys = []
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mk_fqsn(self.key, broker)
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for broker in self.broker_info.keys():
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for broker in self.broker_info.keys()
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fqsn = mk_fqsn(self.key, broker)
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]
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if self.suffix:
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fqsn += f'.{self.suffix}'
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keys.append(fqsn)
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return keys
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def from_df(
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def from_df(
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