pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Define the flattened "fundamental double auction" emitted tick type set

basic_buy_bot
Tyler Goodlet 2023-06-20 15:54:28 -04:00
parent c57d4b2181
commit d42aa60325
1 changed files with 9 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

10
piker/data/_sampling.py
View File

@ -740,13 +740,21 @@ async def sample_and_broadcast(
) )
# a working tick-type-classes template # tick-type-classes template for all possible "lowest level" events
# that can can be emitted by the "top of book" L1 queues and
# price-matching (with eventual clearing) in a double auction
# market (queuing) system.
_tick_groups = { _tick_groups = {
'clears': {'trade', 'dark_trade', 'last'}, 'clears': {'trade', 'dark_trade', 'last'},
'bids': {'bid', 'bsize'}, 'bids': {'bid', 'bsize'},
'asks': {'ask', 'asize'}, 'asks': {'ask', 'asize'},
} }
# XXX alo define the flattened set of all such "fundamental ticks"
# so that it can be used as filter, eg. in the graphics display
# loop to compute running windowed y-ranges B)
_auction_ticks: set[str] = set.union(*_tick_groups.values())
def frame_ticks( def frame_ticks(
first_quote: dict, first_quote: dict,