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[Add]BitfinexGateway增加对深度行情更新时没有BID或者ASK挂单情况的过滤

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vn.py 2018-06-11 22:18:45 +08:00
parent 2d94151efe
commit 11a69f79ce
1 changed files with 37 additions and 31 deletions
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68
vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py
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@ -390,37 +390,43 @@ class GatewayApi(BitfinexApi):
else:
ask[price] = amount
# BID
bidPriceList = bid.keys()
bidPriceList.sort(reverse=True)
tick.bidPrice1 = bidPriceList[0]
tick.bidPrice2 = bidPriceList[1]
tick.bidPrice3 = bidPriceList[2]
tick.bidPrice4 = bidPriceList[3]
tick.bidPrice5 = bidPriceList[4]
tick.bidVolume1 = bid[tick.bidPrice1]
tick.bidVolume2 = bid[tick.bidPrice2]
tick.bidVolume3 = bid[tick.bidPrice3]
tick.bidVolume4 = bid[tick.bidPrice4]
tick.bidVolume5 = bid[tick.bidPrice5]
# ASK
askPriceList = ask.keys()
askPriceList.sort()
tick.askPrice1 = askPriceList[0]
tick.askPrice2 = askPriceList[1]
tick.askPrice3 = askPriceList[2]
tick.askPrice4 = askPriceList[3]
tick.askPrice5 = askPriceList[4]
tick.askVolume1 = ask[tick.askPrice1]
tick.askVolume2 = ask[tick.askPrice2]
tick.askVolume3 = ask[tick.askPrice3]
tick.askVolume4 = ask[tick.askPrice4]
tick.askVolume5 = ask[tick.askPrice5]
# Bitfinex的深度数据更新是逐档推送变动情况，而非5档一起推
# 因此会出现没有Bid或者Ask的情况，这里使用try...catch过滤
# 只有买卖深度满足5档时才做推送
try:
# BID
bidPriceList = bid.keys()
bidPriceList.sort(reverse=True)
tick.bidPrice1 = bidPriceList[0]
tick.bidPrice2 = bidPriceList[1]
tick.bidPrice3 = bidPriceList[2]
tick.bidPrice4 = bidPriceList[3]
tick.bidPrice5 = bidPriceList[4]
tick.bidVolume1 = bid[tick.bidPrice1]
tick.bidVolume2 = bid[tick.bidPrice2]
tick.bidVolume3 = bid[tick.bidPrice3]
tick.bidVolume4 = bid[tick.bidPrice4]
tick.bidVolume5 = bid[tick.bidPrice5]
# ASK
askPriceList = ask.keys()
askPriceList.sort()
tick.askPrice1 = askPriceList[0]
tick.askPrice2 = askPriceList[1]
tick.askPrice3 = askPriceList[2]
tick.askPrice4 = askPriceList[3]
tick.askPrice5 = askPriceList[4]
tick.askVolume1 = ask[tick.askPrice1]
tick.askVolume2 = ask[tick.askPrice2]
tick.askVolume3 = ask[tick.askPrice3]
tick.askVolume4 = ask[tick.askPrice4]
tick.askVolume5 = ask[tick.askPrice5]
except IndexError:
return
dt = datetime.now()
tick.date = dt.strftime('%Y%m%d')