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API V2 support. #14

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API V2 support. #14

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34 changes: 15 additions & 19 deletions tick_taker.py
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Original file line number Diff line number Diff line change
Expand Up @@ -36,20 +36,20 @@ def reset(self):

def update(self, data):
# Update bid and ask sizes and timestamp
self.bid_size = data.bidsize
self.ask_size = data.asksize
self.bid_size = data.bid_size
self.ask_size = data.ask_size

# Check if there has been a level change
if (
self.bid != data.bidprice
and self.ask != data.askprice
and round(data.askprice - data.bidprice, 2) == .01
self.bid != data.bid_price
and self.ask != data.ask_price
and round(data.ask_price - data.bid_price, 2) == .01
):
# Update bids and asks and time of level change
self.prev_bid = self.bid
self.prev_ask = self.ask
self.bid = data.bidprice
self.ask = data.askprice
self.bid = data.bid_price
self.ask = data.ask_price
self.time = data.timestamp
# Update spreads
self.prev_spread = round(self.prev_ask - self.prev_bid, 3)
Expand Down Expand Up @@ -125,21 +125,19 @@ def run(args):

symbol = symbol.upper()
quote = Quote()
qc = 'Q.%s' % symbol
tc = 'T.%s' % symbol
position = Position()

# Establish streaming connection
conn = tradeapi.StreamConn(**opts)
conn = tradeapi.Stream(**opts)

# Define our message handling
@conn.on(r'Q$')
async def on_quote(conn, channel, data):
@conn.on_quote(symbol)
async def on_quote(data):
# Quote update received
quote.update(data)

@conn.on(r'T$')
async def on_trade(conn, channel, data):
@conn.on_trade(symbol)
async def on_trade(data):
if quote.traded:
return
# We've received a trade and might be ready to follow it
Expand Down Expand Up @@ -202,8 +200,7 @@ async def on_trade(conn, channel, data):
except Exception as e:
print(e)

@conn.on(r'trade_updates')
async def on_trade_updates(conn, channel, data):
async def on_trade_update(data):
# We got an update on one of the orders we submitted. We need to
# update our position with the new information.
event = data.event
Expand All @@ -229,9 +226,8 @@ async def on_trade_updates(conn, channel, data):
data.order['id'], data.order['side']
)

conn.run(
['trade_updates', tc, qc]
)
conn.subscribe_trade_updates(on_trade_update)
conn.run()


if __name__ == '__main__':
Expand Down