Replace manual input for event type with predefined constant variable…

…s to prevent mistakes.
nkaz001 · Aug 10, 2023 · 1cbddc6 · 1cbddc6
1 parent 0fcddbf
commit 1cbddc6
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Showing 3 changed files with 16 additions and 14 deletions.
diff --git a/hftbacktest/data/utils/binancefutures.py b/hftbacktest/data/utils/binancefutures.py
@@ -6,6 +6,7 @@
 from numpy.typing import NDArray
 
 from .. import correct, validate_data
+from ... import DEPTH_EVENT, DEPTH_CLEAR_EVENT, DEPTH_SNAPSHOT_EVENT, TRADE_EVENT
 
 
 def convert(
@@ -76,15 +77,15 @@ def convert(
                     qty = data['q']
                     side = -1 if data['m'] else 1  # trade initiator's side
                     exch_timestamp = int(transaction_time) * 1000
-                    rows.append([2, exch_timestamp, local_timestamp, side, float(price), float(qty)])
+                    rows.append([TRADE_EVENT, exch_timestamp, local_timestamp, side, float(price), float(qty)])
                 elif evt == 'depthUpdate':
                     # event_time = data['E']
                     transaction_time = data['T']
                     bids = data['b']
                     asks = data['a']
                     exch_timestamp = int(transaction_time) * 1000
-                    rows += [[1, exch_timestamp, local_timestamp, 1, float(bid[0]), float(bid[1])] for bid in bids]
-                    rows += [[1, exch_timestamp, local_timestamp, -1, float(ask[0]), float(ask[1])] for ask in asks]
+                    rows += [[DEPTH_EVENT, exch_timestamp, local_timestamp, 1, float(bid[0]), float(bid[1])] for bid in bids]
+                    rows += [[DEPTH_EVENT, exch_timestamp, local_timestamp, -1, float(ask[0]), float(ask[1])] for ask in asks]
                 elif evt == 'markPriceUpdate' and 'm' in opt:
                     # event_time = data['E']
                     transaction_time = data['T']
@@ -115,11 +116,11 @@ def convert(
                 ask_clear_upto = float(asks[-1][0])
                 exch_timestamp = int(transaction_time) * 1000
                 # clear the existing market depth upto the prices in the snapshot.
-                rows.append([3, exch_timestamp, local_timestamp, 1, bid_clear_upto, 0])
-                rows.append([3, exch_timestamp, local_timestamp, -1, ask_clear_upto, 0])
+                rows.append([DEPTH_CLEAR_EVENT, exch_timestamp, local_timestamp, 1, bid_clear_upto, 0])
+                rows.append([DEPTH_CLEAR_EVENT, exch_timestamp, local_timestamp, -1, ask_clear_upto, 0])
                 # insert the snapshot.
-                rows += [[4, exch_timestamp, local_timestamp, 1, float(bid[0]), float(bid[1])] for bid in bids]
-                rows += [[4, exch_timestamp, local_timestamp, -1, float(ask[0]), float(ask[1])] for ask in asks]
+                rows += [[DEPTH_SNAPSHOT_EVENT, exch_timestamp, local_timestamp, 1, float(bid[0]), float(bid[1])] for bid in bids]
+                rows += [[DEPTH_SNAPSHOT_EVENT, exch_timestamp, local_timestamp, -1, float(ask[0]), float(ask[1])] for ask in asks]
 
     data = np.asarray(rows, np.float64)
     data = correct(data, base_latency=base_latency, method=method)

diff --git a/hftbacktest/data/utils/binancehistmktdata.py b/hftbacktest/data/utils/binancehistmktdata.py
@@ -4,6 +4,7 @@
 from numpy.typing import NDArray
 
 from .. import merge_on_local_timestamp, correct, validate_data
+from ... import DEPTH_EVENT, TRADE_EVENT, DEPTH_SNAPSHOT_EVENT
 
 
 def convert_snapshot(
@@ -49,7 +50,7 @@ def convert_snapshot(
 
             if side == 1:
                 ss_bid.append([
-                    4,
+                    DEPTH_SNAPSHOT_EVENT,
                     exch_timestamp,
                     loc_timestamp,
                     side,
@@ -58,7 +59,7 @@ def convert_snapshot(
                 ])
             else:
                 ss_ask.append([
-                    4,
+                    DEPTH_SNAPSHOT_EVENT,
                     exch_timestamp,
                     loc_timestamp,
                     side,
@@ -129,7 +130,7 @@ def convert(
 
             # Insert DEPTH_EVENT
             tmp_depth[row_num] = [
-                1,
+                DEPTH_EVENT,
                 exch_timestamp,
                 loc_timestamp,
                 side,
@@ -161,7 +162,7 @@ def convert(
 
             # Insert TRADE_EVENT
             tmp_trades[row_num] = [
-                2,
+                TRADE_EVENT,
                 exch_timestamp,
                 loc_timestamp,
                 side,

diff --git a/hftbacktest/data/utils/snapshot.py b/hftbacktest/data/utils/snapshot.py
@@ -5,7 +5,7 @@
 
 from ... import HftBacktest, Linear, ConstantLatency
 from ...typing import DataCollection, Data
-from ...reader import UNTIL_END_OF_DATA
+from ...reader import UNTIL_END_OF_DATA, DEPTH_SNAPSHOT_EVENT
 
 
 def create_last_snapshot(
@@ -47,15 +47,15 @@ def create_last_snapshot(
 
     snapshot = []
     snapshot += [[
-        4,
+        DEPTH_SNAPSHOT_EVENT,
         hbt.last_timestamp,
         -1,
         1,
         float(bid * tick_size),
         float(qty)
     ] for bid, qty in sorted(hbt.bid_depth.items(), key=lambda v: -float(v[0]))]
     snapshot += [[
-        4,
+        DEPTH_SNAPSHOT_EVENT,
         hbt.last_timestamp,
         -1,
         -1,