[Mod] add TickTrade and TickBook object

.flake8

@@ -4,4 +4,4 @@ ignore =
     # line too long, fixed by black
     E501,
     # line break before binary operator
-    W503,
+    W503,

CHANGELOG.md

@@ -1,3 +1,8 @@
 # 3.9.0
 
-1. First release of VeighNa Crypto
+## Framework
+
+1. First release of VeighNa Crypto as a fork of the original VeighNa project
+2. Translate core and UI language from Chinese to English
+3. Support only crypto exchanges for the Exchange enum
+4. Remove unnecessary offset converter related data update and functions

requirements.txt

@@ -12,4 +12,4 @@ pyzmq==23.2.1
 plotly==5.10.0
 importlib-metadata==4.12.0
 tqdm==4.64.1
-backports.zoneinfo; python_version < '3.9'
+sortedcontainers==2.4.0

setup.cfg

@@ -49,6 +49,7 @@ install_requires =
     pyzmq
     plotly
     tqdm
+    sortedcontainers
 
 [options.package_data]
 * = *.dll, *.so, *.pyd

vnpy/trader/event.py

@@ -12,3 +12,6 @@
 EVENT_QUOTE = "eQuote."
 EVENT_CONTRACT = "eContract."
 EVENT_LOG = "eLog"
+
+EVENT_TICK_BOOK = "eTickBook"
+EVENT_TICK_TRADE = "eTickTrade"

vnpy/trader/object.py

@@ -6,8 +6,11 @@
 from datetime import datetime
 from logging import INFO
 
+from sortedcontainers import SortedDict
+
 from .constant import Direction, Exchange, Interval, Offset, Status, Product, OptionType, OrderType
 
+
 ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
 
 
@@ -421,3 +424,59 @@ def create_quote_data(self, quoteid: str, gateway_name: str) -> QuoteData:
             gateway_name=gateway_name,
         )
         return quote
+
+
+@dataclass
+class TickTrade(BaseData):
+    """
+    Detailed fill data of the market.
+    """
+
+    symbol: str
+    exchange: Exchange
+    price: float
+    volume: int
+    datetime: datetime
+    direction: Direction = None
+
+    def __post_init__(self) -> None:
+        """"""
+        self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
+
+
+class TickBook:
+    """Order book with detailed market depth"""
+
+    def __init__(self, vt_symbol: str) -> None:
+        """"""
+        self.vt_symbol: str = vt_symbol
+
+        self.bid_book: SortedDict = SortedDict(lambda i: -i)
+        self.ask_book: SortedDict = SortedDict()
+
+        self.sequence_id: int = 0
+
+    def update_bid(self, price: float, volume: float) -> None:
+        """Update bid data into the book"""
+        if volume:
+            self.bid_book[price] = volume
+        else:
+            self.bid_book.pop(price, None)
+
+    def update_ask(self, price: float, volume: float) -> None:
+        """Update ask data into the book"""
+        if volume:
+            self.ask_book[price] = volume
+        else:
+            self.ask_book.pop(price, None)
+
+    def update_sequence(self, sequence_id: int) -> None:
+        """Update sequence id of order book"""
+        self.sequence_id = sequence_id
+
+    def clear(self) -> None:
+        """Clear all depth data"""
+        self.bid_book.clear()
+        self.ask_book.clear()
+
+        self.sequence_id = 0