Merge pull request #57 from nkaz001/fix_datautils

Fixed a problem where a snapshot exists only for one side
nkaz001 · Nov 21, 2023 · a3632bf · a3632bf
2 parents 599a4e0 + 92bbac9
commit a3632bf
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Showing 2 changed files with 42 additions and 35 deletions.
diff --git a/hftbacktest/data/utils/binancefutures.py b/hftbacktest/data/utils/binancefutures.py
@@ -112,15 +112,21 @@ def convert(
                 transaction_time = message['T']
                 bids = message['bids']
                 asks = message['asks']
-                bid_clear_upto = float(bids[-1][0])
-                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([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 += [[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]
+                if len(bids) > 0:
+                    bid_clear_upto = float(bids[-1][0])
+                    # clears the existing market depth upto the prices in the snapshot.
+                    rows.append([DEPTH_CLEAR_EVENT, exch_timestamp, local_timestamp, 1, bid_clear_upto, 0])
+                    # inserts the snapshot.
+                    rows += [[DEPTH_SNAPSHOT_EVENT, exch_timestamp, local_timestamp, 1, float(bid[0]), float(bid[1])]
+                             for bid in bids]
+                if len(asks) > 0:
+                    ask_clear_upto = float(asks[-1][0])
+                    # clears the existing market depth upto the prices in the snapshot.
+                    rows.append([DEPTH_CLEAR_EVENT, exch_timestamp, local_timestamp, -1, ask_clear_upto, 0])
+                    # inserts the snapshot.
+                    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/tardis.py b/hftbacktest/data/utils/tardis.py
@@ -136,37 +136,38 @@ def convert(
                             is_snapshot = False
 
                             # Add DEPTH_CLEAR_EVENT before refreshing the market depth by the snapshot.
-
                             ss_bid = ss_bid[:ss_bid_rn]
-                            # Clear the bid market depth within the snapshot bid range.
-                            tmp[row_num] = [
-                                DEPTH_CLEAR_EVENT,
-                                ss_bid[0, 1],
-                                ss_bid[0, 2],
-                                1,
-                                ss_bid[-1, 4],
-                                0
-                            ]
-                            row_num += 1
-                            # Add DEPTH_SNAPSHOT_EVENT for the bid snapshot
-                            tmp[row_num:row_num + len(ss_bid)] = ss_bid[:]
-                            row_num += len(ss_bid)
+                            if len(ss_bid) > 0:
+                                # Clear the bid market depth within the snapshot bid range.
+                                tmp[row_num] = [
+                                    DEPTH_CLEAR_EVENT,
+                                    ss_bid[0, 1],
+                                    ss_bid[0, 2],
+                                    1,
+                                    ss_bid[-1, 4],
+                                    0
+                                ]
+                                row_num += 1
+                                # Add DEPTH_SNAPSHOT_EVENT for the bid snapshot
+                                tmp[row_num:row_num + len(ss_bid)] = ss_bid[:]
+                                row_num += len(ss_bid)
                             ss_bid = None
 
                             ss_ask = ss_ask[:ss_ask_rn]
-                            # Clear the ask market depth within the snapshot ask range.
-                            tmp[row_num] = [
-                                DEPTH_CLEAR_EVENT,
-                                ss_ask[0, 1],
-                                ss_ask[0, 2],
-                                -1,
-                                ss_ask[-1, 4],
-                                0
-                            ]
-                            row_num += 1
-                            # Add DEPTH_SNAPSHOT_EVENT for the ask snapshot
-                            tmp[row_num:row_num + len(ss_ask)] = ss_ask[:]
-                            row_num += len(ss_ask)
+                            if len(ss_ask) > 0:
+                                # Clear the ask market depth within the snapshot ask range.
+                                tmp[row_num] = [
+                                    DEPTH_CLEAR_EVENT,
+                                    ss_ask[0, 1],
+                                    ss_ask[0, 2],
+                                    -1,
+                                    ss_ask[-1, 4],
+                                    0
+                                ]
+                                row_num += 1
+                                # Add DEPTH_SNAPSHOT_EVENT for the ask snapshot
+                                tmp[row_num:row_num + len(ss_ask)] = ss_ask[:]
+                                row_num += len(ss_ask)
                             ss_ask = None
                         # Insert DEPTH_EVENT
                         tmp[row_num] = [