46 lines
703 B
Python
46 lines
703 B
Python
from dataclasses import dataclass
|
|
from enum import Enum, auto
|
|
|
|
|
|
class SecurityType(Enum):
|
|
CRYPTO = auto()
|
|
EQUITY = auto()
|
|
FUTURE = auto()
|
|
OPTION = auto()
|
|
|
|
|
|
@dataclass(frozen=True)
|
|
class Instrument:
|
|
symbol: str
|
|
security_type: SecurityType
|
|
multiplier: int
|
|
|
|
|
|
@dataclass(frozen=True)
|
|
class Position:
|
|
instr: Instrument
|
|
quantity: int # todo: crypto has fractional shares
|
|
price: float
|
|
|
|
|
|
@dataclass(frozen=True)
|
|
class BidAsk:
|
|
instr: Instrument
|
|
timestamp: int
|
|
bid: float
|
|
ask: float
|
|
|
|
|
|
@dataclass(frozen=True)
|
|
class OHLC:
|
|
instr: Instrument
|
|
timestamp: int
|
|
open: float
|
|
high: float
|
|
low: float
|
|
close: float
|
|
volume: int # todo: crypto volume is float
|
|
|
|
|
|
Quote = BidAsk | OHLC
|